Tactical asset allocation in a real-life setting

2014

Masteroppgave i økonomi og administrasjon – Universitetet i Agder 2014 This thesis will test one of the most popular market-timing strategies, using the longest available data set ranging from 1857 to 2012. The market-timing strategy has already proven to deliver superior results in the period 1926-2012 in a back-test. Which is why, the performance of the period pre-1926 will be compared to the post-1926 performance in a back-test. The performance of the two periods is similar, but period 1857-1925 is found to have the greatest improvements when the strategy is tested, which I find to be due to the lack of long consecutive bull markets. In both time periods the market-timing strategy is pro…