Dynamic Asset Allocation Strategies Based on Volatility and Turbulence Performance comparison 1973-2014

2015

Masteroppgave økonomi og administrasjon- Universitetet i Agder, 2015 The main purpose of this thesis is to evaluate the performance of the dynamic turbulence targeting asset allocation strategy, and then match it up against the volatility targeting strategy, which is the dynamic benchmark, plus the classic buy-and-hold equally-weighted strategy, which is the static benchmark portfolio. The analysis is conducted across four data sets, all of which are based on U.S. stock indices, using an out-of-sample period from 1973 to 2014, and also sub periods 1973 to 1990 and 1991 up to 2014. Performances are first of all determined and assessed by the use of the Sharpe and Sortino ratios. In addition,…