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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Contribution of the Tactical Asset Allocation to the Overall Performance of a Portfolio: Using a Z-Score Approach to Combine Value and Momentum |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 140 |
| Date | 2015 |
| Abstract Text | The momentum models provided consistently positive excess returns across two sample periods and across two different portfolios, while the pure value model performed poorly during the out-of-sample period. The non-linear combinations of momentum and value provided the highest excess returns and the lowest risk figures, yet showed inconsis- tent performances during the robustness tests. Meanwhile, the linear combinations of the momentum and value models were able to extract the benefits of their underlying models, and thus provided a frame- work that captures upside potential and limits risks. Furthermore, through the exclusion of negative momentum from the evaluation, the models were able to further reduce risks. These benefits come at the cost of having high average turnovers and thus high transactions costs. Moreover, positive and significant relations between the returns of the models and common global risks have been found, while liquidity risks are very infrequently present. |
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