نوع مقاله : مقاله پژوهشی
نویسندگان
1 گروه مطالعات دفاعی استراتژیک، دانشگاه عالی دفاع ملی، تهران، ایران.
2 گروه مالی، دانشکده حسابداری و امور مالی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران.
3 گروه مدیریت، دانشکده مدیریت، دانشگاه افسری امام علی علیه السلام، تهران، ایران.
کلیدواژهها
موضوعات
عنوان مقاله English
نویسندگان English
Purpose: This paper aimed to design and evaluate a native Dynamic Asset Allocation (DAA) model based on quantitative criteria, challenging the performance of static strategies in the volatile environment of Iranian asset markets. Given the inefficiency of static allocation approaches for managing risk and capitalizing on opportunities under changing economic conditions, the proposed model introduces a two-level decision-making framework that combines Trend-Following and Relative Momentum.
Methodology: Monthly data for four main asset classes (the Tehran Stock Exchange stock index, Emami gold coin, the US dollar in the free market, and a fixed-income fund) from October 2014 to September 2025 were used. The dynamic allocation mechanism was designed based on the 6-Month Simple Moving Average (6-Month SMA) to filter the risk regime: if no risky asset had a 'buy' signal, 100% of funds were moved to the safe asset (fixed-income fund); otherwise, 100% of funds were distributed among the activated risky assets based on their prior period relative returns. The strategy's performance was evaluated using the Sharpe Ratio, Calmar Ratio, and Maximum Drawdown relative to single-asset Buy-and-Hold strategies.
Findings: The results showed that the DAA strategy, despite not achieving the highest absolute return, registered the best risk-adjusted performance. This strategy demonstrated significant resilience against downside risk, recording the lowest maximum drawdown (-25%) and the highest Calmar Ratio (1.78) compared to the Total Index (drawdown -40% and Calmar Ratio 1.01) and Gold Coin (drawdown -32% and Calmar Ratio 1.61). Also, the Sharpe Ratio of the dynamic strategy (1.34) was significantly higher than the Tehran Stock Exchange Total Index (0.95). A statistical test (Memmel-modified Jobson-Korkie test) showed that the difference in the Sharpe Ratio between the dynamic strategy and the Total Stock Index was significant at the 99% confidence level, with a Z-statistic of 4.11 and a very small p-value (0.00004).
Originality/Value: The originality lies in designing a native, two-level DAA model that uniquely combines simple Trend-Following and Relative Momentum rules tailored for highly volatile asset markets. Its value is demonstrated by achieving superior risk-adjusted performance and significantly reducing tail risk compared to static strategies. It provides a practical, evidence-based framework for local financial institutions to enhance investment efficiency and resilience.
کلیدواژهها English
