Investing by following reserve policy : empirical tests
| dc.contributor.advisor | Skoulakis, Georgios | |
| dc.contributor.advisor | Σκουλάκης, Γεώργιος | |
| dc.contributor.author | Mouratidis, Ioannis | |
| dc.contributor.author | Μουρατίδης, Ιωάννης | |
| dc.date.accessioned | 2026-04-07T09:46:37Z | |
| dc.date.available | 2026-04-07T09:46:37Z | |
| dc.date.issued | 2026-03 | |
| dc.identifier.uri | https://dione.lib.unipi.gr/xmlui/handle/unipi/19148 | |
| dc.format.extent | 57 | el |
| dc.language.iso | en | el |
| dc.publisher | Πανεπιστήμιο Πειραιώς | el |
| dc.rights | Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/gr/ | * |
| dc.title | Investing by following reserve policy : empirical tests | el |
| dc.type | Master Thesis | el |
| dc.contributor.department | Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής | el |
| dc.description.abstractEN | This thesis examines the effectiveness of dynamic asset allocation strategies based on Federal Reserve monetary policy regimes as a framework for managing portfolio risk and generating risk-adjusted returns. Using monthly data from 1976 to 2025, we classify market conditions into three distinct regimes expansive, indeterminate, and restrictive based on Federal Reserve policy stances, and construct eight investment strategies that systematically adjust equity and defensive asset allocations in response to these regime classifications. Our empirical analysis reveals that Federal Reserve policy regimes exhibit distinct return characteristics, with restrictive periods representing 38.8% of observations (the most frequent regime), while expansive and indeterminate conditions each occur 30.6% of the time. Notably, indeterminate periods generate the highest equity returns (15.41% annualized) despite representing uncertain policy conditions, challenging conventional defensive positioning during mixed-signal environments. Restrictive periods, though most frequent, still produce positive equity returns (5.39% annualized), while bond returns remain relatively stable across all regimes (3.54-5.44% range). Our findings demonstrate that Federal Reserve policy regime classification provides a systematic framework for dynamic asset allocation that meaningfully enhances risk- adjusted performance. However, momentum-enhanced strategies, despite superior Sharpe ratios, accumulate only 32 - 48% of benchmark's long-term wealth, illustrating the fundamental trade-off between risk management and wealth maximization. This tension highlights that optimal strategy selection depends on investor preferences those prioritizing smooth portfolio experience and risk-adjusted returns should adopt momentum approaches, while wealth maximizers may prefer the benchmark's higher volatility and returns. The thesis contributes to investment literature by demonstrating that: (1) Federal Reserve policy regimes exhibit predictable return patterns suitable for tactical allocation, (2) indeterminate periods, despite policy uncertainty, warrant aggressive equity positioning due to exceptional returns, (3) defensive asset selection significantly impacts performance given restrictive periods' high frequency, and (4) momentum overlays can enhance regime-based strategies while compressing performance differentiation through selective defensive positioning. These insights provide a practical framework for investors seeking to manage portfolio risk through systematic responses to monetary policy conditions while understanding the inherent trade-offs between risk management objectives and long-term wealth accumulation. Keywords: Federal Reserve policy, dynamic asset allocation, regime classification, momentum strategies, risk-adjusted performance, tactical investing, monetary policy, portfolio management. | el |
| dc.contributor.master | Χρηματοοικονομική και Τραπεζική με ειδίκευση στη Χρηματοοικονομική και Τραπεζική Διοικητική | el |
| dc.subject.keyword | Federal Reserve policy | el |
| dc.subject.keyword | Dynamic asset allocation | el |
| dc.subject.keyword | Regime classification | el |
| dc.subject.keyword | Momentum strategies | el |
| dc.subject.keyword | Risk-adjusted performance | el |
| dc.subject.keyword | Tactical investing | el |
| dc.subject.keyword | Monetary policy | el |
| dc.subject.keyword | Portfolio management | el |
| dc.date.defense | 2026-04-18 |
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Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα