Citations (17)



A Quantitative Approach to Tactical Asset Allocation

Meb Faber

Cambria Investment Management

February 1, 2013

The Journal of Wealth Management, Spring 2007

In this paper we update our 2006 white paper “A Quantitative Approach to Tactical Asset Allocation” with new data from the 2008-2012 period. How well did the purpose of the original paper – to present a simple quantitative method that improves the risk-adjusted returns across various asset classes – hold up since publication? Overall, we find that the models have performed well in real-time, achieving equity like returns with bond like volatility and drawdowns. We also examine the effects of departures from the original system including adding more asset classes, introducing various portfolio allocations, and implementing alternative cash management strategies.

Number of Pages in PDF File: 70

Keywords: Asset Allocation, Tactical Asset Allocation, GTAA, Quantitative, Hedge

JEL Classification: C00, C10, C50, G00, G11

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Date posted: February 11, 2007 ; Last revised: March 3, 2014

Suggested Citation

Faber, Meb, A Quantitative Approach to Tactical Asset Allocation (February 1, 2013). The Journal of Wealth Management, Spring 2007 . Available at SSRN: https://ssrn.com/abstract=962461

Contact Information

Meb Faber (Contact Author)
Cambria Investment Management ( email )
2321 Rosecrans Ave
Suite 4270
El Segundo, CA 90245
United States
HOME PAGE: http://www.cambriainvestments.com
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