A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007

70 Pages Posted: 11 Feb 2007 Last revised: 3 Mar 2014

Meb Faber

Cambria Investment Management

Date Written: February 1, 2013

Abstract

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.

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

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

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

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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