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
Date Written: February 1, 2013
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: Suggested Citation