PT  - JOURNAL ARTICLE
AU  - Mebane T. Faber
TI  - A Quantitative Approach to Tactical Asset Allocation
AID  - 10.3905/jwm.2007.674809
DP  - 2007 Jan 31
TA  - The Journal of Wealth Management
PG  - 69--79
VI  - 9
IP  - 4
4099  - https://pm-research.com/content/9/4/69.short
4100  - https://pm-research.com/content/9/4/69.full
AB  - This article presents a simple quantitative method that improves risk-adjusted returns across various asset classes. A moving-average timing model is tested in-sample on the United States equity market and out-of-sample on more than twenty additional domestic and foreign markets. The approach is then examined since 1972 in an allocation framework utilizing a combination of diverse and publicly traded asset class indices, including the Standard and Poor's 500 Index (S&P 500), Morgan Stanley Capital International Developed Markets Index (MSCI EAFE), Goldman Sachs Commodity Index (GSCI), National Association of Real Estate Investment Trusts Index (NAREIT), and United States Government 10-Year Treasury Bonds. The empirical results are equity-like returns with bond-like volatility and drawdown, and over thirty consecutive years of positive performance.TOPICS: Security analysis and valuation, statistical methods, mutual funds/passive investing/indexing, performance measurement