Mebane T. Faber
Cambria Investment Management
February 1, 2013
The Journal of Wealth Management, Spring 2007
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.
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