文档介绍：A Quantitative Approach to Tactical Asset Allocation
Mebane T. Faber
May 2006, Working Paper
Spring 2007, The Journal of Wealth Management
February 2009, Update
ABSTRACT
The purpose of this paper is to present a simple quantitative method that improves the
risk-adjusted returns across various asset classes. A simple moving average timing
model is tested since 1900 on the United States equity market before testing since 1973
on other diverse and publicly traded asset class indices, including the Morgan Stanley
Capital International EAFE Index (MSCI EAFE), Goldman modity Index
(GSCI), National Association of Real Estate Investment Trusts Index (NAREIT), and
United States government 10-year Treasury bonds. The approach is then examined in a
tactical asset allocation framework where the empirical results are equity-like returns
with bond-like volatility and drawdown, together with over thirty-five consecutive years
of positive performance.
Mebane T. Faber
Cambria Investment Management, Inc.
2321 Rosecrans Ave., Suite 4270
El Segundo, CA
90245
310-220-3881
E-mail: mf@
1
Electronic copy available at: /abstract=962461
Updates included in the 2009 paper:
1. Results are extended out-of-sample to include the years 2006, 2007, and 2008.
2. Results begin in 1973 instead of 1972 to modate longer moving averages.
3. Sharpe calculations are corrected (T-bill returns over time period vs. static figure).
4. mentary and statistics are included.
5. Volatility figures now use the annualized standard deviation of monthly returns.
2
Electronic copy available at: /abstract=962461
INVESTING IN RISKY ASSETS
2008 was a devastating year for buy and hold investors. The classic barometer of stocks,
the S&P 500 Index, declined %. The normal benefits of diversification disappeared
as many non-correlated asset classes experienced large declines simultaneo