Review on ‘A Quantitative Approach to Tactical Asset Allocation’ of Mebane T. Faber – Cambria Investment Management

2 Pages Posted: 12 Oct 2011

Date Written: October 10, 2011

Abstract

This Review shows that the gist of this article is that 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 Sachs Commodity Index (GSCI), National Association of Real Estate Investment Trusts Index (NAREIT), and United States government 10-year Treasury bonds.

When tested on various markets, risk adjusted returns were almost universally improved. Utilizing a monthly system since 1973, an investor would have been able to increase risk-adjusted returns by diversifying portfolio assets and employing a market – timing solution. The author has passed pricking remarks to make the investors realize the human psychology at different occasions. High volatility diminishes compound returns. An investor must be careful when pursuing leveraged returns.

Suggested Citation

Mughal, Munir Ahmad, Review on ‘A Quantitative Approach to Tactical Asset Allocation’ of Mebane T. Faber – Cambria Investment Management (October 10, 2011). Available at SSRN: https://ssrn.com/abstract=1941995 or http://dx.doi.org/10.2139/ssrn.1941995

Munir Ahmad Mughal (Contact Author)

Punjab University Law College ( email )

(Res.)125-B, Judicial Colony, Lahore
Lahore, Punjab 54000
Pakistan
042-35304847 (Phone)
042-35311498 (Fax)

Superior Law College

(Res.)125-B, Judicial Colony
Lahore, Punjab 54000
Pakistan
0092-42-35304847 (Phone)
0092-42-35311498 (Fax)

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