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Practical Applications of A Quantitative Approach to Tactical Asset Allocation Revisited 10 Years Later

Practical Applications Summary In A Quantitative Approach to Tactical Asset Allocation Revisited 10 Years Later, published in the in the 2018 Multi-Asset Special Issue of The Journal of Portfolio Management, Meb Faber of Cambria Investment Management in El Segundo, California, reviews the performance of his tactical asset allocation strategy over the past decade. He concludes that the model served its primary goal of minimizing volatility over an extended period. As for returns, although the model did underperform in each of the past eight years in a strong bull market, it outperformed during the 2008–2009 downturn, allowing it to modestly outperform for the decade. Faber then applies the strategy to a global asset allocation portfolio, invested in U.S. stocks, foreign stocks, bonds, real estate, and commodities. He finds that his approach would have reduced volatility dramatically for such a portfolio over the past decade, and he maintains that his strategy can be applied to a broad range of asset allocations strategies. The key is a consistent buy-and-sell strategy.