A quantitative approach to Faber's tactical asset allocation

Stefano Marmi, Claudio Pacati, Roberto Renò and Wiston Adrián Risso

International Journal of Computational Economics and Econometrics, 2013, vol. 3, issue 1/2, 91-101

Abstract: Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the risk-return relation, typically entailing a considerably higher return for the given level of risk. A very popular example is "A quantitative approach to tactical asset allocation" by the fund manager M. Faber, a real hit in the SSRN online library. Is this paper a counterexample to market efficiency? We reject this conclusion, showing that a lot of caution should be used in this field, and we indicate a series of bootstrapping experiments which can be easily implemented to evaluate the performance of trading strategies.

Keywords: portfolio management; bootstrap; market efficiency; Faber; tactical asset allocation; performance evaluation; trading strategies. (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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