Comments on: A Quantitative Approach to Tactical Asset Allocation Updated!

By: Worik Stanton

Worik Stanton — Thu, 15 Apr 2010 09:53:34 +0000

Seen this?
Stefano Marmi, Claudio Pacati, Wiston Adrin Risso, and Roberto Ren. A
Quantitative Approach to Faber’s Tactical Asset Allocation. SSRN eLibrary,
2009.

What do you think it?

Worik

By: Worik Stanton

Worik Stanton — Thu, 15 Apr 2010 04:53:34 +0000

Seen this?
Stefano Marmi, Claudio Pacati, Wiston Adrin Risso, and Roberto Ren. A
Quantitative Approach to Faber’s Tactical Asset Allocation. SSRN eLibrary,
2009.

What do you think it?

Worik

By: Marc

Marc — Mon, 22 Feb 2010 20:23:18 +0000

Just came across this (it was mentioned in an article in the FPA Journal). When applying this to a multi-asset portfolio (e.g. 5 assets @ 20% each), is the portfolio rebalanced monthly, annually, other?

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By: Henry Pope

Henry Pope — Wed, 25 Feb 2009 04:08:39 +0000

Where to you find the download for the full article; the abstract seems the only available item at the SSN site..

By: Jun

Jun — Sun, 22 Feb 2009 22:51:38 +0000

Read the paper with great interest. Just wondering a few things:
- Does the results of timing model improve with a long/short strategy on sharpe/MDD across all asset classes?
- The success rate of timing model on GSCI is low for long. Does it make it a better model for short on GSCI?
- Investment horizon constraints. How will affect results for say, 5 yrs, 10 yrs, 15 yrs and 20 yrs horizon? as real investors will have some timing constraints.
- Did some quick regression on the timing model on S&P 500 against Carhart's 4 factors model. The result is implied a momentum based strategy though the adjusted R2 is low. Any take on that?

By: Zack

Zack — Sat, 21 Feb 2009 13:22:57 +0000

Thanks so much for all of your work. Your paper has been extremely helpful to me. I found a few errors/typos on the update:

Exhibit 5: The returns for the timing model are different table than referenced in the text. 9.14% vs 10.45%
Timing max drawdown listed as 4.84%

Exhibit 11: Timing model ann. returns are lower in table but chart shows timing outperforming

By: WorldBeta

WorldBeta — Fri, 20 Feb 2009 19:58:00 +0000

ha, thanks

By: WorldBeta

WorldBeta — Fri, 20 Feb 2009 19:00:16 +0000

Yeah I think they should make it a little simpler to download. . .

By: WorldBeta

WorldBeta — Fri, 20 Feb 2009 18:58:38 +0000

stockcharts has monthly data, but i think it is for a fee.