A Quantitative Approach to Tactical Asset …（定量方法战术资产u2026）.pdfVIP

A Quantitative Approach to Tactical Asset Allocation Mebane T. Faber July 2006, Working Paper ABSTRACT The purpose of this paper is to present a simple quantitative method that improves the risk-adjusted returns across various asset classes. The approach is examined since 1972 in an allocation framework utilizing a combination of publicly traded indices including the Standard and Poor’s 500 Index (SP 500), Morgan Stanley Capital International Developed Markets 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. The empirical results are equity-like returns with bond-like volatility and drawdown, and over thirty consecutive years of positive returns. Mebane T. Faber Cambria Capital 2321 Rosecrans Ave. Suite 4270 El Segundo, CA 90245 E-mail: mf@ The views of this article represent those of the author and do not necessarily represent the views of Cambria Capital. A Quantitative Approach to Tactical Asset Allocation Mebane T. Faber INTRODUCTION th Many global asset classes in the 20 Century produced spectacular gains in wealth for individuals who bought and held those assets for generational long holding periods. However, most of the common asset classes experienced painful drawdowns, while others complete elimination of wealth. Indeed, many investors can recall the horrific 40-80% declines they faced in the aftermath of the glo