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A quantitative approach to Faber's tactical asset allocation

Author

Listed:
  • Stefano Marmi
  • Claudio Pacati
  • Roberto Renò
  • Wiston Adrián Risso

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.

Suggested Citation

  • Stefano Marmi & Claudio Pacati & Roberto Renò & Wiston Adrián Risso, 2013. "A quantitative approach to Faber's tactical asset allocation," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 3(1/2), pages 91-101.
    • Handle: RePEc:ids:ijcome:v:3:y:2013:i:1/2:p:91-101
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    Cited by:

    1. Buchanan, Kathryn & Russo, Riccardo & Anderson, Ben, 2014. "Feeding back about eco-feedback: How do consumers use and respond to energy monitors?," Energy Policy, Elsevier, vol. 73(C), pages 138-146.
    2. Buchanan, Kathryn & Russo, Riccardo & Anderson, Ben, 2015. "The question of energy reduction: The problem(s) with feedback," Energy Policy, Elsevier, vol. 77(C), pages 89-96.

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