A quantitative approach to Faber's tactical asset allocation
by Stefano Marmi; Claudio Pacati; Roberto Renò; Wiston Adrián Risso
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 3, No. 1/2, 2013

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.

Online publication date: Thu, 05-Sep-2013

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