TY - JOUR T1 - A Quantitative Approach to Tactical Asset Allocation JF - The Journal of Wealth Management SP - 69 LP - 79 DO - 10.3905/jwm.2007.674809 VL - 9 IS - 4 AU - Mebane T. Faber Y1 - 2007/01/31 UR - https://pm-research.com/content/9/4/69.abstract N2 - This article presents a simple quantitative method that improves risk-adjusted returns across various asset classes. A moving-average timing model is tested in-sample on the United States equity market and out-of-sample on more than twenty additional domestic and foreign markets. The approach is then examined since 1972 in an allocation framework utilizing a combination of diverse and publicly traded asset class indices, including the Standard and Poor's 500 Index (S&P 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 performance.TOPICS: Security analysis and valuation, statistical methods, mutual funds/passive investing/indexing, performance measurement ER -