Extension of “A Quantitative Approach to Tactical Asset Allocation”

How has “A Quantitative Approach to Tactical Asset Allocation”, authored by Meb Faber in 2006 and published in The Journal of Wealth Management in 2007, performed post-publication? In his April 2025 paper entitled “Global Tactical Asset Allocation Updated Results and Real-Market Implementation Using Python and IBKR”, Carlo Zarattini revisits this influential strategy, which at the end of each month during 1972 through 2005 allocates 20% of funds to each of the following indexes when the index is above its 200-day simple moving average (SMA200):

1. S&P 500 Index
2. MSCI EAFE Index
3. U.S. 10-Year Government Bonds
4. Goldman Sachs Commodity Index (GSCI)
5. National Association of Real Estate Investment Trusts (NAREIT)

The allocation for any index below its SMA200 goes to 3-month U.S. Treasury bills (T-bill). He updates strategy performance and explores how different rebalancing cycles and frequencies affect outcome. He tests a tranche approach to mitigate the risk of picking an unlucky rebalancing cycle/frequency and imposes 0.1% index-cash switching frictions as a robustness test. He further provides a Python script to automate rebalancing through Interactive Brokers. Using daily levels of the five indexes and the T-bill yield to support a January 2006 through March 2025 strategy extension, he finds that:

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