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):
- S&P 500 Index
- MSCI EAFE Index
- U.S. 10-Year Government Bonds
- Goldman Sachs Commodity Index (GSCI)
- 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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