A Quantitative Approach to Tactical Asset Allocation Revisited 10 Years Later

Abstract

In this article, the author revisits his seminal paper on tactical asset allocation published over 10 years ago in The Journal of Wealth Management. How well has this market strategy—a simple quantitative method that improves the risk-adjusted returns across various asset classes—held up since its 2007 publication? Overall, the author finds that the model has performed well in real time, achieving equity-like returns with bond-like volatility and drawdowns. The author also examines the effects of departures from the original system, including adding more asset classes, introducing various portfolio allocations, and implementing alternative cash management strategies.