#86 - A Quantitative Approach to Tactical Asset Allocation

35 minutes

Episode 86 is a solo-Meb show.

It’s been 10 years since Meb wrote “A Quantitative Approach to Tactical Asset Allocation” which is the top-downloaded paper of all time on SSRN. In the coming weeks, we’re going to publish a retrospective on that paper in the Journal of Portfolio Management. So Meb thought this episode would be a good opportunity to revisit the original paper and perform his 10-year post mortem.

Here’s the abstract of the new paper, and the backbone for what you’ll hear in this episode:

“In this article, the author revisits his seminal paper on tactical asset allocation published over 10 years ago.  How well did the market strategy presented in the original paper – a simple quantitative method that improves the risk-adjusted returns across various asset classes – hold up since 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.”

If you’re not familiar with Meb’s original “A Quantitative Approach to Tactical Asset Allocation” don’t miss Episode 86. In many ways, this paper is foundational to the various market approaches Meb has adopted since.

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