#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.

More episodes from The Meb Faber Show

#207 - Jeremy Yamaguchi - It’s…One Of The Last Markets In The US…That Has Been…Resistant To Technology

In episode 207, we welcome our guest, Jeremy Yamaguchi, founder of Lawn Love. We kick off the episode by getting into Jeremy’s background as a son of missionaries, starting his first …

#206 - Meb’s take on Investment Plans, Building and Maintaining Wealth, How Meb Invests, and Investing in the time of Corona

Episode 206 is a Mebisode. Meb reads a few of his recently penned pieces. He covers the importance of being prepared for market turbulence with an …

#205 - Derren Geiger - E&P Companies Are Doing Whatever They Can To Achieve Cash Flow Neutrality

In episode 205, Meb talks with Cornerstone Acquisition and Management CEO and Portfolio Manager, Derren Geiger. Meb and Derren cover Caritas Funds’ …

#204 - Doug Hapeman and Matt Milford - We Have This Vision Of Recreating Mental Healthcare With Technology To Make People Happier and Healthier

In episode 204, Meb talks with Foresight Mental Health co-founders Doug Hapeman and Matt Milford. They discuss Foresight’s origin story and the …

#203 - Sanchal Ranjan - We Give You A Different Lifestyle To Work And Play

In episode 203, Meb talks with ZiffyHomes co-founder and CEO, Sanchal Ranjan. Meb and Sanchal discuss the story behind ZiffyHomes and how Sanchal and his co-founder are finding an edge in …

#202 - Joe Davis - The Idea Multiplier…We Believe It’s One Of The First Leading Indicators Of Commercial Innovation

In episode 202, Meb talks with Vanguard’s global chief economist and the global head of Vanguard Investment Strategy Group, Joe Davis.

Meb and Joe get into the broad framework of Vanguard’s …

How you can listen to this podcast

You can listen to episodes right here on the website, or if you prefer, in a podcast app. Listening in an app makes it easier to keep track of what you’ve already heard, listen without using your data plan and many other conveniences.

Recommended apps
Start listening to #125 - Tom Barton - The Biggest Problem Investors Have is Things Change...and They Don't Change
1:24:56
Start listening to #125 - Tom Barton - The Biggest Problem Investors Have is Things Change...and They Don't Change
1:24:56