A Quantitative Approach to Tactical Asset Allocation

In this paper we update our 2006 white paper ldquo;A Quantitative Approach to Tactical Asset Allocationrdquo; with new data from the 2008-2012 period. How well did the purpose of the original paper ndash; to present a simple quantitative method that improves the risk-adjusted returns across various asset classes ndash; hold up since publication? Overall, we find that the models have performed well in real-time, achieving equity like returns with bond like volatility and drawdowns. We also examine the effects of departures from the original system including adding more asset classes, introducing various portfolio allocations, and implementing alternative cash management strategies