A Quantitative Approach to Tactical Asset Allocation Revisited 10 Years Later
作者回顾了十多年前提出的简单量化战术资产配置策略，发现该策略在实盘中表现良好，实现了类似股票的收益但波动和回撤类似债券，并探讨了增加资产类别、调整组合权重和现金管理策略的影响。
In this article, the author revisits his seminal paper on tactical asset allocation published over 10 years ago in <i>The Journal of Wealth Management</i>. 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. <b>TOPICS:</b>Portfolio construction, statistical methods