Summary
Faber tests a simple moving-average timing rule on US stocks, foreign stocks, commodities, real estate and bonds since 1972, and finds it improves returns relative to risk.
Source
- Title
- A Quantitative Approach to Tactical Asset Allocation
- Author
- Mebane T. Faber
- Year
- 2006
- Published by
- Working paper
- Length
- 13 pages
- File
- PDF · 327 KB