A Quantitative Approach to Tactical Asset Allocation Updated!

I have finally (I think) finished updating my 2006 white paper.  While the Journal of Wealth Management published the 11-page paper in 2007, this 50-page update includes out-of-sample data from 2006-2008 as well as numerous other additions.  There were other sections I wanted to include, but I will probably just move those to the FAQs above.  Please, let me know what you think and email in any errors, omissions, and mistakes.

Out of sample returns have beaten the buy about hold benchmark by about 50% since the beginning of 2006.

"A Quantitative Approach to Tactical Asset Allocation" 2009 Update.

Currently the model is 80% cash, 20% bonds.

The purpose of this paper is to present a simple quantitative method that improves the risk-adjusted returns across various asset classes. A simple moving average timing model is tested since 1900 on the United States equity market before testing since 1973 on other diverse and publicly traded asset class indices, including the Morgan Stanley Capital International EAFE Index (MSCI EAFE), Goldman Sachs Commodity Index (GSCI), National Association of Real Estate Investment Trusts Index (NAREIT), and United States government 10-year Treasury bonds. The approach is then examined in a tactical asset allocation framework where the empirical results are equity-like returns with bond-like volatility and drawdown, together with over thirty-five consecutive years of positive performance.