A quantitative approach to tactical asset allocation (2014)

1. A Quantitative Approach to
Tactical Asset Allocation (2014)
JunPyo Park
Financial Engineering Lab
Department of Industrial Engineering
Meb Faber
The Journal of Wealth Management, Spring 2007

2. 엄청나게 다운로드가 많이 된 논문
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3. INVESTING IN RISKY ASSETS – Stocks
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4. INVESTING IN RISKY ASSETS – Stocks
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주식 시장은 장기적 우상향 하기에 장기보유 전략이 괜찮아 보이지만…

5. INVESTING IN RISKY ASSETS – Stocks
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· G7 국가에서 75% 이상 안 깨진 국가가 없다
· -75% 를 복구하려면 +300%의 수익 필요
· 러시아, 중국은 공산화의 영향으로 -100%인 구간도 존재
· Best Case인 미국도 -80% draw down이 존재하며 -40% 이상 네번

6. 하락장을 피할 수 있을까? – SMA를 활용
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7. 하락장을 피할 수 있을까? – SMA를 활용
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팔고 현금보유가 기본 전략이고
나중에는 현금대신 채권을 삽니다.

8. 절대 모멘텀(추세추종)
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상승장에는 매수
하락장에는 매도/현금보유

9. 단순한 이평선 돌파(절대모멘텀) 전략의 성과는?
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10. 단순한 이평선 돌파(절대모멘텀) 전략의 성과는?
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11. 단순한 이평선 돌파(절대모멘텀) 전략의 성과는?
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12. 단순한 이평선 돌파(절대모멘텀) 전략의 성과는?
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Return이 살짝 오르고 MDD가 개선 되었습니다.

13. 단순한 이평선 돌파(절대모멘텀) 전략의 성과는?
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In fact, the correlation between negative years for the S&P 500 and the timing model
is approximately -0.38, while the correlation for positive years is approximately 0.83.
This reflects the ability of the timing model to stay long in up markets while exiting
the long position during down markets.

14. 단순한 이평선 돌파(절대모멘텀) 전략의 성과는?
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15. Portfolio Visualizer 를 통해 확인
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https://www.portfoliovisualizer.com/

16. Portfolio Visualizer 를 통해 확인
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17. 항상 좋을까? – 2010 이후
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별로 좋지 않습니다…

18. 2010년대에 안 좋은 이유 - 모멘텀 전략의 부진
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https://www.aqr.com/Insights/Research/Journal-Article/You-Cant-Always-Trend-When-You-Want
금융위기 이후 10년 동안 자산군을 대상으로 한 추세추종 전략이 잘 먹히지
않았는데 AQR에서는 이를 대부분의 자산군에서 가격의 큰 움직임이 없었기
때문이라고 설명
앞으로 자산군들의 가격 움직임이 나머지 기간의 장기적인 평균과 비슷해진다
면, 다시 자산군의 추세추종 전략들의 성과가 좋아질거라고 기대함

19. 다시 논문으로 돌아와서 – 여러 자산에 적용
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미국 주식
글로벌 주식
채권
원자재
부동산

20. MSCI EAFE (선진국 중,대형주)
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The MSCI EAFE Index is designed to represent the performance of large
and mid-cap securities across 21 developed markets, including countries
in Europe, Australasia and the Far East, excluding the U.S. and Canada.
The Index is available for a number of regions, market segments/sizes and
covers approximately 85% of the free float-adjusted market capitalization in
each of the 21 countries.

21. Goldman Sachs Commodity Index (원자재)
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The S&P GSCI® is a composite index of commodity sector returns
representing an unleveraged, long-only investment in commodity futures
that is broadly diversified across the spectrum of commodities. The
returns are calculated on a fully collateralized basis with full reinvestment.
The combination of these attributes provides investors with a
representative and realistic picture of realizable returns attainable in the
commodities markets.

22. NAREIT Index (부동산 리츠)
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The FTSE Nareit US Real Estate Index Series is a comprehensive family of
REIT-focused indexes that span the commercial real estate industry,
providing market participants with a range of tools to benchmark and analyse
exposure to real estate across the US economy at both a broad industry-
wide level and on a sector-by-sector basis.

23. 자산군 별 수익률 변화
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24. 자산군 별 특성
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25. GTAA – Global Tactical Asset Allocation
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1. 월 말에 앞의 타이밍 시스템에 따라 자산군 별로 Buy, Hold, Sell 결정
2. 새로 매수하거나 홀드하고 있는 자산군의 비중이 20%가 되도록 조정
3. 위 과정 매월 반복 (리밸런싱)

26. GTAA – Global Tactical Asset Allocation
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27. GTAA – Global Tactical Asset Allocation
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1973 – 2012 Results
Out Sample

28. GTAA – Global Tactical Asset Allocation
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그냥 자산배분한 포트폴리오와 수익률은 엇비슷
하지만 최대낙폭을 크게 줄여줌
투자자의 심리적 고통을 줄일 수 있는 간단한 방법

29. GTAA – Stability 한가?
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10개월 이라는 SMA의 파라미터가 운 좋게 얻어 걸린 것 아닌가?
3, 6, 9, 12 와 같이 다른 파라미터를 써도 괜찮게 나옴

30. GTAA – 왜 이런 결과가?
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직관적 설명
하락장의 특성: 대부분 천천히 빠지다가 한번에 크게 빠짐
GTAA 모델이 이런 대참사를 잘 피해감

31. GTAA – 왜 이런 결과가?
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Volatility Clustering
Figure 18 shows the annualized returns and volatility for the five markets we studied
in this paper. On average, the returns are 60% lower and the volatility 30%
higher when the market is below its 10-month simple moving average.

32. GTAA – 2010년대 성과는?
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역시 별로 좋지 않습니다…

33. GTAA – Extensions
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34. GTAA – More Asset Classes
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35. GTAA – More Asset Classes
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36. GTAA – Alternative Cash Management
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An investor would have realized an additional 1.37% per annum in returns for
marginally more volatility and drawdown – but how much of this is simply due
to the major bull market in bonds? We decided to examine a period of sharply
rising interest rates from 1973-1981, and found that the benefit of taking on
additional duration risk actually helped!

37. GTAA – Alternative Weighting Strategies
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38. GTAA – Alternative Weighting Strategies
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39. GTAA – Alternative Weighting Strategies
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자산배분 + 절대모멘텀 + 상대모멘텀 추가 (듀얼 모멘텀)
상대모멘텀?
각 asset의 1, 3, 6, 12 개월 수익률을 계산하여 평균값으로
랭킹을 매김
Buy Rule
Asset is contained in Top X ranking and Price > 10M SMA
Sell Rule
Asset is not contained in Top X ranking or Price < 10M SMA
X = 3, 6 사용
Faber, Meb, Relative Strength Strategies for Investing (April 1, 2010). Available at SSRN: https://ssrn.com/abstract=1585517

40. GTAA – Alternative Weighting Strategies
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자산배분 + 절대모멘텀 + 상대모멘텀 추가 (듀얼 모멘텀)
상대모멘텀?
각 asset의 1, 3, 6, 12 개월 수익률을 계산하여 평균값으로
랭킹을 매김
Faber, Meb, Relative Strength Strategies for Investing (April 1, 2010). Available at SSRN: https://ssrn.com/abstract=1585517

41. Conclusion
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The purpose in this paper was to create a simple-to-follow method for
managing risk in a single asset class and, by extension, a portfolio of assets.
A non-discretionary, trend-following model acts as a risk-reduction
technique with no adverse impact on return. Utilizing a monthly system since
1973, an investor would have been able to increase risk-adjusted returns by
diversifying portfolio assets and employing a market-timing solution.
In addition, the investor would have also been able to sidestep many of the
protracted bear markets in various asset classes. Avoiding these massive
losses would have resulted in equity-like returns with bond-like volatility and
drawdown.
Investors looking to tailor their portfolio may consider using alternate cash
strategies, more assets in the portfolio, and alternative weighting schemes to find
a portfolio that is right for them.

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Thank you for listening!