Quantitative Tactical Asset Allocation
[http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461](http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461)
IVV IEFA DBC IEF IYR %Cash IEMG IGOV EMB IFGL
FEB no no yes no no 80 no no no no
JAN yes no yes no yes 40 no no no no
DEC yes no yes no yes 40 no no no no
NOV yes no yes yes yes 20 no no no no
OCT yes yes yes no yes 20 no no no yes
SEP yes yes yes no yes 20 no no no no
AUG yes yes yes yes yes 0 yes no yes yes
JUL yes yes yes no yes 20 yes no yes yes
JUN yes yes yes no yes 20 yes no yes yes
MAY yes yes yes no yes 20 yes no no yes
APR yes yes yes no yes 20 yes no no yes
MAR yes yes yes no yes 20 yes no no yes
IMPORTANT NOTE: I use a 10 month moving average, NOT 200
days or any other permutation. Also, it is based on closing price only
and NOT dividend adjusted. CAVEAT EMPTOR.
The 5 assets are: international equities (IEFA),
commodities (DBC), US Treasuries (IEF), US equities (IVV), and
US REITS (IYR). Your portfolio is divided equally among the 5 assets,
20% each. The decision to move in or out is based on a 10 month
look back monthly SMA.
For those wishing to expand, I added IEMG (emerging markets),
IGOV (foreign treasuries), EMB (emerging market treasuries),
and IFGL (foreign REITS)
JLC
7 Likes