QTAA 2022.04

Investing Strategies Mechanical Investing
1 
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

APR   no   no  yes   no   no   80    no   no   no   no
MAR  yes   no  yes   no  yes   40    no   no   no   no
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

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
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2

Hmmm, inflation is high, QTAA says “no” for everything except DBC, and Buffett is buying oil stocks. Seems to be a theme here …

3

For the record I’m writing this on 5/20/2022 and the S&P 500 has now officially joined the NASDAQ in bear market territory so…yes…there was a theme there. :slight_smile: I’ve been a big Meb Faber fan for many years and I hope the 80% cash allocation of QTAA recently will get more people to read Meb Faber’s white papers! :slight_smile:

Many thanks for publishing this over the years. Much appreciated.

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