Investing/Strategies / Mechanical Investing

Quantitative Tactical Asset Allocation

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

     VOO VEA  USCI IEF  VNQ %Cash VWO IGOV  PCY VNQI

DEC  yes yes   no   no  yes   40  yes  yes  yes  yes
NOV  yes yes   no  yes   no   40  yes  yes  yes  yes 
OCT  yes yes   no  yes  yes   20  yes  yes  yes  yes
SEP  yes yes  yes  yes  yes    0  yes  yes  yes  yes
AUG  yes yes  yes  yes  yes    0   no  yes  yes  yes
JUL  yes  no  yes  yes  yes   20   no   no  yes  yes
JUN  yes  no   no  yes  yes   40   no   no  yes  yes
MAY  yes  no   no  yes  yes   40   no   no  yes   no
APR  yes yes   no  yes  yes   20  yes   no  yes  yes
MAR  yes yes   no  yes  yes   20  yes   no  yes  yes
FEB  yes  no  yes  yes  yes   20  yes   no  yes  yes
JAN  yes  no   no  yes  yes   40   no   no  yes   no
DEC   no  no   no  yes   no   80   no   no  yes   no


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 (VEA),
commodities (USCI), US Treasuries (IEF), US equities (VOO), and
US REITS (VNQ). 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 VWO (emerging markets),
IGOV (foreign treasuries), PCY (emerging market treasuries),
and VNQI (foreign REITS)

JLC