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Author: JLC Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 252185  
Subject: QTAA 01.31.14 Date: 1/31/2014 4:46 PM
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Quantitative Tactical Asset Allocation

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

     IVV IEFA  GSG  IEF  IYR %Cash IEMG IGOV  EMB IFGL

JAN  yes  yes   no   no   no   60    no  yes   no   no
DEC  yes  yes  yes   no   no   40   yes  yes   no   no
NOV  yes  yes   no   no   no   60   yes  yes   no  yes
OCT  yes  yes   no   no   no   60   yes  yes   no  yes
SEP  yes  yes   no   no   no   60    no  yes   no  yes
AUG  yes  yes  yes   no   no   40    no   no   no   no
JUL  yes  yes   no   no  yes   40    no   no   no   no
JUN  yes  yes   no   no  yes   40    no   no   no   no
MAY  yes  yes   no   no  yes   40    no   no   no  yes
APR  yes  yes   no  yes  yes   20   yes   no  yes  yes
MAR  yes  yes   no   no  yes   40   yes   no   no  yes
FEB  yes  yes   no   no  yes   40   yes   no  yes  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 (GSG), 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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