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No. of Recommendations: 11
Quantitative Tactical Asset Allocation

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

     IVV IEFA  CMDT IEF  IYR %Cash IEMG IGOV  EMB IFGL

MAR  yes   no  yes  yes  yes   20   yes  yes  yes  yes
FEB  yes   no  yes  yes  yes   20    no  yes  yes  yes
JAN   no   no   no  yes  yes   60    no  yes  yes   no
DEC   no   no   no  yes   no   80    no   no   no   no
NOV  yes   no   no   no  yes   60    no   no   no   no
OCT   no   no   no   no   no  100    no   no   no   no
SEP  yes   no   no   no  yes   60    no   no   no   no
AUG  yes   no   no   no  yes   60    no   no   no   no
JUL  yes   no   no   no  yes   60    no   no   no   no
JUN  yes   no   no   no  yes   60    no   no   no   no
MAY  yes   no  yes   no   no   60    no   no   no  yes
APR  yes  yes  yes   no   no   40   yes  yes   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 (CMDT), 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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No. of Recommendations: 0
Who can tell me the logic of why US Treasuries (IEF) were no until December, and yes thereafter? With rates now going up, I would have thought it would be the other way around.
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No. of Recommendations: 1
The investment decision for IEF is not based directly on rates but on price of the IEF ticker. Rates have declined since December and price of IEF is increasing in response.

https://finviz.com/quote.ashx?t=IEF
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No. of Recommendations: 1
Who can tell me the logic of why US Treasuries (IEF) were no until December, and yes thereafter? With rates now going up, I would have thought it would be the other way around.

I think the sense is that rates are not going up much in the near future.


GD_
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No. of Recommendations: 0
As the other person mentioned, last year the FED raised rates multiple times (https://tradingeconomics.com/united-states/interest-rate) and made statements that indicated they were going to continue to do so. Then the economy started having some issues, the current administration is strongly against raising rates, and the fed began making statements they were going to slow down or stop raising the rates.

A lot of investments are based on expectations so people stopped selling bonds and began buying again and the fund (IEF is 7-10 year duration treasuries) rose in price. QTAA compares the fund price at the end of the month to an average (usually 10 month simple moving average).

Generally when rates are going to go down people buy longer duration bonds that have higher interest rates, When rates go up, those funds drop in price since they are paying less interest than the newer issued bonds/treasuries would.

Rich
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No. of Recommendations: 0
It’s all in the numbers that make up the averages. Overall, the index was trending down until about December, then you get a jump over a low bar. If things stay where they are now, in a couple months some low numbers drop out and things could revert back to “no”.

JLC
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