The Mechanical Investor

I don’t know if I will carry QTAA. However in this market, I find it interesting. –msg

Quantitative Tactical Asset Allocation

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

          EFA  GSG  IEF  IVV  IYR %Cash

10.24.08   no   no  yes   no   no   80
10.17.08   no   no   no   no   no  100
10.10.08   no   no   no   no   no  100
10.03.08   no   no  yes   no   no   80
09.26.08   no   no  yes   no   no   80

Things of note: The 5 assets are: international equities (EFA),
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.

JLC

Related Reading:

Lords of Finance: The Bankers Who Broke the World

Personal Finance

The Bogleheads' Guide to Investing

Study Guide for Fundamentals of Investing

Investing in Real Estate

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