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QTAA 07.17.09

JCL:
Quantitative Tactical Asset Allocation

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

          EFA  GSG  IEF  IVV  IYR %Cash     

07.17.09  yes   no   no  yes   no   60
07.10.09  yes   no   no  yes   no   60
07.03.09  yes  yes   no  yes   no   40
06.26.09  yes   no   no  yes   no   60
06.19.09  yes  yes   no  yes   no   40      

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.

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