Goldman Sachs Momentum Portfolio Examined and Cloned
12/15/2010 0 comments
Goldman Sachs Global Tactical Asset AllocationGoldman Sachs were an early participant in tactical asset allocation. Their strategy is a type of cross-asset (or multi-asset) momentum based tactical asset allocation.
This is a simplified interpretation of strategies proposed by Goldman Sachs on Global Tactical Asset Allocation. The original strategy is:
This is a simplified interpretation of strategies proposed by Goldman Sachs on Global Tactical Asset Allocation. The original strategy is:
- From six asset classes: US equity, International equity, Emerging Markets, Real Estate, Commodities, US aggregate bond, simply calculate the previous 12 month return at year end.
- Rank the year end returns among these 6 assets.
- Choose the top 3 assets and invest these top 3 assets for the next year in equal money amount.
The modified version replaces the aggregate bonds with US long term treasury bond fund since this represents a major asset class more comparable with the rest of asset classes.
Any asset has to score higher than CASH to qualify for the purchase.
The funds we used and their ETF counterparts are:
|
Fund |
ETF |
Description |
|
VFINX |
VTI |
Total Stock Market |
|
VGTSX |
EFA |
International Stock |
|
VEIEX |
EEM |
Emerging Markets |
|
VGSIX |
IYR |
Real Estate |
|
QRAAX |
DBC |
Commodities |
|
VFISX |
SHY |
Short Term Bond |
|
VFITX |
IEI |
Intermediate Bond |
|
VUSTX |
TLT |
Long Term Bond |
|
VFSTX |
AGG |
Aggregate Bond |
|
VFICX |
MBB |
Intermediate Bond |
|
VWESX |
LWC |
Long Term Bond |
|
VWEHX |
HYG |
High Yield Bond |
|
VFIIX |
IEI |
Intermediate Bond |
|
BEGBX |
BWX |
International Treasury Bond |
|
VIPSX |
TIP |
Inflation Protected Bond |
labels:investment,
comments 0
Register for FREE
No Credit Card Required
Or Start FREE 30-day trial now >>
Or Start FREE 30-day trial now >>
