P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury
0.19%January 05

This portfolio is based on Mebane Faber's article A Quantitative Approach to Tactical Asset Allocation. It uses equal weights on five major asset classes:

  • US Equity: Vanguard 500 Index VFINX
  • International Equity: Vanguard International Equity VGTSX
  • REITs: Vanguard REITs Index VGSIX
  • Commodities: Oppenheimer Commodity Strat Total Ret A (QRAAX) --- This is chosen purely for the reason to have longer price history.
  • Long Term Treasury Bonds: Vanguard Long Term Treasury VUSTX

It uses the following rules:

Buy when monthly price > 10-month SMA.
Sell and move to cash when monthly price < 10-month SMA.
1. All entry and exit prices are on the day of the signal at the close. The model is only
updated once a month on the last day of the month. Price fluctuations during the rest of
the month are ignored.
2. All data series are total return series including dividends, updated monthly.

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