P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury
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.