DIY Asset Allocation Weights: December 2015

/DIY Asset Allocation Weights: December 2015

DIY Asset Allocation Weights: December 2015

By | 2017-08-18T17:06:40+00:00 December 2nd, 2015|Tactical Asset Allocation Research|6 Comments

Do-It-Yourself tactical asset allocation weights are posted.

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DIY Asset Allocation Weights_December 2015

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

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  • Our Robust Asset Allocation signals have not changed since November.
  • Full exposure to domestic equities and REITs.
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About the Author:

Tian Yao
Prior to joining the Alpha Architect team, Ms. Yao was a Research Assistant to Dr. Gray. She studied quantitative models and summarized over 200 academic articles on psychology and behavioral finance. Her prior experience includes work as a financial analyst at United Asset Growth (China) LLC, and as a business development intern for Shanghai Pudong Development Bank. Tian earned a Masters in Finance at Drexel University. She earned her Bachelors degree in Finance at Nanjing Normal University, China.

6 Comments

  1. Jacob Rothman December 3, 2015 at 1:27 pm

    Sorry if this isn’t the place for this question, but why such a high allocation to Treasuries?

    • Wesley Gray, PhD
      Wesley Gray, PhD December 3, 2015 at 1:41 pm

      The “dump” asset for allocations is cash/tbills. So “treasuries” means short-term bills/cash

      • Jacob Rothman December 3, 2015 at 1:43 pm

        Right, but for an aggressive portfolio you have only 55% equity and 40% non-risk assets. This must be a tactical stance.

        • Wesley Gray, PhD
          Wesley Gray, PhD December 3, 2015 at 1:49 pm

          definitely. commodities/intl equity are in cash right now

  2. Alex Dvorscak December 3, 2015 at 2:27 pm

    I’m not sure I understand why the QVAL allocation is at 100% now even though it’s time series momentum is negative and the moving average is negative or barely positive depending on the day.

  3. BG January 4, 2016 at 10:31 am

    Do you happen to have the updated weights for the start of 2016? Thanks!

Comments are closed.