Max-Sharpe Portfolio for June

The original strategy implementation was posted on the Systematic Investor Blog. According to both the original strategy and to my slightly modified version, the allocations for June are very simple – 100% in the SPY.

Comments

  1. JC says:

    As you change the portfolio from month to month, how far are you looking back?

    1. ivannp says:

      I assume you are asking about the lookback periods for the momentum and the volatility? My approach is a bit different than the original article, but still quite similar. Just picked something that I liked in the back tests.

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