Max-Sharpe Portfolio for August

The original strategy implementation was posted on the Systematic Investor Blog. For a third month in a row, the original strategy is 100% allocated in the SPY. My slightly modified version however is split almost equally between SPY and USO (oil). The latter is not among the instruments included in the original strategy, but if added to the list, the original strategy chooses a similar allocation for the month of August. Time to check my modifications in practice.

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