The strategy implementation was posted originally on the Systematic Investor Blog. The SPY was up 4.5% in February, and so was my Max-Sharpe capital, but that was due … to a mistake. Looking backwards, it seems that the Max-Sharpe allocation for February should have been something like 58% in IEF (treasuries) and 42% in SPY. I made a mistake somewhere and mis-allocated the portfolio only to make more money. A pleasant way to be wrong.
March is another 100% SPY month (hopefully not by mistake). To be honest – I don’t like this single-instrument months and am looking into improvements. Stay tuned, but until them – I will be using what I have.