Max-Sharpe Portfolio for April

The strategy implementation was posted originally on the Systematic Investor Blog. March was slightly positive on the SPY, so was the strategy.

During March, I spent sufficient time working on the strategy to feel comfortable to introduce some changes. I am kicking out the commodities, leaving only stocks and treasuries. There are also a few other modifications. I also noticed some differences in the allocations between runs on different computers, which is worrying and I need to investigate it in more details.

In any case, the allocation I came up for April is 35% SPY and 65% treasuries (TLT). Interestingly enough, the original strategies came up with very similar numbers, thus, I am taking the positions despite of the above-mentioned issue (which otherwise would have made me wait on the sidelines).


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