Max-Sharpe Portfolio for May

The strategy implementation was posted originally on the Systematic Investor Blog. April’s mix of 65% US bonds (TLT) and 35% S&P 500 (SPY) was good for about a 1.5% gain.

The allocations for May differ between the original approach and my modified version:

ETF Original Modified
S&P 500 (SPY) 38% 27%
MSCI United Kingdom (EWU) 53%
Emerging Markets (EEM) 11% 20%
US Bonds (TLT) 51%

Not only is the modified version fully in stocks, it also has a full 20% in the emerging markets.

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