Max-Sharpe Allocations for June

The strategy implementation was posted originally on the Systematic Investor Blog. May’s allocation was good for a 2.4% gain.

The allocations for June differ, but only slightly, between the original approach and my modified version:

ETF Original Modified
S&P 500 (SPY) 33% 28%
MSCI EAFA (EFA) 12%
Emerging Markets (EEM) 20%
US Bonds (TLT) 55% 52%

Both strategies have more than 50% in bonds, not surprising at all considering the recent rally in bonds. Both strategies also have about a third in US stocks, but while the original strategy favours EFA (MSCI EAFE – Europe, Australia, Asia and the Far East), my modified version prefers to stick with the emerging markets. Most likely these differences will prove insubstantial.

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