Max-Sharpe Allocations for July

The strategy implementation was posted originally on the Systematic Investor Blog. June’s allocation was good for a 0.6% gain.

If you wonder why the reshuffling comes ahead of time (usually the first day of the month), it’s because I am taking some time off in July. The August reshuffling will be delayed, likewise.

ETF Original Modified
S&P 500 (SPY) 24% 26%
MSCI EAFA (EFA) 7%
Emerging Markets (EEM) 19%
US Bonds (TLT) 35% 42%
Dow Jones US Real Estate (IYR) 34%
MSCI Japan (EWJ) 13%

Both strategies are lightening their bond holdings, but allocating the freed capital differently. The bet on real estate by the original strategy is substantial – curious to see how it plays out, although I feel much more comfortable with the “modified” allocations.

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