Max-Sharpe Allocations for August

Back from a relaxing vacation and it’s just about time (one day delay) for the August reshuffling.

The strategy implementation was posted originally on the Systematic Investor Blog. July’s allocations were good for a 1.2% gain.

ETF Original Modified
S&P 500 (SPY) 32% 12%
Emerging Markets (EEM) 24% 28%
US Bonds (TLT) 30% 30%
Dow Jones US Real Estate (IYR) 14%
MSCI Japan (EWJ) 30%

Compared to July, the position sizes have changed significantly, but in terms of diversification, the only difference between August and July is that the original strategy replaced EFA with EEM.

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