Max-Sharpe Allocations for November

At the beginning of October, this strategy went heavily into treasuries (TLT), to the tune of 70%. The rest was SPY. With all the turbulence in October, this proved to be a good setup – yielding about 2.3% for the month.

For November, the strategy allocations deviate a little bit from the original strategy (which implementation was posted originally on the Systematic Investor Blog).

ETF Original Modified
S&P 500 (SPY) 38% 40%
US Bonds (TLT) 52% 41%
DJ US Real Estate (IYR) 10%
US Notes (IEF) 19%

Pretty much the same allocation in stocks, but the original strategy takes a position in an asset (US Real Estate), which is not part of the modified. Curious to see the results, although I don’t expect significant difference.

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