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.