DIY Asset Allocation Weights: December 2015

DIY Asset Allocation Weights: December 2015

December 2, 2015 Tactical Asset Allocation Research
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(Last Updated On: December 2, 2015)

Do-It-Yourself tactical asset allocation weights are posted.

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DIY Asset Allocation Weights_December 2015
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

Exposure Highlights:

  • Our Robust Asset Allocation signals have not changed since November.
  • Full exposure to domestic equities and REITs.
  • No exposure to international equities or commodities.

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Definitions of common statistics used in our analysis are available here (towards the bottom)

About the Author

Tian Yao

Prior to joining the Alpha Architect team, Ms. Yao was a Research Assistant to Dr. Gray. She studied quantitative models and summarized over 200 academic articles on psychology and behavioral finance. Her prior experience includes work as a financial analyst at United Asset Growth (China) LLC, and as a business development intern for Shanghai Pudong Development Bank. Tian earned a Masters in Finance at Drexel University. She earned her Bachelors degree in Finance at Nanjing Normal University, China.

  • Jacob Rothman

    Sorry if this isn’t the place for this question, but why such a high allocation to Treasuries?

  • The “dump” asset for allocations is cash/tbills. So “treasuries” means short-term bills/cash

  • Jacob Rothman

    Right, but for an aggressive portfolio you have only 55% equity and 40% non-risk assets. This must be a tactical stance.

  • definitely. commodities/intl equity are in cash right now

  • Alex Dvorscak

    I’m not sure I understand why the QVAL allocation is at 100% now even though it’s time series momentum is negative and the moving average is negative or barely positive depending on the day.

  • BG

    Do you happen to have the updated weights for the start of 2016? Thanks!