Monthly 10 SMA Updates for the 5 major asset classes for February 2014

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People managing money with a monthly buy/sell signal are not long commodities like gold yet. But
the Feb candle looks like it could close over the 10 month MA giving the buy signal.
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A Quantitative Approach to Tactical Asset Allocation
The system is as follows:
BUY RULE
Buy when monthly price > 10-month SMA.
SELL RULE
Sell and move to cash when monthly price < 10-month SMA.
For example here would be your positions for 5 major asset classes for February 2014 using this
system
At January's end, the four stock ETFs (VTI, VEU, IEF aQN) are signalling "invested" positions.
The only one signaling "cash" for benchmark 10-month MA strategy is the PowerShares DB
Commodity Index Tracking (DBC).
VEU (Vanguard All World ex USA) - 100% invested
VTI (Vanguard Total Market) - 100% invested
IEF (7-10 Year Treasuries) - 100% invested
VQN (Vanguard REIT Index) - 100% invested
DBC (PowerShares Commodity Index) - 100% Cash
Positions valid until market close 2/28/14

A Quantitative Approach to Tactical Asset Allocation

Mebane T. Faber
May 2006, Working Paper
Spring 2007, The Journal of Wealth Management
February 2009, Update
February 2013, Update
ABSTRACT
In this paper we update our 2006 white paper A Quantitative Approach to Tactical Asset
Allocation with new data from the 2008-2012 period. How well did the purpose of the original
paper - to present a simple quantitative method that improves the risk-adjusted returns across
various asset classes hold up since publication? Overall, we find that the models have performed
well in real-time, achieving equity like returns with bond like volatility and drawdowns. We also
examine the effects of departures from the original system including adding more asset classes,
introducing various portfolio allocations, and implementing alternative cash management strategies.
You can get the full 70 page paper here:http://papers.ssrn.com/sol3/papers.c...ract_id=962461