Simple One ETF a Month Quantitative Asset Allocation System

Posted: 25 Aug 2014 Last revised: 23 Oct 2014

Date Written: August 23, 2014

Abstract

We developed a simple easy to use “One ETF a Month” quantitative tactical asset allocation system that beats the SP500 Benchmark consistently.

Our initial results show that a part time investor can beat the SP500 benchmark index by 900 basis points (9%) – effective doubling the SP500 benchmark return – annually. The proposed method uses the relative strength strategies combined with a momentum filter. The delayed signals from the system will be tracked on the econoscience.blogspot.com website.

Keywords: quantitative, investment, asset allocation, S&P 500, SP500, ETFs, trading, Tactical Asset Allocation, Stocks, Bonds, Real Estate, Quantitative, Momentum, ETFs, GTAA, alpha

JEL Classification: C10, C50, E00, G00, G10, G11

Suggested Citation

Oflus, Kemal, Simple One ETF a Month Quantitative Asset Allocation System (August 23, 2014). Available at SSRN: https://ssrn.com/abstract=2485903 or http://dx.doi.org/10.2139/ssrn.2485903

Kemal Oflus (Contact Author)

Independent ( email )

Los Angeles, CA

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