ZYX Multi-Asset Global Allocation model returned profit of 11.00% in May compared to a loss of
9.50% in S&P 500 and a loss of 9.57% in MSCI AWI.
On May 26,2010 the model updated allocation as follows:
Taiwan Equities 5% Long
Brazil Equities 5% Long
India Equities 5% Long
Europe Export Equities 30% Long
US Utilities Equities 10% Long
US Mega Cap Equities 10% Long
US High Yield Bonds 10% Long
US Senior Bank Loans 10% Long
US 20+ Year Treasuries 15% Short
Since then all long positions have been highly correlated to S&P 500. The S&P 500 chart below illustrates success of the model at timing in June.
The model is short on US Treasury bonds. The chart of etf TLT illustrates the success of the model in June.
