GTAA – FOCUS 3
In the February 2013 update to his original paper, Mebane introduces 8 additional asset classes to the basic model for a total of 13.
Also in this paper, Mebane introduces alternative weightings and cash management strategies, one of which is to combine the use of both momentum and moving averages to determine the models final holdings.
- Assets are ranked by a combined score of their trailing total returns over multiple time periods and the top three assets are selected.
- Assets are included only if they are above their long term moving average
- Reflects the results of Portfolio Cafe’s extensive testing
From: $208.25 / month