jmorace

Tactical Asset Allocation, Part I

That's IIH......

Tactical Asset Allocation, Part I

Hi Goeff,

Another interesting and informative piece.

Regarding the internet etf, IHH, I notice that there was an odd downward move in the price of the index on one day in May. There was barely a corresponding volume blip or even the typical explosion in volatility one typically sees after a movement of this size. Of course, arbs sometimes come in to exploit the premiums or discounts on these etfs, but then you see the volume spikes and volatility. There are 14 stocks in the index and I looked at the price action of the top 10 of them on that day. There was no corresponding price move in any of them. Perhaps the etf was either restructured, reorganized or split.

In any case, there are odd changes in securities prices because of cap distributions and reorganization, spin outs and what not. I’m wondering how qpp deals with these odd events to ensure robust and accurate data in the program?

Thank you,

JMorace

Defining a Set of Core Asset Classes

Hi Geoff,

I great, helpful article. Thank you for it.

I have a question about core asset classes. I see that you have used the DJ Utilities index as a surrogate for what El-Erian terms as the infrastructure asset class allocation. What other etfs do you see as adequate surrogates? Would railroads or natural gas pipelines count? Should this infrastructure investment be international or domestic etc.

A second question: I notice that pimco has a bond fund that invests in emerging market debt denominated in local currencies. Would participation in this constitute a different asset class or would it be a subset of the bond portion of the portfolio?

Thank you,

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