Inspired by the series on Tactical Asset Allocation by Michael Stokes, I have run some tests to include Gold (GLD) as an extra asset-class in the strategy. This brings the selected ETFs to a total of 7: EEM, EFA, GSG, IEF, SPY, VNQ, GLD. The code of the original model has not changed.
Below is a table comparing statistics of the 2 versions for the period 1-1-2003 / 20-10-2010. Adding Gold does improve the results slightly and consequently I will include GLD in the strategy as of tomorrow. An updated performance report and equity curve is published at the strategy 1 – details page.