reproduce AAA paper results extending ETF with mutual funds
Use what is proposed in : https://blog.fosstrading.com/2023/12/adaptive-asset-allocation-replication/ results to reproduce: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2328254 - or its 2012 version
ETF | ETF Start | Fund | Fund Start | |
---|---|---|---|---|
US Equity | VTI | 2001-05 | VTSMX | 1992-04 |
European Equity | VGK | 2005-03 | VEURX | 1990-06 |
Japanese Equity | EWJ | 1996-03 | FJPNX | 1992-12 |
Emerging Market Equity | EEM | 2003-04 | VEIEX | 1994-12 |
US Real Estate | ICF | 2001-02 | VGSIX | 1996-05 |
International Real Estate | RWX | 2006-12 | XRFIX | 1997-09 |
Intermediate Term Treasury | IEF | 2002-07 | VFITX | 1991-12 |
Long Term Treasury | TLT | 2002-07 | VUSTX | 1986-12 |
Commodities | DBC | 2006-02 | QRACX | 1997-03 |
Gold | GLD | 2004-11 | SGGDX | 1993-08 |