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- Slightly more than 51% in the iShares S&P 500 Growth Index (NYSE: IVW)
- Another 14.4% in the iShares Dow Jones US Real Estate (NYSE: IYR)
- Nearly 14.2% in the iShares Russell 2000 Value Index (NYSE: IWM)
- About 4.7% in the iShares MSCI Emerging Markets Index (NYSE: EEM)
- Roughly 4.7% in the Vanguard Europe Pacific ETF (NYSE: VEA)
- Around 4.7% in the iShares MSCI EAFE Growth Index (NYSE: EFG)
The rest, less than 4% of total assets, was in liquid money market-like funds.
"Our long-term, neutral position is going to favor value. But at year's end, small-caps were slanted towards value and large-caps were tilted to growth," said Macey.
The fund shifted to large growth in August 2007 and small-cap value last September. "We've seen such different weights in terms of financials by cap size. That has made different behavior take place by different sizes of asset classes," said Macey.
Internationally, the firm has favored emerging markets. "But right now, our shorter-term tactical models don't like emerging markets as much," said Macey.
The firm's portfolios using less valuation inputs and more momentum factors like the one publicly displayed through WETFX are also slanting modestly to growth in developed markets outside the U.S.
"Value and growth styles offset each other in the domestic markets," said Macey. "Overall, since we've got a larger allocation to large-caps, globally we've got a tilt to growth."
At the end of 2008, the fund had an annualized turnover rate of around 127%. But Macey says that number can fluctuate greatly depending on market conditions. And since the fund has only been around since 2005, the models that the fund is based on go back a good deal longer.
The growth of ETFs has allowed the firm to expand the modeling work it does. "It's far easier for us to use funds and ETFs to implement tactical strategies than individual stocks," said Macey. "Typically when it comes to our model, we'll have substantial index data that makes backtesting of strategies possible and more plausible than using individual stock data."
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