Does anyone know an asset allocation model that could be used to determine the percentage of equities (domestic or using country-specific ETFs or even sector specific), bonds (short or long, TIPS, floating), golds, etc.
Maybe using the following factors:
-VIX or VIX futures? - tends to be higher in market downturns
-Interest rates (using yield curves?)
-Treasury bond yields (you could determine the expected return over x years for equities then overweight if expected return is greater than bond yield for that period, and underweight if expected return is lower than the bond yield)
-FED interest rate hike probability (https://ca.investing.com/central-banks/fed-rate-monitor) - determine whether to invest in short or long term bonds
-Wilshire 5000 / GDP - use to get expected returns or to compare it with other countries?
- Value/growth performance
- GDP growth
Has anyone constructed any models like this or do you know any reputable academic papers that describe a way to do this or other experience? Any suggestions on which factors would have the strongest effect? I'm going to look through some papers but if anyone already has experience with this or could provide boilerplate code I'd appreciate it.