In the present invention, a system and method is described for allocating
portfolio assets in an emerging market, where the portfolio initially
includes substantially all fixed income securities or substantially all
equities. Specifically, a yield spread is periodically determining
between a first fixed income instrument and a second fixed income
instrument. A mean spread is determined based on the determined yield
spread over a selected period of time. A band above and below the mean
spread is defined over the selected period of time, where the band has an
upper limit above the mean spread and a lower limit below the mean
spread. Fixed income securities, in the investment portfolio, are
switched for equities when a current determined yield spread exceeds the
upper limit of the band. Similarly, equities, in the portfolio, are
switched for fixed income securities when the current determined yield
spread falls below the lower limit of the band.