100 Level

Looking Ahead to 2013

What can ITA readers look forward to in 2013?  My resolutions and recommendations can be found at this link.  As hinted at in several portfolio reviews, I will be rethinking whether to use as many different asset classes as I now do in many portfolios.  The reason for reducing the number of asset classes is tied to correlations.  There is no need to use similar ETFs if the correlations are high.  … [Read More...]

Active Management: A Mistake

Much is written about active vs. passive management. Harold Evensky defines active management in his book, "Wealth Management" and I quote. "Active Management is the art and science of security selection based on a belief in a manager's ability to consistently and accurately evaluate current and/or future events better than other investors. The core philosophical basis is … [Read More...]

300 Level

Using Treasuries to Reduce Risk

Compare the following portfolio (QPP analysis) with the risk reducing portfolio I suggested last week.  In the following portfolio, I stripped percentages off several equity and REIT ETFs and allocated those assets to a combination of TIP and TLT.  While the projected return is reduced, the projected standard deviation comes down at a faster rate giving one a higher Return/Uncertainty … [Read More...]

ITA Index: Making It Work

Building a Customized Benchmark Serious investors monitor and measure the performance of their portfolio(s).  Otherwise, how is one to know if portfolio decisions are adding or subtracting alpha.  Portfolio decisions include market timing, asset allocation, selection of stocks, index funds, ETFs, mutual funds, and professional money managers.  Measuring performance is a … [Read More...]

200 Level

ITA Portfolio Performance: 26 May 2012

While the individual portfolios increased in value this week, nearly all lost ground with respect to both the ITA Index and VTSMX benchmarks.  That is to be expected any time the market moves up considering that many of the portfolios are out of a number of asset classes and in cash or other income generating instruments.  Portfolios such as the Curie, Newton, Schrodinger, Einstein and … [Read More...]

Simplified “Holy Grail” Portfolio: A 12-ETF Approach

12-ETF Portfolio Following up on yesterday's blog post, here is a simplified revision of the "Holy Grail" portfolio.  Any time one can reduce the number of holdings and improve the return and volatility projections, give the new portfolio high marks.  The following group of twelve (12) ETFs provides a higher Return/Risk ratio than the portfolio discussed yesterday.  … [Read More...]

400 Level

Changing Positions of Maxwell and Kepler

Photograph: Covered Bridge at Grist Mill just east of Woodland, Washington One of the five ITA Risk Reduction (ITARR) model portfolios is the Maxwell.  Last Friday several asset classes, as represented by particular ETFs, dropped below the critical 195-Day EMA trigger point.  Trailing Stop Loss Orders were set and today, May 8th, a number were triggered.  Shares of VEU and VWO were … [Read More...]

Bonds: Are Any Worth Buying Based on “Delta Factor” Projections?

Bond Projections Look Dim Periodically a "Delta Factor" projection is posted for equities and bonds.  Today I am updating the projections for a wide array of bond ETFs and the outlook is not strong as one can see from the table below. … [Read More...]