100 Level

Fama & French’s Three-Factor Model

This is a revision of a blog I posted over a year ago. In 1992, Fama and French broke out their three-factor model and changed the way we construct portfolios. Again, quoting from Hebner as to how the three-factor model advanced the relationship between return and risk as it relates to a portfolio. “The Fama/French model added two other fundamental determinants. Fama and French sought to … [Read More...]

Photodex Photo Shows

As a break from investing, if interested, take a look at some of my photo shows over at http://www.photodex.com.  One of my favorite shows is the one featuring Utah National Parks.    Here are the instructions for viewing my slide shows on the Internet at the Photodex site. These shows will not work on a Mac as Photodex does not provide a Mac viewer. 1.  Go to … [Read More...]

300 Level

Einstein Portfolio Review

One of the benefits of looking at the Einstein Portfolio is to see what a portfolio looks like when nearly all the asset classes are in balance.  Using a 20% threshold or target boundaries, all but international bonds and two blend asset classes are within the 20% limits.  I'm still debating whether or not I want to continue to hold mid-cap blend (VO) and small-cap blend (VB) as both … [Read More...]

Newton Portfolio Review: 25 August 2011

Over the last month, numerous limit orders were struck when the market dipped into buy zones.  Shares of RWX, VBK, VOT, and ELD were added in an effort to bring many under target asset classes back into balance.  We are still holding considerable cash in this portfolio and there are many limit orders still in place.  The expectation was that the market would drop even further.  … [Read More...]

200 Level

SORDEX Ratio Blog Post Reworked

I just reworked an older SORDEX blog post.  The reason I did not bring this post forward is that there are links when one searches for this information on the Internet and I don't want to break those links. I will likely rework this concept using the latest projected portfolio volatility as the numbers don't look quite so bad with the lower standard deviation projections. … [Read More...]

Portfolio Performance Update – 5/6/2011

In the table below readers will find portfolio performance data for 20 portfolios.  Ten are tracked using Captool software and ten are monitored and managed using the TLH Spreadsheet.  The IR column is the Information Ratio value.  SR and RR are Sortino Ratio and Retirement Ratio respectively.  The higher the ratio value the better. Keep in mind that the May dividends for HYG, … [Read More...]

400 Level

Bullish Percent Indicators: 24 August 2012

Little changed this week in either the market or sector Bullish Percent Indicators.  Check for differences in the two tables shown below by looking at the last two numbers in each column. … [Read More...]

Asset Allocation or Risk Parity

A Platinum member sent the following summary of an article and asked me to comment.  Note that my response is framed in the context of constructing portfolios through the use of a strategic asset allocation plan.  The Dashboard of the Curie Portfolio, posted this morning, is an example.  The second part is tied to future performance forecasts using software, Quantext Portfolio Planner (QPP).  Here … [Read More...]