100 Level

Retirement Ratio: Portfolio Performance and Uncertainty Measurement

What is the Retirement Ratio (RR)?  I never heard of such a ratio, at least as it is defined below.  Before going into an explanation, let me digress and address similar ratios.  Portfolio performance measurements that combine both return and risk are readily available to investors.  The Sharpe ratio is perhaps the best known "efficiency ratio" where it measures the … [Read More...]

Madison Portfolio Review

Since the last Madison update 33 days ago, shares of TLT, RWX, and DBC were sold and the available cash was used to pick up shares of VTI - all in keeping with the Momentum-Optimization Model (MOM).  Of the eleven portfolios tracked here at ITA, the Madison is one of three where all the transactions are not available to Platinum members. Madison Dashboard:  The 26% allocated to international … [Read More...]

300 Level

Schrodinger Portfolio Update

Schrodinger Review With so many portfolios carrying several asset classes that are out of balance, it is nice to see one where all the equity and bond assets are within the 25% threshold range.  Such is the case with the Schrodinger, as one can see in the following screen shot.  We always expect to see the Money Market out of balance if the allocation is set to zero. The Schrodinger … [Read More...]

“New Normal” Portfolio Revised

Photograph:  Cape Mears Lighthouse.  This is the lighthouse that was shot up by vandals a few years ago.  Although repairs were made, the lighthouse will never be the same as Fresnel lenses of this size and quality of glass are irreplaceable. The creator of the "New Normal" portfolio sent me the latest holdings so here is the revised Quantext Portfolio Planner (QPP) … [Read More...]

200 Level

Risk-Parity Portfolio: What Is It And What Does A Risk Portfolio Look Like?

Reducing Risk Through Risk-Parity Risk-Parity: Have you heard of the term or seen reference to this style of portfolio construction?  Join the crowd if this is new to you, even though the Risk-Parity idea has been around for quite a few years.  Risk-Parity is an alternative approach to portfolio construction where assets are allocated based on risk rather than allocation according to … [Read More...]

Requesting Yield To Exceed 3.0%

This morning I had an article published over on Seeking Alpha.  One reader requested what would happen if one of the constraints was to seek a yield of 3.0% or higher.  Below is the Optimization Analysis that meets this request when using the 16 ETF portfolio. The add link function does not seem to be working this morning so below is the URL to the SA … [Read More...]

400 Level

“Delta Factor” – What is it and is it useful?

Context is essential when developing an argument, and that is what this post on the "Delta Factor" is designed to do.  Rather than use ETFs in the "Delta Factor" argument, I selected 20 well-known stocks so I could dip back to the late 1900s for data.  Many ETFs we use did not exist in the late 1900s and early 2000s and most that did lack the necessary historical data … [Read More...]

Bullish Percent Indicators Update: 7 September 2012

Despite the strong market today, several sectors and one index handed the ball over to the defense.  Check the tables to see which areas of the market moved from X's in the right-hand column over to O's. … [Read More...]