100 Level

Basic Portfolio Plus

Building on the five basic asset classes, I made a few substitutions and added more asset classes.  Platinum members can see this portfolio enhanced the Basic Five.  I show both the correlation matrix and the projected return and uncertainty values.  A few of the assumptions were altered as articulated below. … [Read More...]

Three-Year Anniversary

Today is the three-year anniversary of ITA Wealth Management.  Thank you for checking in from time to time to view what I am trying to articulate.  In the three years, nearly one million viewers requested this blog.  Of course this is counting crawlers from Google so the number of live readers are much lower.  I think I've seen a viewer from every country except North … [Read More...]

300 Level

Optimizing QPP Analysis Asset Allocation Models

Some years ago I tested a Mean-Variance Optimization (MVO) software program that was designed for William Bernstein.  Manual data entry and knowing if it was accurate proved to be a problem.  Much to my surprise, I recently received an e-mail from the developers of Quantext Portfolio Planner (QPP), pointing me to an article that an Excel™ guru developed an optimization spreadsheet that links to … [Read More...]

Sample Portfolio Analysis: Part II

The following portfolio analysis makes use of the Hoadley-momentum-optimizer spreadsheet.  Providing a "cat-bird-seat" view of the portfolio is the efficient frontier graph.  We follow that with a ranking of the securities and finally, the Buy-Hold-Sell Recommendations.  Please note that the number of shares only represent percentages and is not a picture of the actual size of this … [Read More...]

200 Level

Should You Attempt To Pick Individual Stocks?

Should you be involved in selecting individual stocks or is this activity best left to other investors?  Two recent Seeking Alpha articles appeared on this subject and the links are provided below. "Five Ways You Can Excel at Picking Stocks" "Should Stock Picking Be Mostly Left To Professionals" When I read these articles, I was quickly reminded of an article I posted … [Read More...]

Portfolio Performance: 13 May 2011

Since the last performance update, most of the portfolios gained ground when compared to the ITA Index, our customized benchmark.  However, nearly all portfolios lost ground to the VTSMX benchmark.  These minor losses can be explained by the strength of the U.S. equities market when compared to portfolios that are diversified with investments from all over the globe. A new portfolio, … [Read More...]

400 Level

Equity “Delta Factor” Probability Projections

Approximately once a month I publish either the "Delta Factor" probability projections for equity or bond ETFs.  Considering the recent strength in the markets it seemed like a good time to run the analysis again and see if there are any asset classes or ETFs that have a reasonable probability of performing well over the next six to twelve months.  You may be surprised at the … [Read More...]

Condition of Risk Reduction ETFs

ETFs used in the ITA Risk Reduction model experiment include the following "critical" eight:  VTI, IWN, VEU, VWO, VNQ, RWX, DBC, and PCY.  If the market closes this afternoon close to where it is now, only DBC will reside below its 195-Day Exponential Moving Average (EMA).  VEU and VWO, both international ETFs, are hanging above the cross-over point by pennies.  We … [Read More...]