100 Level

Correlations Are Impacted By Weight Assigned To Securities

Photograph: Garden train layout designed by Tom Bishop of Denver, CO. The following two asset allocation plans are only presented to illustrate the fact that correlations between securities, when combined in a portfolio, will vary when the weight is changed.  In the first portfolio, equal weights (10%) are assigned to each ETF, and the following table shows the correlation matrix.  Pay attention … [Read More...]

Portfolio Performance: 18 January 2013

One month passed since I last posted the portfolio performance data table.  While every portfolio increased in value over the last month, in many cases the benchmarks increased at a faster rate than the portfolios IRR values.  When comparing performance with the ITA Index, the Curie, Newton, Kepler, and Kenilworth gained ground on the customized benchmark.  Maintaining the same difference were the … [Read More...]

300 Level

Optimization-Momentum Recommendations For Kepler

As promised here are the optimization-momentum recommendations for the Kepler Portfolio.  We first begin with the Efficient Frontier and see that the current portfolio, after the recent transactions, is moving closer to the optimized portfolio. Efficient Frontier:  The current portfolio is represented by the yellow diamond box and the optimized portfolio by the small red dot.  The recent … [Read More...]

Retirement Planning: Stress Testing a Simple 5 ETF Portfolio

As mentioned in a recent post, stress testing the portfolio is one useful method of checking to see if there will be sufficient funds available to comfortably retire.  In this QPP analysis of a simple five ETF portfolio we will make some initial assumptions that will vary from investor to investor. Assume this investor is 50 and plans to retire at age 67.  The current portfolio is … [Read More...]

200 Level

Portfolio Performance: 27 May 2011

Portfolio Performances Updated All but one portfolio showed improvement vs. the VTSMX index.  Improvements were also evident for the Sortino and Retirement ratios.  Our asset allocation plans were working in full force this past week, a positive signal. Only the newest portfolio, the Franklin, lost ground and it is much too early to draw any conclusions.  As mentioned before, we … [Read More...]

Portfolio Performance: October 21, 2011

Portfolio Performance Data Table Finally - this was a better week for the broad equity markets.  Once more, large-cap U.S. stocks outperformed the international equities, but overall, most of the portfolios tracked here at ITA Wealth Management moved ahead. Platinum membership is available for $5.00 per month.  Check out all that is available. … [Read More...]

400 Level

Bond “Delta Factor” Summary

As promised, below is a screen shot of a "Delta Factor" data table for AGG, BIV, BSV, HYG, JNK, IEF, TLT, and TIP.  The reference bond ETF I use in this analysis is BND.  I've done almost no testing with bonds so I don't know the quality of the predictive powers when it comes to bonds. … [Read More...]

ITA Risk Reduction Update

Photograph: One of the "Painted Ladies" in Eureka, California The broad market is taking a 3.5% hit today, not a trivial move to the downside.  Those of you following the ITA Risk Reduction (ITARR) model now have the opportunity to see the benefits in action.  While we are not fully employed with this model, holding off with VEU and VWO purchases worked quite well as both ETFs … [Read More...]