100 Level

Index Investing Slow To Catch On

Is there a logical reason why 60% of institutions and 85% of individual investors avoiding index investing? The reasons below come from an article, "The Best Investment Advice You'll Never Get." "A big reason, according to Geddes, is that putting investors into index funds is simply not in the interest of the industry that sells securities. “They just won’t accept … [Read More...]

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...]

300 Level

Portfolio Construction, Maintenance, & Monitoring

To be a successful investor, the trio of portfolio construction, maintenance, and monitoring are all essential.  While the importance of portfolio construction is receiving less attention than it did in the 1990s, detailed research is yet to be conducted on its significance.  The research I've read is too broad with a focus on stocks, bonds, and cash.  Due to its complexity, it … [Read More...]

Market Performance Impacts Efficient Frontier

Does portfolio performance significantly impact the efficient frontier curve?  To answer this question, I selected over 30 commission free (from TDAmeritrade) ETFs to run a test that included the last bear market and the recent bull market.  The first time frame ran from 3/15/2007 through 3/15/2009.  March of 2009 was the bottom of the great bear market of 2008 and early 2009.  The second run … [Read More...]

200 Level

Risk Adjusted vs. Capitalization Asset Allocation Portfolio Construction

Is it better to construct a portfolio based on allocating assets around capitalization divisions or is one better off using a risk adjusted platform?  The following two screen shots show the details of these two approaches to portfolio construction.  In each case I am using ten ETFs that provide worldwide diversity.  Four years of historical data goes into the following Quantext … [Read More...]

Wild Wake-Up Portfolio For The Aggressive Investor

If you are looking for simplicity with sufficient risk that one will need to employ the ITA Risk Reduction model, check out the Quantext Portfolio Planner (QPP) analysis of this six asset portfolio. Platinum membership available for a mere $5.00 per month.  Monitor your portfolio and quickly pay for the membership. … [Read More...]

400 Level

Using “Delta Factor” Analysis for Initial Equities Investments

A common question, if one is holding a large amount of cash, is when to begin putting it to work in the market.  This question came up several times recently with Platinum members who are beginning to lay out a Strategic Asset Allocation (SAA) plan and have selected ETFs they will use to populate the different asset classes.  Arguments can be made to invest all cash immediately since the … [Read More...]

What Is A Good Sortino Ratio?

Seeking a Good Sortino Ratio A reader of ITA Wealth Management was seeking an answer to the question, what is a good Sortino Ratio?  The simple and quick answer is - anything above zero.  Check this definition of the SR.  While the equation is quite simple, the difficulty comes in calculating the denominator. SR = (P - T)/DR where P is the portfolio return T is a portfolio … [Read More...]