100 Level

Can You Beat The Market?

As an investor, ask yourself the following questions. Am I selecting individual stocks as the primary building blocks for my portfolio? Do I use actively managed mutual funds as my investing vehicles? Do I even know what active management means? Have I turned my investments over to an investment manager? What are the total management fees charged by the investment manager? If the … [Read More...]

Modified Sortino Ratio and Retirement Ratio: A Review of Uncertainty Measurements

  While the Sortino ratio was an improvement versus the old methods for measuring portfolio performance against a standard, Retirement Ratio sets even a high performance bar.  The old Sortino Ratio looked like the following. S = (P - B)/DR where S = Sortino Ratio P = IRR for Portfolio B = IRR for Benchmark (we now use the customized ITA Index in our calculations) DR = Downside risk … [Read More...]

300 Level

Preparing A Portfolio For The Momentum Model

Assume one had an existing portfolio and you were interested in shifting from a Strategic Asset Allocation (SAA) model to a Momentum model.  In other words, you are serious about moving from a Buy-Hold-Rebalance approach to a Ranking-Rebalance model.  It helps to deal with specifics so I am going to use one of the portfolios where we have already been using the ITA Risk Reduction model or a slight … [Read More...]

Four Stocks Emerge From Current Piotroski High-F Screen

From time to time I post a list of stocks that emerge from something known as the Piotroski F-High Screen..  Exactly what is the Piotroski F-High score?  Here are links explaining this metric or should I say, metrics. This material is not available for publication anywhere on the Internet. … [Read More...]

200 Level

Portfolio Performance Data – 29 April 2011

While this was a good week for all portfolios in absolute terms, relatively speaking, nearly every portfolio lost ground to one or more of the benchmarks.  Advances from last week were essentially wiped out this week.  When the market is in a strong bull phase as is now the case, it is difficult for a broadly diversified portfolio to keep up with U.S. equities and that is what we saw … [Read More...]

QPP Analysis of Swensen-Faber Merged Portfolio

Merging ideas from the "Swensen Six" and "Faber Ten" portfolios has the potential to generate a wide array of asset allocation plans.  In the following example I am sticking with the general percentages allocated to the broad asset classes, as recommended by David Swensen, but you will see that I am adding asset classes as suggested in the "Faber Ten" portfolio. … [Read More...]

400 Level

Examination Day Arrives for Gauss Portfolio

Regular Platinum readers are well aware that the Gauss Portfolio is one of the ITA Risk Reduction candidates.  Here we are near the end of the month and it is once more time to check on the ETF prices and their respective 195-Day Exponential Moving Averages (EMA).  For those new to the ITARR model, we use StockCharts for our analysis information.  Below is a screen shot for VNQ, the … [Read More...]

Sample 4 ETF Portfolio

Another Platinum member asked for an evaluation or analysis of this four (4) ETF portfolio. Efficient Frontier:  This EF graph is instructive as one can easily see how the four ETFs are influencing the final outcome.  IEF and TIP dominate the portfolio and move the current (diamond dot) mix of ETFs down in the lower left portfolio of the graph.  Increasing percentages to SPY and EFA would … [Read More...]