100 Level

Retirement Mistake #5: Underestimating Life Expectancy

Not only are we living longer, but we are living healthier lives.  When planning for retirement, what age should one project as the end-of-life year?  When running out retirement projections using the Monte Carlo calculations within the Quantext Portfolio Planner software, I use 100 as the end-of-life year when testing the probability of running out of money.  There are many assumptions that go … [Read More...]

Optimizer Warnings From William Bernstein and Harold Evensky

A few years ago I worked with a Mean-Variance Optimization (MVO) program designed by David Wilkinson for William Bernstein.  There was a mind numbing amount of manual data entry and there was the perpetual problem of data accuracy.  Was I using the right data and was it current?  The software required entering constraints, otherwise the MVO software would pump out portfolios that made little … [Read More...]

300 Level

The Six ETF Portfolio Recommended by David Swensen

Yesterday (4/26/2012) I posted an alternative to David Swensen's six asset asset allocation portfolio over on Seeking Alpha.  You can find it at this location.  As promised, below is the Quantext Portfolio Planning analysis for the original Swensen's "Six ETF Portfolio."  Be sure to read "The Art and Science of Portfolio Construction" as that blog post … [Read More...]

Kepler Portfolio Review: 24 June 2013

Platinum members tracking the Kepler Portfolio will want to take special note of the coming changes in the allocation of assets in this portfolio.  While the Kepler was not one of the original five ITA Risk Reduction (ITARR) portfolios, I am going to activate the Momentum-Optimization Model with this portfolio due to the early success with other portfolios following the MOM model. Efficient … [Read More...]

200 Level

Performance of Portfolios: 23 December 2011

Portfolio Performance Data Once more, the ten portfolios had a good week in an absolute sense, but most gave up some gains when measured against the VTSMX benchmark.  The numbers are telling me that the U.S. Equities market is stronger than the international markets.  Global exposure is a drag on these portfolios as we hold EFA, EPP, VEU, VWO, and RWX.  When updating the values, … [Read More...]

Retirement Portfolio: Part Three

Part three of this series of retirement preparations shows how one might optimize the array of ETFs presented in the earlier two blog posts.  In the following screen shot I set up a number of constraints and one was to hold the Diversification Metric to the 40% standard.  I also included BND, Vanguard's Total Bond ETF in the mix of investments.  Even by forcing none of the bonds to hold more than … [Read More...]

400 Level

“Delta Factor” Bond Projections

Periodically, I'll post the "Delta Factor" projections for a few bonds used in a number of the portfolios tracked here at ITA Wealth Management.  Few changes occur over time and that is why these projections are posted infrequently.  In the following table of ten ETFs, I used a 50-month time frame so as to bridge the last bear market while not exceeding accurate data for … [Read More...]

Portfolio Risk: Do You Know The Value?

This morning I was in a discussion involving indexes, benchmarks, and portfolio risk.  In one exchange, I asked the reader if he knew anyone who could tell him what risk was involved in their portfolio.  Asking the question demanded an answer from me and the portfolios I track.  Here are the latest risk percentages from the seven portfolios available to Platinum members. The black … [Read More...]