100 Level

Bullish Percent Indicators: 9 November 2012

Friday, November 9th, was a flat market, but the direction over the course of the week was down and that is reflected in many of the indexes and sectors.  Our most important index changed direction and handed the ball over to the defense.  Other BPI values moved out of the overbought zone.  Check the details below. Index BPIs:  The NYSE and Dow Jones Transportation were the last holdouts.  Both … [Read More...]

Revisiting the ITA Index

Long-time readers of ITA are aware of ITA Index, our customized benchmark.  Why use a benchmark such as the ITA Index?  While we watch the performance of VTSMX, an index fund that covers the entire U.S. Equities market, it is not an appropriate benchmark if one holds assets outside the U.S. Equities market.  Emerging markets is an example.  For this reason, I came up with a way to measure the … [Read More...]

300 Level

Kenilworth Portfolio Review: 8 August 2011

Below is the Strategic Asset Allocation plan for the Kenilworth Portfolio.  It is not unexpected to see this young portfolio dip into negative territory considering the severity of this bear market.  As Rep. Boehner stated, "I got 98% of what I wanted."  Now we are witnessing exactly what he meant by that statement.  The Kenilworth, as is the case with most … [Read More...]

Quantext Portfolio Planner Analysis of Faber Ivy Portfolio

As promised, here is the first of several Quantext Portfolio Planner (QPP) evaluations of the portfolios mentioned in an earlier post.  In this QPP analysis I'll look at the Faber-Richardson Five ETF portfolio.  Equal percentages are allocated to each ETF so there is no fudging with the percentages to increase return or reduce risk.  This array of ETFs is a solid starting point … [Read More...]

200 Level

Why Sector Allocation Is Diversification Deficient

There are investors who build their portfolios around sectors instead of asset classes.  The following optimization shows why sector allocation comes up short when it comes to portfolio diversification.  As a reminder, asset classes cover all sectors, but sectors do not cover all asset classes. … [Read More...]

Constructing a Simple Seven ETF Portfolio

Looking for a conservative portfolio with reasonable QPP values?  Check out the following asset allocation plan that includes 40% allocated to bonds and income with an added bent toward value as advocated by Fama & French.  This portfolio covers the global market, both in equities and REITs.  The EFV ETF skews the portfolio toward the value side. … [Read More...]

400 Level

ETF Rankings as of 24 July 2013

VCR moved IWN out of first place due to market movements yesterday.  While I do not hold full positions in DBC in any portfolios, I am paying attention to this commodity as it is showing strong momentum. … [Read More...]

Rethinking the ITA Risk Reduction Model

In late October of 2011 the ITA Risk Reduction model was introduced.  ITARR is a modification of a timing model I used as far back as the early 1980s and more recently patterned after the Faber - Richardson model explained in detail in the Ivy Portfolio book.  ITA readers unfamiliar with the risk reduction model will find it through links or searches on this blog.  It is worth a review or an … [Read More...]