100 Level

Conservative Portfolio

Yesterday, a user of the Quantext Portfolio Planner posted a conservative portfolio made up of some core ETFs and a number of individual stocks. Using slightly different assumptions, the Portfolio Report is shown below and further down the page is the "Delta" worksheet, something I have not posted for weeks. While the projected Return/Risk ratio is low (6.76/8.71), one is not going to … [Read More...]

Which Family of ETFs Should I Use?

Question sixteen (16) in this blog entry asked the following question.  "If one prefers Vanguard ETFs, but one's investment service company does not offer commission-free Vanguard ETFs, then is the best option to choose equivalent commission free ETFs that are offered (iShares)?"  Yes, is my answer, and others can chime in with your ideas. Vanguard, Barclay Global … [Read More...]

300 Level

Reference Portfolio Analyzed

Using an array of ETFs, primarily commission free with TDAmeritrade, I ran a Momentum-Optimization Model (MOM) analysis for the purpose of showing new and experienced investors how the MOM can be used  to manage a portfolio.  Not everyone will be interested in this model as it does require more monitoring than the buy and hold approach. Consider MOM to be one level up in sophistication as … [Read More...]

QPP View of Twenty ETFs

Here is a QPP view of the twenty ETFs mentioned in the prior blog post.  I'll likely optimize these ETFs later.   … [Read More...]

200 Level

Portfolio Construction Using David Swensen Percentage Guidelines

David Swensen writes in his "Unconventional Success" book, "Construction of a financial-asset portfolio involves full measures of science and art.  The science encompasses the application of basic investment principles to the problem of combining core asset classes in an efficient, cost-effective manner.  The art concerns the use of common-sense judgment in the challenge … [Read More...]

Portfolio Performance: 2 June 2012

The good news is that every portfolio improve with respect to the ITA Index, our customized index, and every portfolio with exception of the Schrodinger outperformed the VTSMX index fund.  The Schrodinger held even when compared to VTSMX.  On the downside, all portfolios with the exception of Gauss saw a decline in their IRR value.  This was not unexpected considering the lousy week … [Read More...]

400 Level

Positioning the Maxwell, Euclid, and Madison

In preparation to launch the ITA Risk Reduction model for the Maxwell, Euclid, Madison, and possibly one or two more portfolios, the basic asset allocation is laid out below.  SDS is shown only as a possibility in unusual circumstances.  The percentages as shown apply only when the ETF price lies above its 195-Day Exponential Moving Average (EMA).  Such is not the case right now as … [Read More...]

Gauss Portfolio: Updated Dashboard Reflecting Risk Reduction Model

The Gauss Portfolio is now ready for a 30-Day nap.  With all the critical ETFs above their 195-Day Exponential Moving Averages (EMAs), all required purchases were made this morning.  The following Dashboard shows the asset classes are in balance. … [Read More...]