100 Level

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...]

Diversify – Diversify – Diversify

If you have questions why the portfolios tracked here at ITA Wealth Management include so many asset classes, just read the referenced article, “The Benefits of Low Correlation.” After reading this article, I had second thoughts about allocating only 5% to commodities. However, 5% should be adequate due to our emphasis on value and small-cap stocks as well as participating in … [Read More...]

300 Level

International ETFs: Are There Any Potential Buys?

Two days ago I ran an analysis on domestic ETFs to see if there were any buying opportunities.  The following is a similar Quantext Portfolio Planner (QPP) analysis of international ETFs.  As readers will see in the "Delta Factor" projection table, there are a few buying opportunities. … [Read More...]

“Creme List” as of 1 July 2011

Platinum members interested in spicing up their ETF portfolios with a stock or two will find the following list of companies of interest.  No companies were purged due to missing 13 consecutive weeks, but a few are in jeoparty of losing their position next week.  Two companies are new to the list.  Stock selection is not the focus of portfolio construction here at ITA Wealth … [Read More...]

200 Level

Portfolio Performance: 13 May 2011

Since the last performance update, most of the portfolios gained ground when compared to the ITA Index, our customized benchmark.  However, nearly all portfolios lost ground to the VTSMX benchmark.  These minor losses can be explained by the strength of the U.S. equities market when compared to portfolios that are diversified with investments from all over the globe. A new portfolio, … [Read More...]

Low Risk Retirement Portfolio

Yesterday, I wrote an article for Seeking Alpha and one reader suggested a simple portfolio where equal percentages be allocated to VTI, GLD, SHY, and TLT.  Exactly what does such a portfolio look like when a Quantext Portfolio Planner (QPP) analysis is applied?  What does the correlation matrix look like and would such a portfolio work as one prepares for retirement?  The following … [Read More...]

400 Level

Bullish Percent Indicators Are Strong But Merit Caution

Major Markets:  The offense has the ball for all major index markets.  The NASDAQ did give up a little ground, while all others moved forward.  While the signals are positive, two of the markets are in the over-bought zone.  Therefore caution is in order. … [Read More...]

QPP Projections for “Swensen Six” On March 15 of 2009

What was the Quantext Portfolio Planner (QPP) software projecting for the "Swensen Six" Portfolio back on March 15th of 2009?  I use the Swensen as an example portfolio since it is simple and it includes most of the basic asset classes we use with ITA portfolios.  In addition, March 15th was about the market bottom, so it is of interest to see what the projections were when we were all biting our … [Read More...]