100 Level

Creating The Customized ITA Index Benchmark For The Kenilworth And Other Portfolios

Constructing a customized benchmark to use as a performance standard is nearly as important as putting together a Strategic Asset Allocation (SAA) plan for a portfolio.  If one does not benchmark a portfolio how is it possible to know how well the portfolio is being managed?  To understand what is required to come up with a good benchmark, check this reference.  I also recommend … [Read More...]

Risk Management: How To Reduce Losses

On page 167 of Mebane T. Faber and Eric W. Richardson's book, "The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets" we read, "Our research has shown that returns are lower and volatility is higher when asset classes are below the 10-month moving average."  What investor is not interested in reducing portfolio volatility while increasing returns.  And possibly more … [Read More...]

300 Level

QPP Analysis of Kepler Portfolio

Nearly six months rolled by since the last Quantext Portfolio Planner (QPP) analysis of the Kepler Portfolio.  Platinum readers can go through the QPP analysis and do not neglect the correlation matrix.  Take a close look and let me know your observations. … [Read More...]

Delta Factor Results From Recommended Stocks

Adding a few recommended stocks to the "Mad Money" group, plus a few more, and Platinum members have the beginnings of some interesting companies.  No recommendations are implied.  I have room for another 15 to 17 before I need to create another list.  ROIC does not have the requisite history, so take that into consideration.  For this QPP analysis I used a 57-month … [Read More...]

200 Level

How Many Asset Classes or ETFs Are Required to Construct Diversified Portfolio?

One of my favorite blog writers is Geoff Considine of the Portfolioist.  Yesterday, November 28th, Dr. Considine published an interesting article that begins to answer the above question - How many asset classes or ETFs are necessary to build a well-diversified portfolio?  Considine posits ten (10) asset classes will provide sufficient diversification.  David Swensen argues in his book, … [Read More...]

Simplified “Holy Grail” Portfolio: A 12-ETF Approach

12-ETF Portfolio Following up on yesterday's blog post, here is a simplified revision of the "Holy Grail" portfolio.  Any time one can reduce the number of holdings and improve the return and volatility projections, give the new portfolio high marks.  The following group of twelve (12) ETFs provides a higher Return/Risk ratio than the portfolio discussed yesterday.  … [Read More...]

400 Level

Bullish Percent Indicators Show A Few Changes

Several indexes and one sector showed weakness this week.  Nevertheless, many markets are still reading above 70% or are positioned in the overbought region.  … [Read More...]

Bullish Percent Indicators: Four Switch Positions

Bullish Percent Indicator (BPI) information is a relatively new addition here at ITA Wealth Management.  It is another investment arrow we are including in our investment quiver.  A major change I made this week is to move from an arithmetic measurement of the box size to a log or percentage scale for calculating the box size.  Just as it makes sense to calculate portfolio increases … [Read More...]