100 Level

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...]

Respighi’s “Pines of Rome”

While I recommended Ottorino Respighi's "Pines of Rome" back on August 29, 2010, it did not receive much attention at that time as it was a secondary selection.  This week I am making it my first selection, and as I wrote back in 2010, this is a must for any classical collection.  Here is one "Amazon" review that should further spark your interest in this piece of music. "Ever since Toscanini's … [Read More...]

300 Level

Portfolio Construction: The Important Decisions

William J. Bernstein, in his most recent book, “The Investor’s Manifesto” writes, “Before diving into the most important issue faced by any investor–the asset allocation decision–you will need to understand four things: save as much as you can, make sure you have enough liquid taxable assets for emergencies, diversify widely, and do so with passive or index … [Read More...]

Kepler Portfolio Update: 27 December 2011

Twenty-five shares of VWO were added to the Kepler Portfolio last week.  This addition brought the Emerging Market asset class within the 25% target limit, but still left the portfolio 118 shares below the targeted percentage.  Platinum members will note the Dashboard or Strategic Asset Allocation (SAA) plan below.  If I make changes over the next few weeks it will result in … [Read More...]

200 Level

QPP Analysis of Swensen-Faber Merged Portfolio

Merging ideas from the "Swensen Six" and "Faber Ten" portfolios has the potential to generate a wide array of asset allocation plans.  In the following example I am sticking with the general percentages allocated to the broad asset classes, as recommended by David Swensen, but you will see that I am adding asset classes as suggested in the "Faber Ten" portfolio. … [Read More...]

Quantitative Approach to Portfolio Management

In the experiment to improve the performance of the Maxwell and Euclid portfolios we need a basic set of ETFs to form the core for our investments.  This quantitative approach is an outlier in our portfolio management philosophy as it has the potential for more trading.  For this reason, I will be using ETFs that are part of TDAmeritrade's 100+ commission free trades.  Below is … [Read More...]

400 Level

Point & Figure Scaling: Why Use Percentage Instead of Traditional Option

A situation arose this morning regarding whether X's or O's are showing up in the right-hand column of the Vanguard's emerging market ETF, VWO.  If the scaling is set to 'percentage' O's are found in the right most column.  However, if the scaling option is set to 'traditional,' X's show up in the right-hand column.  Which is preferred?  To … [Read More...]

Balancing Risk Over A Ten ETF Portfolio

In response to a Platinum member, the following QPP analysis is set up in a manner to equalize risk across the different ETFs rather than set up a capitalization asset allocation.  Note that I am using a 56-month time frame as I wanted to span the last bear market while avoiding any short-record issues with ETFs that have not been in existence for five years. To come up with the percentages … [Read More...]