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...]

Portfolio Construction Index Funds Advisors (IFA) Style

Bob Warasila passed on several references from the http://www.ifa.com web site that deal with portfolio construction.  [I consider Mark Hebner's web IFA site to be one of the best available.]  Keep in mind that IFA is a company that uses Dimensional Fund Advisors (DFA) mutual funds and the only way one gains access to these funds is through an approved advisor such as Index Funds … [Read More...]

300 Level

New Normal Portfolio Update

It has been several months since I last updated the "New Normal" portfolio so I am unsure as to whether this portfolio still contains the ETFs listed in the following QPP analysis.  Regardless, there are a number of positive possibilities in this portfolio as it is designed for bear market protection. This material is not available for publication elsewhere on the Internet. … [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

Active vs. Passive Investing: Part 10

Section Ten of the Active vs. Passive Investing paper begins with this quote.  "Show me a system that will consistently outperform the index...then we'll see."  The author has it correct - there is no such system, particularly for active investors.  Index or passive investors are asking the wrong question if they are looking for active investors to come up with a … [Read More...]

Retirement Portfolio: Part Two

As pointed out in this blog post, one first selects asset classes for a retirement portfolio.  Then comes the difficult part of selecting what percentage to allocate to each ETF or asset class.  Below is a basic allocation that is not optimized.  In a later post I will run through an optimization of this set of ETFs to see if the projected return can be enhanced and still lower projected risk. … [Read More...]

400 Level

ETF Indicator Update

Below is an incomplete list of ETFs using in the ITA portfolios.  As I come across ETFs of interest, I add them to the list.  It takes time to update the list as each indicator (now eight in number) is entered manually.  Of the ETFs currently on the list, PCY is one that is very close to a Buy.  If the percentage exceeds 100% the ETF goes on the Buy list.  PCY is about one … [Read More...]

Fama & French – Value Risk Factor

  Sculpture on Main Sacred Way to Ming Tombs Fama-French’s value risk factor is at the heart of their paper, The Cross-Section of Expected Stock Returns.  This link connects you to an abstract of their paper.  It takes someone like William Bernstein to explain the research study and its importance.  Let me quote from "The Intelligent Asset … [Read More...]