100 Level

Grand Tetons – Yellowstone – Glacier: A Slide Show

Make sure your subwoofer is working and all programs shutdown so you can view this YouTube slide show of my recent photographic trip to Wyoming and Montana.  Here is the link to the show.  Enjoy. http://www.youtube.com/watch?v=UYu3vqDpFiA&sns=fb If you enjoyed this show of the Grand Tetons, perhaps you also have an interest in Bryce Canyon, Zion National Park, and the Arches.  Check out … [Read More...]

Risk-Parity: A Brief Explanation of How Risky a 60/40 Portfolio Really Is

While I have a sample Risk-Parity portfolio coming out early tomorrow morning, I want to rush out a brief description of how risk is calculated.  This not for the mathematically squeamish, but the concept is not difficult if one can get past one step in the logic.  Don't be surprised if this concept does not alter how portfolios are put together here at ITA Wealth Management.  … [Read More...]

300 Level

Efficient Frontier for Madison Portfolio

Wednesday of next week is the review date for the Madison Portfolio.  I prefer to take an advanced peek to see where the current asset allocation plan lies on the efficient frontier and compare it with the optimized allocation position. Madison Efficient Frontier:  While it is difficult to see from the EF graph below, ETFs holding down return are:  BND, TIP, TLT, GTU, and DBC.  Holdings in … [Read More...]

Preservation of Principle

Tactical Asset Allocation for Newton Portfolio Holding on to the nest egg were my marching orders.  I did not stand in the way of these instructions for the Newton Portfolio.  With the market climbing as it has since early 2009, moving into cash makes some sense.  In an attempt to preserve capital, numerous trades took place in March and early April.  Selling off some asset … [Read More...]

200 Level

Rebalancing Portfolio: Blending Dashboard and Optimizer

Now that an optimizing tool is available, how does one rebalance a portfolio by combining the output of an optimizer with the Dashboard guidelines?  The larger topic is one of asset allocation so I will start with the following Dashboard that defines an asset allocation plan. Dashboard:  Assume the following Dashboard lays out the Strategic Asset Allocation plan for a portfolio.  Only pay … [Read More...]

Active vs. Passive Investing: Part 12

This is the last in a series of 12 blog posts where I rebut the Active vs. Passive Investing paper.  Section Twelve (12) of the paper contains is a very clever argument.  The conclusion is that retail investors outperform the market.  However, arguments are not the same as evidence.  Nevertheless, here is the argument. If you accept the measurement of passive returns to … [Read More...]

400 Level

Retirement Ratio – What Is It?

Understanding the Retirement Ratio In each Portfolio Performance data table readers see the column labeled, RR, or Retirement Ratio. Just what is this ratio and how is it calculated? To understand the Retirement Ratio first requires an understanding of the Sortino Ratio (SR) as the Retirement Ratio is a modification of the SR. Mathematically, the Sortino Ratio is expressed as follows. SR = (P - … [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...]