100 Level

The Trend is Our Friend: Risk Parity, Momentum and Trend Following

A few days ago I ran into an article Platinum members may find interesting.  There are some possible underlying benefits to applying the "Delta Factor" and the Bullish Percent Indicator.  You will need to download this article from Mebane Faber's site as I did not find it available as a stand along article.  I'll provide the best path I could find. … [Read More...]

The Case of Equity Correlations

Readers following the various portfolios may have reservations about eliminating particular asset classes, particularly mid- and small-cap blend as represented by VO and VB.  Why sell off these asset classes?  The reason is the high correlation between the asset classes as you can see from the following screenshot.  The first nine ETFs cover the "Big Nine" U.S. Equity asset classes, and they are … [Read More...]

300 Level

Schrodinger Review: 15 August 2011

Little has changed within the Schrodinger Portfolio since the last update.  Most of the asset classes are in balance as one can see from the Dashboard below.  The small amount of cash available will likely be invested in international markets. … [Read More...]

Positioning the Maxwell, Euclid, and Madison

In preparation to launch the ITA Risk Reduction model for the Maxwell, Euclid, Madison, and possibly one or two more portfolios, the basic asset allocation is laid out below.  SDS is shown only as a possibility in unusual circumstances.  The percentages as shown apply only when the ETF price lies above its 195-Day Exponential Moving Average (EMA).  Such is not the case right now as … [Read More...]

200 Level

Portfolio Performance: 2 June 2012

The good news is that every portfolio improve with respect to the ITA Index, our customized index, and every portfolio with exception of the Schrodinger outperformed the VTSMX index fund.  The Schrodinger held even when compared to VTSMX.  On the downside, all portfolios with the exception of Gauss saw a decline in their IRR value.  This was not unexpected considering the lousy week … [Read More...]

Sample Portfolio For Thirty (30) Year Old Investor

The following portfolio was passed on to me by a Platinum member as an example of a Strategic Asset Allocation plan for a thirty year-old investor.  Nine ETFs are used in this portfolio and many of the investment securities are familiar to ITA readers.  In fact, all nine Exchange Traded Funds can be found in one or more portfolios with exception of RWO.  RWO is a global real estate … [Read More...]

400 Level

One Added Wrinkle to the ITARR Model

One change I plan to make in the ITA Risk Reduction (ITARR) model is the following.  When an ETF is out of the buy zone (priced below its 195-Day EMA), instead of waiting for it to cross from below to above the 195-Day EMA, pay attention to the Relative Strength Indicator.  Take a look at the following example. … [Read More...]

“Delta Factor” – What is it and is it useful?

Context is essential when developing an argument, and that is what this post on the "Delta Factor" is designed to do.  Rather than use ETFs in the "Delta Factor" argument, I selected 20 well-known stocks so I could dip back to the late 1900s for data.  Many ETFs we use did not exist in the late 1900s and early 2000s and most that did lack the necessary historical data … [Read More...]