100 Level

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...]

Active Managers: How Well Do They Do?

For a little excitement I Googled the phrase, "Active Managers Outperform the Market." Here are a few of the top sites I uncovered with this search. 1. Active Managers' Market-Beatings Claims Debunked. Give the irritating ad time to clear. 2) Active Managers Didn't Outperform in This Bear Market. 3) Active Managers Take a Beating in 2010. 4) Can Active Investment Managers … [Read More...]

300 Level

“Creme List” for 5/13/2011

This week the "Creme List' saw one new stock enter the elite list and none were removed.  As you can see, ABT is back on top, but this time it does not carry a Buy signal.  In fact, no companies are fairly priced.  This is not unexpected considering the high level of the market.  … [Read More...]

Where Should We Be With The Newton Portfolio?

The following optimization-momentum analysis shows where we should be position with Newton holdings were we to religiously follow the Hoadley spreadsheet recommendations. Efficient Frontier:  The current portfolio is nearly on the efficient frontier graph.  Overall the portfolio is a tad more conservative than the optimized portfolio, as indicated by the small red dot.  The diamond dot will … [Read More...]

200 Level

Portfolio Performance Update: 9 June 2012

Nearly all eleven portfolios gave up the gains of last week as both international markets (developed and emerging) "popped" a few days this week.  As might be expected, the Schrodinger maintained its stable performance as the asset classes are in balance and we are not using any type of Tactical Asset Allocation with this portfolio.  As a reminder, the Schrodinger is our best … [Read More...]

What The Experts Say About Index Investing

Photograph:  Georgia O'Keeffe Museum Research Center - New Mexico   Perusing the Bogleheads web site, I found this long list of quotes from well known investment writers and managers.  Here is what they have to say about index investing.  These bits of wisdom further explain why I favor tilting investments toward non-managed index vehicles.  Further, I favor ETFs for … [Read More...]

400 Level

Containing Portfolio Risk

It will be a close call for many asset classes held in the Madison Portfolio when it comes up for examination on Wednesday of this week.  Developed international markets (VEU) is just one example of the narrow gap between the price of the ETF and its 195-Day Exponential Moving Average (EMA).  While most of the asset classes have a cushion before a sell signal is given, several of the … [Read More...]

Reducting Risk With The Euclid Portfolio

The 12th of the month is the day to closely examine each ETF used to populate the Euclid Portfolio, one of ITA Risk Reduction model portfolios.  While the markets have several hours before they close, it is highly unlikely any of the ETFs will change positions with their respective 195-Day Exponential Moving Averages (EMAs).  Here is the process I went through in my examination of the … [Read More...]