100 Level

Equity ETF “Delta Factor” Projections: Three & Five Years

What are the projections for Equity ETFs using three and five years of historical data?  The projections based on five-years of historical data spans the "Great Recession of 2008" while the three-years of historical data includes one of the better bull markets of recent memory.  With this historical context, we can almost visualize the projections for the following "Delta Factor" data tables.  … [Read More...]

What Should I Do If I Am Holding Cash?

What should I do if I am holding cash?  Is it time to move back into the market, and if so, how should I proceed?  Those are difficult questions considering the S&P 500 (VFINX) increased in value by 87.4% since January 20, 2009.  If one were to follow the Louis Rukeyser analysis, moving immediately into the market is the correct decision.  However, Rukeyser was using data … [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...]

Gauss Portfolio Update: 29 May 2012

With the market rebounding, portfolios such as the Gauss are taking a relative hit as we are on the sidelines with a number of asset classes.  In today's market we want to be fully invested in equities, particularly international equities.  I did manage to sell shares of VWO near the high of the day, so that is a plus.  The reason for selling is that VWO is still well below its … [Read More...]

200 Level

Searching for the Strategic Asset Allocation Holy Grail

Establishing a strategic asset allocation (SAA) plan for a portfolio requires at least two major decisions.  1) What asset classes should be included in the portfolio.  2) What percentage of the total portfolio is allocated to each asset class.  Decision number two is the more difficult of the two.  Where do I come up with the various asset allocation plans found in the various … [Read More...]

Ranking Model Favors Small-Cap and Value ETFs

While the Quantext Portfolio Planner (QPP) software shows a high correlation between the "Big Nine" U.S. Equity asset classes, the Ranking Model, recently unveiled, shows a definite bias toward small-cap and value ETFs.  Below is the data table based on the latest three years of data.  To readers who are aware of the Fama-French research, this comes as no surprise. … [Read More...]

400 Level

Preparing the Euclid Portfolio for Timing Model

Preparing the Maxwell and Euclid Portfolios Further preparation in the Euclid Portfolio took place this morning as shares of VBR were sold.  What I am doing is selling off holdings outside the basic ETFs we plan to use in this experiment.  These ETFs include VTI, VEU, VWO, VNQ, and RWX as these are the instruments I will use in this modified Faber-Richardson model.  I probably will … [Read More...]

Exponential Moving Average Review

The term Exponential Moving Average (EMA) showed up in a number of recent posts.  Those unfamiliar with this term would benefit with a review.  In searching the blog, I thought I defined EMA, but that post was likely lost when I move the blog to a new host provider.  Here is how EMA is calculated. One first calculates a Smoothing Constant based on the number of days one will be using for the … [Read More...]