100 Level

Active vs. Passive Management

Active Investing:  Given that almost all money management is active, alpha is obviously added to the portfolio though this style of investing.  Not so quick.  While one would expect this assumption to be true, otherwise why is active management so popular. Active investors purchase securities they deem to be undervalued while the investor on the other side of the trade concludes … [Read More...]

Exactly What Is The Momentum-Optimization Model?

Exactly what is the Momentum-Optimization Model (MOM) and how does it work?  The very first step in this process is to define what securities one wishes to use to build the portfolio.  This is easier managed and accomplished with index investments vs. selecting individual stocks.  For example, one is likely to choose VTI to always have some role in the portfolio whereas a well-known stock such as … [Read More...]

300 Level

International ETFs: Are There Any Potential Buys?

Two days ago I ran an analysis on domestic ETFs to see if there were any buying opportunities.  The following is a similar Quantext Portfolio Planner (QPP) analysis of international ETFs.  As readers will see in the "Delta Factor" projection table, there are a few buying opportunities. … [Read More...]

Portfolio for 25-Year Old: The Positives and Negatives

As a followup to William Bernstein's e-book, "The Ages of the Investor," what might a portfolio look like for a 25-year old investor?  The following portfolio is built around 15 ETFs that cover the U.S. Equities market, developed international markets, commodities, emerging markets, both domestic and international REITs, sovereign debt, bonds, and treasuries.  In other words, we are diversifying … [Read More...]

200 Level

Optimizing the “Swensen Six” Portfolio

To answer the question of how much the "Swensen Six" portfolio changes when placed under the optimization microscope, here is the following analysis.  The percentage changes from asset class to asset class are not as different as one might expect. This material is not available for publication elsewhere on the Internet. … [Read More...]

The Power of Asset Allocation

Photograph: River activity on the Rhine River With permission from a Platinum member, here are some statistic of a portfolio launched in early January of 2002.  At the close last week, this portfolio generated an annualized return of 8.1% vs. 4.8% for the VTSMX benchmark.  That 3.3% point difference on an annualized basis resulted in a $26,573 portfolio moving up to $47,235 over the … [Read More...]

400 Level

Maxwell Portfolio Update: 5 July 2012

Examining the Maxwell asset allocation below, we note that developed international and emerging markets are still priced below their respective 195-Day Exponential Moving Averages (EMAs).  We are also below target in commodities as we are waiting on a price rebound.  Exposure to growth stocks is accomplished by holding shares in the blend column. … [Read More...]

Playing Defense With The “Holy Grail” Portfolio

While there is no such thing as a "Holy Grail" portfolio, humor me for a few minutes and think of this simple seven ETF portfolio as a sound basic portfolio. The purpose of this post is to test how one might play portfolio defense and when is such a move necessary.  First, we take a look at the current QPP analysis for this seven ETF portfolio. Platinum membership is available for … [Read More...]