100 Level

The Simple Six Swensen Portfolio

Amid all the discussion of various technical indicators resides a simple six-asset portfolio advocated by David Swensen.  The six asset classes are: U.S. Equities, Developed International Markets, Emerging Markets, REITs, Treasury Bonds, and Treasury Inflation-Protected Securities.  That's it.  Six ETFs will provide global coverage. The following slide shows the Quantext … [Read More...]

Risk Management: How To Reduce Losses

On page 167 of Mebane T. Faber and Eric W. Richardson's book, "The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets" we read, "Our research has shown that returns are lower and volatility is higher when asset classes are below the 10-month moving average."  What investor is not interested in reducing portfolio volatility while increasing returns.  And possibly more … [Read More...]

300 Level

Pfizer: An Analysis

One of the stocks recommended by a Platinum member for analysis was Pfizer (PFE).  Pfizer is one of those companies many investors hold as a cornerstone stock.  Similar to JNJ and PG, PFE is a mega-cap stocks so we don't expect to witness unusual growth over the next few years.  These very large cap stocks tend to grow or shrink with the general economy, and that is what you will see in the … [Read More...]

“New Normal” Portfolio Revised

Photograph:  Cape Mears Lighthouse.  This is the lighthouse that was shot up by vandals a few years ago.  Although repairs were made, the lighthouse will never be the same as Fresnel lenses of this size and quality of glass are irreplaceable. The creator of the "New Normal" portfolio sent me the latest holdings so here is the revised Quantext Portfolio Planner (QPP) … [Read More...]

200 Level

Smartest Low Risk Portfolio

This is the first of four portfolios that run from low risk to high risk or aggressive growth.  One Quantext Portfolio Planner (QPP) analysis is already available on the Internet at Seeking Alpha for a medium risk portfolio.  That is the fifth portfolio in this series of analysis.  In the following example, I make a few changes in the ETFs as I prefer using the low-cost Vanguard … [Read More...]

Optimization Correction For 12 ETF Portfolio

Here are the following assumptions I used to create the portfolio shown below.  1)  The S&P 500 is assumed to grow at 7% per year.  This percentage is adjusted by setting the Delta Return to -3.3% inside the QPP software.  2) I used five years of data running from 2/6/2008 through 2/6/2013.  3) The Solver Parameters are listed below. The following material is not available for publication … [Read More...]

400 Level

Asset Allocation: Why Select This Mix of ETFs?

Gauss is the newest portfolio launched (12/27/2011) here at ITA Wealth Management.  While the annualized performance is a respectable 25%, it still lags both the VTSMX and ITA Index benchmarks as it took time to populate all fifteen equity and bond asset classes.  The broad market was in a positive mood during the launch phase and as a result, the portfolio fell behind the … [Read More...]

Bullish Percent Indicator Update

In the Bullish Percent Indicator data table below, I want to draw your attention to several features.  1) Look at the latest data in the 06/01/12 row.  The left-hand number, 46.62, is the most important as that indicates the percent of stocks in the NYSE that are generating a bullish PnF graph. [Next time I will include the headers or titles in the screen shot.]  That percent … [Read More...]