100 Level

Ten Biggest Investor Mistakes – #3

  Wealth Management – Mistake #3: Many investors are too conservative at an early age. Don't load up your portfolio with bonds when you are in your twenties and you have forty years to save. Let me illustrate this mistake with a real example. Husband and wife saved identical amounts during their working years.  The wife’s savings were divided almost equally between … [Read More...]

Fama & French’s Three-Factor Model

This is a revision of a blog I posted over a year ago. In 1992, Fama and French broke out their three-factor model and changed the way we construct portfolios. Again, quoting from Hebner as to how the three-factor model advanced the relationship between return and risk as it relates to a portfolio. “The Fama/French model added two other fundamental determinants. Fama and French sought to … [Read More...]

300 Level

Newton Portfolio Review

While the Newton is not one of the original ITA Risk Reduction portfolios, I'm planning on moving to the Momentum-Optimization Model with this portfolio as the enhancement of the ITARR model seems to be working well with other portfolios. The following information is not available for publication elsewhere on the Internet. Efficient Frontier:  As the Newton is currently constructed the … [Read More...]

Einstein Portfolio Update: 1 February 2012

As with a number of the portfolios available to Platinum members, the Einstein is rounding into shape as most of the asset classes are in balance.  Only Small-Cap Growth (SCG) is above the 30% Threshold limit.  We don't pay much attention to Cash is it is almost always out of balance.  Emerging markets, while within the target or threshold limits, is a little low so I have a … [Read More...]

200 Level

Low Risk Retirement Portfolio

Yesterday, I wrote an article for Seeking Alpha and one reader suggested a simple portfolio where equal percentages be allocated to VTI, GLD, SHY, and TLT.  Exactly what does such a portfolio look like when a Quantext Portfolio Planner (QPP) analysis is applied?  What does the correlation matrix look like and would such a portfolio work as one prepares for retirement?  The following … [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

Risk Parity Analysis of Modified “Ivy-10″ Portfolio

When investors populate their portfolios with stocks or equity ETFs, it is easy to forget just how exposed the portfolio is to risk.  The following analysis is a reminder of the high risks we take when constructing portfolios.  To know a little more about Risk Parity, check out this link. … [Read More...]

ITA Ratio*: What Is It Telling Us?

The three classical portfolio performance measuring instruments, all rooted in the Capital Asset Pricing Model (CAPM) are: the Sharpe ratio, the Treynor ratio, and the Jensen's alpha.  The most popular of these performance instruments is the Sharpe ratio so let's take a closer look at it, particularly since it is similar to the Sortino ratio. Sharpe ratio (SR) = (P - R)/SD … [Read More...]