100 Level

Schrodinger Portfolio Faces Off Against Similar DFA Asset Allocation

The Schrodinger Portfolio is our premier passively managed portfolio that has been operational since 12/01/2000.  Looking back over the past five years (6/29/2007 - 6/29/2012), how well has this portfolio performed when compared to a portfolio made up of DFA mutual funds with a similar asset allocation plan?  The results are rather stunning in favor of the Schrodinger. Schrodinger … [Read More...]

Diversify – Diversify – Diversify

If you have questions why the portfolios tracked here at ITA Wealth Management include so many asset classes, just read the referenced article, “The Benefits of Low Correlation.” After reading this article, I had second thoughts about allocating only 5% to commodities. However, 5% should be adequate due to our emphasis on value and small-cap stocks as well as participating in … [Read More...]

300 Level

Sortino Ratio Update

Investors using the TLH spreadsheet and in particular, the SR worksheet, will find this video/audio clip a refresher in updating the Sortino and Retirement ratios. One of the first changes to make in the calculation is to update the inflation rate. The latest data shows inflation moving from 1.1% to 1.2%. Readers can find this information on a site titled, U.S. Inflation Calculator. In the … [Read More...]

Optimization of Stock Portfolio

Now we take the same list of stocks as used in the prior blog post, only this time I optimized the portfolio by requesting for a maximum Return/Risk ratio.  In the first screenshot readers will see the QPP analysis.  In the second slide, note the correlation matrix and in the third I show the constraints placed on the portfolio of stocks. QPP Analysis:  The following asset allocation gives up … [Read More...]

200 Level

Active vs. Passive Investing: Part 7

Section Seven of the "Active vs. Passive Investing" article is sumarized the following paragraph. "Some indexers never claim passive investing gives superior returns. They claim only that active investors do better than the benchmark some of the time, and worse some of the time, while passive investing gets rid of that risk by equaling the benchmark every time. They admit some … [Read More...]

Portfolio Performance: 20 May 2011

While nearly every updated portfolio lost a little ground in absolute terms, all gained when compared to either the customized ITA Index, the Vanguard Total Market Index Fund (VTSMX), or one of the two uncertainty or risk ratios.  Absolute terms means that the Internal Rate of Return (IRR) of the portfolio declined.  While this is important, the relative measurements are more significant … [Read More...]

400 Level

What Is A Good Sortino Ratio?

Seeking a Good Sortino Ratio A reader of ITA Wealth Management was seeking an answer to the question, what is a good Sortino Ratio?  The simple and quick answer is - anything above zero.  Check this definition of the SR.  While the equation is quite simple, the difficulty comes in calculating the denominator. SR = (P - T)/DR where P is the portfolio return T is a portfolio … [Read More...]

Two Bullish Percent Indicators Hand Ball To The Offense

Upward movement in the broad markets brought about a ball exchange in two of the six indexes.  Platinum members have access to the table below.  … [Read More...]