100 Level

Trading Is Hazardous To Your Wealth

Portfolio turnover is a problem for investors. It is a much larger problem than most realize. Swensen writes in “Unconventional Success,” “In an industry characterized by a long litany of shockingly dysfunctional behaviours the frenetic churning of mutual-fund portfolios stands near the top of the list. In 2002, the weighted-average turnover of equity mutual-fund portfolios … [Read More...]

Commodity Holdings: DBC vs. DJP

Faber and Richardson recommend using DBC as the commodity holding in their five and ten ETF portfolios.  I favor DJP, an Exchange Traded Notes (ETN) as the commodity placeholder.  Readers can look up the difference between and ETF and ETN on the Internet.  How do these two commodity holdings compare over a time duration of interest.  Since commodities have a rather short … [Read More...]

300 Level

Kepler Portfolio Update

Below is the Dashboard or asset allocation plan for the Kepler Portfolio.  Readers will note a number of asset classes are either above target (bright red) or below target (purple).  I've made some shifts in the Strategic Asset Allocation and those shifts are the primary reasons this portfolio needs so much attention.  In a number of cases, limit orders are in place to purchase … [Read More...]

Pre-Examination of Maxwell Portfolio

Tomorrow is the examination date for the Maxwell Portfolio, one of the ITA Risk Reduction model candidates.  The asset allocation plan (Dashboard will be available tomorrow) for the Maxwell is a little different than it is for "mainstream" portfolios such as the Newton, Euclid, and Schrodinger.  The allocation plan is skewed toward small-cap value and emerging markets.  … [Read More...]

200 Level

Sixteen Asset Classes: The Basic Portfolio

More Asset Classes Are Not Enough TLH Spreadsheet users are familiar with the sixteen (cash is excluded) asset classes used with most of the larger ITA Wealth Management portfolios.  Below is what I call the Basic Portfolio as standard ETFs are used to populate the different asset classes. Despite all the asset classes being populated with nearly equal percentages, there is something … [Read More...]

Bond Free Portfolio

Investors wary of the bond market should take a look at this portfolio.  Several goals are on the horizon when building a portfolio.  My preference is to see a projected return exceed that projected for the S&P 500 by 100 basis points.  The second goal is to bring the projected standard deviation in under 15%.  The following portfolio manages to do that without allocating anything to SDS, the … [Read More...]

400 Level

VNQ: A Look At The Technical Indicators

Vanguard's REIT ETF, VNQ, is part of every portfolio I track and due to its importance merits close attention. I track a number of technical indicators for each ETF in the portfolios and here are a few of them. One of the first metrics I examine is my own "Delta Factor" which is a reversion-to-the-mean projection of how well an ETF is expected to perform with respect to the broad … [Read More...]

ETF Evaluations In Preparation for Euclid Risk Reduction Analysis

At the close of the market tomorrow (1/12/2012) I will examine the relative price of each ETF used in Euclid and compare it with its 195-Day EMA.  For example, in the slide shot below the price of VTI is well above its 195-Day EMA.  The ITA Risk Reduction model calls for holding a full position in VTI.  Checking the Euclid moments ago, Large-Cap Blend (VTI) is slightly over target … [Read More...]