100 Level

The Case of Equity Correlations

Readers following the various portfolios may have reservations about eliminating particular asset classes, particularly mid- and small-cap blend as represented by VO and VB.  Why sell off these asset classes?  The reason is the high correlation between the asset classes as you can see from the following screenshot.  The first nine ETFs cover the "Big Nine" U.S. Equity asset classes, and they are … [Read More...]

Suggestions On How To Use ITA Wealth Management

  Using This Blog Getting started in a blog as complex as ITA Wealth Management takes time for a new user, particularly a Platinum member.  Here are a few hints that will benefit all users. When you first log on, check the Comments section to see if any new additions were posted since you last connected. If you are signed up for the RSS for Comments, then you will be notified via … [Read More...]

300 Level

The Art and Science of Portfolio Construction

Basic investment principles require long-term portfolios exhibit the following characteristics. 1.  Equity orientation. Equity orientation includes high-expected return ETFs such as VTI, IWN, VTV, VOE, VOT, VBR, VBK, etc. 2.  Diversification over the entire world market. International exposure is possible through ETFs such as VEU, EFA, VWO, EPP, etc. This blog post is not … [Read More...]

Portfolio Performance and Benchmarks

A few days ago there was a brief discussion concerning portfolio performance as it related to the ITA portfolios.  The question raised was, why are so many ITA portfolios lagging the VTSMX index fund?  The fundamental answer is that the VTSMX is not an appropriate benchmark unless the portfolio is only made up of U.S. stocks.  Note that VTSMX is comprised of stocks in the U.S. Equity market where … [Read More...]

200 Level

Portfolio Performance Update: 9 June 2012

Nearly all eleven portfolios gave up the gains of last week as both international markets (developed and emerging) "popped" a few days this week.  As might be expected, the Schrodinger maintained its stable performance as the asset classes are in balance and we are not using any type of Tactical Asset Allocation with this portfolio.  As a reminder, the Schrodinger is our best … [Read More...]

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...]

400 Level

Delta Factor of International ETFs

Readers interested in equity and bond "Delta Factor" projections will find the following international "Delta Factor" data table of interest.  For this set of ETFs, the reference or standard upon which the results are tested is the international iShares, EFA. I used three years of data to reduce the number of "short records."  Only the two Indonesia ETFs … [Read More...]

Retirement Ratio: Portfolio Performance and Uncertainty Measurement

What is the Retirement Ratio (RR)?  I never heard of such a ratio, at least as it is defined below.  Before going into an explanation, let me digress and address similar ratios.  Portfolio performance measurements that combine both return and risk are readily available to investors.  The Sharpe ratio is perhaps the best known "efficiency ratio" where it measures the … [Read More...]