100 Level

Nine Critical Investment Decisions

1.0             Nine Critical Investment Decisions 1.1               The Decision to Save 1.2              The Go-It-Alone or Professional Manager … [Read More...]

Fama-French Three Factor Model

Have you ever asked yourself, why are all the asset allocation plans for the various ITA Wealth Management portfolios tilted toward the value side of the investing spectrum and why are they skewed toward smaller cap size?  If you are a new reader, the reason is based on research by Eugene Fama and Kenneth French.  Their work is known as the Three-Factor Model.  Here are the three … [Read More...]

300 Level

Swensen Six: Comparing Optimizers

Using the simple Swensen Six, the following analysis compares the QPP and Hoadley optimizers when no constraints are applied.  The recommendations are quite different.  In both situations I used five years of historical data and assumed the market would grow at 7% annually. First, let's look at the QPP optimization.  With not constraints applied, the QPP recommends 100% of the portfolio be … [Read More...]

Kepler Portfolio Review: 15 February 2013

Normally, portfolio reviews are spread out over the month, but I got behind while on vacation so that is the reason for the second update today.  As with the Curie, I will show the current Dashboard or asset allocation plan.  Then I will present the optimization plan including all the constraints.  First the current condition of the Kepler. … [Read More...]

200 Level

Portfolio Performance Data: 10 August 2013

  What happened since the last portfolio performance back in late July?  The results are mixed and the changes were slight as one might expect. Portfolios that gained ground on the ITA Index were: Curie, Einstein, Maxwell, Euclid, and Madison.  The Newton, Schrodinger, Kenilworth, and Kepler held even and only the Bohr and Gauss lost ground.  Keep in mind that not all dividends have … [Read More...]

Alternative Investment Vehicles to Suggested Index Funds

What are the alternatives one might use to those suggested by Solin in his recent book, "The Smartest Portfolio You'll Ever Own."  The reason for seeking alternative investments is two fold.  1)  We seek ETFs that have historical records of at least three years.  This is so we can run Quantext Portfolio Analysis (QPP) on the portfolios.  2)  When … [Read More...]

400 Level

New Feature: ETF Evaluation Model

ETFs Positioned to Buy The following data table is something new, although I did mention the possibility I would be putting together such an ETF evaluation.  In the following table I've combined a number of variables such as the 195-Day EMA and Chaikin Money Flow and quantized them into a percentage that you see in the right-hand column.  Platinum membership available for $5.00 per … [Read More...]

Sortino Ratio

Sortino Ratio: Calculation Steps Calculating the Sortino Ratio is not too difficult assuming you have historical data for the Internal Rate of Return (IRR) of the portfolio and the IRR for a benchmark. Here at ITA Wealth Management our primary benchmark is Vanguard's Total Market Index Fund, or VTSMX. Eventually we plan to move to the ITA Index, a customized benchmark for each portfolio. In … [Read More...]