100 Level

Correlations Are Impacted By Weight Assigned To Securities

Photograph: Garden train layout designed by Tom Bishop of Denver, CO. The following two asset allocation plans are only presented to illustrate the fact that correlations between securities, when combined in a portfolio, will vary when the weight is changed.  In the first portfolio, equal weights (10%) are assigned to each ETF, and the following table shows the correlation matrix.  Pay attention … [Read More...]

Sample Portfolio

In response to a request from a Platinum member, I ran the following analysis of seventeen investments with the associated percentages.  For assumptions, I used the most recent three years of data and I projected the S&P 500 would return 7.0% over the next year.  As readers can see, the projected return is 7.2% or a little higher than we expect from the S&P 500.  The … [Read More...]

300 Level

Tweaking the Five-Asset Class Portfolio

"Holy Grail" Portfolio Investors will find this simple portfolio of great interest.  I tweaked the percentage allocations and inserted Vanguard ETFs where appropriate. Vanguard and iShares ETFs track each other so that was not the key factor in coming up with this portfolio. Readers will note that I have the hedge ETF, SDS waiting in the wings. I will try to remember to post … [Read More...]

“Delta Factor” Changes Over Last Week

How are the "Delta Factor" projections altered after a positive week in the market?  To answer this question, I listed many of the ETFs used in various portfolios and ran the analysis for two different time frames.  The first screen shot shows the Delta and Delta Factor from 10/3/2007 through 10/3/2011.  The second screen shot captures the data from 10/10/2007 through … [Read More...]

200 Level

Rebalancing Portfolio: Blending Dashboard and Optimizer

Now that an optimizing tool is available, how does one rebalance a portfolio by combining the output of an optimizer with the Dashboard guidelines?  The larger topic is one of asset allocation so I will start with the following Dashboard that defines an asset allocation plan. Dashboard:  Assume the following Dashboard lays out the Strategic Asset Allocation plan for a portfolio.  Only pay … [Read More...]

Performance of Portfolios: 23 December 2011

Portfolio Performance Data Once more, the ten portfolios had a good week in an absolute sense, but most gave up some gains when measured against the VTSMX benchmark.  The numbers are telling me that the U.S. Equities market is stronger than the international markets.  Global exposure is a drag on these portfolios as we hold EFA, EPP, VEU, VWO, and RWX.  When updating the values, … [Read More...]

400 Level

Bullish Percent Indicators: 14 September 2012

What a great week for investors!  The Bullish Percent Indicators reflect the strong market, as one might expect.  The question now facing us is, how do we protect profits and can we look forward to a 10% correction?  The negative can wait.  Let's enjoy the week and focus on the positive results. … [Read More...]

ETF Rankings as of 24 July 2013

VCR moved IWN out of first place due to market movements yesterday.  While I do not hold full positions in DBC in any portfolios, I am paying attention to this commodity as it is showing strong momentum. … [Read More...]