100 Level

Risk Management: How To Reduce Losses

On page 167 of Mebane T. Faber and Eric W. Richardson's book, "The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets" we read, "Our research has shown that returns are lower and volatility is higher when asset classes are below the 10-month moving average."  What investor is not interested in reducing portfolio volatility while increasing returns.  And possibly more … [Read More...]

The Asset Allocation Hoax

Prominent asset allocation critic, William Jahnke, titled his 1997 attack on the Brinson et. al. (BHB) papers, “The Asset Allocation Hoax.” Jahnke’s criticisms of the two papers are many. He argues the authors do not focus on the proper problem, they report the wrong number, cost is not considered, and they give the wrong advice. To better understand the problem, here is the … [Read More...]

300 Level

QPP Analysis of Conservative Portfolio

One of the services for Platinum members is to run an evaluation of their portfolio, and this is such an analysis.  Readers will see the Quantext Portfolio Planner (QPP) projections for a portfolio that holds several Canadian ETFs.  One note of interest.  The VSB.TO does not have a three-year record, so that will skew the results, particularly since 20% of the portfolio is allocated to that … [Read More...]

Bonds and Income ETFs: Does It Make Sense To Include In Portfolio?

For several years word on the street was that interest rates would rise and bonds would fall in price.  That has not happened and all the "bond Eeyore's" have been wrong, including me.  With interest rates as low as they now are when will we see a turn?  According to the FED, interest rates will remain low so long as unemployment remains high.  That is the current correlation. What is the outlook … [Read More...]

200 Level

Portfolio Performance Update – 5/6/2011

In the table below readers will find portfolio performance data for 20 portfolios.  Ten are tracked using Captool software and ten are monitored and managed using the TLH Spreadsheet.  The IR column is the Information Ratio value.  SR and RR are Sortino Ratio and Retirement Ratio respectively.  The higher the ratio value the better. Keep in mind that the May dividends for HYG, … [Read More...]

Portfolio Performance: 1 April 2011

Below is the Performance - Uncertainty data table for April 1, 2011.  In the process of updating the table, I focus on the changes in Sortino Ratio (SR) and Retirement Ratio (RR) as those values combine both return and uncertainty for each portfolio.  Since the last update, four (4) portfolios showed gains in the Return/Uncertainty ratio while three (3) showed losses and three (3) came … [Read More...]

400 Level

What Is A Good Sortino Ratio?

Before answering the above question, one needs to know what the Sortino Ratio is measuring.  Here is the Wikipedia definition.  To keep this idea as simple as possible, write down the equation, S = (R - T)/DR.  S = Sortino Ratio. The R is the Internal Rate of Return (IRR) for the portfolio.  If you are using the TLH Spreadsheet*, the IRR is calculated for you by the Excel™ SS. T is the … [Read More...]

Top Ranking ETFs For Week of April 26, 2013

Using three-month, six-month, and volatility data, the following table ranks the top 40 ETFs we use to populate most portfolios.  Many of these ETFs are commission free securities for TDAmeritrade clients.  Pay attention to both the ranking and momentum percentage. The following material is not available for publication elsewhere on the Internet. … [Read More...]