100 Level

Equity ETF “Delta Factor” Projections: Three & Five Years

What are the projections for Equity ETFs using three and five years of historical data?  The projections based on five-years of historical data spans the "Great Recession of 2008" while the three-years of historical data includes one of the better bull markets of recent memory.  With this historical context, we can almost visualize the projections for the following "Delta Factor" data tables.  … [Read More...]

Portfolio Construction the ITA Way

David Swensen writes in his "Unconventional Success" book, "Construction of a financial-asset portfolio involves full measures of science and art.  The science encompasses the application of basic investment principles to the problem of combining core asset classes in an efficient, cost-effective manner.  The art concerns the use of common-sense judgment in the challenge of incorporating … [Read More...]

300 Level

“Creme List” for July 15, 2011

Photograph: 1954 Plymouth Three new stocks broke into the elite list this week and none were eliminated.  This makes the largest number (26) of stocks ever assembled on the "Creme List," if memory serves correctly.  The latest "Creme List" of stocks are located on the far left column of this new database.  Platinum membership available for $5.00 per … [Read More...]

“New Normal” Portfolio Analysis

Nearly three months passed since I last ran an analysis on the "New Normal" portfolio. At that time the projected return was 7.7% when I assumed the S&P 500 would return 7.0% over the next year.  The projected uncertainty was a modest 13.1% giving a Return/Uncertainty ratio of 0.58.  This portfolio is well diversified and it shows with a Diversification Metric (DM) of … [Read More...]

200 Level

Retirement Planning Mistake #2

As a young boy my parents read to me every night and Aesop's fables were frequently on the menu.  I still recall the ant and grasshopper story where the ant was busy in the summer preparing for the winter while the grasshopper wasted time foolishly.  The picture from the fable that still lingers is that of a frozen grasshopper the following winter.  That story is fundamental to The Golden Rule of … [Read More...]

Risk Reduction Portfolio: A Potential Asset Allocation Plan

Bob Warasila, author of the "New Normal" portfolio, sent me an asset allocation plan that is worth sharing with Platinum members.  This Risk Reduction Portfolio differs slightly from one I recently posted over on Seeking Alpha in that this portfolio has a small exposure to precious metals and it also includes on stock.  In the following three screen shots readers will find the … [Read More...]

400 Level

Tilting the Portfolio With Help From the “Delta Factor”

In an earlier post I made the case for using the "Delta Factor" as a "tilting" model.  Since market timing is generally considered to be a losers game, is there use for a probability argument as to when it makes sense to overweight a particular asset class, assuming the investor is constructing a portfolio based on a Strategic Asset Allocation plan?  In the prior post … [Read More...]

Stress Testing the Kepler Portfolio

Next week the Kepler Portfolio is up for review.  In advance of that update I am running what I call a "stress test" assuming this to be your retirement portfolio.  Given a set of assumptions laid out in the first slide, would this portfolio last through retirement? Here we have a 40 year-old who plans to retire in 2040 at age 68.  Having already saved $200,000 and planning to put away another … [Read More...]