100 Level

Trading Is Hazardous To Your Wealth

Portfolio turnover is a problem for investors. It is a much larger problem than most realize. Swensen writes in “Unconventional Success,” “In an industry characterized by a long litany of shockingly dysfunctional behaviours the frenetic churning of mutual-fund portfolios stands near the top of the list. In 2002, the weighted-average turnover of equity mutual-fund portfolios … [Read More...]

Commodities: Second Thoughts On DBC

ITA Wealth Management readers know I am highly aware of costs and do everything to keep them low.  This includes seeking out commission free ETFs and one example is DBC, a commission free ETF available through TDAmeritrade.  However, the expense ratio of DBC is a very high 0.85% or 85 basis points.  Yes, it costs more to run a commodity ETF, but is this reaching the breaking point. … [Read More...]

300 Level

“Delta Factor” Update for Bonds

It has been several weeks since I posted information on the "Delta Factor" for bonds.  I don't pay a lot of serious attention to this information, but I do observe the projections to see if there are elements of interest.  In this post, Vale Capital II (CJS) stands out as a possibility.  I'm not familiar with CJS.  I recall a reader of this blog asked that … [Read More...]

Growth: Portfolio #5

Moving one step closer to increasing the projected return, this post is about the Growth Portfolio, number 5 out of 6 in this series.  Bond and income is reduced to 16% in this portfolio so it is definitely tilting toward the aggressive side of investing.  Two ETFs, BND and IEF are eliminated from this portfolio as we will concentrate our income holdings in TIP and TLT. Platinum … [Read More...]

200 Level

Portfolio Performance: 2 June 2012

The good news is that every portfolio improve with respect to the ITA Index, our customized index, and every portfolio with exception of the Schrodinger outperformed the VTSMX index fund.  The Schrodinger held even when compared to VTSMX.  On the downside, all portfolios with the exception of Gauss saw a decline in their IRR value.  This was not unexpected considering the lousy week … [Read More...]

Rethinking Asset Allocation

One of the primary reasons for developing a well-diversified portfolio is to reduce risk.  This blog will focus primarily on the U.S. Equities portion of the portfolio as we still recognize the importance of including emerging markets, bonds, international real estate, etc.  The question to be analyzed is whether or not to include all "Big Nine" asset classes or can we do as well if the number of … [Read More...]

400 Level

Risk-Parity Portfolio: What Is It And What Does A Risk Portfolio Look Like?

Reducing Risk Through Risk-Parity Risk-Parity: Have you heard of the term or seen reference to this style of portfolio construction?  Join the crowd if this is new to you, even though the Risk-Parity idea has been around for quite a few years.  Risk-Parity is an alternative approach to portfolio construction where assets are allocated based on risk rather than allocation according to … [Read More...]

Momentum-Optimization Analysis of Equity Oriented Portfolio

Momentum-Optimization Analysis In the prior blog post I analyzed a sample portfolio using Quantext Portfolio Planner (QPP).  In this analysis I will use the momentum-optimizer spreadsheet to come up with the efficient frontier, a ranking of the securities, and the "decision maker," a Buy-Hold-Sell recommendation table.  We first take a look at the efficient frontier graph to see where the current … [Read More...]