100 Level

Go With Index Funds

Flee Actively Managed Mutual Funds Let me quote extensively from Ferri's "Power of Passive Investing" book. "In every asset class, the odds of beating index funds are low, and the payout for being right is well below what a fair payout should be.  The only conclusion one can draw from this data is that active management cannot compete against passive management in any … [Read More...]

“The Power of Passive Investing”

"The Power of Passive Investing" is the title of Richard A. Ferri's latest book. My copy arrived yesterday and I will be writing and amplifying on certain topics over the next few weeks and likely into the new year. It is a book filled with excellent ideas. A principle thrust of the book is one of pitting passive investing up against active investing or active portfolio management. … [Read More...]

300 Level

Optimized Portfolio Using Core ETFs

As mentioned in the last post, I'm working on an optimization worksheet that connects directly with Quantext Portfolio Planner (QPP).  The following analysis is the result of optimizing the Return/Risk to its maximum setting using the array of ETFs shown below.  As one might expect, forcing the Return/Risk ratio to its maximum setting vs. a more modest 0.60 results in a concentration of the … [Read More...]

Examining Equity Markets Using the “Delta Factor”

Read this article as it supports the findings of the "Delta Factor" probability projections shown below.  To learn more about the Gordon Equation, search that term on this blog. Which equity ETFs have the greatest probability of doing well over the next six to twelve months?  The following analysis looks at both a three- and five-year history of a variety of equity ETFs.  … [Read More...]

200 Level

Portfolio Performance Data

Portfolio Performance Data Table Below is the weekly update for portfolio performance. If you are comparing SR and RR values from past weeks, there are some major shifts in the values as I corrected a bug in the semi-variance calculation. Some of those corrections took place last week, other changes were made this week. I still need to do some close "desk checking" as there are still … [Read More...]

Three Asset Class Portfolio

Suppose someone told you to build a portfolio, but the upper limit of investments was three.  You could pick three stocks, three mutual funds, three ETFs, or any combination of three investments.  What three investment vehicles would you select, and why would you pick these three? None of us wants to be limited to only three investments, but that is the challenge of this … [Read More...]

400 Level

What Is A Good Sortino Ratio?

Seeking a Good Sortino Ratio A reader of ITA Wealth Management was seeking an answer to the question, what is a good Sortino Ratio?  The simple and quick answer is - anything above zero.  Check this definition of the SR.  While the equation is quite simple, the difficulty comes in calculating the denominator. SR = (P - T)/DR where P is the portfolio return T is a portfolio … [Read More...]

Projected Blood In The Street For Equities Using Three Years Of Delta Factor Data

If you are looking for Blood In The Street, look no further than the "Delta Factor" projections for an array of equity ETFs.  Keep in mind that the following projections are reversion-to-the-mean calculations and when one has witnessed a powerful bull market as we experienced since March of 2009, it will not come as a surprise to readers that future projections are unlike to … [Read More...]