100 Level

Sample Portfolio Analysis

An ITA reader sent in the following portfolio for analysis.  Two funds, VXUS and VNQI, had short histories so the analysis is limited to 25 months of data.  Below is the QPP analysis and the correlation matrix for this group of holdings.  The S&P 500 is assumed to return 7.0% over the next six to twelve months. QPP Analysis:  Anytime a portfolio is projected to return approximately 100 … [Read More...]

How Would You Balance the Federal Budget?

If Congress were to ask you how to balance the federal budget, what suggestions would you pass on? Place your suggestions in the comment section below.   Photograph: Longboat Key - Sarasota, FL … [Read More...]

300 Level

Preservation of Principle

Tactical Asset Allocation for Newton Portfolio Holding on to the nest egg were my marching orders.  I did not stand in the way of these instructions for the Newton Portfolio.  With the market climbing as it has since early 2009, moving into cash makes some sense.  In an attempt to preserve capital, numerous trades took place in March and early April.  Selling off some asset … [Read More...]

Feynman Portfolio Study: Part 5

In Part 5 of the Feynman Portfolio Study I describe a method of "ranking" the assets in the Feynman Portfolio Asset List based on "Momentum". This results in a measure of  the "Relative Strength" of each asset. Platinum members and regular readers of this Blog will be familiar with the spreadsheets used in the analysis since Lowell uses them regularly. Top "ranked" assets are then chosen for … [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 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...]

400 Level

“King of the Mountain” Article by Rob Arnott

While Rob Arnott's "King of the Mountain" article is not a particularly easy read, Platinum members would be well served to spend time studying what he has to say about inflation, interest rates, and P/E ratios.  Without delving into all the t-tests and other statistics, extract the general gist of this article to gain a grasp on the current valuation of the market.  Is it … [Read More...]

Bullish Percent Indicators: 24 August 2012

Little changed this week in either the market or sector Bullish Percent Indicators.  Check for differences in the two tables shown below by looking at the last two numbers in each column. … [Read More...]