100 Level

William Bernstein’s Reading List

Checking out a recent Efficient Frontier post by William Bernstein, I ran across his recommended reading list of ten books.  If I may brag just a tiny bit, I've read #'s 1, 2, 5, 9, and 10.  Instead of #7, I read parts of Security Analysis.  Unless you are into stock picking, it can be eliminated. If you want to learn about kurtosis (mentioned in the EF article), may I … [Read More...]

Risk Management of Portfolio

Will your portfolio survive a three sigma event that is likely to happen over the next ten years?  Check out this link to see a sample analysis. … [Read More...]

300 Level

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...]

Feynman Portfolio Study: Part 6-6

In Part 6-6 I continue the Risk Management theme by applying the SHY momentum filter to the "Classic" 50% US Equity/50% US Bond Feynman Portfolio introduced in Part 4 of the Study. The performance of this portfolio is compared with the performance of the same portfolio with a 195 day EMA (ITARR) Filter (Part 6-2, Section 6.1.6) and with the "Dynamic" Feynman Portfolio with SHY Momentum Filter … [Read More...]

200 Level

Asset Allocation: Working With Optimizer

How does one combine the power of the Dashboard and the Hoadley optimizer when it comes to setting up an asset allocation plan for a portfolio.  ITA readers are familiar with the Dashboard as it is shown every time a portfolio is updated.  In this post I will explain how one might combine the Dashboard and Hoadley optimizer.  Since the Hoadley optimizer is confined to nine (9) asset classes, I've … [Read More...]

Euclid Portfolio Review: Major Asset Allocation Adjustment

What does the Strategic Asset Allocation plan look like for a portfolio built around the "New Portfolio" model?  Using the Euclid as a model, we move from having nearly all the asset classes in balance to a sea of blood with the new allocations.  Check out the Euclid Dashboard shown below. … [Read More...]

400 Level

Bullish Percent Indicators: 8 February 2013

Platinum members will note the market strengthened this past week.  How long can this continue?  I have no answer to that question.  Check out both index and sector screenshots.  There is one anomaly Staples) I will attempt to explain. … [Read More...]

“Delta Factor” Projections for Twenty ETFs

In response to a user request, below are the individual "Delta Factor" projections for twenty ETFs frequently used in one of more of the portfolios tracked here at ITA Wealth Management.  Neither the Delta or Delta Factor columns are heavily populated with green or Buy recommendations.  Five years of data were used so this puts the beginning period back in the middle of the last major bear … [Read More...]