100 Level

What Is A Good Sortino Ratio?

Before answering the above question, one needs to know what the Sortino Ratio is measuring.  Here is the Wikipedia definition.  To keep this idea as simple as possible, write down the equation, S = (R - T)/DR.  S = Sortino Ratio. The R is the Internal Rate of Return (IRR) for the portfolio.  If you are using the TLH Spreadsheet*, the IRR is calculated for you by the Excel™ SS. T is the … [Read More...]

Kenilworth Portfolio Update: 24 October 2012

The one change I made since posting the following screen shots was to sell shares of DBC, the commodities holding.  The current price of DBC is below its 195-Day EMA and since this is one of the ITA Risk Reduction (ITARR) model portfolios, a sell was necessary.  I held 25 shares of DBC and I sold 20 shares.  The remaining 5 shares were left in the portfolio so I will have an ongoing calculation … [Read More...]

300 Level

“Creme List” – 24 June 2011

Twenty stocks made the "Creme List" this week.  There were no new-comers and no stocks were purged from the list.  That will happen in a few weeks if some companies do not make a comeback.  Examine the "Creme List" for stocks of interest.  Note that only one is priced to purchase despite the market decline this week. … [Read More...]

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...]

200 Level

Performance of Portfolios: 23 December 2011

Portfolio Performance Data Once more, the ten portfolios had a good week in an absolute sense, but most gave up some gains when measured against the VTSMX benchmark.  The numbers are telling me that the U.S. Equities market is stronger than the international markets.  Global exposure is a drag on these portfolios as we hold EFA, EPP, VEU, VWO, and RWX.  When updating the values, … [Read More...]

Portfolio Performance Update: 7 September 2012

It has been nearly a month since I last posted a Portfolio Performance data table.  The general overview for the eleven portfolios is that all gained absolute ground during the month of August, but nearly all lost relative ground to the ITA Index and VTSMX benchmarks.  There were a few exceptions. … [Read More...]

400 Level

Bonds and Income ETFs: Does It Make Sense To Include In Portfolio?

For several years word on the street was that interest rates would rise and bonds would fall in price.  That has not happened and all the "bond Eeyore's" have been wrong, including me.  With interest rates as low as they now are when will we see a turn?  According to the FED, interest rates will remain low so long as unemployment remains high.  That is the current correlation. What is the outlook … [Read More...]

“Delta Factor” Equity Projections

Photograph: Fish trap used to catch juvenile salmon and steelhead that are making their way to the ocean. A recent question regarding whether or not VWO is a buy or a sell prompted me to run a Quantext Portfolio Planning (QPP) analysis on my list of equity ETFs.  Below is the the "Delta Factor" projection data table showing the five ETFs that have the greatest probability of doing … [Read More...]