100 Level

Is There a Holy Grail of Investing?

Robert A. Haugen, author of The New Finance, posits there is a "holy grail" of investing. In the first pages of the edition I recommend, he launches into the “celebrated” Fama & French study. He points out the F&F study was voted as the best article published in the Journal of Finance in 1992 by the widest margin in history! Here are a few details of how the study … [Read More...]

Are Optimizers Anything But Error Maximizers?

Mean-Variance Optimization "Mean-variance optimization presents an illusion of precision that is seductive but generally fallacious and even dangerous."  So writes Richard O. Michaud in his book, Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.  Harold R. Evensky provides this MVO warning.  "In spite of my strong defense of Markowitz's … [Read More...]

300 Level

“New Normal” Portfolio Revised

Photograph:  Cape Mears Lighthouse.  This is the lighthouse that was shot up by vandals a few years ago.  Although repairs were made, the lighthouse will never be the same as Fresnel lenses of this size and quality of glass are irreplaceable. The creator of the "New Normal" portfolio sent me the latest holdings so here is the revised Quantext Portfolio Planner (QPP) … [Read More...]

New Normal Portfolio Revisited

Nearly two years ago, the New Normal Portfolio was launched by one of the ITA clients.  If you have been reading the comments, you know this is a defensive oriented portfolio.  Below is the latest QPP data on the NN.  The projected Return/Uncertainty (or Risk) is 0.57.  As I recall, when this portfolio was established two years ago, the ratio was well above 0.60.  The … [Read More...]

200 Level

Index Funds Advisors Asset Class Comparison: Examining The Big Return vs. Risk Picture

Index Funds Advisors Asset Class Comparison:  As promised yesterday, the third video talk from Index Funds Advisors is located at this URL.  Mark Hebner provides the large picture of the relationship between return and risk.  If you missed the first two presentations, go back to this blog entry to pick them up.  While you are on the IFA web site, I recommend each reader take … [Read More...]

Steady As She Goes With The Schrodinger

Investors looking for a well-diversified no-nonsense portfolio need look no further than the Schrodinger Portfolio.  This passively operated portfolio was launched in late 2000 so it has been operational during the "lost decade."  The Sortino Ratio for the Schrodinger is a very high 10.4 and the yield is a respectable 2.3%.  Readers will note the strong tilt toward … [Read More...]

400 Level

Retirement Portfolio: Part Three

Part three of this series of retirement preparations shows how one might optimize the array of ETFs presented in the earlier two blog posts.  In the following screen shot I set up a number of constraints and one was to hold the Diversification Metric to the 40% standard.  I also included BND, Vanguard's Total Bond ETF in the mix of investments.  Even by forcing none of the bonds to hold more than … [Read More...]

International ETFs: Are There Any Potential Buys?

Two days ago I ran an analysis on domestic ETFs to see if there were any buying opportunities.  The following is a similar Quantext Portfolio Planner (QPP) analysis of international ETFs.  As readers will see in the "Delta Factor" projection table, there are a few buying opportunities. … [Read More...]