100 Level

ETF Screener

Here is a useful link to an ETF screening site. I will place a link to it over on the right-hand edge so if you lose the link you will always know where to find it. … [Read More...]

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...]

300 Level

Bohr QPP Projections

Using current ETF percentages held in the Bohr Portfolio, what are the Quantext Portfolio Planner (QPP) projections indicating for the next several months?  The S&P 500 is assumed to grow at 7.0% over the next year.  In the prior blog post, I showed the Efficient Frontier graph, and it presents a somewhat defensive portfolio.  This QPP projection shows much the same expectation going … [Read More...]

Schrodinger Portfolio Update

No changes occurred within the Schrodinger this last month other than payment of a few dividends.  This is the boring, passively managed portfolio that has been in operation since late 2000.  Platinum readers can see this is a growth oriented portfolio with only 15% allocated to the bond and income asset class.  We do derive income from our REITs holdings, both domestic and … [Read More...]

200 Level

Portfolio Performance: 4 November 2011

Below is the performance table for the 21 portfolios tracked here at ITA Wealth Management.  SR is the Sortino Ratio, IR represents the Information Ratio, and RR is our own Retirement Ratio.  I'm still in catchup mode so a number of portfolios are not current.  I will be working on updating all portfolios next week.  Readers will note the portfolios tracked using Captool … [Read More...]

Retirement Planning: Closer Than You Think

Too many young folks think retirement is so far in the future it does not merit current attention.  From experience I can tell you that retirement arrives sooner than you realize, particularly if you are not properly prepared.  Once more, check out The Golden Rule of Investing.  If I want to scare myself into saving more I reread the following William Bernstein quote. "Each dollar you do not … [Read More...]

400 Level

The “Delta Factor” of International Markets

Using the last three years of data, what is the "Delta Factor" telling us about the international markets. Platinum membership is available for $5.00 per month. … [Read More...]

Bond “Delta Factor” Summary

As promised, below is a screen shot of a "Delta Factor" data table for AGG, BIV, BSV, HYG, JNK, IEF, TLT, and TIP.  The reference bond ETF I use in this analysis is BND.  I've done almost no testing with bonds so I don't know the quality of the predictive powers when it comes to bonds. … [Read More...]