100 Level

Exactly What Is The Momentum-Optimization Model?

Exactly what is the Momentum-Optimization Model (MOM) and how does it work?  The very first step in this process is to define what securities one wishes to use to build the portfolio.  This is easier managed and accomplished with index investments vs. selecting individual stocks.  For example, one is likely to choose VTI to always have some role in the portfolio whereas a well-known stock such as … [Read More...]

Broad Market Outlook Beginning to Show Cracks

As anticipated for a number of weeks, the broad U.S. Equities market is showing the first signs of cracking.  The following Bullish Percent Indicator tables provide the evidence. The following information is not available for publication elsewhere on the Internet. Broad Index BPIs:  All major indexes are now controlled by defensive teams as all show O's in the right-hand column when examined … [Read More...]

300 Level

Setting Constraints For Asset Classes and Individual Securities

In a recent blog I mentioned the importance of setting constraints on particular parts of the portfolio.  In this blog I'll go into more depth as to what I do when it comes to setting asset class and individual security constraints.  The reason for setting any constraints is to keep the optimizer in check so it does not run wild and create a nonsense portfolio.  The general idea is to provide some … [Read More...]

Portfolio Performance Data: 18 February 2012

All portfolios showed gains this week on an absolute scale, but the relative movement when measured against the different benchmarks was mixed.  The Kepler held par with respect to the VTSMX and picked up a few tenths of a percent on the ITA Index.  The Kenilworth pulled ahead of both benchmarks.  Seven of the eleven portfolios held their own or gained ground on the VTSMX.  … [Read More...]

200 Level

Portfolio Performance: 29 October 2011

This has been a great week for the ITA Wealth Management portfolios.  Not only did we see absolute gains for all portfolios, but there were many relative gains when measured against the VTSMX and ITA Index benchmarks.  Not every portfolio showed relative gains, but in general the Sortino and Retirement ratios increased in value.  Inflation held the same since last week.  While … [Read More...]

Merging The Swensen And Faber Portfolios

Swensen and Faber-Richardson Portfolios Merging the Swensen and Faber-Richardson portfolios is an effort to extract the excellent logic behind the "Swensen Six" portfolio and expand the number of asset classes as advocated in the "Faber-Richardson Ten" portfolio.  Parts of the logic behind the "Swensen Six" can be found in this Seeking Alpha article.  In … [Read More...]

400 Level

Bullish Percent Indicator Data

What we have in the following table is something called, major market Bullish Percent Indicators (BPI).  In this table I only included data from 2012.  Values coded with a red background indicate that the majority of companies are overbought and when the background is green, the majority of companies are oversold.  Nowhere in this table of major markets do we see an oversold … [Read More...]

NASDAQ: Watching The Signals Move Together

What are the connections between technical indicators such as Point and Figure (PnF), Exponential Moving Averages, Relative Strength Indicator (RSI), Moving Average Convergence Divergence (MACD), and Chaikin Money Flow (CMF)?  Platinum readers have seen many graphs of all but the PnF variety.  Do these technical signals reinforce each other so we can reduce portfolio risk.  Keep in … [Read More...]