100 Level

Portfolio From Hell

Perhaps the title is too strong, but why would any advisor or organization recommend the following array of expensive ETFs in the following configuration.  It is not unusual for me to run an analysis on a portfolio I find on the Internet.  In the analysis process, I hope to learn about a low correlated ETF or a combination of assets that show a high projected Return/Uncertainty.  … [Read More...]

“Seeking Alpha” Portfolio

The following portfolio is one mentioned by a "Seeking Alpha" reader.  It is unlikely the percentages are used as shown in the following analysis as I assigned nearly equal amounts to each of the eight ETFs.  Note the projected return is 8.64% but the projected uncertainty is a very high 18.5%.  This gives rise to a Return/Uncertainty ratio of 0.46 or much lower than our … [Read More...]

300 Level

“Delta Factor” Projections Merit Caution

This morning I ran into the following article, "Billionaires Dumping Stocks."  Heavy hitters, including Buffett, are shedding U.S. Equity stocks.  After reading this article I thought it prudent to run a "Delta Factor" analysis on a basic portfolio of 20 ETFs.  Platinum readers will find the QPP analysis below and the "Delta Factor" projections for 13 equity and seven bond ETFs. … [Read More...]

“Holy Grail” List of ETFs for Momentum-Optimization (MOM) Portfolio

Readers who have been following The Feynman Study will be interested in this list of ETFs that can potentially be used to build a "momentum" style portfolio.  What I've done is to include the 18 ETFs from the Feynman Study, add four sector ETFs that currently outperform both SHY and VTI, and included a few options that might be useful in a bear market.  If you missed some prior references related … [Read More...]

200 Level

Portfolio Performance: 28 January 2011

Portfolio performance and risk is what it is all about, and here are the results as of 1/28/2011.  Nearly all portfolios gained on either the ITA Index or VTSMX benchmarks.  Several portfolios also showed improvement in the Sortino and Retirement Ratios.  Since today is the last business day of January, all portfolios will be updated by this coming weekend.  Platinum members … [Read More...]

Advantages to Mosaic Investing

It comes as no surprise to long standing Platinum members that most equity ETFs are highly correlated.  The basic ones we use to populate many of our portfolios show correlations of 80% or higher when analyzed using the Quantext Portfolio Planner (QPP) software.  To reduce portfolio volatility and increase the Diversification Metric (DM) we have several choices.  One common approach … [Read More...]

400 Level

8 Dividend Stocks Supercharge the Swensen-Six Portfolio

Eight dividend aristocrats added to the "Swensen-Six" Portfolio boost return, increase yield, without doing extensive damage to the portfolio volatility. The following screen-shots show the original "Swensen" portfolio, a supercharged version, the correlation matrix for the supercharged portfolio, and the "Delta Factor" projections for the supercharged portfolio when … [Read More...]

ETF Analysis Using Technical Indicators

The following ETF evaluator is a relative new development so be wary of the results until more data is available.  It is important to note that not every ETF in the following table was updated.  Only VWO, RWX, VFH, IDV, and EPP are current.  As you look at the far right-hand column, you will see that no ETF is considered a buy under the current conditions. The best prospects at … [Read More...]