100 Level

Risk-Parity: A Brief Explanation of How Risky a 60/40 Portfolio Really Is

While I have a sample Risk-Parity portfolio coming out early tomorrow morning, I want to rush out a brief description of how risk is calculated.  This not for the mathematically squeamish, but the concept is not difficult if one can get past one step in the logic.  Don't be surprised if this concept does not alter how portfolios are put together here at ITA Wealth Management.  … [Read More...]

Fama & French’s Three-Factor Model

This is a revision of a blog I posted over a year ago. In 1992, Fama and French broke out their three-factor model and changed the way we construct portfolios. Again, quoting from Hebner as to how the three-factor model advanced the relationship between return and risk as it relates to a portfolio. “The Fama/French model added two other fundamental determinants. Fama and French sought to … [Read More...]

300 Level

“Creme List” for 22 January 2011

CSCO is back on the list and we lost LLY.  Otherwise, only minor shifts occurred this week.  No stock was priced to purchase according to my analysis. Platinum membership available for a mere $5.00 per month. … [Read More...]

Curie Portfolio Review: 6 September 2011

Fifty shares of VWO were added to the Curie Portfolio in an effort to bring emerging markets back into balance.  With the market in a funk, now does not seem to be the time to jump in and bring all asset classes back into balance.  Instead, I have many limit orders placed at different price points and VWO happened to be one that was picked off today. … [Read More...]

200 Level

Ultra Capital Preservation Portfolio Revised

Last week I laid out the Ultra Capital Preservation Portfolio. That portfolio contained an error and in this blog post I make the correction.  Instead of using IWN, I meant to use IWM.  IWN is a value oriented ETF, and I intended to use the broader ETF, IWM.  Here is the QPP analysis on the portfolio I intended for the Ultra Capital Preservation. … [Read More...]

Bohr Portfolio Review: Reworked Asset Allocation Plan

With developed international and emerging markets still priced below their 195-Day EMA, I took the opportunity to rework the asset allocation plan of the Bohr and move it a little more toward the "Swensen Six."  This required an increase in the bond-income asset class and reduce exposure to U.S. Equities.  Below is the revised Strategic Asset Allocation plan.  This move … [Read More...]

400 Level

Kenilworth Portfolio Review: 21 February 2012

While it is a few days early to update the Kenilworth Portfolio, based on the current ETF prices and their respective 195-Day EMAs, nothing is likely to happen over the next few weeks let alone the next three days.  Here is the link to the StockCharts graphs we use for the ITA Risk Reduction model.  The following two screen shots show the Dashboard and Portfolio Performance data for the … [Read More...]

Historical Basis for ITA Risk Reduction Model

A few days ago I was asked if there was any historical data supporting the ITA Risk Reduction (ITARR) model.  The quick answer is - no.  The model has been operational for about four months or insufficient time to build any sort of record.  However, I did use a similar model successfully during the 1980s.  There were a few differences in that model vs. the ITARR model.  … [Read More...]