100 Level

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...]

Return and Risk Relationship

What is the relationship between return of a portfolio and the associated risk involved? Quoting from an “Active vs. Passive” paper I found in my files. “High potential returns always involve high potential risks. There are no low-risk/high-return investments. Investment risk comes in many forms but, to most investors, risk means the potential for losing investment capital and … [Read More...]

300 Level

Sample Portfolio Analysis: Part II

The following portfolio analysis makes use of the Hoadley-momentum-optimizer spreadsheet.  Providing a "cat-bird-seat" view of the portfolio is the efficient frontier graph.  We follow that with a ranking of the securities and finally, the Buy-Hold-Sell Recommendations.  Please note that the number of shares only represent percentages and is not a picture of the actual size of this … [Read More...]

Smartest Low-Medium Risk Portfolio

With this low-medium risk portfolio we move up one notch in aggressiveness. This is still a very conservative portfolio with 60% committed to the bond/income asset class. Moving from 80% in bonds down to 60% brings about an increase in both projected return and projected uncertainty.  The Return/Uncertainty ratio is still a respectable 0.62. Platinum membership is available for a low $5.00 … [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...]

Portfolio Performance: 24 December 2010

Portfolio Performance Data Table With the market closed today, this portfolio table is coming out earlier than normal.  The following data shows the updated information for the seven portfolios tracked by Platinum readers, plus the Madison, Euclid, and Maxwell portfolios. A few of the portfolios gained ground on both the ITA Index and VTSMX benchmarks. Overall, the changes were … [Read More...]

400 Level

Madison Portfolio Update: ITA Risk Reduction Model

This weekend was examination time for the Madison Portfolio, one of the ITA Risk Reduction model candidates.  Below is the Dashboard from the TLT Spreadsheet as of the market close on 2/17/2012. … [Read More...]

Madison Portfolio Review Time

One of the five portfolios using the ITA Risk Reduction model is the Madison.  In preparation for the review we first look at the Dashboard to see if the asset classes are populated properly.  While there are a few out-of-balance classes, the percentages are nothing to worry about.  Most of the asset class are within the 25% Threshold range.  Not only are all eight critical … [Read More...]