100 Level

Equal Weighted vs. Cap-Weighted Indexes

Before Robert D. Arnott came out with his book, "The Fundamental Index: A Better Way to Invest," the subject of building indexes around equal weight given to each stock rather than cap-weighted methods was under hot discussion.  Which is the better approach?  Arnott makes a compelling case for equal weighting as does the following paper referenced below.  Equal weighted … [Read More...]

ITA Risk Reduction Followers

Early this morning I ran through the primary ETFs used to populate most portfolios and only commodities and gold are in the doghouse.  That is, DBC and GTU are currently priced below their 195-Day Exponential Moving average.  To see what this looks like, here is the link for DBC, our primary commodity holding. Portfolios managed using the ITARR model are out of gold and commodities.  I may hold … [Read More...]

300 Level

Dividend Stocks

Platinum members who use individual stocks as part of their portfolio construction materials will find this list of dividend stocks of interest. The first screen shot defines the screens used to come up with these companies. … [Read More...]

Four Stocks Emerge From Current Piotroski High-F Screen

From time to time I post a list of stocks that emerge from something known as the Piotroski F-High Screen..  Exactly what is the Piotroski F-High score?  Here are links explaining this metric or should I say, metrics. This material is not available for publication anywhere on the Internet. … [Read More...]

200 Level

Risk-Parity Portfolio: What Is It And What Does A Risk Portfolio Look Like?

Reducing Risk Through Risk-Parity Risk-Parity: Have you heard of the term or seen reference to this style of portfolio construction?  Join the crowd if this is new to you, even though the Risk-Parity idea has been around for quite a few years.  Risk-Parity is an alternative approach to portfolio construction where assets are allocated based on risk rather than allocation according to … [Read More...]

Alternative Portfolio: Increasing Allocation to PAAIX

Last week I published two portfolios that included the private equity ETF, PSP.  Here are links to the first and the second portfolios.  In the following portfolio, the allocation to PAAIX is moved up to 24% in hopes of pulling down portfolio volatility.  The assumptions in this analysis are identical to the previous two portfolios.  I did include last Friday's data in this … [Read More...]

400 Level

How Important Is Portfolio Risk or Portfolio Uncertainty?

The Importance of Managing Portfolio Uncertainty If 2008 taught us one lesson it is that portfolio risk is just as important as portfolio return. In the following analysis I want to examine some of the risk details of the Passive Portfolio (PP) or the Schrodinger Portfolio. At the end of 2007, this portfolio had a value of $234,160 and by the end of 2008, one year later, the value dropped to … [Read More...]

VTI Within Striking Distance

Readers following this blog know about the Tactical Asset Allocation or market timing method we are about to employ with the Maxwell and Euclid portfolios.  These two portfolios were selected as they consistently lag behind the VTSMX benchmark.  I want to come up with a title more original than the Faber-Richardson method so users can do a search and easily find information on what is … [Read More...]