100 Level

Harold Evensky’s Definition of Active and Passive Portfolio Management

Debating which investing style, passive or active, is the superior method is unlikely to end soon. The research is too conflicting and exceptions still exist. The difference of opinion has a long and acrimonious history – and it continues to this day. Before we enter the debate and provide some opinions, it is important to define what is meant by passive and active. A third investing style, the … [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

Kepler Portfolio Review: 15 February 2013

Normally, portfolio reviews are spread out over the month, but I got behind while on vacation so that is the reason for the second update today.  As with the Curie, I will show the current Dashboard or asset allocation plan.  Then I will present the optimization plan including all the constraints.  First the current condition of the Kepler. … [Read More...]

Feynman Portfolio Study: Part 6-6

In Part 6-6 I continue the Risk Management theme by applying the SHY momentum filter to the "Classic" 50% US Equity/50% US Bond Feynman Portfolio introduced in Part 4 of the Study. The performance of this portfolio is compared with the performance of the same portfolio with a 195 day EMA (ITARR) Filter (Part 6-2, Section 6.1.6) and with the "Dynamic" Feynman Portfolio with SHY Momentum Filter … [Read More...]

200 Level

Three Asset Class Portfolio

Suppose someone told you to build a portfolio, but the upper limit of investments was three.  You could pick three stocks, three mutual funds, three ETFs, or any combination of three investments.  What three investment vehicles would you select, and why would you pick these three? None of us wants to be limited to only three investments, but that is the challenge of this … [Read More...]

Active vs. Passive Investing: Part 11

Section Eleven of the Active vs. Passive paper poses several interesting issues.  In the first paragraph the author points out that it is the active investors who 'correct' the market.  This implies the market is efficient, even though the second paragraph implies the reverse is true.  Passive investors should be grateful there are active investors as they do help to create … [Read More...]

400 Level

Delta Factor and Stocks of Interest

Out of curiosity, I wanted to see what the "Delta Factor" would tell us for a group of stocks that show up with a "Buy" signal on my Watch List or 150 stocks.  Without a lot of comment, below is a list of stocks that are priced for purchase based on the pricing models I use within the Watch List.  Extracting only those stocks, I ran them through the "Delta … [Read More...]

Current “Delta Factor” Data

With all the work put into analyzing the "Delta Factor," what are the current market conditions telling us if analyzed over several periods.  In the table below, the highlighted row is the standard three-year period used for analyzing DR.  For this snapshot, I wanted to see if different periods made any difference in the outcome. … [Read More...]