100 Level

Merging The Swensen And Faber Portfolios

Swensen and Faber-Richardson Portfolios Merging the Swensen and Faber-Richardson portfolios is an effort to extract the excellent logic behind the "Swensen Six" portfolio and expand the number of asset classes as advocated in the "Faber-Richardson Ten" portfolio.  Parts of the logic behind the "Swensen Six" can be found in this Seeking Alpha article.  In … [Read More...]

Kiva Loans

To provide capital to less fortunate individuals wishing to start or maintain their business, I participate in Kiva.  Profits from ITA Wealth Management go into this needy program and thus far 55 loans in 24 countries are at work.  To learn more about Kiva, go to this address.  Before MEDA Trust closed down due to lack of contributions, I was part of that program as was at least one other Platinum … [Read More...]

300 Level

“New Normal” Portfolio Analyzed

Long-time readers of ITA Wealth Management are familiar with the "New Normal" portfolio, a risk oriented portfolio developed by a Platinum member.  Following is an analysis of an approximation of the NN portfolio.  Approximate in the sense that several tickers were combined into one as the "Ranking Software" will not handle more than twenty investments in one run.  In addition I substituted XOM … [Read More...]

QPP Analysis of Kepler Portfolio

Nearly six months rolled by since the last Quantext Portfolio Planner (QPP) analysis of the Kepler Portfolio.  Platinum readers can go through the QPP analysis and do not neglect the correlation matrix.  Take a close look and let me know your observations. … [Read More...]

200 Level

How Important Is Asset Allocation?

My favorite investment writer is William J. Bernstein, author of several investment books and the editor of the Efficient Frontier.  This morning I was scanning the data files of ITA Wealth Management and found where one reader clicked on one of the older articles from Bernstein's Efficient Frontier. [Be sure to read the section, 'Let George Do It.']  I myself have written about the Brinson et. … [Read More...]

Portfolioist Portfolio: Looking For Additional Diversification

Before digging into the following Quantext Portfolio Planner (QPP) analysis too deeply, read Geoff Considine's articles on portfolio diversification.  The first article lays out the basic logic for diversification and the second article goes into more details.  In the following analysis, I take the portfolio and run it through the QPP wringer to see what projections are in store for … [Read More...]

400 Level

Beyond the Sortino Ratio

      This article was published two years ago, but most readers missed it.  That is why I am bringing it forward again, with a few edits. Frank Sortino begins Chapter 3 of his "The Sortino Framework..." book with this sentence. "This chapter begins with the development of the Sortino ratio and why I discarded it for the upside potential ratio and Desired … [Read More...]

Quantitative Approach to Portfolio Management

In the experiment to improve the performance of the Maxwell and Euclid portfolios we need a basic set of ETFs to form the core for our investments.  This quantitative approach is an outlier in our portfolio management philosophy as it has the potential for more trading.  For this reason, I will be using ETFs that are part of TDAmeritrade's 100+ commission free trades.  Below is … [Read More...]