Fama-French Three Factor Model

Have you ever asked yourself, why are all the asset allocation plans for the various ITA Wealth Management portfolios tilted toward the value side of the investing spectrum and why are they skewed toward smaller cap size?  If you are a new reader, the reason is based on research by Eugene Fama and Kenneth French.  Their work is known as the Three-Factor Model.  Here are the three fundamental ideas we use to construct our Strategic Asset Allocation plans for the various portfolios.

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Portfolio Performance: 9 September 2011

The first full week in September was a mixed bag.  For starters, the market was down when measured by the VTSMX.  Several portfolios gained ground with respect to the ITA Index, our customized benchmark.  A few portfolio picked up fractions of a percentage point on the VTSMX.  A few also showed stronger Sortino ratios while others declined in value.

Below is the performance data table with the latest information.  I still have a few portfolios that do not have all dividends and interest entered, so the percentages are conservative. When one looks at the column showing the difference between the IRR of the portfolio and the IRR of the VTSMX, relative performance is still quite strong.  There are still a few portfolios that need additional attention when it comes to asset allocation plans.

Portfolio Performance - 09/09/2011

Portfolio Last Update Launch Date Tracking Tool Port. IRR ITA Index Diff Port. vs. ITA Index VTSMX IRR Diff. Port. vs. VTSMX Index IR SR RR
AA-Mosaic 08/31/2011 07/21/1999 Captool 2.4% NA NA 1.71% 0.69% 0.05 NA NA
Curie 09/09/2011 12/26/2007 TLH SS 2.7% -2.0% 4.7% -2.2% 4.9% NA 15.5 -9.2
Mosaic2 08/31/2011 07/19/1999 Captool 4.68% NA NA 1.53% 3.15% 0.16 NA NA
Newton 09/09/2011 06/02/2008 TLH SS 6.7% 2.7% 4.0% 2.6% 4.1% NA 2.9 0.0
Passive Port. 08/31/2011 12/01/2000 Captool 4.6% NA NA 2.20% 2.4% 0.70 NA NA
Schrodinger 09/09/2011 12/01/2000 TLH SS 4.0% 2.3% 1.7% 1.7% 2.3% NA 18.3 -5.0
Jane 07/29/2011 02/14/1997 Captool 9.11% NA NA 4.89% 4.22% 0.55 NA NA
Einstein 09/09//2011 06/30/2008 TLH SS 8.7% 6.2% 2.5% 5.1% 3.6% NA 5.6 5.6
Gauss 07/29/2011 02/19/1997 Captool 9.24% NA NA 4.86% 4.38% 0.23 NA NA
Kepler 09/09/2011 11/01/2008 TLH SS 12.3% 11.9% 0.4% 11.6% 0.7% NA 0.4 0.4
Scrappy 07/29/2011 08/14/2008 Captool 12.02% NA NA -0.99% 13.01% NA NA NA
Bohr 09/09/2011 08/14/2008 TLH SS 7.6% 6.9% 0.7% 0.7% 6.9% NA 9.6 -0.1
Kenilworth 09/09/2011 08/18/2010 TLH SS -6.0% -6.9% 0.9% -6.6% 0.6% NA 0.0 -0.08
Franklin 09/09/2011 05/6/2011 TLH SS -17.7% -24.6% 7.0% -35.3% 17.6% NA 0.10* -0.14*
Projects 08/31/2011 12/01/2000 Captool 5.01% NA NA 2.22% 2.79% 1.32 NA NA
Washington 08/31/2011 06/18/1999 Captool 3.06% NA NA 2.02% 1.04% 0.28 NA NA
Maxwell 09/09/2011 12/25/2000 TLH SS 0.1% -3.5% 3.6% 2.4% -2.3% NA -0.08 -0.23
Adams 08/31/2011 06/18/1999 Captool 3.43% NA NA 2.02% 1.41% 0.73 NA NA
Euclid 09/09/2011 06/30/1999 TLH SS 1.2% 8.8% -7.7% 2.3% -1.2% NA -0.06 -0.19
Jefferson 08/31/2011 06/13/2006 Captool 5.08% NA NA -0.48% 5.56% NA NA NA
Madison 09/09/2011 03/13/2008 TLH SS 4.4% 2.6% 1.8% 2.4% 1.8% NA 0.07 0.05