A week to ten days ago I promised to run a "Delta Factor" analysis on the bond ETFs we use in a variety of portfolios. One Platinum member requested CSJ be included in the analysis and here it is in the following screen shot.
Kepler Portfolio Update
Of the numerous portfolios tracked using the TLH Spreadsheet, the Kepler Portfolio is a classic example of following a broadly diversified asset allocation plan. Thirty-four percent of the portfolio is currently allocated to international investments and we may increase that if I decide to include international bonds. As readers can see from the Dashboard worksheet below, the asset classes are all nearly in balance.
Note how the Statistical Asset Allocation (SAA) plan is skewed toward value and there is an emphasis on smaller cap stocks vs. the normal distribution found in the VTSMX index fund. The reason for tilting the asset allocations in this manner is tied to research by Fama and French. Search those authors for more information.
Below are the performance values for the Kepler. These Internal Rate of Return (IRR) values were updated this morning before the market opened so they are accurate as of 11/21/2011.
Another risk reducing card to use with the ITARR model is the ultra-short ETF, SDS. By allocating 10% of the portfolio to SDS, we make a significant difference in breaking the back of portfolio volatility. While the projected return is lower, take note of the dramatic increase in both the Return/Uncertainty ratio and the Diversification Metric (DM).