Quantext Portfolio Analysis Of The Swensen Six Portfolio

Quantext Portfolio Planner is a software program I use as an aid in portfolio construction and analysis.  In earlier blog posts I performed a QPP analysis on both the Faber Ivy Five and Faber Ivy Ten Portfolios.

The following QPP analysis covers only the basic "Swensen Six" portfolio.  In another article I showed how to give a dividend boost to the Swensen Six.  Looking at the four key metrics of the QPP analysis we see the projected portfolio return is 7.9% or very close to our goal of 8.0%.  We want to see the portfolio exceed the projection for the S&P 500, which we set to be 7.0% in this analysis.  Due to the 30% allocation to TIP and TLT, the projected uncertainty for the Swensen Six is 14.0% or under our goal of 15%.  It is our belief that we can lower this risk factor by employing the ITA Risk Reduction model in conjunction with the Bullish Percent Indicator.

Moving down to the lower region of the screen shot, we note the Diversification Metric (DM) is 33%.  In the current market conditions, we want this value to exceed the 40% level.  To raise DM requires a shift in asset allocation percentages, or better, adding a few critical ETFs such as international REITs (RWX) and perhaps international bonds (PCY). 

The last, and least important metric, is the Portfolio Autocorrelation (PA).  This value is a respectable 17.5%.  We want PA to be as low as possible.

When running an analysis, another goal is to see the Return/Risk ratio up to 0.60 or higher.  For this simple portfolio we are at 0.56.  That is not a bad value considering the current level of the market.  Overall, the Swensen Six is a viable portfolio, particularly for beginning investors. 

Two Bullish Percent Indicators Hand Ball To The Offense

Upward movement in the broad markets brought about a ball exchange in two of the six indexes.  Platinum members have access to the table below. 

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