Bullish Percent Indicators For Major Markets

Below is the current data for the Bullish Percent Indicators.  The big changes this week showed up in the NASDAQ 100 and S&P 500 as both dropped sufficiently to hand the ball over to the defense.  In another post I will show the sector breakdown, but I can tell readers that energy is going through the roof.  The hot weather on the east coast is moving a lot of money into the energy sector.  Here in Oregon, I slept under a blanket last evening.  Two nights ago it was in the high 40s in some of the nearby campgrounds.

It is somewhat troubling that technology is showing weakness.  We will keep an eye on the NASDAQ Composite index as it is still in the offensive mode, but weakening.

What Is A Good Sortino Ratio?

Seeking a Good Sortino Ratio

A reader of ITA Wealth Management was seeking an answer to the question, what is a good Sortino Ratio?  The simple and quick answer is – anything above zero.  Check this definition of the SR.  While the equation is quite simple, the difficulty comes in calculating the denominator.

SR = (P – T)/DR where

P is the portfolio return

T is a portfolio target.  One might use a 90-Day T-Bill or some benchmark such as the VTSMX index fund or the ITA Index, our customized benchmark.

DR = Downside Risk     This calculation is built into the TLH Spreadsheet, but one needs to learn how to maintain the calculation.  All this is available to Platinum members.

To come up with good Sortino Ratio, one needs a positive value in the numerator of the SR equation.  This requires the portfolio to perform better than T, whatever one chooses for this value.  While I track the Sortino Ratio, my preference is to use the Retirement Ratio as it sets a higher standard.

For further information, search for Sortino on this blog.

QPP Analysis of Swensen-Faber Merged Portfolio

Merging ideas from the "Swensen Six" and "Faber Ten" portfolios has the potential to generate a wide array of asset allocation plans.  In the following example I am sticking with the general percentages allocated to the broad asset classes, as recommended by David Swensen, but you will see that I am adding asset classes as suggested in the "Faber Ten" portfolio.

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