Newton Update

Platinum members are aware that I am slowly migrating this blog to a new hosting site, http://itawealth.com.  Eventually the URL will be changed back to itawealthmanagement.com, but for now I am using the shorter domain name as the site is still under development.

Platinum members are encouraged to register on the new site.  To drive traffic to the new site I will be posting some new blog material over on itawealth.com and today I just posted the latest review of the Newton.  Login and go to ITA blog for the last update of the Newton.  One of the reasons for posting over on the new site is that a blog entry of this size has the high probability of crashing the server at itawealthmanagement.com.  Reasons for this are unknown.

 

About Lowell

Retired physics teacher. My hobbies are photography, reading and classical music. And my latest hobby - taking care of my dog, Kipling.

Comments

  1. Frederick Bernardi says:

    Lowell, I left a comment on the new site, but it appears not to have made its way to you. My comment on the review of the Newton Portfolio went like this: If I were to conform the portfolio to the “momentum/shy” model, wouldn’t I sell everything; buy the four highest ranked ETFs with momentum above SHY; and then go to sleep until review time, which might be 33 days or 3 months from now, depending on how active I want to be? F

  2. Frederick,

    No, the comment did not make it through. Not sure why, but keep trying.

    To answer your question, if I were following the “Momentum” plus SHY model I would invest equal amounts in every ETF that outperformed SHY (14 ETFs for Newton) and then put the portfolio into neutral for another 33 days. However, I am not holding strictly to that model, despite the evidence from The Feynman Study. Instead I am modifying the “Dynamic” plus SHY model. The primary modification is to not add shares if the momentum is negative. Of the ETFs outperforming SHY, only DBC has a positive momentum. The optimizer recommended adding 130 shares and I purchased 100 shares.

    Both the “Momentum” and “Dynamic” models called for sales of VNQ, VWO, RWX, and VFH. I’ve either sold or have sell limit orders in place to meet those recommendations.

    Just for reference or general information, the Newton lost 40 basis points with respect to VTSMX and gained 30 basis points wrt the ITA Index. This is par for the course. However, this does not included buy or sell activity today. It will take many months before we have a clue whether these models work going forward. At the very least, we will be protected to some degree from major draw downs.

    Lowell

  3. Hi Lowell,

    My comments seemed to go into the ether as well on the new site.

    Steve

  4. Frederick Bernardi says:

    Thank you for your reply, Lowell. Could you tell me which of the Feynman studies conducted so far provides the best results over the period covered by the study? Results that are better than passive with rebalancing, such as used with the Schrodinger portfolio. As the membership grows, we are getting input from many brilliant people, but my math ended with Freshman Calculus and business statistics, and I must confess, although I hate to do so, that I am having a difficult time keeping up with and understanding everything. There are too many balls in the air, too many portfolios, and too many “systems” to keep up with. My head is swimming. I hope you will sort everything out for the rest of us. It seems like we’ve come a long way from the original ITA risk reduction model. Has any other model been demonstrated to outperform that model? Or Schrodinger? Thanks for you help on this confusion. f

  5. Frederick,

    For many investors who visit this site, a passive approach such as employed by the Schrodinger is fine. To avoid major down-drafts, one might want to employ the ITARR model. That information is easily accessible if one uses the Rankings SS – recently made available by HedgeHunter.

    Of the models explained in The Feynman Study, I am partial to two. 1) “Dynamic” plus SHY and 2) “Momentum” plus Shy. I’ll let David and other chime in and list their favorites. If interest rates were sky high and destined to come down, some of the 50% stocks and 50% bonds would be of interest, but not under the current conditions of very low interest rates. I don’t know of anyone recommending bonds.

    I’m using a modified version of the “Dynamic” plus SHY with a few portfolios. The modification is the four step variation I described in an earlier comment. It goes like this. Consider buying only ETFs that are performing better than SHY. Sell those that are under performing SHY. That is the basic idea. Here are the four fine points.

    1) If the momentum is positive and the optimizer recommends more shares, Buy those shares.
    2) If the momentum is negative and the optimizer recommends more shares, do nothing.
    3) If the momentum is positive and the optimizer recommends fewer shares, do nothing.
    4) If the momentum is negative and the optimizer recommends fewer shares, Sell down to the recommended level.

    I want to witness how this variation will work out over the next several months. It is a very conservative approach and that is what interests me as right now I want to preserve capital.

    Lowell

  6. Request to Platinum members:

    1. Please register on the new web site if you have not already done so. http://itawealth.com
    2. Please leave me a comment on the new site as I need to see if the comment section is working for everyone. Be sure to log in. Comments work for me, but I need to test with others. Thanks for your cooperation during this transition period.
    3. Look for a new blog post on the new site sometime before 12:00 PDT.

    Lowell

  7. Lowell,

    In the post above you mention using the Rankings SS “recently made available by HedgeHunter”. Is this available for download? I can’t seem to find it if it is. I would like to have a copy to update when needed. How is the info input into the SS. I assume some of it is imported. I could see hand inputting the ‘+/- EMA’.

    I think I’ve got the jist of how it works, but the mention of a Camtasia with a detailed run-through would be very helpful for some of us …ugh… slower folks (g).
    Thanks for your dedication and help.

    Steve M

  8. Steve,

    Do you have this Rankings Spreadsheet? I think this is what you want. Instructions of what you need to enter manually are included. Be sure to save a copy so you keep the original.

    http://ppl.ug/ywth6qI2rqg/

    Lowell

  9. Thanks Lowell,

    I have Excel 2003 (xls vs xlsm) and it appears to have done the conversion process correctly.

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