Let’s revisit Charles D. Ellis’ 1995 paper, “The Loser’s Game,” where he describes his Break-Even Return (BER) equation. Here is a review of this equation. BER = [(Turnover percentage x Transaction Cost) + Management Fee + Target Return]/Market Return It is quite easy to set up this equation in an Excel spreadsheet and play around with different variables. I discussed these variables with an … [Read More...]

## Charles Ellis: Loser’s Game of Stock Picking

Let’s revisit Charles D. Ellis’ 1995 paper, “The Loser’s Game,” where he describes his Break-Even Return (BER) equation. Here is a review of this equation. BER = [(Turnover percentage x Transaction Cost) + Management Fee + Target Return]/Market … [Read more]

## ETF Rankings: International and U.S. Growth Lagging

International and U.S. Growth Equities are the under-performing asset classes as measured by VEU, VEA, VWO, SCZ, VUG, VOT, and VBK. If we were to use the ITA Risk Reduction model, only the gold (GLD and IAU) ETFs would be removed from the portfolio … [Read more]

## ITARR: How To Reduce Losses

Zion National Park On page 167 of Mebane T. Faber and Eric W. Richardson’s book, “The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets” we read, “Our research has shown that returns are lower and volatility is higher when … [Read more]

## Portfolio Requirements: Basic Ideas For Construction

Basic portfolio construction requires that long-term goals include diversification, a risk reduction model, and equity orientation. Here is how I outline the thinking process when putting together a portfolio of securities. Think diversification … [Read more]

## Euclid Portfolio Review: Change in Strategic Asset Allocation

Updating the Euclid is different this month as the Strategic Asset Allocation (SAA) is experiencing a major change. The idea is to simplify the SAA by reducing the number of ETFs. We eliminate Commodities (DBC), Precious Metals (GLD), and all the … [Read more]

## ETF Ranking Update: 14 April 2014

Two ETF ranking data tables are presented below. The first uses the familiar 50/30/20 breakdown for the 91-Day, 182-Day, volatility division. The second table is the 60/20/20 allocation mentioned in several Forum posts. ETF Ranking 1: The … [Read more]

## Looking for Signs of Weakness in the Markets

Even though some of us may have been wary of the continuing strength of the markets for a few months now, over the past week, we may have been getting the feeling that some signs of weakness are beginning to show in the markets. In a standard margin … [Read more]

## Latest ETF Rankings: 12 April 2014

A modest decline in the equities market moved a number of ETFs below the performance level of SHY. All the U.S. growth ETFs (VUG, VOT, and VBK) are showing weakness, with the price of VBK now positioned below or nearly equal to its 195-Day EMA. … [Read more]

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