Since we are just about through the dividend season this post may be a little late in coming but, with a number of ITA subscribers indicating an interest in getting a better understand of the practical implications, I thought it might be useful to provide a brief description/explanation with a couple of examples from recent […]
Sample Robo Portfolio Using LRPC Momentum Model – An Example of Asset Allocations
When we decide to “invest” there are a few very important decisions we need to make: What assets will we choose to include in our portfolio; What model/system will we use to manage our portfolio; How will we allocate funds to the assets in our portfolio. In a recent post Lowell offered some ideas for […]
Rutherford Portfolio Review (Tranche 2) – 22 November 2019
As I mentioned last week I am in the process of migrating the Rutherford Portfolio to the LRPC system. This week we will review/adjust Tranche 2 of the portfolio. But first let’s check recent performance:
Revisiting the Linear Regression Projection-Convolution (LRPC) System – Part 1
It is probably appropriate to revisit the construction and reasoning behind the Linear Regression Projection-Convolution (LRPC) system that was introduced to ITA members in January 2018. The first point to mention is that, as a measure of momentum, the slope of the Linear Regression (LR) line provides a smoother plot of momentum than the more […]
Rutherford Portfolio Review (Tranche 1) – 11 October 2019
This week we review Tranche 1 of the 5-tranche Rutherford Portfolio. After a turbulent week in the US equity markets, with uncertainty over the outcome of the US-China trade talks, we check performance of the Rutherford: where we see that the overall performance of the portfolio (heavy red line) has been relatively muted despite the […]
Hawking Portfolio Review – 30 September 2019
The Hawking Portfolio is by far the most difficult portfolio to manage since it involves an assessment of over 200 assets narrowed down to a short list of ~80 assets comprising both Exchange Traded Funds (ETFs) and Closed End Funds (CEFs). The ETF portion of the portfolio looks primarily for growth while the CEF portion […]
Kahneman-Tversky Portfolio Review – 30 September 2019
The Kahneman-Tversky (K-T) Portfolio is basically a simple Dual Momentum portfolio in which a single asset is chosen from three basic assets – VTI to represent US Equities, VEU to represent International equities or AGG, an aggregate US Bond Fund. The choice of asset is based on absolute momentum being positive (greater than a “Risk-Free” […]
Rutherford Portfolio: Back-Tests vs Tranche Real-Time
An ITA Wealth member recently asked the question as to how the Tranche system that I am using in my real-time weekly performance reviews (to demonstrate the importance/influence of Timing/Review Date luck) compares with the results of automated back-tests. Herb has kindly run a series of back-tests from the time that I started the Tranche […]
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