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 […]
Rutherford Portfolio Review (Tranche 2) – 9 August 2019
This will be a short/quick review of the Rutherford Portfolio with a focus on Tranche 2. First a look at recent performance: That has held up quite well over the past week despite the selling introduced by stop loss orders. VTI and VNQ were both sold out of the portfolio, so holdings currently look like […]
Kahneman-Tversky Portfolio Review – 28 June 2019
The Kahneman-Tversky (K-T) Portfolio is a modified simple Dual Momentum portfolio that chooses only one asset from the three assets – VTI (US Equities), VEU (International Equities) and AGG (US Aggregate Bonds) – available within the K-T “quiver”. The Kahneman and Tversky portions of the portfolio differ only in the look-back periods chosen for momentum […]
TLT Hedge for Rutherford Portfolio
I don’t post many Option trades because I realize that these aren’t of interest to most ITA Wealth members but, as I mentioned in my earlier post (//itawealth.com/rutherford-portfolio-review-tranche-2-31-may-2019/), I am a little concerned about the recent exponential increase in the price of TLT (US Long Term Treasuries) and would like to protect my unrealized gains […]
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