The Dirac portfolio is the only portfolio reviewed on this site that is built from individual stocks, rather than from Funds of stock, and the recent high volatility and pullback in US equity prices has taken it’s toll on the portfolio as numerous Trailing Stop Loss Orders (TSLOs) were hit over the last few weeks. […]
Rutherford Portfolio Review (Tranche 5) – 12 March 2021
It was a bullish week in the US Equity markets with the S&P 500 closing the week ~2.6% higher than last week’s close and at all-time highs: The closes on the last 2 days were also outside the Expected Move (EM) for the week and volatility has dropped. We will now wait to see whether […]
Gauss Portfolio Review: 13 April 2021
Gauss is the portfolio up for review this morning. I think of this portfolio as one of the Relative Strength or Tranche Momentum portfolios. The other two main models followed here at ITA are: Dual Momentum and Asset Allocation. These models do not include those managed by Hedgehunter. If looking for a portfolio of stocks, […]
Rutherford Portfolio Review (Tranche 5) – 21 May 2021
After a brief scare on Wednesday, U.S. equity markets recovered to close down only ~0.4% from last weeks close and continue to trade just below the $4200 resistance area in the S&P Index: Implied Volatility remains slightly elevated but nothing too extreme. As we can see from the performance graph: the Rutherford portfolio followed the […]
Dirac Portfolio Review – 28 May 2021
I am presently in the process of moving funds around a bit – and I also have to make mandatory withdrawals from some of my retirement accounts – so this is one portfolio that gets affected. Although the Dirac portfolio was last year’s best performing portfolio (on a percent gain basis) it has disappointed a […]
Rutherford Portfolio Review (Tranche 4) – 23 July 2021
After a rough start on Monday, U.S. Equities bounced strongly for the rest of the week to again close at all-time highs: The weekly range was also a little unusual in that it was greater than the Expected Move as calculated from the Implied Volatility of Option prices. The weekly returns of ETFs in the […]
Kahneman-Tversky Portfolio Review: 30 July 2021
The Kahneman-Tversky (K-T) Portfolio is a simple three-asset Dual Momentum portfolio split between a “slow” portion (Kahneman) with a single 12 month momentum look-back period and a “fast” (Tversky) portion with shorter 60- and 100-day momentum look-back periods. Each portion holds just one, highest ranked momentum, asset. Let’s take a look at recent performance: where […]
Rutherford Portfolio Review (Tranche 5) – 3 September 2021
A relatively quiet week in the US equity markets that still managed to close higher than last week’s close with new intraday highs on Monday and Thursday: Implied Volatility has settled at an average level of ~17% Checking on the performance of assets in the Rutherford quiver: we see that Real Estate and International Equities […]