The following portfolio performance table establishes a baseline or frame of reference for future performance data. Not all the portfolios have yet to go through an update cycle since management style changes have taken place. Using momentum models as explained in The Feynman Study will take numerous cycles before we will know if positive trends […]
What Is A Good Sortino Ratio?
Before answering the above question, one needs to know what the Sortino Ratio is measuring. Here is the Wikipedia definition. To keep this idea as simple as possible, write down the equation, S = (R – T)/DR. S = Sortino Ratio. The R is the Internal Rate of Return (IRR) for the portfolio. If you […]
Portfolio Performance: 19 October 2013
A few changes were made in the following table and these do not show up in the numbers. The Trend columns now compare the differences based on where the portfolio was five weeks ago instead of making the comparison from week to week. This change seems fitting since the portfolios are updated every 33 days. […]
Hawking Portfolio – Adjustments Following Expiry of January Options
Now that I am back from vacation, have a reliable internet connection and have resolved some Yahoo download issues, this Post will bring members up to date on transactions within the Hawking Portfolio resulting from the expiration of January Options on January 17. January 17 was also the scheduled date for a monthly review of […]
Hawking Portfolio – An Initial Look at the TLH Spreadsheet
Although the Hawking Portfolio is only about 6 weeks old I thought members might be interested in taking a first look at the TLH Sheet for this portfolio. Since the Hawking is using a Cluster Weighted Momentum (CWM) strategy for portfolio management it is first necessary to decide how we might define an ITA Index […]
Portfolio Performance: Little Change
Nearly every portfolio increased its Internal Rate of Return (IRR) by 0.1% point this past week. Most portfolios are are holding about even with their respective ITA Index (customized benchmark) and doing a bit better with respect to the VTSMX benchmark. The Copernicus, one of the very new portfolios, is not fully populated as the […]
Portfolio Performance: A Truncated Update
Similar to the Bullish Percent Indicators, this portfolio performance data is truncated for two reasons. 1) I don’t have access to all the data as I am at an investment conference. 2) The February statements are not updated for every portfolio. The next reliable data will come in early April or after the March statements […]
VTI-TLT 75%-25% Results
Beginning on 6/30/2006 and running through 6/19/2014 the results of the VTI-TLT portfolio are encouraging. As a review, here are the simple investing rules. Based on the performance over the past 181 days, invest 75% in the ETF (either TLT or VTI) that is the best performer and 25% in the lower performing ETF. Review […]
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