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, […]
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 […]
Darwin Portfolio Review – 27 September 2021
The Darwin Portfolio is a simple five-ETF core portfolio that is reviewed every twenty (trading) days and risk-adjusted as necessary, based on the volatility of the assets, so as to allocate equal risk contribution to the five ETFs. The portfolio was opened at the beginning of June and this is the fourth review date. Performance […]
Hawking Portfolio Review – 30 September 2021
The Hawking portfolio is designed as an “Income” Portfolio with a targeted annualized “income” of 8%. The portfolio quiver is comprised of a number of Closed-End-Funds (CEFs) that pay out high dividends – usually on a monthly schedule, but some quarterly. This month (September) was a month for payments from all funds (monthly and quarterly […]
Dirac Portfolio Review – 30 September 2021
The Dirac Portfolio is the only portfolio reviewed on this site that holds individual stocks rather than multi-stock funds. Performance to date looks like this: and recent performance, although in a draw-down, has been better than the benchmark SPY fund as 1 Standard Deviation TSLOs have been hit. The current portfolio quiver looks like this: […]
Rutherford Portfolio Review (Tranche 4) – 01 October 2021
It was another week of relatively high (>20%) volatility in US equity markets: After a quiet day on Monday, Tuesday started with a gap down on the open and a significant drift lower for the remainder of the day resulting in a close significantly outside the weekly Expected Range as calculated from Options’ Implied Volatility. […]
Rutherford Portfolio Review (Tranche 1) – 15 October 2021
It was an active week in the US Equity markets with the SPX (S&P 500 Index) closing up ~1.8% from last week’s close and outside the weekly Expected Move as calculated from the Implied Volatility of Option prices: As we can see in the above screenshot we broke out of the downward trend channel on […]
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