The Einstein (Investment Portfolio of Interest), based on the feedback questionnaire, is one of the favorite ITA portfolios. While today is not the scheduled review day, I am taking a fresh look at the portfolio. Included in the following post are the Risk Ratios. As I go through the different portfolios I am updating this information. This takes quite a bit of time and effort and that is why I am going through the portfolios one by one.

Check the Einstein risk ratios and compare them with the ones presented this morning for the ** Schrodinger**.

Here is some of the activity going on with the ITA portfolios.

- The Sortino and other risk ratios are being updated for each portfolio.
- There are now three more
portfolios as I converted the Franklin, McClintock, and Pauling portfolios over to the DM model.**Dual Momentum**- These three new DM portfolios are now part of an experiment where different look-back periods are used.

- The three Carson portfolios are part of an experiment where the HA, BHS, and LRPC models are under investigation.
- Several portfolios are using investment quivers known as the
. Searching for Swensen will bring up related posts.**Swensen Six** - Several portfolios are using the factor model. The Einstein is one such example.
- HedgeHunter recently introduced a portfolio where individual stocks are populating the portfolio. Check out the
portfolio.**Dirac** - Variations to the basic Rutherford 10 are updated at the end of the month. Check all the portfolios updated over the last four calendar days.
- I’m going through the portfolios and setting TSLOs for the holdings. I am using rather tight TSLO values as this market looks rather frothy considering the inept management of the virus.

**Einstein Investment Quiver**

Below is the current investment quiver for the Einstein and it is built around the Factor Model. A few changes were made to accommodate current Einstein holdings. Expect the excess cash to be put to use when the Einstein comes up for its scheduled review.

**Einstein BHS Recommendations**

Using the BHS investing model and setting the Maximum Number of Assets to eight (8), we see a nice mix between equity and non-equity ETFs recommended for purchase After the Buys are in place, the beta of the portfolio will increase significantly, thus impacting several risk ratios.

**Einstein Performance Data**

One can learn lessons by tracking portfolio performance.

- The Einstein is performing rather well against several benchmarks. VTHRX is the one used for the Einstein and it is the red box index fund.
- Had I set TSLOs for the holdings the Preservation Principle would have kicked in during the first quarter of 2020. Lesson learned and that is why I am consistently setting TSLOs for current holdings.

**Einstein Risk Ratios**

- Sortino Ratio = 1.56
- Jensen Alpha = -0.07%
- Treynor Ratio = 0.06
- Information Ratio = -0.31
- Omega Ratio = 0.74

Once more, these risk ratios and the Jensen percentage will become more important as additional data is collected and presented to readers.

Jim Hotvedt says

Lowell,

Is there a reason that you have four emerging market ETFs in your quiver? I’m particularly interested why in both SCHE and VWO. They have a correlation coefficient over .99, and graphs of the two over the last three months lay directly on top of each other.

~jim

Lowell Herr says

Jim,

Good point. There are other highly correlated ETFs within this quiver and I need to run a correlation analysis to ferret out those ETFs that are highly correlated. When I spot those correlations, I tend to go with the ETF with the lower expense ratio, assuming the daily volume is sufficiently high so the bid-ask spread is minimal.

Lowell