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 Dual Momentum portfolios as I converted the Franklin, McClintock, and Pauling portfolios over to the DM model.
- 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 Swensen Six. Searching for Swensen will bring up related posts.
- 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 Dirac portfolio.
- 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.