Last week, Lowell posted a blog asking the question “How Risky is Your Portfolio?” and reminded us that portfolio returns are a function of the expected returns from the assets in our “quiver” and the risk associated with these assets as represented by their volatility. I thought I would try to provide another perspective on […]
How Risky Is Your Portfolio? May 2021
Portfolio risk is a subject I’ve written about in prior blog posts. It is particularly important now that U.S. Equities are hovering around all time highs and we are entering the summer months when the stock market tends to generate less than stellar returns. Remember the slogan, “Sell in May and go away?” The “go […]
Cluster Analysis of Galileo 12
Should investors include the momentum managed MTUM in a portfolio? This question came up for discussion and to answer in greater detail I ran a cluster analysis to see if MTUM is highly correlated with any of the ten basic ETFs used to populate the Galileo and Rutherford portfolios. Cluster Analysis: In addition to the […]
CWM Projections During Great Recession
How do the CWM (Sample 6.2 CWM) projections compare with the “Markowitz” projections during the Great Recession? Based on the following data, I think you will see a remarkable improvement. Using the same set of ETFs (VTI, EFA, VNQ, TLT, TIP, IJJ, IJK, SHY, IEF, VWO, ICF, and GLD) and the same time frames, I […]
“Markowitz” Projections During Great Recession
Readers who have been following the discussion on future return projections will find the following information of interest. Using the Hoadley “Efficient Frontier” software, I set out to see what the optimal projections would be for three different time periods. In each case I selected two years of historical data as that is the default […]
ITARR: How To Reduce Losses
Zion National Park On page 167 of Mebane T. Faber and Eric W. Richardson’s book, “The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets” we read, “Our research has shown that returns are lower and volatility is higher when asset classes are below the 10-month moving average.” What investor is […]
ETF Rankings: VEU and IDV Lose Ground
Two international ETFs lost ground over the last few trading days. Both VEU and IDV are now performing below SHY as Platinum members can see from the rankings table shown below. ETF Rankings: Based on the following data we will continue to lower allocations to asset classes such as Commodities (DBC), Gold (GLD), International REITs […]
Risk Parity: A 60/40 Stock/Bond Portfolio Is Not Conservative
This blog will make a lot more sense if you are able to capture and read Edward Qian’s article, Risk Parity Allocation. This blog post is a brief description of how risk is calculated. This not for the mathematically squeamish, but the concept is not difficult if one can get past one step in the logic. […]