Do Fundamental Index ETFs Have A Place In Our Portfolios? [View article]
Anthony,
Are you making a distinction between managed mutual funds and fundamental index ETFs, such as those run by Rob Arnott? I assume you are. I agree with you on managed mutual funds. Fundamental index ETFs are relatively new so we don't have a complete picture as to how they will perform, over the long-run, compared to index ETFs.
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
Varan,
Do you have a written model available anywhere on the Internet where I could walk through exactly how you employ your "momentum" model. Momentum may not describe it correctly, but you get my drift.
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
Marth,
The Ivy-10 and other portfolio can be found in Mebane Faber and Eric Richardson's book, "The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets."
To answer your last question, it is possible to come up with a projected return that his lower than that projected for the S&P 500 since the portfolio includes ETFs that reduce return as they also reduce risk. This is discussed quite a bit on my blog at http://bit.ly/rfwO89
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
Brian,
Have you considered using the AAA model with commission free ETFs such as those provided by TDAmeritrade. That would get around the expense issue so long as you did not rebalance within a 30-day period. To make sure I am outside the 30-day limit, I review portfolios every 32 days.
Is there out-of-sample data or return information available on the Butler Philbrick model?
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
Varan,
I think this is "full-on" risk parity, but I would need to run a comparison with my own risk parity calculations. The above screenshots come from Peter Hoadley's Excel Spreadsheets.
Optimizing The Dividend Aristocrats [View article]
Brian,
I have not recently checked the links to make sure the above calculations can be replicated. I suspect there is an error some place as the double entry of CLX should not give different results. The only reason I can think of is that a solution was found, given the constraints, before the second CLX entered the calculations.
Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
I did not place any constraint on VTI to the high side. If I were to limit iVTI to 25% to 30%, the percentages would likely be pushed into VIG and IWN.
Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
Give me a little time to see what happens when the required yield must exceed 3.0%. This should be possible, although I may need to lift the constraints on bonds from 3% to 4%.
Bullish Percent Index And Sector Indicators Dip Further South [View article]
Dave,
One needs do dig for the index BPI values. For example, the BPI for NYSE is $BPNYA. See if that works when you are in the Point and Figure section of StockCharts.
Optimizing The Dividend Aristocrats [View article]
Bob,
The limit is 40 stocks with the QPP40 software. There is also a QPP20 where only 20 tickers can be evaluated.
If I recall, there are now 54 Dividend Aristocrates so I eliminated any with a yield below 2% and came up with 37.
You have the idea of how the optimization works. One can optimize on return, risk, beta, yield, or some other metric of your choosing, so long as it can be located in the QPP spreadsheet.
Do Fundamental Index ETFs Have A Place In Our Portfolios? [View article]
Are you making a distinction between managed mutual funds and fundamental index ETFs, such as those run by Rob Arnott? I assume you are. I agree with you on managed mutual funds. Fundamental index ETFs are relatively new so we don't have a complete picture as to how they will perform, over the long-run, compared to index ETFs.
Lowell
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
Do you have a written model available anywhere on the Internet where I could walk through exactly how you employ your "momentum" model. Momentum may not describe it correctly, but you get my drift.
Lowell
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
The Ivy-10 and other portfolio can be found in Mebane Faber and Eric Richardson's book, "The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets."
To answer your last question, it is possible to come up with a projected return that his lower than that projected for the S&P 500 since the portfolio includes ETFs that reduce return as they also reduce risk. This is discussed quite a bit on my blog at
http://bit.ly/rfwO89
Lowell
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
Have you considered using the AAA model with commission free ETFs such as those provided by TDAmeritrade. That would get around the expense issue so long as you did not rebalance within a 30-day period. To make sure I am outside the 30-day limit, I review portfolios every 32 days.
Is there out-of-sample data or return information available on the Butler Philbrick model?
Lowell
Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
I think this is "full-on" risk parity, but I would need to run a comparison with my own risk parity calculations. The above screenshots come from Peter Hoadley's Excel Spreadsheets.
Optimizing The Dividend Aristocrats [View article]
I have not recently checked the links to make sure the above calculations can be replicated. I suspect there is an error some place as the double entry of CLX should not give different results. The only reason I can think of is that a solution was found, given the constraints, before the second CLX entered the calculations.
Lowell
Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
I just tried limiting VTI to 25% and nearly all the excess percentage was shifted to VIG.
Lowell
Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
Lowell
Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
I prefer VTI to SPY as it holds a wider basket of stocks. VTI includes more mid- and small-cap stocks. Also, VTI is a little better performer.
In all the portfolios I track, I use VTSMX (similar to VTI) and VFINX (similar to SPY) as benchmarks, and VTSMX is a higher standard than VFINX.
Lowell
Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
http://bit.ly/13aHZly
The projected return is reduced slightly.
Lowell
Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
Lowell
Bullish Percent Index And Sector Indicators Dip Further South [View article]
One needs do dig for the index BPI values. For example, the BPI for NYSE is $BPNYA. See if that works when you are in the Point and Figure section of StockCharts.
Lowell
Bullish Percent Index And Sector Indicators Dip Further South [View article]
Lowell
Optimizing The Dividend Aristocrats [View article]
If you can keep your portfolio to 20 or fewer holdings you will be able to use the less expensive QPP20.
Lowell
Optimizing The Dividend Aristocrats [View article]
The limit is 40 stocks with the QPP40 software. There is also a QPP20 where only 20 tickers can be evaluated.
If I recall, there are now 54 Dividend Aristocrates so I eliminated any with a yield below 2% and came up with 37.
You have the idea of how the optimization works. One can optimize on return, risk, beta, yield, or some other metric of your choosing, so long as it can be located in the QPP spreadsheet.
Lowell