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  • Beginner's Portfolio: Using Optimization And Momentum Tools With A 10 ETF Portfolio [View article]
    AP,

    I was curious to see how well the 10 security portfolio performed over the past five years, the time frame I used for the above analysis. The data is available at this URL.

    http://bit.ly/11JDw7y


    Lowell
    Apr 8, 2013. 12:18 PM | Likes Like |Link to Comment
  • The Basic Portfolio [View instapost]
    Varan,

    I noted this statement in your article.

    "The number of fixed income assets should be as many or preferably more than the number of equity assets."

    Is the reason for including fixed income securities to lower portfolio volatility?

    Lowell
    Apr 7, 2013. 07:38 AM | Likes Like |Link to Comment
  • The Basic Portfolio [View instapost]
    Varan,

    A similar set of ETFs available commission free from TD Ameritrade are: VOE, VBR, VEU, VWO, VNQ, DBC, BND, LQD, TLT, IEF (not free), PCY, and BIV. I would also add VTI to cover the entire U.S. Equities market.

    Lowell
    Apr 6, 2013. 03:19 PM | Likes Like |Link to Comment
  • The Basic Portfolio [View instapost]
    Varan,

    Have you been using this model since 2003 or are these back-tested results?

    I'm just in the beginning stages of implementing a momentum/volatility model. The time period I am using for momentum is longer than what you recommend.

    Thanks for the notification of the update. Keep me in the loop.

    Lowell
    Apr 6, 2013. 03:02 PM | Likes Like |Link to Comment
  • Asset Classes: How Many Should You Own? [View article]
    I track a number of portfolios built around many of the ETFs listed in the article. However, the portfolios are skewed toward value and smaller-cap stocks rather than setting them up as you describe. One of the longer running portfolios is the Schrodinger. The portfolio was launched in December of 2000 and so far has outperformed both the VFINX and VTSMX benchmarks. I use a spreadsheet called the TLH Spreadsheet to track the results. The accuracy of the calculations has been tested against three commercial portfolio tracking software programs. I don't consider this to be a robust test as one likely needs 30 t0 40 years of performance data to know if it really works.

    Lowell
    Mar 31, 2013. 08:07 PM | Likes Like |Link to Comment
  • Optimizing The "Ivy 20" Portfolio [View article]
    User,

    How true. Here is an example of using the function within Excel.
    http://seekingalpha.co...
    One needs to use judgment in placing constraints on asset classes and individual holdings. Otherwise, the recommendations get rather wild. Both William Bernstein and Harold Evensky warn investors of the dangers related to optimizers.

    The raw data, time frames, and other assumptions impact the outcome.

    Lowell
    Mar 24, 2013. 08:48 AM | Likes Like |Link to Comment
  • Optimizing The "Ivy 20" Portfolio [View article]
    LeftBanker,

    The optimizing software is an Excel add-in developed by Peter Hoadley and the cost a little under $140. You can find more at this site.
    http://bit.ly/15UtsJU
    The program does a lot more than what I use. Again, the last two screenshots are worksheets that have been added to the original program.

    Lowell
    Mar 23, 2013. 07:41 AM | Likes Like |Link to Comment
  • Optimizing The "Ivy 20" Portfolio [View article]
    Paul,

    Unfortunately, one must use the optimization software that is running underneath the worksheets shown above. The optimization software generates the efficient frontier graph. Customized worksheets were added to the original software to create the rankings (second screen shot) and the Buy-Hold-Sell recommendations (third screen shot).

    Lowell
    Mar 19, 2013. 04:43 PM | Likes Like |Link to Comment
  • Rebalancing Portfolio Enhanced By Efficient Frontier Analysis [View article]
    Number19,

    I've been using the 20 ETFs for many years. Most are commission free if one is a client of TD Ameritrade.

    The software operating in the background is a an Excel spreadsheet created by Peter Hoadley. Here is the link if interested in purchasing this Excel add-in.
    http://bit.ly/15UtsJU

    The idea of the Efficient Frontier goes back to 1952 and Nobel Prize winning research by Harry Markowitz. The Hoadley spreadsheet make use of these ideas. One does need to place constraints on both the individual ETFs and broader asset classes. Examples are available on my blog at itawealthmanagement.com.

    Lowell
    Mar 17, 2013. 03:24 PM | Likes Like |Link to Comment
  • Rebalancing Portfolio Enhanced By Efficient Frontier Analysis [View article]
    Number19,

    1) The Efficient Frontier shows the Return/Volatility position of the current portfolio as well as an optimized portfolio.
    2) The second slide shows a momentum ranking based on 3 and six months of performance plus a volatility measurement.
    3) The third slide provides the reader with information of what moves to make to bring the current portfolio more in line with an optimized asset allocation.

    It may takes numerous examples for this approach to make sense.

    Lowell
    Mar 16, 2013. 01:32 PM | Likes Like |Link to Comment
  • Do Fundamental Index ETFs Have A Place In Our Portfolios? [View article]
    Dan,

    I just looked at some ETF comparisons using the recent 3 and 6 month periods and the "standard" ETFs have done relatively well in what most consider a strong market. There are a number of fundamental index funds that have also performed very well. The asset class under investigation is quite important. Recently, value ETFs are frequently among the better performers.

    Lowell
    Mar 12, 2013. 05:25 PM | Likes Like |Link to Comment
  • Do Fundamental Index ETFs Have A Place In Our Portfolios? [View article]
    Dan,

    I only examined results over the last six months or a bullish period so I don't have data to back your observations. What I need to do next, now that I have this new tool, is to select Fundamental and Market ETFs that cover similar sections of the market and run tests over longer periods.

    Lowell
    Mar 12, 2013. 04:18 PM | Likes Like |Link to Comment
  • 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.

    Lowell
    Mar 12, 2013. 08:22 AM | Likes Like |Link to Comment
  • 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.

    Lowell
    Mar 4, 2013. 09:30 AM | Likes Like |Link to Comment
  • 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

    Lowell
    Mar 4, 2013. 09:26 AM | Likes Like |Link to Comment
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