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Lowell Herr  

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  • Ranking ETFs For Portfolio Update [View instapost]
    Roger,

    Just a bit more information on back testing. The data is included in a number of blog posts under the title, The Feynman Study. Not all posts are free as several spreadsheets are used to actually implement the momentum models. You can find the introduction to this study on my blog at this address.

    http://itawealth.com

    Then search for Feynman Study or look it up under Categories.

    Lowell
    Nov 11, 2013. 07:24 PM | Likes Like |Link to Comment
  • Ranking ETFs For Portfolio Update [View instapost]
    Roger,

    Yes, I have back tested results but not on dividend stocks. The data is for a portfolio of 18 ETFs that cover the world markets and runs from the end of June 2007 through the end of June 2013. This period was selected as it includes both a major bear and bull market.

    Lowell
    Nov 11, 2013. 07:18 PM | Likes Like |Link to Comment
  • Ranking Dividend Aristocrats [View article]
    Stratti,

    This is certainly a possibility. I do run this analysis on a regular bases in some 20 to 25 ETFs and the data is available on my blog at this URL.

    http://itawealth.com

    Lowell
    Nov 10, 2013. 08:51 AM | Likes Like |Link to Comment
  • Ranking Dividend Aristocrats [View article]
    George,

    Good to know dividend growth and momentum hit a sweet spot.

    ROC1 and ROC2 are price changes over three- and six-months respectively. In the above table 91- and 182-days of calculations are used to come up with the percentage values. RSQD is a statistical calculation that measures the movement of a security (ETFs in this case) that can be explained by movements in a benchmark. I used VTSMX as the benchmark for the above calculations. The S&P 500 is frequently used for this benchmark.

    The far right-hand column is the Absolute Momentum and this shows how much faster or slower the three-month growth rate is compared to the six-month growth rate. Of course one needs to normalize the calculation so as to take in the difference in the number of days. I rely on the data from this column.

    To see that last column you might reset viewing to 90% of full screen.

    Lowell
    Nov 9, 2013. 01:06 PM | Likes Like |Link to Comment
  • Ranking Dividend Aristocrats [View article]
    Varan,

    Those are still huge draw-downs (looking at your link) that I prefer to avoid through the use of the SHY screen.

    Lowell
    Nov 8, 2013. 02:24 PM | Likes Like |Link to Comment
  • Momentum Investing Using Low Correlated ETFs [View article]
    Red,

    Lumping DBC and GLD into the same cluster is a reasonable assumption, but they have a very low correlation with each other and that is the reason for breaking them up into separate clusters. Hope that makes sense.

    The software I use limits one to 10 clusters and for the above analysis, I used a 0.80 cutoff limit. Depending on the securities, that cutoff values needs to be lowered in certain situations.

    Lowell
    Nov 8, 2013. 02:10 PM | Likes Like |Link to Comment
  • Momentum Investing Using Low Correlated ETFs [View article]
    Robert,

    Absolutely, one can start with one ETF and build a diversified portfolio using as few as five ETFs.

    The idea behind "clustering" is to pair or blend low correlated ETFs into a portfolio. The model explained above has an additional overlay and it is that the ETF must be outperforming SHY, the ETF used as a performance cutoff security.

    Lowell
    Nov 8, 2013. 05:53 AM | Likes Like |Link to Comment
  • Momentum Investing Using Low Correlated ETFs [View article]
    Villi,

    I've only used this model with ETFs so I don't know how it would work with individual stocks. I did run a cluster analysis on a group of dividend aristocrats and I can see how they might jump from cluster to cluster.

    Lowell
    Nov 7, 2013. 03:45 PM | Likes Like |Link to Comment
  • The Fundamental Flaw Of Stock Indexes [View article]
    FNSAX essentially tracks the VBR index ETF.

    http://yhoo.it/VKjDrp;range=2y;compare=vbr;...

    Lowell
    Oct 19, 2013. 08:50 AM | Likes Like |Link to Comment
  • The Fundamental Flaw Of Stock Indexes [View article]
    Ian,

    Is it not possible to counter this "index flaw" by allocating higher percentages to value index ETFs such as VBR, VOE, IJJ, and IJS?

    Lowell
    http://itawealth.com
    Oct 18, 2013. 08:46 AM | 1 Like Like |Link to Comment
  • Momentum And The Faber 10 ETF Portfolio [View article]
    User,

    I am tracking a passively "managed" portfolio so I will have a reference as to which performs best over the coming years.

    Lowell
    Oct 10, 2013. 05:45 PM | Likes Like |Link to Comment
  • Portfolio Management During Debt Crisis [View article]
    Once you sign up with PayPal you should be good to go.

    Let me know if you need help. I'll need to get you signed up for the original website as well since there are over 1,000 entries over on that site. There is NO additional cost to gain access to the original site.

    Lowell
    Oct 8, 2013. 08:15 PM | Likes Like |Link to Comment
  • Portfolio Management During Debt Crisis [View article]
    Mitch,

    It is all explained on my blog at http://itawealth.com. All the ingredients are available including a weighted rankings spreadsheet.

    To keep track of how well the portfolio is performing with respect to a customized benchmark (unique for each portfolio) one only needs to learn how to use the TLH Spreadsheet. Video/audio help sessions are available.

    Lowell
    Oct 8, 2013. 12:44 PM | Likes Like |Link to Comment
  • Portfolio Management During Debt Crisis [View article]
    One of the objectives of the above portfolio is to keep is simple. If I were to include silver it would be SLV.

    Lowell
    Oct 8, 2013. 08:13 AM | Likes Like |Link to Comment
  • Momentum And The Faber 10 ETF Portfolio [View article]
    The absolute momentum is the normalized gain between what happens over the most recent three months vs. recent six months. The relative momentum keys off of the absolute momentum as you suspect.

    Lowell
    Sep 27, 2013. 08:39 PM | Likes Like |Link to Comment
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