Seeking Alpha
View as an RSS Feed

Lowell Herr  

View Lowell Herr's Comments BY TICKER:
Latest  |  Highest rated
  • Momentum Optimization Analysis Of Stock Portfolio [View article]
    Pietrusikm,

    I sell when the optimize-momentum indicator calls for a Sell.

    Please note that the above array of securities is not a "real" portfolio, but was analyzed as a sample for an individual who happens to hold a number of these stocks.

    Lowell
    Jun 2, 2013. 07:38 AM | Likes Like |Link to Comment
  • Finding Top-Performing Stocks Among Dividend Aristocrats [View article]
    Huthutho,

    I'm using a momentum-optimization model with a few portfolios over on my blog at this address.

    http://bit.ly/rfwO89

    You may want to take a look when you have time.

    Lowell
    May 31, 2013. 10:05 PM | 1 Like Like |Link to Comment
  • Optimizing The Swensen 6 Portfolio [View article]
    It depends on the portfolio. I track eleven on my blog. The most passive is the Schrodinger. I would need to check, but I think a recent rebalancing trade was the first since early 2011.

    With other portfolios I may make a few adjustments every few months. None are heavily traded. Neither is it a buy and forget management style. Each portfolio is reviewed and updated every 33 days.

    Lowell
    May 31, 2013. 09:45 AM | Likes Like |Link to Comment
  • Optimizing The Swensen 6 Portfolio [View article]
    Johnohio,

    The quick answer is, yes. Here is how it works. The "optimizer-momentum" contains several worksheets that are built on a commercial Excel add-on. One needs to first purchase the add-on from the developer (cost is about $140.). Once that ownership is verified, I am then able to send the "optimizer-momentum" enhancement. I am not the add-on developer.

    Yes, you can enter your own securities, up to 40. The software will not handle more than 40 tickers. I think one can expand the number, but even at 40, one run takes a very fast computer from five to ten minutes to make one run as the program is calculation intensive.

    Lowell
    May 31, 2013. 07:06 AM | Likes Like |Link to Comment
  • Ranking Critical ETFs [View article]
    Johnohio,

    Perhaps this link will explain my sell indicators. The third screen shot contains the Buy-Hold-Sell recommendations

    http://bit.ly/112C2Bk

    Lowell
    May 29, 2013. 11:26 AM | Likes Like |Link to Comment
  • Building A 20-ETF Portfolio Using Optimization And Momentum [View article]
    One needs to be sufficiently interested in seeking the information when presented. For example, all the portfolio performance data was uploaded minutes ago on my blog.

    Lowell
    May 28, 2013. 04:06 PM | 1 Like Like |Link to Comment
  • Building A 20-ETF Portfolio Using Optimization And Momentum [View article]
    Results are frequently posted on my blog at this address.

    http://bit.ly/rfwO89

    Some of the data is only available to Platinum members.

    Lowell
    May 28, 2013. 03:15 PM | 1 Like Like |Link to Comment
  • Momentum Investing: Ranking The Top 3 Sector ETFs [View article]
    Kenojg,

    I'm not aware of any sector studies. Probably due to not spending a lot of time building portfolios around sectors. Instead, I use asset classes for portfolio construction purposes, but I do add high ranking sectors as identified in the above article. Right now I hold VNQ in all portfolios and VCR, VHT, and VFH in several.

    The momentum article referenced above would guide one away from investing in poor performing ETFs.

    Lowell
    May 24, 2013. 12:18 PM | Likes Like |Link to Comment
  • Further Analysis Of The 40 Stock Portfolio [View article]
    BlueOkie,

    Yes, the projected Return is plotted on the y-axis and Risk (Volatility or Standard Deviation) is plotted on the x-axis. The developer of the software I am using titles the x-axis as Volatility as the term conveys more meaning than Risk. The risk-free percentage I used for the above calculations was 0.09% and the projected return for the VTSMX was 7.0%. I prefer VTSMX to the S&P 500 at is is a broader measurement of the market and sets a higher bar.

    A lot of calculations go into creating the efficient frontier graph, but it is highly dependent on the assets used to create the portfolio. The original analysis of the 40 stocks was posted in an earlier blog post over at ITA Wealth Management. In addition to the individual securities, constraints are placed on each asset class and each individual security. The software operates off these two sets of constraints with the asset class constraint taking precedent. For the individual stocks, I used a maximum constraint of 10%.

    Yes, the Return and Volatility are bound together, but it is possible, with a lot of care and analysis, to increase the Return/Volatility ratio.

    Lowell
    May 19, 2013. 12:58 PM | 1 Like Like |Link to Comment
  • Optimizing The "Ivy 20" Portfolio [View article]
    User,

    I am using a modification of the rotation system. For example, I use a 33-Day review period instead of end of the month. This shifts the potential transactions throughout the month so that end-of-the month market action has less impact. There are other advantages to this system that I go into on my blog.

    Another change I make is to use the 195-Day Exponential Moving Average instead of the 10-month simple moving average. Again, I think there are several advantages to using the EMA.

    A third change employs a momentum factor. From time to time I also discuss this on my blog.

    I prefer to be invested in more than three or six ETFs. Again, it is a individual preference. I use the TLH Spreadsheet to track both performance and risk factors of the portfolio.

    Lowell
    May 13, 2013. 04:51 PM | Likes Like |Link to Comment
  • 'Delta Factor' Projections For Sector ETFs [View article]
    Jweissman,

    While I cannot give you the correlation value between RSI and BPI, there is a strong relationship. The RSI, as I have it set, seems to be faster acting, or moves quicker than BPI. When it comes to the Bullish Percent Index, I pay most attention to what the NYSE is doing. When it comes to specific securities, I look at the RSI and "Delta Factor" indicators.

    Lowell
    Apr 24, 2013. 01:11 PM | Likes Like |Link to Comment
  • Passive Investing Works: A 12-Year-Old Example [View article]
    Varan,

    In other words, the 8.6% return was a real portfolio that you held from 2000-2013. Correct?

    Lowell
    Apr 22, 2013. 07:32 PM | Likes Like |Link to Comment
  • Ranking Critical ETFs [View article]
    David,

    If one looks at RWX (#3) and VNQ (#4) you will note that both ETFs showed nearly identical growth percentages over the past 91 days. However, RWX had a greater growth percentage over the past 182 days, 14.6% vs. 12.2% for VNQ. In other words, RWX did not have the same momentum moving from the 182-day to 91-day period. That is why it receives a lower momentum percentage rating compared to VNQ. I hope I am making this a little clearer. It is not the absolute values that are critical, but rather the rates of change that determine momentum

    Lowell
    Apr 22, 2013. 07:29 PM | Likes Like |Link to Comment
  • Passive Investing Works: A 12-Year-Old Example [View article]
    There is nothing quite like in-sample-data to generate great returns.

    Lowell
    Apr 22, 2013. 07:18 PM | 1 Like Like |Link to Comment
  • Ranking Critical ETFs [View article]
    David,

    Number 1 ETF, VHT, grew at 11% over the last 91 days and 14% in the last 182 days whereas number 2 ETF, VPU, grew at 14.2% in the last 91 days and 10.3% over the last 182 days. With those differences momentum of VPU is significantly greater than is the momentum of VHT.

    VHT still ranks number 1 due to weighting factors of both performance and volatility.

    Lowell
    Apr 22, 2013. 05:57 PM | Likes Like |Link to Comment
COMMENTS STATS
1,057 Comments
323 Likes