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Lowell Herr  

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  • Passive 18-ETF Feynman Portfolio Outperforms U.S. Equities Benchmark With Aid Of Optimizer [View article]
    Charles,

    Good points. While the data to go back 20 or more years is not available with ETFs (with at least a broad array of ETFs), a number of portfolios are under investigation to see whether or not optimization, with an overlay of momentum, can be shown to out perform an appropriate benchmark as well as the VTSMX index fund.

    In addition another study will look at rebalancing the portfolio of 18-ETFs every quarter using the optimizer as the roadmap to rebalancing. Therefore we want to answer your last point, but not do it in 10-year jumps, but rather every quarter or every six months.

    BTW, the portfolio using this model going forward are reviewed every 33 days.

    Lowell
    Jul 13, 2013. 07:11 PM | Likes Like |Link to Comment
  • Passive 18-ETF Feynman Portfolio Outperforms U.S. Equities Benchmark With Aid Of Optimizer [View article]
    Larocag,

    Very enjoyable book - "Surely Your Joking, Mr. Feynman."

    Yes, any test should be run over as long a period as possible, but remember, this is a passive portfolio with a starting point using a fix asset allocation plan. With ETFs, we have limited history of data, to that is a major restriction.

    The fellow who conducted this study is running several more to test the ability of the optimizer (with constraints) to improve return and reduce risk. This is not a curve fitting process as one can read in the Word documents.

    I'm testing an advance model (Momentum-Optimizer Model) with several portfolios to see if I can show portfolio improvement vs. an appropriate benchmark. Early data looks positive, but it is way too early to come to any conclusions. I primarily use Vanguard index funds as they generally have some of the lowest expense ratios.

    Lowell
    PS I've looked at data going back to the late 1980s and the U.S. market over that period outperformed international markets.
    Jul 13, 2013. 08:13 AM | Likes Like |Link to Comment
  • Passive 18-ETF Feynman Portfolio Outperforms U.S. Equities Benchmark With Aid Of Optimizer [View article]
    "Shouldn't pretty much any well-selected set of ETFs outperform VT?"

    I am not using VT as the benchmark. Rather, the benchmark is VTSMX or a more difficult hurdle, as least over the last few years.

    "Why is it called the Feynman portfolio?"

    Most of the portfolios tracked on the ITA Wealth Management blog are named after scientists and the fellow running this study wanted the portfolio named after a famous scientist. I selected Feynman after Richard Feynman.

    Lowell
    Jul 12, 2013. 07:18 PM | Likes Like |Link to Comment
  • Is This Market Overpriced? 'Yes' Says Delta Factor Projections On 27 Diverse ETFs [View article]
    I too prefer index funds, particularly those with low expense ratios such as VTI or VTSMX. PCKDX carries a 1.09 expense ratio and after running performance comparisons, I fail to see any advantage to paying that high fee.

    Lowell
    Jul 4, 2013. 05:19 AM | Likes Like |Link to Comment
  • Setting Constraints For Asset Classes And Individual Securities [View article]
    Leif,

    I'm in the process of doing some back testing to see how well the optimizer works using a set of portfolio constraints over an extended period. We have some market extremes to test from 2006 or 2007 through today. In other words, how does the optimizer work in both down and up markets. The results will either be posted here on SA or over on my blog at

    http://bit.ly/rfwO89

    I'm currently using the optimizer with five test portfolios and I review each of these portfolios every 33 days.

    Lowell
    Jul 2, 2013. 08:28 AM | Likes Like |Link to Comment
  • Is This Market Overpriced? 'Yes' Says Delta Factor Projections On 27 Diverse ETFs [View article]
    Amnon,

    The Delta Factor is a proprietary calculation that is based on data extracted from a software program, Quantext Portfolio Planner (QPP). Geoff Considine developed QPP and one can see results of QPP by searching Geoff's name on Seeking Alpha.

    The Delta Factor looks at both historical performance and projected future performance, and then analyzes how well any given security (ETF in this case) will perform against a benchmark. I use VTSMX for equities and AGG for bonds.

    Lowell
    Jun 28, 2013. 09:01 AM | Likes Like |Link to Comment
  • Is This Market Overpriced? 'Yes' Says Delta Factor Projections On 27 Diverse ETFs [View article]
    Will,

    Here is one link.

    http://bit.ly/18jkcTv

    I've not done extensive back testing. The Delta Factor tends to be an early warning signal, sometimes several months out. This time I plan to be cautious throughout the summer. There is a whole category on the Delta Factor on my blog at this URL.

    http://bit.ly/rfwO89

    Lowell
    Jun 27, 2013. 07:37 PM | Likes Like |Link to Comment
  • Is This Market Overpriced? 'Yes' Says Delta Factor Projections On 27 Diverse ETFs [View article]
    Alpha,

    The article does not "bash" these ETFs. Instead, it provides projections that do not look all that favorable going forward. There are "full positions" and "partial positions" in a portfolio. While I hold shares of the identified ETFs, readers should not assume they are full positions.

    Lowell
    Jun 26, 2013. 12:43 PM | Likes Like |Link to Comment
  • Using Mebane Faber's Updated Risk Reduction Model [View article]
    Noumann,

    Thanks for the kind words. As for the momentum calculation, one first needs to recognize this is a relative scale so for any group of assets there will be one that comes up with +100% and one with -100%. The rest fall somewhere in between. For momentum we are ranking securities based on how fast they are growing over the most recent three-months (generally 91 days) and six-month (generally set to 192 days). The growth rate is normalized so as to calculate daily growth rates. Securities with the highest daily growth rate over the past 91 days compared to the last 192 days rank highest. Hope this makes a little sense.

    BTW, the momentum periods can be changes as can the Exponential Moving Average (EMA) periods.

    Lowell
    Jun 10, 2013. 05:35 AM | Likes Like |Link to Comment
  • Using Mebane Faber's Updated Risk Reduction Model [View article]
    While VTI will overlap most of the other top ETFs, VTV, VOE, VBR, VOT, and VUG will hold different stocks.

    If this is still a concern, then go with VTI.

    Lowell
    Jun 9, 2013. 11:31 AM | Likes Like |Link to Comment
  • Using Mebane Faber's Updated Risk Reduction Model [View article]
    Msapp,

    The data will be published regularly on this site.

    http://bit.ly/rfwO89

    Lowell
    Jun 7, 2013. 08:29 PM | Likes Like |Link to Comment
  • Momentum Optimization Analysis Of Stock Portfolio [View article]
    Fbradeen,

    Substitution is an incomplete term for the experiment. I wanted the person who requested this analysis to see what changed when one substituted a treasury security with a U.S. Equity holding.

    BTW - this article was picked up off my blog and was not written specifically for Seeking Alpha. Instead, it was written with a specific person in mind and was not intended for a general audience. However, SA has permission to use certain articles from my blog and this happened to be one of them.

    Lowell
    Jun 2, 2013. 09:02 AM | Likes Like |Link to Comment
  • 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
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