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Lowell Herr

 
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  • Bullish Percent Indicators Show A Stronger Market [View article]
    IWM is still showing a bullish PnF graph. Not sure what you mean by the "rolled over."

    Lowell
    Jul 22 10:06 AM | 1 Like Like |Link to Comment
  • Portfolio Construction: Risk Vs. Capital Allocation [View article]
    I don't know how the current CALPERS portfolio is constructed, but the last I read it was 95% indexed. This fund is so large it simply reflects the market, and the U.S. Equities market did not do much over the last year.

    One can assume CALPERS had a significant percentage invested in the international markets, and they had a tough year. Those are my best guesses why the return was so small.

    Lowell
    Jul 21 11:55 AM | 1 Like Like |Link to Comment
  • Boost Return By Adding 3 Dividend Stocks To The 'Swensen Six' Core ETFs [View article]
    The genesis of adding dividend stocks comes from testing correlations between individual stocks and broad market ETFs. In nearly all cases, the stocks have low correlations to the broad market. That tends to bring down portfolio volatility.

    The three stocks I used in this example emerged from a screen I use to identify stocks with growing dividends. Those were the only three that passed the test. When considering adding stocks to an index oriented portfolio, I limit it to five.

    Lowell
    Jul 21 08:30 AM | Likes Like |Link to Comment
  • Portfolio Construction: Risk Vs. Capital Allocation [View article]
    Risk-Parity may be one of those investment concepts that works well when back-tested. I think of two classic data mining examples by Michael O'Higgins from his books, Beating the Dow and Beating the Dow with Bonds. The second book is filled with so many logical errors it is pitiful.

    Lowell
    Jul 20 05:34 PM | Likes Like |Link to Comment
  • Portfolio Construction: Risk Vs. Capital Allocation [View article]
    This link provides arguments as to why Risk-Parity is not likely to be a good idea going forward.

    http://bit.ly/MxkRTR

    Lowell
    Jul 20 05:28 PM | Likes Like |Link to Comment
  • Portfolio Construction: Risk Vs. Capital Allocation [View article]
    Where is the link?

    L.
    Jul 20 05:24 PM | Likes Like |Link to Comment
  • Portfolio Construction: Risk Vs. Capital Allocation [View article]
    Dividends for the S&P 500? I don't think that will change the overall picture.

    Lowell
    Jul 20 10:27 AM | 1 Like Like |Link to Comment
  • Stress Testing A Basic 6 ETF Retirement Portfolio [View article]
    While the general guidelines make sense, the specifics are missing unless one becomes a client.

    Lowell
    Jul 18 03:41 PM | Likes Like |Link to Comment
  • Analyzing A Swensen-Faber Merged Portfolio [View article]
    Jweissman,

    Check out my blog at this address, if you have not already done so.

    http://bit.ly/rfwO89

    Lowell
    Jul 17 05:03 PM | Likes Like |Link to Comment
  • Stress Testing A Basic 6 ETF Retirement Portfolio [View article]
    Rickevan,

    Perhaps, but what if someone retired in 1969, early 2000, or 2007 and the portfolio had no cushion? The stock market (DJIA) dropped from over 1000 in the 1960s to well below 600 in the mid-1970s and was still hovering at 770 in the summer of 1982. If the yield of the portfolio was over 4%, then they were likely OK.

    In the 2008 bear market, 401 accounts were converted quickly to 201 accounts.

    On cannot count on dividends remaining at specific level through a long retirement.

    Lowell
    Jul 17 02:16 PM | Likes Like |Link to Comment
  • Analyzing A Swensen-Faber Merged Portfolio [View article]
    Jweissman,

    When it comes to rebalancing, I use 25% target limits. Take your 60% allocation to VIG. So long as that asset class stays within +/- 15% of the 60% allocation, don't do anything. Keep in mind that the 25% target limit comes from a 22-year study beginning back in 1989. Eight asset classes were used, so one might want to reduce that 25% band for a two ETF portfolio. If one is adding new money, it should be a breeze to maintain something close to a 60/40 allocation.

    Lowell
    Jul 16 10:12 PM | Likes Like |Link to Comment
  • Analyzing A Swensen-Faber Merged Portfolio [View article]
    Varan,

    The ITA Risk Reduction model follows the behavior of the Faber-Richardson model as explained in the Ivy Portfolio book. The ITA model is slightly faster reacting to market changes. Otherwise, it is very similar.

    I've never met a back testing model I did not like. At least one that fit the data. (g)

    Lowell
    Jul 16 07:29 AM | Likes Like |Link to Comment
  • Analyzing A Swensen-Faber Merged Portfolio [View article]
    Verrip1,

    Check out this blog post and see if this helps with the Risk-Parity idea.

    http://bit.ly/PXevkE

    Lowell
    Jul 15 07:02 PM | Likes Like |Link to Comment
  • Analyzing A Swensen-Faber Merged Portfolio [View article]
    Google this title and see if the second link is a PDF file of the article.

    Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

    Lowell
    Jul 15 06:57 PM | Likes Like |Link to Comment
  • Analyzing A Swensen-Faber Merged Portfolio [View article]
    The issue I have with Risk-Parity is that it seems to favor a heavy bond component - at least if one is attempting to temper risk by setting up a risk-balanced portfolio. This approach certainly served portfolios well over the past twelve years. But will that continue?

    To stay on the right side of the market, I favor the ITA Risk Reduction model.

    Lowell
    Jul 15 03:44 PM | Likes Like |Link to Comment
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