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  • Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
    Brian,

    Have you considered using the AAA model with commission free ETFs such as those provided by TDAmeritrade. That would get around the expense issue so long as you did not rebalance within a 30-day period. To make sure I am outside the 30-day limit, I review portfolios every 32 days.

    Is there out-of-sample data or return information available on the Butler Philbrick model?

    Lowell
    Mar 3, 2013. 06:18 PM | Likes Like |Link to Comment
  • Risk Parity Analysis Of Modified 'Ivy-10' Portfolio [View article]
    Varan,

    I think this is "full-on" risk parity, but I would need to run a comparison with my own risk parity calculations. The above screenshots come from Peter Hoadley's Excel Spreadsheets.
    Mar 3, 2013. 04:24 PM | Likes Like |Link to Comment
  • Optimizing The Dividend Aristocrats [View article]
    Brian,

    I have not recently checked the links to make sure the above calculations can be replicated. I suspect there is an error some place as the double entry of CLX should not give different results. The only reason I can think of is that a solution was found, given the constraints, before the second CLX entered the calculations.

    Lowell
    Feb 24, 2013. 12:18 PM | Likes Like |Link to Comment
  • Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
    Hsu,

    I just tried limiting VTI to 25% and nearly all the excess percentage was shifted to VIG.

    Lowell
    Feb 22, 2013. 04:01 PM | Likes Like |Link to Comment
  • Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
    I did not place any constraint on VTI to the high side. If I were to limit iVTI to 25% to 30%, the percentages would likely be pushed into VIG and IWN.

    Lowell
    Feb 22, 2013. 03:56 PM | Likes Like |Link to Comment
  • Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
    Tom,

    I prefer VTI to SPY as it holds a wider basket of stocks. VTI includes more mid- and small-cap stocks. Also, VTI is a little better performer.

    In all the portfolios I track, I use VTSMX (similar to VTI) and VFINX (similar to SPY) as benchmarks, and VTSMX is a higher standard than VFINX.

    Lowell
    Feb 22, 2013. 03:48 PM | Likes Like |Link to Comment
  • Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
    Here is the answer to your question if one constrains the yield to be 3.0% or higher.

    http://bit.ly/13aHZly

    The projected return is reduced slightly.

    Lowell
    Feb 22, 2013. 12:05 PM | Likes Like |Link to Comment
  • Optimizing The Asset Allocation Of A 16 ETF Portfolio [View article]
    Give me a little time to see what happens when the required yield must exceed 3.0%. This should be possible, although I may need to lift the constraints on bonds from 3% to 4%.

    Lowell
    Feb 22, 2013. 11:39 AM | Likes Like |Link to Comment
  • Bullish Percent Index And Sector Indicators Dip Further South [View article]
    Dave,

    One needs do dig for the index BPI values. For example, the BPI for NYSE is $BPNYA. See if that works when you are in the Point and Figure section of StockCharts.

    Lowell
    Feb 19, 2013. 10:12 PM | Likes Like |Link to Comment
  • Bullish Percent Index And Sector Indicators Dip Further South [View article]
    The best site is likely to go on StockCharts and look up the indexes or sectors of interest. StockCharts is where I get my data.

    Lowell
    Feb 19, 2013. 08:13 AM | Likes Like |Link to Comment
  • Optimizing The Dividend Aristocrats [View article]
    Bob,

    If you can keep your portfolio to 20 or fewer holdings you will be able to use the less expensive QPP20.

    Lowell
    Feb 15, 2013. 09:17 PM | Likes Like |Link to Comment
  • Optimizing The Dividend Aristocrats [View article]
    Bob,

    The limit is 40 stocks with the QPP40 software. There is also a QPP20 where only 20 tickers can be evaluated.

    If I recall, there are now 54 Dividend Aristocrates so I eliminated any with a yield below 2% and came up with 37.

    You have the idea of how the optimization works. One can optimize on return, risk, beta, yield, or some other metric of your choosing, so long as it can be located in the QPP spreadsheet.

    Lowell
    Feb 15, 2013. 02:44 PM | Likes Like |Link to Comment
  • Optimizing The Dividend Aristocrats [View article]
    Inzkeeper,

    1) The double entry of CLX is an error. One should be CL, but when I entered it, Excel automatically "typed" CLX and I failed to catch the double entry.
    2) QPP is a software program designed by Geoff Considine. To my knowledge QPP does not account for dividend growth rate.
    3) To come up with the above results two spreadsheets are running in cooperation with each other. An optimizer worksheet links to the QPP spreadsheet projections and comes up with the "best" allocation of assets based on constraints one places on the investments.

    More on how all this works can be found on my blog at
    http://bit.ly/rfwO89

    Lowell
    Feb 14, 2013. 03:53 PM | Likes Like |Link to Comment
  • Top Core Stocks Analyzed Using QPP Plus Delta Factor Projections [View article]
    Oldlaxer59,

    As way of explanation, Seeking Alpha editors picked this article up off my blog (http://bit.ly/rfwO89) so this piece was written for my readers. The portfolio needs to be read in the context of many other posts.

    As way of color explanation, the individual holdings are compared to Vanguard's Total Market Index Fund, VTSMX. For a stock to receive a green background in the Delta column, the value must be equal or greater than 15%. That means the projected return minus historical return must be => 15%. This value is subject to change.

    Lowell
    Feb 13, 2013. 12:00 PM | Likes Like |Link to Comment
  • Harry Browne's Permanent Portfolio And Market Stages [View article]
    In William Bernstein new e-book, "Skating Where The Puck Was," he is less than positive as to the future performance of the "Permanent Portfolio." Gold is not likely to repeat the past performance, bonds will decline when interest rates begin to rise, and cash contributes little to the portfolio except as a downdraft protector.

    Lowell
    Feb 8, 2013. 03:03 PM | 3 Likes Like |Link to Comment
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