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  • Momentum And The Faber 10 ETF Portfolio [View article]
    Paul,

    I should mention that I post performance numbers on eleven portfolios at least once a month.

    Lowell
    Sep 26, 2013. 01:13 PM | Likes Like |Link to Comment
  • Momentum And The Faber 10 ETF Portfolio [View article]
    If I have not already answered the above question, please restate your question.

    The EMAs are there primarily to generate flags as to which way the market is trending.

    Lowell
    Sep 26, 2013. 01:12 PM | Likes Like |Link to Comment
  • Momentum And The Faber 10 ETF Portfolio [View article]
    Noumann,

    The EMAs are not factored into the momentum calculations. Momentum comes from three- and six-month performances plus a volatility calculation. 50% is allocated to the three-month performance, 30% to six-month, and 20% to volatility.

    If the ETF is ranked higher than SHY and the momentum is positive, then I would not pay attention to the 195-Day EMA. If the momentum is negative, that requires different judgment.

    Lowell
    Sep 26, 2013. 01:09 PM | Likes Like |Link to Comment
  • Momentum And The Faber 10 ETF Portfolio [View article]
    Paul,

    While I do not have a "real" or operational portfolio that matches the "Ivy 10," I am using this momentum model with several portfolios on my blog. What I am finding is that the portfolios are slowly gaining on the benchmarks, although it is still too early to know if this is pure luck. To reduce the luck factor, I review and update each portfolio every 33 days and all the updates are scattered throughout the month so all portfolios are NOT updated at the end of the month.

    Lowell
    Sep 26, 2013. 01:06 PM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 1 [View article]
    Here is the link.

    http://bit.ly/185g5Iz

    Lowell
    Sep 26, 2013. 09:31 AM | Likes Like |Link to Comment
  • Momentum And The Faber 10 ETF Portfolio [View article]
    Rob,

    I could have been "pure" and used VEA, but Faber uses VEU as his Foreign Developed Stocks ETF (page 75 of Ivy Portfolio book) since the majority of holdings are in developed countries. He uses RWX for his Foreign Real Estate, and there I took liberty to make a switch.

    Lowell
    Sep 26, 2013. 08:13 AM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 2 [View article]
    Onewolf,

    Point taken. The material was gleaned from a series of articles that appear on my blog ( http://itawealth.com ) and in the process I was less than consistent in identifying the various models.

    Lowell
    Sep 24, 2013. 03:39 PM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 1 [View article]
    Alex,

    Yes, quite a bit of the material is protected for Platinum members. Details of eight portfolios is available to members as well as some specialized spreadsheets. Contact me for more information if interested.

    Lowell
    Sep 22, 2013. 06:36 AM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 2 [View article]
    George,

    A spreadsheet for doing what you ask is available but I don't want to advertise on this site. Contact me if interested.

    Lowell
    Sep 22, 2013. 06:33 AM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 1 [View article]
    Jason,

    I don't think I covered that point in the article. If there are fewer than four ETFs performing better than SHY, then invest no more than 25% in any one ETF. Example: If there are only three ETFs performing better than SHY then invest no more than 25% in each of those three and the last 25% in SHY.

    When I am using the optimizer with SHY as the cutoff, I let the optimizer dictate the number of shares. When a portfolio comes up for review on my blog I walk readers through those judgment decisions.

    Lowell
    Sep 21, 2013. 03:47 PM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 1 [View article]
    Alex,

    Regarding ETFs with negative momentum, here is what I have been doing with portfolios where I use the "Dynamics" plus SHY mode. This only applies to ETFs that are outperforming SHY.
    1. If the optimizer calls for additional shares and momentum is plus, I buy.
    2. If the optimizer calls for shares and momentum is negative I do nothing.
    3. If the optimizer calls for fewer shares and the momentum is positive I do nothing.
    4. If the optimizer calls for fewer shares and the momentum is negative I sell.

    Lowell
    Sep 21, 2013. 02:21 PM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 2 [View article]
    ElGordo,

    Thank you for the kind words. I've seriously thought about writing a book, but for now I concentrate my writing on my blog.

    Lowell
    http://itawealth.com
    Sep 21, 2013. 02:14 PM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 1 [View article]
    The momentum calculations (both absolute and relative) are explained on my blog. The explanation, particularly relative momentum, it too complex to go into here.

    The Ranking SS is available to Platinum members only. The optimizer software needs to be purchased from the individual who wrote the program.

    Lowell
    http://itawealth.com
    http://bit.ly/rfwO89
    Sep 21, 2013. 02:01 PM | Likes Like |Link to Comment
  • Momentum Model Increases Return While Reducing Portfolio Risk - Part 2 [View article]
    Extremebanker,

    It sounds like you are doing something very similar to what I lay out these two articles.

    Built into the Rankings SS is a 195-Day EMA as well as two other EMAs. As mentioned in the article, volatiltiy is also taken into consideration.

    Right now I am testing momentum models and the results are positive. Sounds like that is your experience as well.

    Lowell
    Sep 20, 2013. 03:53 PM | Likes Like |Link to Comment
  • If I Were Starting A New Portfolio Today [View article]
    Jon,

    You might find my blog of interest.
    Original Site: http://bit.ly/rfwO89
    New Site: http://itawealth.com
    Sep 11, 2013. 11:33 AM | Likes Like |Link to Comment
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