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Lowell Herr

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  • Applying Momentum And Cluster Analysis To Replicate The Yale Portfolio [View article]
    Flires,

    True, VBK, VOT, and VuG are highly correlated. This is why one runs Cluster Weighting Momentum (CWM) analysis as it recommends investing in low correlated ETFs.

    On my blog ( http://itawealth.com ) I post trend results every Saturday for the 13 portfolios I am tracking. Not all are managed using CWM analysis. When I updated today, 11 of the 13 were picking up ground on the VTSMX. I am not doing as well against the ITA Index, a customized benchmark developed for each portfolio.

    Lowell
    Jan 30 06:52 PM | Likes Like |Link to Comment
  • Applying Momentum And Cluster Analysis To Replicate The Yale Portfolio [View article]
    Mont1750,

    That is a proprietary calculation. One could likely reverse engineer the calculation as it is based on the performance data provided in the above table, plus the momentum or absolute acceleration percentage.

    Lowell
    http://itawealth.com
    Jan 28 03:07 PM | Likes Like |Link to Comment
  • Applying Momentum And Cluster Analysis To Replicate The Yale Portfolio [View article]
    ElGordo,

    Check out this site. Thirteen (13) portfolios are tracked on this blog.

    http://itawealth.com

    Lowell
    Jan 28 02:21 PM | Likes Like |Link to Comment
  • Applying Momentum And Cluster Analysis To Replicate The Yale Portfolio [View article]
    Alexander,

    I'm testing a modification of the "Cluster Weighting Momentum" model with several portfolios and the early conclusions are positive. An important aspect to this type of analysis is to avoid ETFs that are underperforming SHY, the cutoff ETF..

    Lowell
    http://itawealth.com
    Jan 28 08:04 AM | Likes Like |Link to Comment
  • Applying Momentum And Cluster Analysis To Replicate The Yale Portfolio [View article]
    Fibonacci,

    First off, I did not select the 18 ETFs used for this analysis, but rather used those suggested from the referenced article. Second, the tree or cluster analysis is anything but dangerous as it helps guard against a portfolio loaded with highly correlated ETFs. Personally, I start with a different set of ETFs for potential investments.

    Also keep in mind that the four ETFs that passed the current requirements will likely be quite different a quarter or year from now.

    Lowell
    Jan 27 04:43 PM | 1 Like Like |Link to Comment
  • Bullish Percent Indicators Reflect Healthy Correction [View article]
    User,

    The data comes from Stock Charts, but I do not use the default settings. Instead, I use percentage values to determine changes from X's to O's and vice versa. It make more sense when one has computing power vs. constructing the Point and Figure (PnF) graphs by hand.

    Lowell
    http://itawealth.com
    Jan 26 08:04 PM | Likes Like |Link to Comment
  • Bullish Percent Indicators Reflect Healthy Correction [View article]
    Peterkin,

    Although posted last week, this data table shows that most U.S. Equities ETFs are still performing well above the SHY cutoff ETF.

    http://bit.ly/1fiDUyW

    Lowell
    Jan 26 04:37 PM | Likes Like |Link to Comment
  • Asset Classes: How Many Should I Own? [View article]
    Fred,

    This link will explain a bit more concerning weights assigned to different asset classes. The Aristotle Portfolio is an example of what I am talking about. There is a risk reduction model that is examined every time a portfolio is reviewed and I go through this process every 33 days.

    http://bit.ly/1fiHh8V

    Lowell
    Jan 24 03:15 PM | Likes Like |Link to Comment
  • Asset Classes: How Many Should I Own? [View article]
    JUDS,

    I'm not sure what you mean by "valuation." Please explain. The ETFs recommended by Mebane Faber and Eric Richardson in "The Ivy Portfolio" are nearly all contained in the above article. Also check out the screenshot in this link as it includes most of the potential ETFs I use to populate a portfolio.

    http://bit.ly/1fiDUyW

    Lowell
    Jan 24 03:03 PM | Likes Like |Link to Comment
  • Asset Classes: How Many Should I Own? [View article]
    Fred,

    Definitely not equal weights.

    Lowell
    Jan 24 02:52 PM | Likes Like |Link to Comment
  • Portfolio Management: Blending Asset Allocation And Momentum [View article]
    Indy,

    Commodities (DBC) is one of the possible options. Currently, DBC is performing below the SHY cutoff and that is why it is not a "Buy" candidate. Gold (GLD) is in the same situation.

    Lowell
    Jan 21 06:43 PM | Likes Like |Link to Comment
  • Portfolio Management: Blending Asset Allocation And Momentum [View article]
    Ray,

    Of the 13 portfolios I track, one is strictly "managed" using a Strategic Asset Allocation (SAA) plan that has been in effect since late 2000. As one might expect, it tracks the VTSMX index almost perfectly even though it is diversified all over the globe. Rare are the trades as it is a passive portfolio in the truest definition of the term.

    Most portfolios are managed using a SAA plan, but with additional risk reduction overlays in preparation for the next bear market. I've been using this approach for about six months so it is still early to know how it will work. That is why I am closely watching the performance and risk measurement trends.

    Lowell
    Jan 21 09:02 AM | Likes Like |Link to Comment
  • Portfolio Management: Blending Asset Allocation And Momentum [View article]
    Ray,

    One more comment. Since March of 2009 - would I have been better off to put every dollar in VTI and do nothing else? Absolutely. Hindsight is wonderful. (g)

    Lowell
    Jan 21 08:07 AM | Likes Like |Link to Comment
  • Portfolio Management: Blending Asset Allocation And Momentum [View article]
    Ray,

    I post the results nearly every Saturday, but the results are only available to Platinum members. I use VTSMX as one benchmark as it is more difficult to beat than VFINX (S&P 500). Neither benchmark is appropriate for portfolios that hold U.S. bonds, international markets, international bonds, domestic and international real estate, etc. To account for such diversity I've developed a customized benchmark for each portfolio known as the ITA Index.

    Do all portfolios beat the ITA Index? Not at this point. In the spreadsheet that shows the results I've programmed trends to show if a portfolio (there are 13) is improving or losing ground. Not all portfolios are managed the same way as explained above.

    Lowell
    Jan 21 06:19 AM | Likes Like |Link to Comment
  • Portfolio Management: Blending Asset Allocation And Momentum [View article]
    Mont1750,

    A critical spreadsheet is available from Peter Hoadley and is known as Finance Add-in for Excel. Cost is approximately $140. I have no connections with Mr. Hoadley other than I use his software.

    http://bit.ly/15UtsJU

    Several worksheets have been added to the Hoadley spreadsheet and those are only available through my blog, http://itawealth.com

    Lowell
    Jan 20 11:48 AM | Likes Like |Link to Comment
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