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  • Lazy Portfolios - The Playoffs II [View article]
    I agree with what you say. There is one more article -- the finals where we look at the top performers in more detail. The choices in this portfolio have delivered extraordinary results compared to any other buy and hold strategy.
    Oct 15, 2010. 09:31 AM | 1 Like Like |Link to Comment
  • Aronson Family Portfolio Reviewed and Compared [View article]
    Apologies for the oversight. We have had past articles in seekingalpha about SIBs. The best one is probably:

    If you look at you will see the holdings, returns and other data for the 6 asset SIB.

    The same is true for the Aronson TAA

    You should see the holdings etc.

    I hope that clears up some of your questions.
    Oct 13, 2010. 11:07 PM | Likes Like |Link to Comment
  • A Review of Bernstein's No Brainer and Smart Money Portfolios [View article]
    Thanks for your comments.

    We have been using SIB's -- Simpler is Better portfolios that are made up of market index funds.

    If you look at this link, it will compare US, international and fixed income (3 classes) with US, international, emerging markets, REIT, commodities and fixed income and compares the results.

    We allow you to build your own portfolio and back test results so you can measure the results.
    Oct 11, 2010. 11:25 AM | Likes Like |Link to Comment
  • On Israelsen's 7Twelve Portfolio [View article]
    Did you refer to the Strategic AA (SAA) or TAA page? On the SAA page, yes, it is a buy and hold and spread out assets. But we did mention that we have value added on both fund selection and rebalancing algorithm.

    On the TAA, we provide various information regarding our approach: trend or momentum based over a diversified array of assets. We also provide many supporting references.

    I would be very interested in hearing more about your opinions on the pages so that we can improve and clarify better.

    Oct 7, 2010. 01:57 PM | 1 Like Like |Link to Comment
  • On Israelsen's 7Twelve Portfolio [View article]
    Please explain

    1).flat line performance in 2009 for your two Tactical portfolios

    The 'flat line' performance is due to our TAA strategy switched to safer fixed income asset from late 2008 to early 2009. This is the main strength of our strategy during market stress to avoid big loss.

    2). how often do you reallocate to the 8.3% positions?

    The portfolios mentioned rebalanced monthly though one can choose to rebalance quarterly or annually.

    3). if monthly, are the reallocations based on last bus day of month values?

    On the last business day of each month, the strategy decides the next month rebalance transactions and users were notified by emails or web access. We then use the closing values of the first business day of next month to calculate holdings. In certain months, the strategy might decide to keep the exiting allocations and then there will be no transactions for next month.

    4). If quarterly, would that improve returns? overall volatility of returns?

    What we found is that monthly rebalancing gives slight edge in turns of returns and volatility. You can find more detailed statistics by visiting these portfolios pages (clicking on the links of these portfolios). The portfolio pages even list all historical monthly holdings

    5). what criteria went into selecting the specific alt ETFs for the asset classes?

    the alt ETFs mentioned in this article are for illustration only. We explained some criteria to select candidate ETFs in one of our previous articles

    John Z.
    Oct 6, 2010. 07:09 PM | Likes Like |Link to Comment
  • On Israelsen's 7Twelve Portfolio [View article]
    Hi, Thanks for asking. What we do is to take the 7Twelve's 10 (or 11 if you count CASH) funds and form a plan and then apply our tactical asset allocation strategy to come up with those model portfolios such as TAA moderate. The strategy is described in detail in the link
    Strategies->Tactical Asset Allocation (TAA) or you can visit the page directly using this link

    You are welcome to engage more discussion here or in our communities forum on our website if you have more questions on the strategies.

    John Z
    Oct 6, 2010. 02:10 PM | Likes Like |Link to Comment
  • Selecting Candidate ETFs for Effective Portfolio Construction [View article]
    Please see the latest article that reviews Schwab ETFs. We are impressed by their ETFs so far (though with the caveat of short history).
    Jul 29, 2010. 06:11 PM | Likes Like |Link to Comment
  • 11 ETFs for Simpler-Is-Better Portfolios [View article]
    The 11 ETF title was made by SA editor (though we have to say they have done an excellent job to help out). It probably refers to some of the ETF tickers used to index this article.

    It is really about the 6 assets mentioned in the article.
    Jun 29, 2010. 02:33 PM | Likes Like |Link to Comment
  • ETF Asset Allocation for Smart 401Ks [View article]
    I would like to clarify several points in this article:

    1. This article demonstrated that using MyPlanIQ's TAA over five assets represented by index funds, one could achieve very reasonable performance. It is not about a particular TAA mutual fund but about using MyPlanIQ TAA. Model portfolios built on these five index funds are meant to be a representative benchmark used to measure those portfolios in actual 401K plans.

    2. In our online hundreds of 401k plans, MyPlanIQ TAA's model portfolios consistently confirm to the above finding. You are encouraged to search for a plan or browse plans on to see how those portfolios perform.

    3. You are right about that most TAA mutual funds either have short history or poor performance. Moreover, for those TAA funds which show good performance, it is not always available to every 401K plan. This is why MyPlanIQ creates a working solution that is built on the available funds in a 401K plan so that participants could benefit from such advanced asset allocation strategies which are only accessible to a limited investors.

    Point 3 is the most important: one of MyPlanIQ's missions is to enable average investors in most 401k plans to access to a follow-able model portfolio built only for that plan using some advanced strategies.

    Please be aware that the performance of model portfolios quoted for MyPlanIQ is based on historical simulation and thus, the standard disclaimer: past performance does not guarantee and/or predict future returns. These model portfolios are now monitored daily and we encourage investors to monitor and see how they perform in real time.

    Jun 16, 2010. 05:39 PM | Likes Like |Link to Comment
  • Bogle's Wrong: ETFs Are Better Than Mutual Funds for Long-Term Investors [View article]
    I agreed. Between ETFs and index funds, the 'extra' expense to create/sell new shares is a tie. We commented this article in our blog article

    John Z.
    Jun 11, 2010. 07:21 PM | Likes Like |Link to Comment
  • Building a 401(k) Portfolio With ETFs [View article]
    Thank you for pointing out the error, SRR. We also received an email from ShareBuilder 401K, stating:

    Hi There --

    I just read your article -- -- and wanted to point out that ShareBuilder 401k does offer REITs.

    Our fund list can be viewed at link below – the ishares cohen & steers realty majors (ICF) is the REIT listed under specialty funds:


    We apologize for the error. We will have a followup article discussing sharebuilder401k in more detail.
    May 27, 2010. 02:48 PM | Likes Like |Link to Comment
  • Commission-Free ETFs Enable Portfolio Building Using Asset Allocation Strategies [View article]
    For ETFs which are commission free in Fidelity and Vanguard, as far as we could tell, they have the exact expenses as those traded with commissions in other brokerages. See IndexUniverse's excellent analysis on this subject:, and
    May 17, 2010. 01:24 AM | Likes Like |Link to Comment
  • Why the Smart Money Is Reducing Its Stock Market Exposure [View article]
    We would like to point out that ValidFi's smart money indicator is designed to pinpoint the asset allocation trends among pro and top managers. We do NOT advocate an all-in/all-out market timing. Dynamically changing asset mixes properly (tactical asset allocation) is the key to achieve a steady return with lower risk.

    For example, given the current smart money trend, we do NOT call for one to liquidate ALL of his equity positions. Instead, one could reduce the exposure to a level such that the overall portfolio risk is at his comfort zone. Keep in mind the following two scenarios:

    1). If it turns out the market is heading higher in short term, it does NOT harm his portfolio: with the remaining equity exposure, the portfolio still has reduced upside. The indicator does not guarantee it is always correct. All it does is that it has higher odds to be correct in a long term (meaning statistically). 2). Conversely, if the market declines as expected, the portfolio will not suffer from bigger loss (but will lose some). To reiterate, the indicators should be used for asset allocation tuning, not for being in/out of markets entirely, let alone going naked short against the market.
    Apr 6, 2010. 01:57 AM | 1 Like Like |Link to Comment
  • International Stock Investing: Diversified Timing on Country ETFs [View article]
    Thanks for comments. A few clarifications:

    1). we are not doing any data mining or data snooping: the reason we chose 10m moving average is simply because this was mentioned by Mebane and others and it is one of the popular indicators.

    2). precisely the opposite here: 10m simple moving average or other moving average such as 1 year or 130 days etc. have proved to be effective in the past decade simply because we experienced two major bear markets. They are effective not simply because of their high returns compared with like SPY or EFA but what is more important is that it reduces risk dramatically (look at the drawdown). We don't know what is the best time period using SMA but if a simple indicator works well, we suspect others will work more or less well too and that is the MOST important: you want to make sure even a simple one works reasonably well (in fact, in this case, much better than EFA buy and hold) not finding the best to fit the curve.

    3). Regarding Alan Young's comment: you had a valid point. Again, the country ETFs in this portfolio are simply based on the suggestion by XTF (now defunct). We did not intentionally fudge or choose some and ignored others. In fact, in the article, we suggested investors could make changes on both weights and the selection of ETFs for better diversification. On the other hand, your point on liquidity is extremely important and we concur on your opinion here.

    4). regarding fjpenney: again please see point 1). Also, we would like to point out even the perma bull Jeremy Siegel, in his book The Future for Investors: Why the Tried and the True Triumph Over the Bold and the New, he pointed out that using 200 days moving average, though not improving very much in terms of returns compared with buy and hold approach in a long run, it does effectively reduce the drawdown risk. We suspect that this is even more true considering he made the remark before 2008 bear market.

    In a word, a diversified timing based on some simple timing indicators will cut down the risk. It might not improve the returns that much but it works on an absolute return basis. That is our position. You will not see this ALWAYS is better than the buy and hold approach ALL the time.

    On Dec 21 02:45 PM American in Paris wrote:

    > This is silly. First of all, it smacks of data mining. There is no
    > logic behind 10 month moving averages. What the author did is data
    > mine until he found a moving average that backtests well.
    > Unfortunately, backtesting does not lead to superior forecasting.
    > Probably because noise is mistaked for signal.
    > Second of all, placing equally weight means placing big bets on small
    > countries like Singapore and small bets on big countries.
    > I really want to bet a big chunk of my portfolio on Singapore - a
    > country that has to import its drinking water ...
    Dec 24, 2009. 07:18 PM | Likes Like |Link to Comment
  • A Well-Balanced Wealth Management Investment Strategy [View article]

    We started ValidFi with a goal to answer many of your questions.

    The portfolios are setup to back test further back to whatever data we have in hand at the moment. For large/small cap, we will create separate portfolios to test out. Same for gold/long treasury bond. Right now, there is a model portfolio which tests the combination of both. The combination of the both runs from 1/1/1997 to present. For large/small cap, we could extend further back to 1987 or so, I believe.

    The other major feature ValidFi has is to 'LIVE' monitor these strategies. Thus, you will see the portfolios with these strategies are updated daily, so that users could study various periods up to now.

    Your question on what periods does it cover is extremely important, one could certainly look at the full history of these portfolios to understand better. It is also interesting to note that in current period, money is easy, but small cap is not doing better than large cap. That is expected, given current uncertain situation. Investment is a statistical process, thus, the whatever strategies will not be able to 100% correct. What matters is that it should be statistically correct: meaning the expected return should do well given enough time (samples). What matters more is that in a portfolio design, when a particular thesis does not turn out to be correct (which should be surely expected), the damage is not serious. In this case, even though small cap under performs large cap, it still delivers positive returns, thus, no tremendous harm done to your portfolio.

    As to who did it, Ned Davis and Ford equity have done lot of research in various periods on these. What distinguishes ValidFi is that we have this continuously monitored in a cohesive platform to allow up to date study, combining with others in a portfolio and comparison with others etc.

    What conclusions can we draw? That deserves another article to explain that. We will do that at some other time.

    Nov 30, 2009. 06:26 PM | 2 Likes Like |Link to Comment