lazytrader

ETFs Help Build Optimal Portfolios

Using ETFs to achieve an easily optimised portfolio at low cost and risk is what we experiment with. Check out our Sharpe ratio optimized model portfolio. Get weekly updates on portfolio progress and rebalances as well as free newsletter notifications. An Ad-Free site.

Panic Driven Sector Rotation

Such correlation and a try to break out of it by spreading asset allocation across multiple non-tightly-correlated sectors and inverse funds is the method I'm using in my model portfolio at notiming.com/portfolio... . While trading such a portfolio is easy enough even given tax constraints such as wash-sales, the real question that comes up is what should trigger a re-optimization/re-bal... trade. I am still looking/testing various such trigger approaches, but would be interested to get your opinion.

Rebalancing Can Be Hazardous to Your Portfolio

Hi Augustus,
There is a high level description of the methodology, essentially based on the Moderm Portfolio Theory along with an asset allocation optimization based on meeting portfolio targets, as listed in NoTiming.com/portfolio... and optimizing for best Sharpe Ratio. The methodology is using historical correlations adjusted with time-based trending for non-uniform weighting of market risk.
The triggers to re-balance/re-optimize are still experimental.

Country vs. Sector Diversification with ETFs

Foreign ETFs are big contributors to my balanced portfolio, however, what I find more often than not is that many of these ETFs have high concentrations on specific sectors - e.g. financials or oil & gas, etc. which leads to eliminating them from a balanced portfolio consideration due to high correlation to other domestic ETFs. ILF is one of the more profitable components I've been using recently. See my full portfolio at notiming.com

Rebalancing Can Be Hazardous to Your Portfolio

rebalance is important, but to what specs? I didn't find the simple 60/40 mix etc. to be sufficiently risk mitigating and have developed my own balanced portfolio method which doesn't only rebalances, but also evaluates reallocation and holding elimination. I'm publishing my ongoing experimental results here: notiming.com , you're welcome to visit and provide me your feedback.

Index Funds Continue Gaining Market Share vs. Active Management

I've been recently experimenting with a balanced portfolio optimization method which relies on index ETFs. Leveraging these great tools to create my own fund-of-funds that is not bound by active trading limits has been an interesting journey. If you are interested, you may find more details here: notiming.com