Risk-Avoiding Portfolios

The exhibits of this page demonstrate the remarkable efficacy of innovative use of a scheme that originated about two decades or so ago in academia, that was intended to improve estimations of quantities that are subject to variation. The innovation, whose outcomes are featured here, is a recent development by Mike O’Connor and not only does it accurize estimates of outcomes… it brings about better outcomes. All data have been subjected to vigorous out-of-sample testing and other analyses that refute the idea that the results could easily be due to chance. The working paper that can be downloaded at the bottom of the Home page explains the technical details.

Market Risk Avoidance With Shiller's S&P Composite— and Cash

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in S&P_Composite and sometimes in cash as a risk-off resort. Dividends are reinvested.
Traded Portfolio	0.2	11.1	0.69
Benchmark	minimal	9.3	0.36

Market Risk Avoidance With 27 Equity ETFs— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in DIA, EEM, EWA, EWC, EWG, EWH, EWJ, EWS, EWU, EWW, IWM, IWN, IWV, IYR, MDY, QQQ, RSP, SPY, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	6.3	9.7	0.67
Benchmark	minimal	9.2	0.44

Market Risk Avoidance With Ten International Equity ETFs— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in EWA, EWC, EWG, EWH, EWJ, EWS, EWU, EWW, MDY, SPY and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	2.8	10.6	0.67
Benchmark	minimal	6.6	0.24

Market Risk Avoidance With QQQ, an Equity ETF— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in QQQ and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	0.4	11.5	0.62
Benchmark	minimal	8.1	0.26

Market Risk Avoidance With DIA, an Equity ETF— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in DIA and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	0.4	9.9	0.64
Benchmark	minimal	8.2	0.40

Market Risk Avoidance With IWM, an Equity ETF— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in IWM and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	0.4	10.5	0.61
Benchmark	minimal	9.5	0.37

Market Risk Avoidance With IWN, an Equity ETF— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in IWN and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	0.3	9.1	0.49
Benchmark	minimal	8.8	0.34

Market Risk Avoidance With RSP, an Equity ETF— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in RSP and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	0.3	10.3	0.66
Benchmark	minimal	10.4	0.48

Market Risk Avoidance With SPY, an Equity ETF— and Either Cash or the EFT TLT

All Data[Audit]^?

Click-drag to zoom in; double-click to zoom out; shift-click-drag to pan.

Scheme	Total Trades/Month	Annualized Return (%)^?	Sharpe Ratio^?
Performance Summary This portfolio is dynamically managed, holding positions in SPY and sometimes in cash or TLT as a risk-off resort. Dividends are reinvested.
Traded Portfolio	0.4	11.4	0.69
Benchmark	minimal	10.8	0.52