Multiple portfolios?

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NumeroUno
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Multiple portfolios?

Post by NumeroUno »

Does anyone here have multiple portfolio designs running at the same time?

For instance, you might assign the most capital to the most conventional portfolio (e.g. 3 fund portfolio) and then build separate, smaller portfolios for more experimental/unconventional designs.
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rob
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Re: Multiple portfolios?

Post by rob »

If you mean different methods for the same goal - no. I think this was called Core & Explore at some point in time. I just don't see the benefit to this approach.

If you mean having multiple objectives - retirement, college etc - Yes
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Jon H
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Re: Multiple portfolios?

Post by Jon H »

It isn’t the exact answer to what you are asking but it could be.

I have different allocations of funds depending on whether the funds are in taxable or tax-advantaged accounts. So, you might say I do.

The overall percentages correspond to my AA as designated in my IPS.
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GerryL
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Re: Multiple portfolios?

Post by GerryL »

I don't have multiple portfolios, but I have assets that I do not include in my portfolio for retirement planning purposes. (I am in retirement.)

[*]tIRA and Roth IRA and a hefty taxable account are in-portfolio when it comes to AA and planning.

[*]Cash intended for living expenses and a chunk of company stock are outside. (The stock holdings will gradually be used for charitable giving (low cost basis) and/or sold to add to the taxable account (higher cost basis).

I know that experts say you should look at all of your investments as a single portfolio, but since my official portfolio is well in excess of my needs, I prefer my version of mental accounting.
Theseus
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Re: Multiple portfolios?

Post by Theseus »

I have that situation. I just retired in the summer of last year.

I have a retirement "portfolio" that is allocated at 60/40. Withdrawal of about 3.5% from this portfolio is equivalent of my current expenses.

My remaining money is in a "portfolio" that is 100% equity (US and International). The size of this portfolio is 1.5 times the size of my retirement portfolio.

Of course everything is commingled in IRA, SEP-IRA, TSP, 401(k), Brokerage Accounts. So the segregation these "portfolios" and its tracking is manual via spreadsheet.

I know, I know - most BHs will criticize this approach. But this is what makes sense for me.
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NumeroUno
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Re: Multiple portfolios?

Post by NumeroUno »

I want to use the following allocation for a highly risk averse couple of age 72:

50% guaranteed fixed pooled accounts paying 3-4% annually from TIAA-CREF. Interest rates in these accounts will rise with interest rate hikes, and are guaranteed to never go below 3%, even if the Fed heads toward zero again.

20% VWINX, Vanguard Wellesley Income fund. This is a 65% bond/35% stock actively managed mutual fund.

20% All-weather portfolio: This is a risk-parity portfolio, designed by hedge-fund manager Ray Dalio. It is 40% 20-25 year T-Bonds (VGLT), 15% 7-10 year T-Bonds (IEF), 30% stocks (VTI) and 15% gold (IAU) (you're supposed to use 7.5% gold/7.5% commodities, but I don't like losing money to roll yield on commodities futures)

5% HTUS (Hull Tactical) ETF: This is an ETF designed by a hedge-fund manager (Blair Hull) and a University of Chicago Ph.D. student which times the S&P 500 using data from 30 different sources. The portfolio ranges between 150% long S&P 500 (leveraged) and 50% short S&P 500. In other words, it attempts short the S&P 500 during a market correction, and go long (leveraged) when economic growth prospects are good.

5% GMOM (Global Momentum) ETF: This is another market-timing ETF, designed by Meb Faber. This is divided into 5 sectors, according to momentum, and uses a 10-month moving average approach to buy and sell the assets within each sector.

Here is the final breakdown of all assets:

50% TIAA Guaranteed Pooled
5% Hull Tactial US ETF
5% Global Momentum EFT
20% Vanguard Wellesley Income
6% Total Stock Market
8% Long-Term US T-Bonds
3% Intermediate-Term US T-Bonds
3% Gold

If we treat TIAA Guaranteed Pooled as bond income, and assume that GMOM is usually invested in equities, and we treat HTUS as an equity fund, we get the following allocations:

74.5% bonds
22.5% stocks
3% gold

Backtesting from 2001-2012, using annual returns, yields the following performance statistics:

Mean annual return 5.95%
Annual standard deviation of returns 2.17%
Maximum DrawDown -8.07%
Worst Year 1.6%
Best Year 9.0%
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brother7
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Re: Multiple portfolios?

Post by brother7 »

I'll soon have multiple portfolios going. Currently my portfolio employs Paul Merriman's Ultimate Buy & Hold slice-and-dice approach.
Once Vanguard launches the Multifactor US Fund, I intend to dedicate a portion to that. I'm a closet quant and find the academic research into factors very interesting.
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NumeroUno
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Re: Multiple portfolios?

Post by NumeroUno »

brother7 wrote: Fri Jan 26, 2018 10:11 pm I'll soon have multiple portfolios going. Currently my portfolio employs Paul Merriman's Ultimate Buy & Hold slice-and-dice approach.
Once Vanguard launches the Multifactor US Fund, I intend to dedicate a portion to that. I'm a closet quant and find the academic research into factors very interesting.
I'm going to school (part-time) for Quant Finance through UW-Seattle's online program. It's extremely difficult.

Anything you would recommend reading, as far as factor investing?
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Tyler Aspect
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Re: Multiple portfolios?

Post by Tyler Aspect »

Why would you run a different inferior design when you already have a design that you think is the best? Managing money is foremost about responsibility. There are many half baked investment theories out there, but if you try them all then that's going to ruin your investments.

Bogle on Mutual Fund was where I started my investment study. That book is dated now, but still informational.
Past result does not predict future performance. Mentioned investments may lose money. Contents are presented "AS IS" and any implied suitability for a particular purpose are disclaimed.
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NumeroUno
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Re: Multiple portfolios?

Post by NumeroUno »

Tyler Aspect wrote: Sat Jan 27, 2018 12:02 am Why would you run a different inferior design when you already have a design that you think is the best? Managing money is foremost about responsibility. There are many half baked investment theories out there, but if you try them all then that's going to ruin your investments.

Bogle on Mutual Fund was where I started my investment study. That book is dated now, but still informational.
Each portfolio is a different blend of factor risk.

None are "inferior," per se.

Each pays off differently in good times and bad times. All-weather pays off the most in bad times. VWINX pays off the most in good times. HTUS and GMOM, in theory, pay well regardless of climate.

By having separate portfolios, we are, in essence, creating a larger, diversified portfolio, consisting of different bundles of factor risk.
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brother7
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Re: Multiple portfolios?

Post by brother7 »

NumeroUno wrote: Fri Jan 26, 2018 10:21 pm Anything you would recommend reading, as far as factor investing?
Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today by Andrew Berkin and Larry Swedroe
Good overview of the academic research on factors. Welcome to the "factor zoo"!

Quantitative Value, + Web Site: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors by Wesley Gray
A deep dive into the Value factor. This book has the power to convert its reader to a Value tilter!

Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System by Wesley Gray and Jack Vogel
Don't know much about the book itself but everything I've read points to Momentum as a very strong factor. Just be careful in bear markets!
Topic Author
NumeroUno
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Re: Multiple portfolios?

Post by NumeroUno »

brother7 wrote: Sat Jan 27, 2018 12:28 am
NumeroUno wrote: Fri Jan 26, 2018 10:21 pm Anything you would recommend reading, as far as factor investing?
Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today by Andrew Berkin and Larry Swedroe
Good overview of the academic research on factors. Welcome to the "factor zoo"!

Quantitative Value, + Web Site: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors by Wesley Gray
A deep dive into the Value factor. This book has the power to convert its reader to a Value tilter!

Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System by Wesley Gray and Jack Vogel
Don't know much about the book itself but everything I've read points to Momentum as a very strong factor. Just be careful in bear markets!
Any value/momentum ETFs you like?

Like I said, HTUS and GMOM are interesting.

VALU and IMOM are also interesting, but IMOM has no protection to the downside.

HTUS is outlined in this paper:

https://papers.ssrn.com/sol3/papers.cfm ... id=2609814

GMOM has protection for the downside:

See GTAA Aggressive, page 50, of the following paper:

https://papers.ssrn.com/sol3/papers.cfm ... _id=962461
Topic Author
NumeroUno
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Re: Multiple portfolios?

Post by NumeroUno »

brother7 wrote: Sat Jan 27, 2018 12:28 am
NumeroUno wrote: Fri Jan 26, 2018 10:21 pm Anything you would recommend reading, as far as factor investing?
Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today by Andrew Berkin and Larry Swedroe
Good overview of the academic research on factors. Welcome to the "factor zoo"!

Quantitative Value, + Web Site: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors by Wesley Gray
A deep dive into the Value factor. This book has the power to convert its reader to a Value tilter!

Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System by Wesley Gray and Jack Vogel
Don't know much about the book itself but everything I've read points to Momentum as a very strong factor. Just be careful in bear markets!
Any value/momentum ETFs you like?

Like I said, HTUS and GMOM are interesting.

VALU and IMOM are also interesting, but IMOM (based on MCSI momentum index) has no protection to the downside. Huge maximum drawdown:

https://www.msci.com/documents/10199/f3 ... dc90fad923

HTUS is outlined in this paper. See RTCS simulated equity curve on page 20 and RTCS absolute/risk-adjusted performance on page 23.

https://papers.ssrn.com/sol3/papers.cfm ... id=2609814

GMOM has protection for the downside:

Read "GTAA Aggressive," page 50, of the following paper. Also, see simulated annual returns and Sharpe/Max Drawdown for "GTAA 13 AGG Top 6" on page 53.

https://papers.ssrn.com/sol3/papers.cfm ... _id=962461
daveydoo
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Re: Multiple portfolios?

Post by daveydoo »

NumeroUno wrote: Fri Jan 26, 2018 7:22 pm Does anyone here have multiple portfolio designs running at the same time?
This almost got me into trouble. My perception of the aggregate allocation was surprisingly different from reality, and some of the pieces were hard to check in real-time -- meaning they weren't just symbols that I could look up. Also, I would "re-balance" by changing the destination for new investments and this had very little impact on the total. I'm pretty good with numbers and I was really disappointed how far off I was with my running back-of-the-envelope estimations. So now I apply an asset allocation across all pieces in a more rigorous fashion. It hasn't made me any money. :D
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Re: Multiple portfolios?

Post by LadyGeek »

This thread is now in the Investing - Theory, News & General forum (general question).
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NumeroUno
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Re: Multiple portfolios?

Post by NumeroUno »

LadyGeek wrote: Sat Jan 27, 2018 1:24 pm This thread is now in the Investing - Theory, News & General forum (general question).
:?
pascalwager
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Re: Multiple portfolios?

Post by pascalwager »

I have two separate portfolios: a DFA size/value portfolio (68%) and a Vanguard four-fund total market portfolio (32%). Both essentially began in 1995. The DFA grew from a $400k lump sum, while the market portfolio started from zero as my workplace deferred comp plan and also a Roth.
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Finridge
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Re: Multiple portfolios?

Post by Finridge »

Theseus wrote: Fri Jan 26, 2018 8:20 pm I have that situation. I just retired in the summer of last year.

I have a retirement "portfolio" that is allocated at 60/40. Withdrawal of about 3.5% from this portfolio is equivalent of my current expenses.

My remaining money is in a "portfolio" that is 100% equity (US and International). The size of this portfolio is 1.5 times the size of my retirement portfolio.

Of course everything is commingled in IRA, SEP-IRA, TSP, 401(k), Brokerage Accounts. So the segregation these "portfolios" and its tracking is manual via spreadsheet.

I know, I know - most BHs will criticize this approach. But this is what makes sense for me.
That completely makes sense to me.
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