cancel
Showing results for 
Search instead for 
Did you mean: 
     
Highlighted
Frequent Contributor

Let's talk about Port Vis

That's for you ElLobo and others are welcome too.

I love PV and used it for years but for me, it has limitations unless I missed it.

Suppose I want to have a portfolio with SD < 2.5 + Max Draw < 2% + performance > 6%.  PV can't do it.

=============

Let's take a simple example and show why PV isn't smart enough (and I can be wrong)

If I use PV optimization with 3 equal funds SEMIX,IOFIX,VFINX(link) It tells me that max Sharpe is with 99% bonds SEMIX,IOFIX and over 80% in SEMIX.  If I do my stuff (link) and use IOFIX (67%) instead of SEMIX+IOFIX I get much better results (similar SD but much better performance + Sharpe).  The biggest reason is that I know about several funds with great Sharpe but not great performance.

I can do other stuff and I have tested it many times.  PV works much better for simpler solutions  :-)

52 Replies
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis

"Suppose I want to have a portfolio with SD < 2.5 + Max Draw < 2% + performance > 6%. PV can't do it."

I agree, but I know of no other tool, unless it's the M* Premium fund screener tool, that does a 2, 3, or n factor screens.  Seems as if what you would need is, one, a list of all funds, like found in PV.  Then you would select all with a SD less than 2.5%.  Then, of those, see if any had a Max Draw less than 2%.  Then, ifn there are any, see if any of the remaining had a TR greater than 6%.

That is, a screener that screened for A and B and C.  Ifn none were found, you would 'relax' the criteria, either A, B, or C, that was the least important to you.

You can do this with a spreadsheet by doing 3 sequential sorts.  The list of divey aristrocrats that I have discussed allows that to be done.  There is even a tool that has been developed, to be used with that list, that implements the logic against the aristrocrat list.

At any rate, once you have a list of funds that, individually, meet your selection criteria, you would then use the PV tools to 'optimize' the allocation, given that your final group will have correlation coefficients between each pair of funds that will maximize performance.  That is, find the 'Efficient Frontier' that I have described.

I'd like to point out, BTW, that, since MY primary focus is on the distribution yield of a fund, I would use the PV tool to sort all the funds on TTM yield, then start down the list, from the highest, looking to see if the fund met my objectives.  Whenever I did that just now, of the highest 15 on the list, I have invested in 7 of 'em, since the 2X leveraged UBS ETNs are in the top 15.

 

 

ElLobo, de la casa de la toro caca grande
0 Kudos
Highlighted
Participant ○○○

Re: Let's talk about Port Vis

Microsoft Excel can be programmed to calculate more complex portfolio SD with the portfolio SD mathematical formula and the required variable inputs. My husband did a lot of programming on his laptop. He passed away long before so much was commercially available.

SD can change over time, so recognize the time period on which it is based.

Note: "and earlier on his desktop."

0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis


@jmrdnc wrote:

Microsoft Excel can be programmed to calculate more complex portfolio SD with the portfolio SD mathematical formula and the required variable inputs. My husband did a lot of programming on his laptop. He passed away long before so much was commercially available.

SD can change over time, so recognize the time period on which it is based.


Yes, that's what I was describing.  You have to start, however, with the raw data for today's group of 26,292 funds, in a Excel spreadsheet file.  PV, to my knowledge, doesn't allow the download of their data.

 

ElLobo, de la casa de la toro caca grande
0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis

Schwab screener is much better.  See options below

crit-1.PNG

crit-2.PNG

crit-3.PNG

crit-4.PNG

I just ran a screener for....Standard DeviationLess than or equal to 2.5 +  Average Annual Return (3 Year)Greater than or equal to 6  and got the following

crit-5.PNG

0 Kudos
Highlighted
Explorer ○○

Re: Let's talk about Port Vis


@ElLobo wrote:

@jmrdnc wrote:

Microsoft Excel can be programmed to calculate more complex portfolio SD with the portfolio SD mathematical formula and the required variable inputs. My husband did a lot of programming on his laptop. He passed away long before so much was commercially available.

SD can change over time, so recognize the time period on which it is based.


Yes, that's what I was describing.  You have to start, however, with the raw data for today's group of 26,292 funds, in a Excel spreadsheet file.  PV, to my knowledge, doesn't allow the download of their data.


Next to the date range PV allows you to download the data in a PDF or Excel format.

0 Kudos
Highlighted
Explorer ○○

Re: Let's talk about Port Vis

PV.jpg

Here is a picture.

0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis


@Wheaton wrote:

@ElLobo wrote:

@jmrdnc wrote:

Microsoft Excel can be programmed to calculate more complex portfolio SD with the portfolio SD mathematical formula and the required variable inputs. My husband did a lot of programming on his laptop. He passed away long before so much was commercially available.

SD can change over time, so recognize the time period on which it is based.


Yes, that's what I was describing.  You have to start, however, with the raw data for today's group of 26,292 funds, in a Excel spreadsheet file.  PV, to my knowledge, doesn't allow the download of their data.


Next to the date range PV allows you to download the data in a PDF or Excel format.


Yes, but they don't  have that option in the Fund Screener tool! 

 

ElLobo, de la casa de la toro caca grande
0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis

"Schwab screener is much better. See options below."

I agree.  It seems to be.  But it only looks at funds available at Schwab, which total 9,874.  What would be neat would be to be able to use the Schwab tool with the PV list of funds.

 

ElLobo, de la casa de la toro caca grande
0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis


@jmrdnc wrote:

Microsoft Excel can be programmed to calculate more complex portfolio SD with the portfolio SD mathematical formula and the required variable inputs. My husband did a lot of programming on his laptop. He passed away long before so much was commercially available.

SD can change over time, so recognize the time period on which it is based.

Note: "and earlier on his desktop."


By the way, that capability (to program the 'spreadsheet') is known as a Macro.  Doing so requires a lot more skill than a regular, simple look-see (sorting, for example) and you have to be very careful regarding security issues.  In fact, importing a spreadsheet that includes a macro is a common way for hackers to infiltrate your private information.

 

ElLobo, de la casa de la toro caca grande
0 Kudos
Highlighted
Contributor ○

Re: Let's talk about Port Vis


@ElLobo wrote:

"Schwab screener is much better. See options below."

I agree.  It seems to be.  But it only looks at funds available at Schwab, which total 9,874.  What would be neat would be to be able to use the Schwab tool with the PV list of funds.

 


Fido's screener is similar with a fund pop of 10,051.

https://www.fidelity.com/fund-screener/evaluator.shtml#!&ntf=N&expand=%24FundType

0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis

Does Schwab and Fido include Vanguard funds?  The Vanguard tool looks at both, but isn't as sophisticated!

 

ElLobo, de la casa de la toro caca grande
0 Kudos
Highlighted
Contributor ○

Re: Let's talk about Port Vis


@ElLobo wrote:

Does Schwab and Fido include Vanguard funds?  The Vanguard tool looks at both, but isn't as sophisticated!

 


Fido - YES.

Schwab - I dunno.

 

0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis


@arriba wrote:

@ElLobo wrote:

"Schwab screener is much better. See options below."

I agree.  It seems to be.  But it only looks at funds available at Schwab, which total 9,874.  What would be neat would be to be able to use the Schwab tool with the PV list of funds.

 


Fido's screener is similar with a fund pop of 10,051.

https://www.fidelity.com/fund-screener/evaluator.shtml#!&ntf=N&expand=%24FundType


So, there are two things to consider:

  • The 'quality' of the tool
  • The amount of data available to use with the tool

So far, Schwab seems to have the best tool, but only 9,874 funds to look at.  Fido probably the second best tool, but, again, only 10,951 funds to look at.  PV has nothing more than a simple tool, but has the most funds, at 26,292.

PV is starting a premium service in the near future.  Maybehaps someone will suggest to them to offer a better, advanced tool.  The really hard part is the size, and quality, of the dataset.

 

 

ElLobo, de la casa de la toro caca grande
0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis

Schwab has Vanguard funds.  

Fidelity has a lot more limitations.  You can only look for SD 0-5-10-15.   Sharp only in an increment of 0.5 but you can

At Schwab you can look any number + lower/greater + use specific ranges.

Schwab has performance for 1-3-6 months.  Fidelity starts at one year (except YTD which is not useful),  This alone is huge for me since I use shorter term momo but new funds don't show up.  I used M* 1-3 month to find new funds which perform much better when they are new with small AUM.

Schwab has more criteria options.

Fidelity has 10051 funds (not 10951) which is close to Schwab.

I wish you could search for OEFs + ETFs (and maybe CEFs) together but you can't.  PV has more funds because it combines OEFs+ ETFs plus more.

Basically, Schwab is my main and another reason why Schwab is better :-)

0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis

"SD can change over time, so recognize the time period on which it is based."

+1, Exactly.  Where are K-Mart, Sears, Malls, GE, GM, Boeing, etc.? We have three empty big shopping plazas even the one started with big celebration just a decade ago.  You go around some parking lots in these plazas three times, you can finish three miles. Sometimes, it is cheaper to order online from Walmart because it comes to your door front instead of driving 4 miles through 5 lights and 5 stop signs and wasting time and energy. So, I do it for free shipping. By the way, I am not joking about this because I have to drive to the town even to get a gallon of milk.

So, I dumped the analysis of PV last October and went back to my trusted VTI in November/December.

0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis

Brokerage platforms cover NTF and TF funds supported by their platform. If you enter a ticker of a fund not supported on a broker's platform, it would say ticker not found. Covering funds not supported by their platforms would be a waste of their resources. 

Sites such as PV cover more because their only business is data analytics.

YBB
0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis


@ECEPROF wrote:

"SD can change over time, so recognize the time period on which it is based."

+1, Exactly.  Where are K-Mart, Sears, Malls, GE, GM, Boeing, etc.? We have three empty big shopping plazas even the one started with big celebration just a decade ago.  You go around some parking lots in these plazas three times, you can finish three miles. Sometimes, it is cheaper to order online from Walmart because it comes to your door front instead of driving 4 miles through 5 lights and 5 stop signs and wasting time and energy. So, I do it for free shipping. By the way, I am not joking about this because I have to drive to the town even to get a gallon of milk.

So, I dumped the analysis of PV last October and went back to my trusted VTI in November/December.


We are not talking about single companies but mutual funds + the risk/reward of a combo of funds and how different asset allocation influences the risk/reward.

0 Kudos
Highlighted
Frequent Contributor

Re: Let's talk about Port Vis


@FD1001 wrote:

We are not talking about single companies but mutual funds + the risk/reward of a combo of funds and how different asset allocation influences the risk/reward.


True. Mutual funds and ETFs had many such companies as components. So, the SD of these companies contribute to the overall of the SDs of the mutual funds. However, because of the zig-zag behavior of the various companies, the mathematics of overall SD will show that the SDs of mutual funds will be much lower of the various individual companies. But the problem is that the SD of the mutual funds (and ETFs also) will depend on the period that you chose to compute. So, as it was pointed early, SDs of the mutual funds change with time. Although it has relevance, I would use Yogi's relative SD than the absolute SD because the index also dumps those companies that become irrelevant and includes those companies that become relevant.

0 Kudos
Highlighted
Contributor ○

Re: Let's talk about Port Vis

@FD1001 Fidelity does have short term performance if you click on the "try the new mutual fund evaluator" on the mutual fund research page. There will be a tab at the top for short term performance. This will give YTD (to the day) 1 and 3 month. Other than that, I agree Fid screener is limited if you are wanting more exacting risk and performance criteria. Thanks for the suggestion to try Schwab's. 

You are correct in your OP. PV doesn't really have a good screener. It does a good job of working with whatever funds you enter, but it will not find them for you. 

0 Kudos
Announcements