Index-etf-core weights, a growth-index-clock, and an implementation-cost-ledger

A five-step construction sequence

The construction sequence is presented as five steps covering timing, intermediation, an index-fund array, a core risk mix, and account-level execution.

The index-etf-core

The index-proxy set spans large-cap value, large-cap growth, small-cap value, small-cap growth, large-cap blend, and mid-cap blend benchmarks.

Illustrated core weights assign 15 percent to each of four style-and-size funds and 10 percent to each of two broad size funds, totaling 80 percent. That sleeve is the index-etf-core.

The remaining invested sleeve is three industry baskets at 5 percent each, bringing the invested share to 95 percent with 5 percent cash.

The growth-index-clock

Growth-fund entry is tied to an S&P 500 BARRA Growth absolute decline lasting more than one year, and exit to an absolute advance lasting more than two years. That rule is the growth-index-clock.

Sale of the growth funds is followed by a value-overweight-defense: an overweight in the paired value funds until a later rebalance after a subsequent multi-year decline.

The growth-index timing rule is described as holding from 1979 through 2003 except during 1998-2001.

The industry-basket-sleeve

Industry baskets are rotated after a one-year high above the purchase price.

Editorial reading: each industry-basket-sleeve is a same-industry index holding used to express a sector view without single-name concentration.

The implementation-cost-ledger

A 100000 notional illustration lists fund expense ratios between 0.06 percent and 0.20 percent and a 10-unit commission cap per trade.

The same illustration lists 158 in annual fund expenses plus 90 in commissions, a 2.4 percent manager fee line, and a 1.75 percent fund-complex expense line.

Editorial reading: an implementation-cost-ledger is a side-by-side tally of those fund expense ratios, ticket commissions, and manager or complex fees on a fixed notional.