Joshua Tree National Park
Bethe is one of the more recent portfolios I am moving over to the Asset Allocation investing model. Should the portfolio be returned to the owner for management, they would be able to handle the AA model easily whereas the Sector BPI model requires a bit more work.
One other significant change is the move from the SPY benchmark to the AOR benchmark. Since this portfolio will eventually move away from an equity heavy allocation, it makes sense to also alter the benchmark.
Bethe Asset Allocation Plan
The following Asset Allocation is in the early stages of development. Before one can bring the various assets into balance it will be necessary to sell of shares of VTI and VOO. I have a 5% Trailing Stop Loss Order (TSLO) set for VTI and an 8% TSLO set for VOO. Until more cash is available it will be some time before the Bethe is running at full speed.
The percentages found in the third column from the left are three-year average volatility averages.
Bethe Manual Risk Adjustment
The following Manual Risk worksheet comes out of the Kipling spreadsheet. If and when cash becomes available from the sale of VOO and VTI I will focus on building up ETFs that are a Buy recommendations. These ETFs are: BNDX, BND, VB, VNQ, and VO.
The ultimate goal is to keep each asset within + or – 0.5% of the total portfolio. Those percentages are shown in the third column from the right. Once the portfolio is in balance, new cash and dividends will be used to maintain the proper asset allocation.
Bethe Performance Data
Since 12/31/2021 the Bethe has returned 3.5% annually while the AOR benchmark lags at 0.31%.
Bethe Risk Ratios
The huge jump in the Jensen reflects the change in the benchmark. As the months pass we need to watch the Jensen Alpha to see if the Asset Allocation model can keep up with the AOR benchmark.
Questions and Comments are always welcome.
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Lowell.
I assume you are using LRPC method for the BUY and SELLs. Can you share the Main menu parameters?
Bob
Bob,
With the Bethe I have the model set to BHS or Buy-Hold-Sell. The look-back periods are 60- and 100-business days. 60 is set to 50% and 100 at 40% with Volatility at 10%. I think of these settings as the default settings.
I would need to look back, but there is one portfolio where I am using the LRPC model and a 252 business day look back set to 100%.
The model and look-back periods will not make much difference as I am focused on keeping the asset classes in balance.
Lowell