Bethe Portfolio Review: 4 October 2023

Fremont Bridge – Willamette River

Bethe is a relative new Sector BPI Plus portfolio.  Formerly a Growth and Income portfolio this portfolio still holds three Closed-End-Funds.  Limit orders are in place to sell all shares of the CEFs which will free cash to populate to their fullest all the recommended sector ETFs.

Upon checking the BPI data this morning, six of the eleven sectors are oversold.  They are:  Discretionary, Staples, Health, Materials (new), Utilities, and Real Estate.

Bethe Investment Quiver and Holdings

Below is the current investment quiver and holdings for the Bethe.  As mentioned above, Materials (VAW) is the latest sector to drop into the oversold zone.

Bethe Security Recommendations

The BHS recommendation worksheet shows that no ETFs are recommended for purchase.  The worksheet is used to recommended U.S. Equities when all the recommended sectors are fully populated.  Populating the Bethe is a two tier process.

1. Populate the recommended sector ETFs first.
2. Use remaining cash to fill U.S. Equities and/or Bonds depending which are recommended.

Bethe Manual Risk Adjustments

In the following worksheet I adjusted the SD Multiplier so VTI has a Stop Loss percentage of 8%.  This is one of the risk controls I use.

I have limit orders in place to purchase shares of VAW and VCR.  One of those VAW limit orders was struck while I’m in the process of completing this blog post.

Bethe Performance Data

Thus far the Bethe is edging out the SPY when it comes to IRR performance.  This data comes from the commercial program, Investment Account Manager.

Bethe Risk Ratios

It is very early in October so pay little attention to the last column of data on the right.  One bright spot is that the slope of the Jensen Alpha improved since the last review.

Information Ratio:  A positive value indicates the portfolio is outperforming its benchmark.

As frequently stated, pay most attention to the Jensen, Information, and Sortino in that order.

Thus far the Sector BPI Plus portfolios, as a group, are meeting the expectations laid out in the original hypothesis.