Bohr Sector BPI Portfolio Review: 30 October 2023

Turkey

The Bohr portfolio is new to the Sector BPI investing model.  Positioning the different sectors that are oversold is primarily what is happening in this review or update.  There is a significant percentage in cash and that will be allocated to sectors that are under populated and are oversold based on Bullish Percent Indicator data.  Eight sectors are currently oversold so now is a good time to reposition the Bohr portfolio.

Bohr Investment Quiver and Holdings

Below is the current investment quiver and holdings for the Bohr.  I plan to sell all shares of SPY, SCD, and SPE and use that cash to build up the oversold sectors.

In the second slide I will attempt to come close to purchasing the number of shares that will match or slightly exceed the percentage found in the 3rd column from the left.  This applies only to the eleven sectors.  If additional cash is available I will place a limit order to pick up more shares of VOO.  Since VOO is not recommended for purchase the limit orders will be set around 5% to 10% below the current price.

Bohr Manual Risk Adjustments

The following screenshot is the important one of this review.  The first move is to sell shares of SCD and SPE.  The second move is to sell SPY.  The third move is to use the 5th column from the right as a guide to the number of shares to purchase for the sectors that are under populated based on the three-year volatility calculation.

As an example, the goal is to bring VIS up to a minimum of 7.9%.  Adding 75 shares to the existing 50 shares will bring the VIS contribution to 8.3% of the portfolio.

Bohr Performance Data

After 22 months of operation the Bohr lags the SPY benchmark by a significant 3.4 percentage points (annualized).  Moving to the Sector BPI model is an effort to close this gap.

Bohr Risk Ratios

The single glimmer of hope in the following risk table shows up in the improvement of the Information Ratio.  There has been slight improvement since last May.  Of more importance is the decline of the Jensen.  Improvement is needed in this area.  Right now the Jensen Alpha is bucking increased short-term interest rates as are all the ITA portfolios.