Einstein Portfolio Review: 22 March 2023

Amity Barn

Einstein is one of two Relative Strength or Relative Momentum portfolios tracked here at ITA.  Of all the various models it is this style that requires the most decisions and software to manage the portfolio.

Einstein Investment Quiver

The following investment quiver is made up of the critical asset classes and equity factors.  As readers can see, the Einstein current holds excess cash and that needs to be invested.

Einstein Security Recommendations

Using the LRPC model and the Target Filter turned on, the Einstein is showing five (5) Buy recommendations.  They are:  VOE, VBR, VEA, PCY, and IQLT.  How much to invest in each is shown in the third screenshot.

I should also mention that I am using a one-year or 252 trading days (dark red arrow) look-back period.

Einstein Manual Risk Adjustments

The 8th column from the right shows the Shares to Hold and you can see I am closely following the recommendations from the adjacent column.  These trades and limit orders will be set as soon as I finish writing this blog.

Einstein Performance Data

Over the past 14.7 months the Einstein is barely edging out the S&P 500 (SPY).  The last three benchmarks are now shown by default when using the latest version of Investment Account Manager.

Einstein Risk Ratios

February and March have not been stellar months for the Einstein as both months turned in negative Jensen Alpha values.  The Information Ratio made it back into positive territory, one glimmer of hope.

The slope (-0.89) of the Jensen is still a sore spot for this investing model.  It is my intention to continue to work with the Relative Strength model for the remainder of 2023 and at that time I will reassess this model and compare it with other management styles.  If improvement is not forthcoming, I will be switching to a different model.  It also depends on how the Kepler, the other Relative Strength portfolio, performs.

Einstein Interim Update: 5 February 2022