Gauss Portfolio Review: 11 September 2023

Temple of Hephaestus – Greece

Action is required for not only the Gauss portfolio, but the other Sector BPI Plus portfolios as three sectors are flashing Buy signals.  Those three sectors are:  Consumer Discretionary (VDC), Health (VHT), and Utilities (VPU).  Utilities was recommended for purchase a week or so ago while Discretionary and Health are new recommendations.

Gauss Investment Quiver and Holdings

Below are the current holdings within the Gauss portfolio.  Under the Strategic or Max AA column we see the minimum percentage recommended for the various ETFs.  The sector percentages are calculated based on three-year volatility values.

Gauss Security Recommendations

ETFs with the gray background (sector ETFs) follow the BPI recommendations for purchase or liquidation.  We do not use the Kipling recommendations for these sector ETFs.  The Kipling recommendations are used for the remaining ETFs and the current recommendation is to Hold ESGV, VTI, SPY, and VOO.

Gauss Manual Risk Adjustments

The SD Multiplier was adjusted so VTI has a Stop Loss percentage of 8.0%.  This is one of several risk controls used with the Gauss.  The shares recommended for VDC, VHT, and VPU are based on the recommended asset allocation percentages.

If there is excess cash, I plan to set limit orders to pick up more shares of SPY and VOO.

Gauss Performance Data

Over the past 20.4 months the Gauss managed to edge out the SPY benchmark by a small margin.  The gain is significantly larger when compared to the other possible benchmarks.

The longer the look-back period the more significant the results.  Unfortunately I don’t have data going back 15 to 20 years so I need to work with what I have available.

Gauss Risk Ratios

Despite the Gauss outperforming the S&P 500 benchmark, portfolio risk pushes the Jensen into negative territory.  Over the past year the slope of the Jensen is slightly positive, a good sign.  We need more sector BPI history with the Gauss to know if this investing model is working as anticipated in the initial hypothesis.

Expect a lull in portfolio reviews beginning the end of this week and most of next week as most of the portfolios are current.