Roosevelt Memorial Waterfalls: Spot the Mallard Duck.
Gauss is the portfolio up for review this morning as I missed it last week. If you go back to last Friday’s BPI blog post you will recall that there were no Buy or Purchase recommendations. Only Sell recommendations and those are: Energy, Financial, and Real Estate. Since the Carson does not hold any of these three sectors, I’ll pass on the review this morning and focus on the Gauss.
Gauss no longer holds any of the three sectors that are over-bought, but it does hold ETFs from the period when it was managed using the Buy-Hold-Sell model. Trailing Stop Loss Orders are in place to sell of these holdings so cash is available for the time when sectors drop back into the Buy zone.
Gauss Sector Holdings
Below are the current holdings of the Gauss. As you can see, the Gauss holds almost a full position in VGT, but not VOX. If VGT were to drop back into the Buy zone I would add sufficient shares to bring it up to the 24% level from the current 22.9% level.
TSLO are set to sell off IQLT down through VOE.
VDE and VNQ were sold as the 3% TSLO was triggered for both. In both cases, the sell price was higher than the purchase price so the Sector BPI model worked in both cases. VNQ generated a higher profit than did VDE. While I plan to stick with the 3% TSLO when a sector hits the Sell zone, I’m thinking a 2% may be in order so as to protect more profits.
Gauss Performance Data
Over the past 13 months the Gauss continues to trail the AOA benchmark, but still holds a lead over the S&P 500 (SPY). Over the past few weeks the Gauss has lost some ground when compared with the AOA benchmark so I’ll keep a close eye on these performance comparisons.
Gauss Risk Ratios
The interest rate for the risk-free treasury moved from 0.84% up to 1.39%. That increase has a negative impact on the Jensen and we see the results as the Jensen hit its low point over the past year.
On a positive note, the Information Ratio is slightly stronger than it was in either November or December of 2022.
Once more, it is much too early to draw any conclusions as to the benefits or negatives derived from the Sector BPI model.
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Hi Lowell,
How do you determine your asset allocations? Is it volatility based (or perhaps based upon the equity’s beta)?
Just curious,
Craig
Craig,
Currently I am setting the maximum asset percentage to 70% of the three-year annualized volatility. I selected 70% as that comes close to setting the maximum for any given sector to 25% of the total portfolio.
What I have yet to face is a situation where there are so many sectors showing a Buy signal that I will need to parcel out the asset allocation manually as the “formula calculation” will exceed 100%. Hope I am making this clear. When this situation happens, I’ll try to explain how I am handling the situation.
Lowell