Gauss Sector BPI Plus Portfolio Review: 20 June 2023

Lowell at controls of Spruce Goose.

Gauss is another Sector BPI Plus portfolio (one of four) so the analysis of this account follows the same logic laid out in the Carson blog posted yesterday.  As you will recall, two sectors are overbought and they are:  Technology and Industrial.  I don’t recall holding any shares in Technology (VGT) since launching this sector model so no action is required for this sector.  The Gauss holds 30 shares of Industrial (VIS) and I already have a 2% TSLO set for this ETF as the sector is overbought by more than 80%.  In other words, the Industrial sector is currently bullish by 82.89% or nearly 83%.  TD Ameritrade, where the Gauss resides, does not permit decimal TSLOs.  Had this account been housed with Schwab I would have set a 1.7% TSLO.

Gauss Investment Quiver

Below is the current investment quiver and holdings for the Gauss.  I plan to hold on to KYN thorough the second quarter to collect the dividend.  Then I plan to sell the 500 shares to raise cash to fully populate VTI.  More on this later in the analysis.

Gauss Security Recommendation

The only action among the sectors is to set a TSLO to sell 30 shares of VIS.  That action is already set.  With the remaining cash I look for the highest ranked ETF among the securities used to populate a Dual Momentum™ portfolio.  Scan the 5th column from the right and find the highest ranked ETF among these five securities.  They are:  ESGV, VTI, VEA, VWO, and BND.  At some point I’ll likely add SPY to this list.

VTI ranks #3 so it is the highest among this group.  In the above screenshot you will see that we can hold as much as 50% in VTI.  There is not sufficient cash to meet this percentage, but I have several limit orders in place to use up all the available cash.

Gauss Manual Risk Adjustments

The only decision is to set a TSLO to sell all 30 shares of VIS and establish limit orders to purchase 20 more shares of VTI.  That is it for the Gauss.  The only change would come if the owner of this portfolio added more cash.  Were that to happen, I would place more limit orders to pick up additional shares of VTI.

Gauss Performance Data

Over the past 18 months the Gauss managed to edge out the SPY benchmark.  With the negative return (-3.5%) we still see the impact of the poor year for equities we experienced in 2022.

Gauss Risk Ratios

When checking as to how risk is impacting the Gauss, the results are mixed.  The Sortino Ratio is stable and we see some improvement in the Jensen Performance Index.  The slope of the Jensen remains negative, but not by much.

The Information Ratio is positive, but we would like to see a return to what it was last July.

Thus far the Sector BPI Plus model seems to be working as the hypothesis predicts.  I’ll know a lot more in another six to nine months.

Tweaking Sector BPI Plus Model: 20 May 2023

Gauss Portfolio Update: 19 March 2023