Gauss Sector BPI Portfolio Review: 13 February 2024

Monet version of Thistle sailing on the Willamette River.

Gauss is another portfolio last reviewed in January so I am bringing it into the February fold with this update.  As readers will see in the security holding worksheet, I’ve added VEA and VWO as potential options.  These international equities add diversity to the Gauss Sector BPI portfolio.  Neither VEA or VWO are currently recommended for purchase.

Gauss Security Holdings

Nearly all the sector ETFs where sold out of the Gauss leaving only VDC and a few shard holdings.  The bulk of the portfolio is either in cash or invested in U.S. Equities (VTI, VOO, and ESGV).

As I mentioned last week, Utilities (VPU) is very close to oversold so I set a few limit orders to purchase VPU should this sector drop into the oversold zone.  The limit orders will not be struck unless there is a significant drop in the Utilities sector.

Gauss Manual Risk Adjustments

The Maximum Portfolio Risk is set quite high (12.9%) which still leaves plenty of cash after 100 shares of VTI and 95 shares of ESGV have been added to the Gauss.

Limit orders are in place to add more shares of VTI and ESGV.  On the other side of the coin I have TSLOs in place to protect capital.  As I recall the TSLOs for the three U.S. Equities are set around 7% and 8%.  When the market is this high I want to protect market gains.

Gauss Portfolio Performance

Over the past 25.5 months the Gauss is in a relatively dead heat with the SPY benchmark.  The margin is much greater for the other potential benchmarks.

Gauss Risk Ratios

The Information Ratio shows just how even the Gauss and SPY are this month.

Of minor concern is the decline of the Jensen as it moved from positive into negative territory despite the minor decline in the risk-free short-term interest rate (SHV).  Cash has been drag on performance.

Gauss Sector Performance Report

Is the Sector BPI model working?  That is the question answered by the following table.  The Gauss was switched to this model sometime in January of 2022.  Nearly every sector ETF is outperforming the SPY benchmark.

For additional reference I’ve included the returns for the NASDAQ, DJIA, and S&P 500.  Note that SPY is outperforming the S&P 500 by a small amount.