Gauss Sector BPI Portfolio Review: 17 May 2023

Depoe Bay, Oregon

Gauss is the Sector BPI portfolio I am moving forward for a review in preparation should the U.S. default on its debt.  While there is progress, a clean debt limit increase seems unlikely.

In this review of the Gauss I’ll explain a few minor changes or refinements I’m making to the management style.

Gauss Investment Quiver and Holdings

Below is a worksheet out of the Kipling spreadsheet showing current holdings and the securities available for purchase.  This week one sector (Energy) dipped below the 30% bullish level signalling a Buy for VDE.  Please remember it is the Energy BPI sector Point and Figure (PnF) graph that dropped into the purchase zone, not the PnF graph of VDE.  There is a major difference.

Fill order logic:

• The first order of business is to fill Energy (VDE) to where it is 25% of the total portfolio.
  • Since there is insufficient cash to fill Energy, I have TSLOs and limit orders set to sell shares of CEFs thus releasing cash to purchase shares of VDE.
• Next in line for purchase is VEA as it is part of the Dual Momentum™ group.  VEA is highest ranked ETF from the DM group so we next attempt to fill the portfolio with VEA shares.
• Now we come to a new refinement.  Were additional cash available, shares of various CEFs would be added to the portfolio.  The change is that I will not be purchasing shares of CEFs unless the security shows up as a Buy.  As you can see below, not one CEF is recommended for purchase.  GLQ is a Hold so no limit order or TSLO is set for this single CEF.  All other CEFs are on the chopping block to raise cash to purchase more shares of VDE.

Gauss Manual Risk Adjustments

The first order of business is to fill the Energy sector if sufficient cash is available.  Currently there is insufficient cash to bring Energy up to 25% of the portfolio.  As a result, I have TSLOs and limit orders set to sell shares of CEFs.

Gauss Performance Data

As for performance over the past 16.5 months, the Gauss continues to hold on to a slight lead over the S&P 500 (SPY).  In fact the Gauss managed to outperform all tracked benchmarks.

Gauss Risk Ratios

Three critical ratios (Sortino, Jensen, and Information) continue to maintain positive values.  The single significant negative is the slope of the Jensen.  Even if the market remains flat over the summer, once we clear August, the Jensen Slope should turn positive.

Gauss Portfolio Update: 19 March 2023

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