Gauss Sector BPI Portfolio Review: 8 May 2023

Log cabin located in The Village of Waterford, Virginia. A Historical Site.

Before delving into the Gauss review I need to inform readers that downloading data into the Kipling is incomplete.  ETF descriptions are missing as is dividend yield percentages.  If your Kipling SS is not filling in all the data, you are not along.  I’m not sure when this problem began last Friday.  I assumed Yahoo would clean it up this morning.  I am experiencing the same problem with Tiingo data so it likely has something to do with the data source.  Media Quote, price data used by the Investment Account Manager, is not suffering from this downloading problem.

And now for updating the Gauss.  While this is early to review the Gauss, I wanted to post something on Sector BPI Plus portfolios for several reasons.  1) Short-term interest rates moved from 1.92% up to 2.32% which will have a negative impact on the Sortino Ratio and the Jensen Performance Index.  2) Concern remains over the U.S. national debt crisis as congressional “blackmailers” insist on not paying our bills without cutting benefits for “the least of these.”  The 31 trillion dollar debt is a major concern and was exacerbated during the Trump administration when taxes were reduced for the very wealthy.  We likely would not be in this pickle if the tax structure were the same as it was during the Eisenhower Administration.  3) We are entering the “Sell in May and go play” period or what is well known as the Halloween Effect.  In other words, this is a time to be cautious and not downplay holding cash.

How is the Gauss, one of four Sector BPI Plus portfolios, holding up?  Recall the Gauss was one of the last portfolios to be converted to the Sector BPI investing models.  Continue reading to find the answer.

Gauss Sector BPI Recommendations

Below is the investment quiver and current holdings in the Gauss.  Based on last Friday’s Bullish Percent Indicator data there are no new Sector buy recommendations.  When this is the situation we dip into the Dual Momentum™ section of the portfolio.  This means we look to VTI, VEA, VWO, and BND to see which of the ETFs is ranked at the top.

Using the ranking column positioned 4th from the left, VEA is ranked higher than VTI, VWO or BND.  While the Gauss holds 160 shares the recommended number is 300 so we will use available cash to pick up as many shares as possible to bring VEA up to the 300 shares level.

Rather than buy at market, I plan to set multiple limit orders for VEA, some well below the current price.  I’m not in a big hurry to use up all available cash.

If no Dual Momentum ETFs were recommended, I would then add shares of income oriented ETFs.  Those are the ETFs EOD down through TDF.

Gauss Performance Data

Over the past 16.2 months the Gauss is outperforming the SPY benchmark by a small margin.  The lead is even smaller when compared to AOA and AOR, two other potential benchmarks.  The lead is substantial when VTI and/or ESGV are considered as benchmarks.

Gauss Risk Ratios

As I mentioned in the introduction, the increase in the risk-free or short-term interest rate is putting downward pressure on the Sortino and Jensen values.  Despite the interest rate increase, the Jensen Alpha value improved since last February.  While the slope of the Jensen is still negative (-0.29), there is a possibility the slope may turn positive in late summer.

Of concern is the drop in the Information Ratio as this value measures how well the portfolio is performing vs. the SPY benchmark.  The goal is to keep that number on the rise.

Gauss Portfolio Update: 19 March 2023