Backyard Flowers
In the process of reviewing the Huygens there are a few significant items to bring to readers attention. I’m gradually shifting the income model over to a growth model. This may take a few months as I don’t want to sell off the CEFs at a significant loss. The other issue, less visible, it the change in interest rate in the “risk-free” short-term treasury, SHV. When I checked this morning, the yield was over 3% or nearly one percentage point higher than it was a month ago. Since this interest rate works into the calculation of both the Sortino and Jensen ratios, the higher rate places downward pressure on both risk oriented values.
Huygens Security Recommendations
Below is the revised list of securities for possible inclusion in the Huygens. Tickers with the gray background are the Closed-End-Funds (CEFs) and those will eventually be sold out of the portfolio in order to raise cash to invest in U.S. Equities, International Equities, and Bonds.
Huygens Manual Risk Adjustments
The Stop Loss percentage for VTI is 8.0% and this percentage is controlled by adjusting the SD Multiplier. This setting in turn has an impact on the number of shares recommended for the different ETF. When setting the SD Multiplier, select the Stop Loss percentage for a major ETF such as VTI, SPY, or VOO.
From the above screenshot we use the Ranking found in the 4th column from the lift. The rank for filling orders is: VOO, ESGV, SPY, and VEA as I will bypass the CIK fund.
I adjusted the SD Multiplier after inserting the following worksheet. I have orders to bring VOO up to 40 shares, ESGV close to 185 shares and SPY to 35 shares. There is insufficient cash to fill the VEA order.
Huygens Performance Data
Huygens had a very good month in June, thus closing the IRR gap with SPY. Even so, the Huygens is more than 2 percentage points behind the S&P 500 benchmark.
Huygens Risk Ratios
All variables with exception of the Omega Ratio improved since June. However, the slope of the Jensen Alpha is very negative and the Information Ratio has been negative for several months. It will take some time for the Huygens to pull out of the slump and the new approach should help. We should have a better idea by the end of this year.
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Hi Lowell,
Why did you decide to abandon the CEF approach in the ITA investment portfolios?
Thank you,
Bill
Bill,
When I last updated the Performance table, about a month ago, the Huygens ranked #10. I think the portfolio should come in closer to the Schrodinger (#4) based on return and risk.
Lowell