Huygens Sector BPI Portfolio Review: 12 March 2024

“One quasi strategy that straddles market timing and portfolio tilt is sector rotation.”  – Harold Evensky

Huygens is the portfolio scheduled for review this morning.  As the various ITA portfolios are updated, what should you look for?  Instead of glossing over the analysis, take something away from these reviews that you can use to manage your own portfolio(s).  Here are a few suggestions and if you wish to follow the analysis of numerous portfolios, register as a Guest and wait to be elevated to the Platinum level.

• Check the Jensen Alpha value.  Is it above zero?
• Since the Huygens is a relative new portfolio to the Sector BPI model, examine the slope of the Jensen.  Is the slope positive or negative and what is happening over the past three to four months?
• What is the Internal Rate of Return or IRR for Period since the portfolio began using the Sector BPI model. This information is shown in the last (5th) screenshot.
• Check the Information Ratio as that is a head to head comparison with the S&P 500 benchmark.
• How is the portfolio performing compared to benchmarks other than the S&P 500?

Depending on your interest in investing, would you be better off to turn you portfolio over to Schwab’s Robo Advisor computer model?

Huygens Investment Quiver and Holdings

Below is the investment quiver and holdings for the Huygens.  As with several other Sector BPI portfolios, the Huygens is new to this model and has yet to go through a complete “business” cycle or a Buy/Sell cycle.

I see where I overshot the Max AA mark with Utilities (VPU).  Nothing to worry about as there is plenty of cash available should any other sectors drop into the oversold zone.

Huygens Manual Risk Adjustments

A 3% TSLO is placed under the ESGV ETF and when sold the cash will be reinvested in either VOO or VTI.  Of course that depends on whether or not any sectors are oversold.  Currently, no sectors are oversold so available cash is invested in the two U.S. Equities ETFs.

Huygens Performance Data

Since 12/31/2021 the Huygens lags the SPY benchmark.  Since moving to the Sector BPI model the portfolio has improved with respect to the benchmark.  That information is available in the final screenshot shown below.

Huygens Risk Ratios

Since last winter the Jensen Alpha improved slightly.  However, over the past year the slope (-0.34) is still negative.  In addition we are not seeing improvement in the Information Ratio.  Since the Sector BPI model was only implemented in September of 2023, the model has not had sufficient time to really take hold.

Huygens Sector Portfolio Report

Below is the portfolio report for Huygens.  This table shows how well the various holdings performed since the Huygens launch of the Sector BPI model in late fall of 2023.

The Sector BPI model is sufficiently successful to keep the experiment moving forward.

Tweaking Sector BPI Plus Model: 20 May 2023

Tweaking Sector BPI Plus Investing Model: Part II

Later this week the Schrodinger and Copernicus portfolios will be reviewed.  These two portfolios use completely different investing approaches compared to the Sector BPI model.