Kepler Portfolio Review: 22 July 2022

Sunset

Kepler is one of several Relative Strength (RS) or Relative Momentum portfolios.  In addition, it continues to be one of the top performing portfolios tracked here at ITA Wealth Management.  Of the various investment models, RS models require more decisions that the other models followed here at ITA.

If you wish to back test Relative Strength models, go to Portfolio Visualizer and look for Timing Models.  Under Timing Models you will find Adaptive Allocation.  Click on this option and you will find several options, one of which is Relative Strength.  Fill out the required fields to test the model.  Use a benchmark such as SPY or VFINX as a benchmark reference.

Kepler Investment Quiver

The investment quiver for the Kepler includes nearly all critical asset classes and market factors from the Fama-French Five-Factor Model.  At the bottom of the list readers will find three sector ETFs, VFH, VGT, and VIS.  A few shares of each were added with Bullish Percent Indicators showed these three sectors to be over-sold.  I will hang on to these shares, and possibly add more, until they are over-bought.  When this occurs, TSLOs of 3% will be set to lock in profits.

Kepler Security Recommendations

A few non-equity ETFs are beginning to show up as a Buy.  While writing this blog I decided to switch bond ETFs by moving from BND to AGG.  See next screenshot.  Before moving down to the manual worksheet, note that I have the VTI Target Filter set to Yes and I am using the BHS model.  When I checked the LRPC model, all Positions showed up as a Sell.

Kepler Manual Risk Adjustments

The manual worksheet includes the AGG ETF.  Three ETFs showed up as a Buy when I updated prices and they are:  AGG, TLT, and LQD.  I’ll set limit orders for these ETFs when this blog is posted.

Kepler Performance Data

And now for the good news.  The Kepler is performing well ahead of either the AOR or VT benchmarks.  I don’t have a good explanation as to why the wide gap other than it might be due to luck-of-review-day.

This data began on 11/30/2022, a launch date for one of the competitive experiments I’m running on this website.

Kepler Risk Ratios

As one can see from the following data, the Kepler has been a rather strong performer despite the rough period during the first two quarters of 2022.

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