Kepler Asset Allocation Portfolio Review: 14 November 2024

Happy Thanksgiving

Thanksgiving greetings to Canadians, U.S, readers, and to all those around the world who celebrate Thanksgiving sometime in November.

And now to the Kepler update.  This portfolio has been lagging the benchmark for a few years so I moved it over to the Asset Allocation model this spring with the hope a more diversified portfolio will begin to improve the returns while controlling risk.  We are beginning to see signs of hope.

Kepler Asset Allocation Quiver

When the transfer to the Asset Allocation model occurred this portfolio was heavily investing in VOO.  Rather than sell off shares of VOO and bring other asset classes into balance I’ve chosen to be patient and wait for the owner to add fresh cash and use dividends to rebuild the the asset classes that are under target.

Kepler Rebalancing Recommendations

VOO and QQQ are the two ETFs that are well over target.  When new cash and dividends become available that money will be used to purchase shares in the asset classes most under target.  BND, VWO, and TLT are example ETFs this month.  It will take many months to bring the Kepler back into balance using this slow approach.  The primary reason for not selling off shares of VOO and QQQ is to reduce the tax burden.

Kepler Performance Data

Since 12/31/2021 the Kepler lags the AOR benchmark by approximately two (2) percentage points.

Kepler Risk Ratios

Checking the Information Ratio, the Kepler has been slowly gaining on its benchmark.  This table will be much more useful after we have a complete year of data.

The positive slope of the Jensen Alpha is most encouraging.  Again, we need more data to better understand how the Asset Allocation model is performing with respect to the AOR benchmark.