Kepler Portfolio Review: 17 June 2022

Kepler is one of several Relative Momentum portfolio tracked here at ITA.  Next week one Income and two Dual Momentum™ portfolios are scheduled for review.

As readers will see in the first screenshot, the Kepler holds a considerable percentage in cash, not a bad position to be in during this bear market.  When specific sectors moved into the over-sold zone, based on Bullish Percent Indicators, I picked up shares in a few sectors.  Those positions will be held until the sector moves into the over-bought zone at which time TSLOs will be set at 3% in an effort to lock in profits.  The expectation is that it will be at least six months before we see Financials (VFH), Industrial (VIS), and Technology (VGT) in the over-bought zone or above 70% bullish stocks.

Kepler Investment Quiver

Below is the current investment quiver and positions in the Kepler.  The largest position is in Schwab’s TIPs ETF, SCHP.  The current yield is a whopping 15.3%.  It is tempting to sell all equities and move into SCHP.

Kepler Security Recommendations

It comes as no surprise that the LRPC model is recommending a Sell for all ETFs in the Kepler investment quiver.  The recommendations are a reflection of a bear market.

Kepler Manual Risk Adjustments

I have a TSLOs set to sell shares of VOE.  QQQ is primarily technology so I’ll hold on to those shares.  I want to collect second quarter VNQ dividends so I’ll do nothing until the July review.  As mentioned before, VFH, VGT, and VIS will remain in the portfolio until these sectors rise into the over-bought BPI zone.

Kepler Performance Data

Since 11/30/2020 the Kepler is generating an IRR of 7.5% while the AOR benchmark is a negative 3.5%.  This difference despite losses in 2022.

Kepler Risk Ratios

The bear market is having a negative impact on the Jensen Performance Index.  The slope (0.40) of the Jensen is still positive, but it is going to be difficult to keep it in positive territory unless the stock market reverses direction.

The Kepler is set to go into “neglect” mode for another month.