Kepler Portfolio Review: 28 September 2023

Wizard Island in Crater Lake on cloudy day.

Unlike the recent Sector BPI portfolio updates, the Kepler is struggling to keep up with the SPY benchmark.  Just last May the Kepler investment quiver was more complicated.  Over the summer I’ve simplified the portfolio in hopes of closing the gap between the Kepler Internal Rate of Return (IRR) and the IRR of the SPY benchmark.  With the market in decline, that has yet to happen.

Kepler Investment Quiver and Holdings

Below is the current investment quiver and holdings for the Kepler.  Note that the portfolio looks a lot like an expanded version of the Dual Momentum™ model in that options are open to U.S. Equities, International Equities, and Bonds.  The portfolio now is quite basic when it comes to the ETFs available for investment.

Kepler Security Recommendations

Only a short-term treasury (SHV) is currently recommended.  When this is the case the decision is whether or not to leave cash in the money market or move it to SHV.  I plan to leave it in the money market so cash is available should limit orders be struck.

Kepler Manual Risk Adjustments

I have several Trailing Stop Loss Orders (TSLOs) in place for several equities and a number of limit orders set to pick up shares of SPY and VOO at much lower prices should the market decline further in October.

Kepler Performance Data

Over the past 21 months the Kepler is showing a negative delta of more than 4 percentage points annualized when compared with the SPY benchmark.  While the loss is reduced when compared with AOA or AOR, the difference is still significant.

Kepler Risk Ratios

The single improvement since the last Kepler review is that the slope of the Jensen is not quite as negative.  Otherwise, the decline in the various risk factors reflects the poor stock market.

The Kepler does not smell like a Chicago Peace rose and that is an honest assessment.