Pilot Boats
Kepler is another Sector BPI portfolio once managed using a Relative Momentum model. When the performance lagged I finally made the switch to the Sector BPI model. To see how this move is working out be sure to check on the very last screenshot of this blog post.
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Kepler Security Holdings
Below is the investment quiver and current holdings in the Kepler portfolio. Trailing Stop Loss Orders (TSLOs) are set at 3% to sell all shares of ESGV and VEA. Eventually ESGV, VEA, and VWO will be stripped out of the investment quiver in an effort to simplify the Kepler portfolio.
Staples and Utilities are still hovering in the neutral zone so no action is recommended for VDC or VPU. The only decision facing this portfolio manager is what to do with the excess cash.
Kepler Manual Risk Adjustment
Once more the SD Multiplier was adjusted to 1.85 so the Stop Loss percentage for VTI is 8.0%. This is the first risk control I set. Next is the Maximum Trade Position Risk percentage as it will impact the recommended number of shares.
Note that VTI is oversubscribed as the Kepler holds 125 shares when only 72 are recommended. I plan no action with VTI. I have several limit orders to pick up additional shares of VOO as the recommended number is 40.
Kepler Portfolio Performance
Since 12/31/2021 the Kepler lags the SPY benchmark. This delta was the primary reason for moving over to the Sector BPI model. From the data below we cannot tell if this was a good move. For that information we need to move to the last two screenshots.
Kepler Risk Ratios
How is the Kepler performing on a risk adjusted basis? The Jensen Alpha is holding rather steady over the past few months. The slope of the Jensen is positive (0.50) so that is a positive signal.
Over the past year the Information Ratio declined indicating the Kepler is not keeping pace with the SPY benchmark. A correction will move us back into a few more sectors. Not a full-throated wish, but one I would not mind seeing so we can get on with more testing of this investing model.
Kepler Sector Portfolio Report
The Kepler has not been through sufficient buy/sell cycles to come to any significant conclusions. However, the minimum data available shows the Kepler has a small lead over the SPY benchmark during this period of Sector BPI activity. The performance percentage will improve once VEA and ESGV are purged from the investment quiver.
Tweaking Sector BPI Plus Investing Model: Part II
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