Forgotten Oregon
Kepler consistently ranks in the bottom quartile of the portfolios I track here at ITA. As one of the more recent portfolios to be moved to the Sector BPI investment model the objective is to watch the growth, be it negative or positive, over the next year or so. Readers will note that I’ve added two more equity ETFs to the investment quiver. The additions are: Developed International Equities (VEA) and Emerging Market Equities (VWO). These two additions will provide more diversity.
The equity ETFs are only populated when no sector ETFs are in the oversold zone or when excess cash is available. This is the current situation as no sectors are oversold. As you will soon see the Kepler holds 41% in cash. The owner may need money within the next six months so I need to hold back on possible investments. Those decisions will show up in the manual risk adjustments worksheet.
Kepler Security Holdings
In the following table readers will see the investment quiver and the current holdings.
The percentages for VTI down through VWO are the maximum percentages I want to hold for any of the equity ETFs. Those percentages are found in the third column from the left. VTI through VWO will not add to 100%.
Kepler Manual Risk Adjustments
For starters I adjusted the SD Multiplier (1.69) so the Stop Loss for VTI is 8.0%. The Maximum Trade Position Risk is adjusted to 1.4 (green arrow) so the Maximum Portfolio Risk is close to 8% (red arrow). This will leave over $60,000 in cash (black arrow).
VEA is a Buy and the Kepler currently holds zero shares. I set several limit orders to purchase as many as 415 shares of VEA.
Kepler Performance Data
The Kepler continues to lag the SPY benchmark. The following data is based on the most recent 25 months of information.
Kepler Risk Ratios
Over the past few days the risk improved slightly as we can tell from the Jensen. The Jensen slope (0.53) is now positive, but the Information Ratio dipped in February. If the market continues to rise it will be difficult to close the gap or lead of SPY when one needs to hold such a high percentage in cash.
Kepler Sector Portfolio Report
The Kepler began investing in sector ETFs in May of 2022. The majority of the sector ETFs added value to the Kepler since 5/01/2022. While the overall portfolio is behind the SPY benchmark, it is not due to lack of performance by the sector ETFs. Most are performing quite well when following the Sector BPI investment model.
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Note: Keep in mind that the last screenshot includes only security holdings. Cash is not included. The table is designed to show readers how the different investment performed, with a special emphasis on the eleven (11) sector ETFs.
Lowell