McClintock Portfolio Review: 1 August 2023

Greek Ruins

McClintock is the portfolio scheduled for review as we open up August.  Think of this data current as of July 31 rather than August 1st.  Over the past year I’ve consolidated the number of ETF options from nearly 40 down to ten.  From the ten I prefer to invest in only five (5) at any given time.  Since it is so difficult to outperform the S&P 500 (SPY) I’ve set the McClintock up so the investments tend to hover around the S&P 500.  I’m using TSLOs for downside protection or limiting losses in order to protect capital.

McClintock Security Recommendations

With the investing model set to BHS and the look-back periods set to the “default” trading days, the recommendations for the fill orders are:

1. ESGV
2. VOO
3. VTI
4. SPY
5. VWO

McClintock Manual Risk Adjustments

As usual I adjusted the SD Multiplier so the Stop Loss percentage for VTI is 8.0%.  I use VTI for reference as it covers the entire U.S. Equities market.

Cash is limited so I am only able to place a limit order to pick up 3 shares of VWO.  ESGV, VOO, VTI, and SPY are either over-subscribed or are too expensive to purchase a single share.  A limit order is in place to purchase three shares of VWO.

McClintock Performance Data

Over the past 19 months the McClintock is trailing the SPY benchmark by approximately one percentage point annualized.  This is not an insurmountable hill to climb.  However, over the past few weeks many of the portfolios have not been keeping pace with SPY.  Most portfolios will always carry some cash and in an up market that cash, however small, is a drag on performance.

As you can see from the data, the SPY benchmark is the most difficult to match.  The McClintock is besting all of the other five possible benchmarks.

McClintock Risk Ratios

While the following data has an August column, the data remains the same, but will be updated before we move into September.  Of note is the improvement in the Jensen Performance Index from June to July.  The bad news is that the McClintock dropped below the SPY benchmark for the first time in 13 months.  See the Information Ratio.

McClintock Portfolio Review: 10 June 2022

The ITA blog is now free to all who register as a Guest.  Send the URL ( https://itawealth.com ) to your friends and family.