McClintock Portfolio Update: 28 February 2023

Silver Creek Falls – One of numerous falls.

McClintock, one of two remaining Dual Momentum™ portfolios, was not scheduled for an update this morning, but it was the last portfolio not updated since January.  Before moving into March, I wanted current data for the Portfolio Performance spreadsheet so that is the reason for this early post.

In the following worksheet (from the Kipling spreadsheet) I moved the look-back period to a full year or 252 trading days.  Instead of recommending VEU, the adjusted look-back period impacts the recommendation to where SHY is the ETF of choice.

Of the various portfolio models tracked there on the ITA blog, the Copernicus and Schrodinger are the easiest to manage.  If you know nothing or little about investing, search for information on those two portfolios.  If you need more assistance, drop a question in the Comment section provided below.

McClintock Dual Momentum Recommendation

I have a limit order in to sell 280 shares of VEU.  When cash is available I’ll be picking up shares of SHY.  This will lower the portfolio beta which in turn will impact the Treynor Ratio and help to improve the Jensen Alpha value.  In other words, the risk of the McClintock will be lowered considerably.

McClintock Performance Data

Over the past 14 months the McClintock has outperformed its benchmark (AOA) as well as the S&P 500.  Both by considerable margins as you can see from the following screenshot.

McClintock Risk Ratios

The last two months have not been kind to the Jensen Alpha value, due in part to higher interest rates and a higher risk calculation.  When shares are moved from VEU over to SHY, the Jensen should improve.  Look for that to show up when I review this portfolio in March.

McClintock Portfolio Review: 10 June 2022