Oregon Coast at Newport, OR. Yaquina Head Lighthouse in the distance.
Having just returned from the Oregon Coast, I’m a tad behind in blog posts. The Millikan was due to be posted earlier on Friday. No harm done as the limit orders can be set at any time. The Millikan is a Relative Momentum style portfolio and I will go through the settings in the second screenshot shown below.
Millikan Investment Quiver
When the market closed this week the investment quiver for the Millikan looked as shown below. Overall, this is a rather conservative or defensive position with the majority of the portfolio held in cash or SCHP, a low volatile TIPs ETF.
Millikan Security Recommendations
The BHS model recommends zero Buys this month. I shortened the look-back combination back to 60- and 100-trading days, but moved the weight from 50% up to 80% for the 60-trading days period. With these settings, the recommendation is to either go 100% to cash or 100% to Schwab’s TIPs (SCHP). The Millikan is currently positioned in both. My override decisions will be explained in the next section of the Millikan review.
Millikan Manual Risk Adjustments
Once the mid-term elections are over I expect the market to rebound in November and December. With this in mind, how to handle the $25,000 in cash is the big decision. The management plan is quite simple.
- Set a TSLO of 3% to sell 80 shares of QCLN.
- Set laddered limit orders for VOO until the total reaches 90 shares.
- Otherwise, do nothing.
Millikan Performance Data
The Millikan continues to outperform the AOA benchmark as well as VT and AOR, where either selected as a benchmark. This data ranges from 11/30/2020 through 10/14/2022 so we are closing in on two years of performance. I’ve explained numerous times why 11/30/2020 is selected as the starting date. If still a question, ask in the Comments section.
Millikan Risk Ratios
The bear market continues to show its ugly head in the negative Jensen slope (-0.86). One bright spot is the Information Ratio as the Millikan continues to outperform its benchmark.
This is a time to be patient and wait for the market to reverse. When the market snaps back, the initial rebounds are likely to be significant so I want to be holding a minimum amount of cash. That is why I will be setting laddered limit orders to use up available cash.
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am reading your posts on SA in date order. finished 2011. gives me some insight inot the elements of your models. not sure if there is a more effective way of learning about your systems holistically. the earlier posts on SA may be obsolete but may be easier to access than this site and its older posts. The links on those posts lead to ita management – your private site? or others own it? those links don’t work. eg definitions etc. all go to the black box itmanagement site.
Ken,
One of the very first ITA sites was itawealthmanagement.com. None of that material is available any longer. There may have been one experimental site even earlier or prior to 2008.
The current site (this one you are now on) is set up to read material old to new if you use Categories and new to old if you use the Search engine.
If you are reading material older than two or three years, you will surely find some evolution in the ideas.
Lowell
I can’t find where to download the kipling worksheet for excel. I’m buying a new computer and want to use the program. Thanks for all your work! John
Will send all the information via e-mail.
Lowell
Thank you!