Millikan Portfolio Review: 15 November 2022

Sundial Bridge – Redding, California

Millikan, one of the several Relative Momentum portfolios, is up for review this morning.  This is one of four or five portfolios that are not keeping up with the AOA benchmark, due in large part to carrying too much cash during this recent market upswing.  Here at ITA I am tracking a variety of portfolio models, knowing that not all work well in all economic environments.  Should a recession hit the United States in the coming months it will be interesting to see how the different investing models work.  Under the old classic recession definition, we are in one right now as we experienced two consecutive quarters of negative GDP.  It is time to be cautious and I’ll explain one cautionary move I’m making with the Millikan.

Millikan Investment Quiver

Below is the current investment quiver for the Millikan.  The majority of the portfolio is invested in an array of U.S. Equities such as VOE and ESGV.

Millikan Security Recommendations

I am using the BHS model found within the Kipling spreadsheet (green arrow).  The Target Filter is turned on for ESGV (purple arrow) and the look-back combination (red circle and arrow) is adjusted so it is very close to the default settings.  I limit the securities to five (blue arrow) so it is a concentrated portfolio by recommendation.

The five Buy recommendations are:  VOE, VBR, VEA, IQLT, and MTUM.  The Millikan currently holds three of the five.

Millikan Manual Risk Adjustments

The one cautionary move is to adjust the SD Multiplier (purple arrow) to 0.84 so the Stop Loss (long purple arrow) for ESGV is lowered to 8.0%.  I had been using a 10% figure.  Another adjustment is the Maximum Trade Position Risk (green arrow) where I set this to 1.65% which in turn lowers the Total New Cash (black arrow) down to $591.19.  This final adjustment impacts the number of shares to be invested in the five buy recommendations.

The plan is to sell shares of SCHP and use that cash to begin to fill the recommendations.  If you check the screenshot above, I use the ranking (5th column from the right) as a guide as to which ETFs to purchase first.  The fill order ranking is:  MTUM, VOE, VBR, IQLT, and VEA.

Millikan Performance Data

Since 11/30/2020 the Millikan lags the AOA benchmark by a small amount.  Today’s surge might wipe out this difference.

Millikan Risk Ratios

For the fifth time this year the Millikan is lagging its benchmark.  Check the Information Ratio for this information.  While November is not complete, this is the third month where the Millikan recorded a negative Jensen Alpha.

When a portfolio is not performing as well as expected, I pay particular attention and the Millikan will receive such attention.

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