Millikan Portfolio Review: 22 February 2023

Cedar Creek Grist Mill

Millikan is the Sector BPI portfolio up for review today.  If you will recall the BPI data from last week, Utilities (VPU) was found to be in the over-sold zone or below the 30% bullish mark.  Energy (VDE) was so close to over-sold that I considered it to be available for purchase as well.  That is where we find ourselves today, particularly after yesterday’s poor market.

Millikan Investment Recommendations

Below is the investment quiver and holdings for the Millikan before I was able to purchase shares of VPU and VDE.  While the two sector positions are not completely full, I have limit orders in place to bring VPU up to 15% of the total portfolio and VDE to top out at 25%.

Millikan Performance Data

Since December of 2021 the Millikan is outperforming all the six benchmarks listed.  AOA is the standard I am using with the ITA portfolios, but it is useful to see how the S&P 500 (SPY) is performing as well as a few other useful benchmarks.

The cash position is lower now since the Millikan holds shares of VPU and VDE.  I’ll update the Millikan before March so we get a better idea as to how the Sector BPI model is working.

Millikan Risk Ratios

In some ways I wish the Treynor were not part of this table as the highly volatile ratio tends to overpower the more subtle graphs.  As frequently mentioned, the Treynor is heavily dependent on the portfolio beta whereas the Jensen is tempered by the other metrics that go into calculating that risk ratio.

Note that the Information Ratio improved from January to February while the Jensen Alpha value declined.  What this tells us is that the risk of the Millikan increased over the last month despite the fact that the portfolio gained ground on the benchmark.  Over the next few reviews it is important to keep an eye on the Jensen Performance Index.

The Argument for Self-Management

Portfolio Summary: 16 January 2023

Investment Policy Statement: February 2022

Just Received My First Paycheck