Millikan Portfolio Review: 8 August 2022

Barn near Grand Tetons.

This week three different investing models are scheduled for review.  The Millikan, reviewed in this post, is known as a Relative Strength or Relative Momentum portfolio.  Later in the week I will update the Copernicus, a strictly U.S. Equity portfolio with a “no sell” policy.  The third investing model to be reviewed is the Bethe.  This portfolio is a combination of growth and income or a balanced style portfolio where the momentum anomaly factor is used to manage the growth side of the portfolio.

Now to proceed with an update of the Millikan portfolio.

Millikan Investment Quiver

Below is the investment quiver for the Millikan and readers can see a large percentage of the portfolio is held in cash.  That issue needs to be addressed.

Millikan Security Recommendations

The key settings are the following.

• The look-back combination is on the long side with a 100 and 252 trading days combination.
• The ESGV target filter is set to yes.
• BHS is the investing model.
• A maximum of five assets are to be held at any one time.

The fourth column from the right (Position) indicates the Hold and Buy recommendations.  How we deal with these recommendations will show up in the Manual Risk Adjustments worksheet.

Millikan Manual Risk Adjustments

VTIP and SCHP are both inflation protection ETFs so VTIP does not need to be filled since the Millikan holds an abundance of SCHP.  VOE and VBR are small holdings, but I’ll place TSLOs under each.  The same goes for QQQ.  Cash is available to begin to purchase a few shares of BNDX, QCLN, and VTIP.  I’ll first focus on BNDX and QCLN.

Millikan Performance Data

The Millikan trails the AOA benchmark by a small amount while outperforming AOR.  The goal is to see the Millikan growth percentage exceed both VT and AOA.

Millikan Risk Ratios

While it is still early in August, the Jensen Alpha moved from negative in July to positive thus far in August.  Unless we see marked improvement over the next few months, the Jensen slope will remain negative well into next year.

After setting limit orders this morning, the Millikan will go into neglect mode for another 33 calendar days.