Barn located in Capitol Reefs National Park.
The Millikan portfolio is not scheduled for an update until later this month. However, the portfolio holds excess cash so an analysis seems prudent to check what the recommendations are based on price changes over the last few weeks. When I checked yesterday, mid-cap value (VOE) and small-cap value (VBR) were recommended so I purchased a few shares and set limit orders to add more.
Millikan Investment Quiver
After yesterday’s purchases the Millikan still holds over $17,000 in cash. Let’s see where to invest those dollars based on the Relative Momentum or Relative Strength model.
Millikan Security Recommendations
The Target Filter for ESGV is turned on, although it made no difference in the recommendations at this time. The green arrow points to the look-back combination for the Millikan. I invest in no more than five ETFs at any one time (blue arrow) and the investing model is set to BHS as identified by the purple arrow.
As you can see from this Kipling worksheet, the recommendation is to purchase VOE, VBR, and MTUM.
Millikan Manual Risk Adjustments
Given the above recommendations, I plan to add more shares of VOE, VBR, and MTUM, but not to the level recommended. Since all three Buy recommendations are U.S. Equities, it makes little sense to sell shares of ESGV or VOO as they too are U.S. Equity ETFs.
Another judgment I’ll make is to continue to hold SCHP instead of selling and then turning around and purchasing SHY. The ETFs are too similar to make this change.
Millikan Performance Data
Since 11/30/2020 the Millikan trails the AOA benchmark by a small margin, but is doing much better than the AOR security. The expectation is for this portfolio to outperform all three benchmarks listed in this screenshot. Holding such a large percentage in cash during the last few up days has been a drag on this portfolio.
Millikan Risk Ratios
Over most of the past year the Millikan showed a positive Jensen Performance Index, but not this fall. I’ll be giving this portfolio special attention so as to move the Jensen back into positive territory.
When I last checked, the Millikan ranked 13 our of 16 based on IRR calculations, #13 on the Jensen risk list, and #11 in what I call the Total Relative Weight Risk. This last measurement includes the Sortino Ratio, IRR for Period, Jensen Alpha, Jensen slope, and Treynor Ratio.
For reference, the Schrodinger ranks #7, #7, and #8 respectively in these three areas. I plan to post performance data in the not to distant future.
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Thank you Lowell and David for explaining the elements so well I see their purpose. Will continue reading your old SA articles as they too give me some needed info on the process as it evolved and some elements are covered at times which I may not find on your blog.