Millikan Portfolio Update: 17 April 2023

Swift Moving Cat

Millikan is one of the last of the four Sector BPI portfolios to undergo a “mending” of a potential weakness in the original hypothesis.  Since there are no BPI recommendations at present and cash is available, this update will show how that cash might be put to use.

Millikan Investment Quiver

Below is the current investment quiver for the Millikan portfolio.  At the top of the list are the eleven (11) sector ETFs.  Those are the securities with the dark gray background, VCR through VNQ.

Next on the list for possible population are four (4) Dual Momentum™ securities.  They are:  VTI through BND.  These four cover U.S. Equities, Developed International Equities, Emerging Market Equities, and Bonds.

The next seven (7) are income driven CEFs.  EOD through SPE have a light gray background.  SHV is included should none of the other securities merit consideration.  This is likely to be a rare occurrence.

Millikan Security Recommendations

The parameters to note are:  1) Look-back period is set to one year or 252 trading days.  2) The investing model/system is LRPC.  3) The maximum number of assets is set to 15.

With these settings we have 10 Buy recommendations, but I will not be following this worksheet to the letter.  For example, I don’t pay any attention to the Buy recommendations for VCR, VGT, and VOX as these are sector ETFs and the BPI data is not showing any oversold sectors.

Moving down to the Dual Momentum securities all four are a Buy.  There is insufficient cash to fully populate all four so a decision needs to be made.  In the fourth column from the left VEA ranks high at #3.  VEA with therefore receive the lions share of available cash.  Move down to the third screenshot for the particulars.

Millikan Manual Risk Adjustments

The manual risk adjustment worksheet is where decisions are made as to which ETFs to populate with remaining cash.  I selected VEA due to ranking, VTI as it covers all U.S. Equities and KIO as it is the one CEF recommended and I want to generate some cash for future investments.

Millikan Performance Data

Over the past 15.5 months the Millikan is outperforming the S&P 500 as well as all other potential benchmarks.  Note that the Millikan is nearly double the AOA and AOR benchmarks.

Millikan Risk Ratios

The Sector BPI model has only been in operational with the Millikan for a few months.  Over this period the Jensen has shown dramatic improvement.

At 0.60 the Information Ratio is at a high point for the last year.  Something is working and the only significant change is the move to the Sector BPI model.  Watch this space.

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