Millikan Sector BPI Plus Portfolio Review: 26 June 2023

Crystal Springs

Little action is required of the Millikan as there are no sectors in the Buy zone.  Refer back to the Bullish Percent Indicator post last Saturday.  There is a small amount of cash available and that will be put to use as readers will see in a moment.

Millikan Investment Quiver

Below is the investment quiver and holdings for the Millikan portfolio, one of four Sector BPI Plus portfolios.  If this model continues to show positive progress, a few other ITA portfolios will also follow this investing model.

Millikan Security Recommendations

Using the default look-back combination (see red arrow) and the Buy-Hold-Sell (BHS) investing model, we have a few recommendations for purchase outside the eleven sectors.  I set the maximum number of assets to three (see green arrow) as we don’t need more than a few recommendations in addition to the eleven sectors.

Look to the fifth (5th) row from the right to find highly ranked securities from these ETFs.  They are:  SPY, ESGV, VTI, VOO, VEA, VWO, BND, AGG, and SHV.  Using the Kipling spreadsheet and the following worksheet to find ESGV is the top performer with a ranking of #3.  Keep in mind that VCR and VGT are sectors and are currently not a Buy based on BPI recommendations.

Now we move to the third worksheet to see how many shares of ESGV we can purchase.

Millikan Manual Risk Adjustments

When I clipped the following screenshot I overlooked ESGV and selected VOO for purchase.  That is an error.  After the market opens this morning I’ll update the prices and then see how many shares of ESGV I can purchase, assuming it still ranks highest among the ETFs of interest.  I know I will not be able to purchase 129 shares as there is insufficient cash available.

Millikan Performance Data

We are coming up on 18 months of data, but the Sector BPI model has only been operational for six to seven months.  Thus far the Millikan managed to edge out the S&P 500 (SPY) ETF by a very small margin.  This is essentially a tie.

Millikan Risk Ratios

The Sector BPI model was launched at the end of last year.  While it is still too early to come to any conclusions regarding the Sector BPI Plus investing model, early results are encouraging.  Look over the Sortino Ratio, Information Ratio, and the Jensen Performance Index.  While they are down since last June, all values are still positive.

Tweaking Sector BPI Plus Model: 20 May 2023

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As a reference, the Copernicus and Schrodinger are by far the easiest portfolios to manage and both rank at or near the top in performance with modest risk.  The primary risk is market risk.