Millikan Sector BPI Portfolio Review: 16 April 2024

Willamette Valley Farm

Millikan is one of the better performing Sector BPI portfolios.  Here is a bit more information as to how I am managing Sector BPI portfolios as we enter a very uncertain election season.

• The Sector BPI strategy remains in place as follows.  If the model is viable it will work in all types of markets.
  • When a sector drops into the oversold zone (30% bullish or lower) purchase the ETF that represents or mirrors the oversold sector.  The percentage to invest is based on a three-year average of the sector volatility.
  • When a sector moves up into the overbought zone (70% bullish or higher) set a 3% TSLO under the overbought sector ETF.
• When no sector transactions are recommended, as is now the situation, use U.S. Equities (VTI and/or VOO) as follows.
  • If cash is available, as is generally the case, purchase shares of VOO and VTI.
  • Once shares of VTI and VOO are part of the Sector BPI portfolio, set 8% TSLOs if capital preservation is important.
  • If equity shares of either VTI or VOO drop by 8%, there is a high probability one or more of the sectors will drop into the oversold zone requiring cash to invest in the oversold sector.

We need to keep an eye on Technology as the sector is currently positioned at 35.38%.  Some investors might wish to place a limit order for VGT just a tad below the current price.

Millikan Security Holdings

Below are the current holdings in the Millikan.  There is still a considerable percentage in cash.  What to do with that 40% of the portfolio will be explained below.

Millikan Manual Risk Adjustments

In the Tranche worksheet from the Kipling I am using the BHS model with look-back periods of 60- and 100-trading days.  With those settings neither VTI or VOO is recommended for purchase.  Therefore, I will sit on the remaining cash in anticipation one or more sectors might drop into the oversold zone.  Technology is close to being oversold with a bullish percentage of only 35.38%.

I’ll likely place a few limit orders for VGT at positions below the current price.

Millikan Performance Data

Since 12/31/2021 the Millikan is outperforming all six possible indexes.  SPY is the primary benchmark as it is the most difficult to hurdle.

Millikan Risk Ratios

A few shares of VTI and VOO were added to the Millikan yesterday.  These additions plus an increase in the risk-free interest rate of SHV (now 4.95%) helped to lower the Jensen Alpha or Jensen Performance Index.  While the portfolio risk is now lower than it was in March, the Information Ratio improved slightly.  These two important ratios tend to be highly correlated.  An improvement in the Information Ratio tells us the portfolio performed better than the SPY benchmark during the first two weeks in April.

Please excuse the incomplete post that was accidentally launched yesterday.  WordPress published the material when I only meant to Save.  This has happened before so it was not a complete surprise.

Millikan Sector BPI Update: 20 July 2023