This interim update of the Millikan is a checkup to make sure the portfolio is set up for 2022. The Millikan is a Relative Strength portfolio or one that operates using momentum principles, but with a larger array of ETFs available for purchase. As for performance, the Millikan ranks in the bottom third of the portfolios tracked here at ITA. Even with this low ranking, it is still outperforming its benchmark.
Millikan Investment Quiver
Below is the investment quiver for the Millikan. This quiver is setup around the principles of Asset Allocation and the Fama-French Five-Factor model. In other words, ETFs are selected to cover all critical asset classes and market anomalies. There are two asset classes I do not include and they are: Commodities and Precious Metals. I’m not a fan of either asset class.
Millikan Security Recommendations
Based on 1/12/2021 prices, the recommendation is to Hold VTI and purchase more shares of VOE. Readers will note that I have the Target Filter set to Yes. When the Target Filter is turned on, the Kipling spreadsheet looks for securities that are outperforming VTI. Since VTI is currently part of the portfolio, we continue to hold on to the 65 shares.
I’m using the BHS investing model (red arrow) with the default look-back combination (green arrow). If you have questions about any of these settings, please participate by posting your question in the Comment section provided.
Millikan Manual Risk Adjustments
Until we see what the FEDs are going to do with interest rates and we know more about voting rights, uncertainty reigns. For these reasons, I adjusted the SD Multiplier to 1.01 so the Stop Loss for VTI is 5.0%. This is a very conservative percentage that determines what TSLO percentages to use.
After the market opens, I will reset the TSLO for VTI at 3/4 x 5.0% (will need to round to nearest percent) and if 50 more shares of VOE are added to the current 50 shares, I will set a Trailing Stop Loss Order (TSLO) of 5.5% for those 100 shares of VOE.
As a reminder, here is how I use the Stop Loss percentages.
- If the ETF is a Buy, I use the Stop Loss percentage.
- If the ETF is a Hold, I set the TSLO to 3/4 x Stop Loss percentage.
- If the ETF is a Sell, I set the TSLO to 1/2 x Stop Loss Percentage.
What about the 110 shares of BNDX. When a Sell is called for, I set the TSLO at 1/2 times the recommendation or in this case, 1/2 x 1.2%. Since this portfolio is housed at TD Ameritrade and TDA does not permit decimal shares, I set the TSLO at 1.0%. Schwab permits decimal TSLOs, something I prefer.
Millikan Performance Data
The data for VTTVX and VTHRX is still incorrect and I’ve contacted the developers of the IAM software to see what is going on. For now I’ll use AOR as the benchmark and as you can see, the Millikan lags this reference by less than one percentage point.
This data shows the performance over the past 13.5 months.
Millikan Risk Ratios
How is the Millikan performing when risk enters the equation? The Jensen Performance Index is positive and the Jensen slope (0.49) is respectable. The Millikan is closing in on five years of operation.
Since 7/31/2017 the Internal Rate of Return (IRR) of the Millikan is 9.76% while the VTHRX benchmark is a mere 6.12%.
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