Lug Wheel Tractor
Pauling is the Dual Momentum™ portfolio up for review this morning and while the data is current as of 5/26/23, I don’t think today’s action will alter the recommendation shown in the first screenshot. As mentioned before, the Pauling is on notice due to poor performance. Part of this is my fault as I’ve held far too large a percentage in cash and than has been a drag on performance.
Pauling Dual Momentum Recommendation
The current recommendation is to hold 100% of the portfolio in International Equities (VEU). As followers of the DM model know, we invest in only one major asset class at a time. VEU is that Exchange Traded Fund (ETF).
If I make a move with the Pauling it will be to convert to one of three investing models.
- The Copernicus model.
- The Schrodinger model.
- The Sector BPI model. This one is the most likely.
Pauling Performance Data
Over the past 17 months the Pauling is running far behind any of the potential benchmarks. While the S&P 500 (SPY) lost 7.3% over this period, the annualized loss of the Pauling is 15.1%.
Pauling Risk Ratios
If we go back to May of 2022 we see improvement in the Information Ratio, but a significant decline in the Jensen Alpha risk measurement. Further, the slope of the Jensen is -1.5 and this is considered a large negative value and one that will be difficult to reverse. While I’m not quite ready to pull the plug on the Dual Momentum investing model, time is growing short.
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Not sure what is happening with the membership filter. Last week it appears you reset it. However, today the posts both before and after this one pop up a restricted access flag. Wanted you to have the feedback. Thanks, Lee.
Lee,
Thank you. I missed one setting. All should now be fine.
Lowell