Since the Bohr review or analysis is a little more complicated than either the Dual Momentum Model (DMM) or Strategic Asset Allocation Model (SAAM), I’ll go through an advance run. Tomorrow is the “official” review day for the Bohr portfolio.
Main Menu: Below is the Main Menu with the default settings for the Tranche Momentum Model. The Number of Offset Portfolios simply means we go back 12 trading days of ETF rankings. Our look-back periods are 60- and 100-trading days. The weights attached to each look-back and volatility calculation are shown in the right-hand column.
When this spreadsheet is made available, HedgeHunter’s recommendation is to leave the two H-A settings at two and five days.
Bohr Portfolio: Each investor needs to lay out their own core of securities. This may change from portfolio to portfolio as different owners have different goals. In this portfolio I’ve selected 25 core holdings and they are listed from VTI down to SH. Below that are 15 open slots for ETFs or stocks that pass additional screens that an individual investor may wish to add to the core holdings. In this example I’ve added two stocks, IOSP and RILY. The primary reason for adding these two stocks is that I currently hold them in the Bohr portfolio.
Tranche Momentum Recommendations: Below is the key worksheet for the Bohr tranche analysis. The first order of business is to sell any ETFs that are performing below SHY. Those ETFs carry a red cell in the Rank or third column from the left. VWO, TLT, and TIP are examples one would sell if they were part of the portfolio. If you check the list, the Bohr does not hold any ETFs or stocks that are under-performing SHY.
The second order of business is to consider selling any security that is priced below its 195-Day EMA. SHY is right on the cusp. This ETF is exempted as SHY is akin to holding cash. The Bohr has a clean slate when it comes to selling under-performing securities.
Tranche Momentum Recommendations Truncated: To simplify the above table, there is an option in the upper right-hand corner of the Group column were one can open up a menu. By unchecking a box all the empty REDA rows are hidden. I’ll explain this again when the REDA HA spreadsheet is made available to all Platinum members.
How do we use the following information? 1) This worksheet isolates the top 12 securities. None show a negative (red cell) “Golden Cross” reading. 2) Move over to the Group column and look for 1, 2, or 3 ranked securities. There are no number 1 or 2 ranked securities so we move to #3’s. Those are: VTI, VOE, VBR, BRK-B, VYM, DVY, TBF, IOSP, and RILY. The Bohr already holds VTI, VBR, IOSP, and RILY. Should I continue to hold them? For this answer we go to number three. 3) Look for Heikin-Ashi cells that show green for HA5 and HA2. VTI passes that test so I’ll continue to hold VTI. VBR also passes this test, but neither IOSP or RILY meet this high standard.
A final check, and one I did not include in this analysis, is to check the Point and Figure (PnF) Relative Strength for IOSP and RILY. Neither are performing better than VTI so it makes little sense to hang on to them. The plan is to sell both of these stocks.
Are there any buy opportunities? Following these guidelines VOE and DVY are ETFs to consider for purchase. I’ll be looking at these two ETFs tomorrow when the Bohr comes up for review.
Comments and questions are welcome.