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Dual ETF Momentum Update

Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet, which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum . Antonacci’s book, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk , also details Dual Momentum as a total portfolio strategy. My Dual ETF Momentum spreadsheet is available here , and the objective is to track four pairs of ETFs and provide an “Invested” signal for the ETF in each pair with the highest relative momentum. Invested signals also require positive absolute momentum, hence the term “Dual Momentum”. Relative momentum is gauged by the 12-month total returns of each ETF. The 12-month total returns of each ETF is also compared to a short-term Treasury ETF (a “cash” filter) in the form of the iShares Barclays 1-3 Treasury Bond ETF (NYSEARCA: SHY ). In order to have an “Invested” signal, the ETF with the highest relative strength must also have 12-month total returns greater than the 12-month total returns of SHY. This is the absolute momentum filter which is detailed in depth by Antonacci, and has historically helped increase risk-adjusted returns. An “average” return signal for each ETF is also available on the spreadsheet. The concept is the same as the 12-month relative momentum. However, the “average” return signal uses the average of the past 3-, 6-, and 12-(“3/6/12”) month total returns for each ETF. The “invested” signal is based on the ETF with the highest relative momentum for the past 3, 6 and 12 months. The ETF with the highest average relative strength must also have average 3/6/12 total returns greater than the 3/6/12 total returns of the cash ETF. Portfolio123 was used to test a similar strategy using the same portfolios and combined momentum score (“3/6/12”). The test results were posted in the 2013 Year in Review and the January 2015 Update . Below are the four portfolios along with current signals. “Risk-Off” is the current theme among all four portfolios: Return Data Provided by Finviz Click to enlarge As an added bonus, the spreadsheet also has four additional sheets using a dual momentum strategy with broker-specific commission-free ETFs for TD Ameritrade, Charles Schwab, Fidelity, and Vanguard. It is important to note that each broker may have additional trade restrictions, and the terms of their commission-free ETFs could change in the future. Disclosure: None.

Long/Short ETFs To Brave This Wild Market

What similarity between summer 2015 and winter 2016! The China-driven sell-off that crushed the global investing world last August-September suddenly starts chiming to start the new year. Basically, a wavering Chinese economy and the consequent burst of the Chinese stock market on the one hand and the Fed policy tightening as well as massive crashes in oil prices on the other sent the global markets into a difficult state. The contagion effect of the double whammy was strong enough to make global equities see the most horrible start to a year in 16 years. Grave economic releases out of China and heightened volatility in its stock market caught the global markets off guard lately. There was a trading halt on the key Chinese bourses, with the indexes diving 7% to start the new year. The decline was the worst single-day performance since the 8.5% decline on August 24, 2015, which was the root of the global market rout last summer. Hints of further shrinkage in the Chinese manufacturing sector in December were held responsible for the bloodbath in the market. The Caixin/Markit Purchasing Managers’ Index (PMI) for China declined to 48.2 in December, representing the 10th successive month of factory output contraction. The data was worse than the prior 48.6 and well below the market’s expectation for 48.9. Additionally, China’s central bank guided the yuan to a five-year low in offshore trading on Wednesday, which raised expectations of further weakness in the Chinese economy as well as sparked off fears of a currency war among export-centric Asian nations. If this was not enough, news of Saudi Arabia cutting off diplomatic ties with Iran joined China-led worries to start the year. While investors somehow started to digest fears of a hard landing in China, things seemed unsteady even in the U.S. Despite the Fed liftoff in December, subdued inflation is still a concern. From this global trend, we can easily say that the macroeconomic environment is anything but steady. Asian shares are approaching their largest weekly decline in over four years . Added to this, oil prices are stubbornly low, having slipped to below $34/barrel level lately on supply glut and global growth worries. The continued downward pressure on oil prices crushed several oil-rich nations during this course. Brent crude tested an 11-year low, while WT has seen a 7-year low in the first week of 2016. For the top U.S. ETFs, investors saw the SPDR S&P 500 Trust ETF (NYSEARCA: SPY ) lose over 5.8%, the SPDR Dow Jones Industrial Average ETF (NYSEARCA: DIA ) shed over 6% and the PowerShares QQQ Trust ETF (NASDAQ: QQQ ) move down by 7.5% in the last five trading sessions (as of January 7, 2016). So, it would be wise for investors to settle on safe ETFs while playing the U.S. Safety and value should be the investment mantra in this stormy market. If caution is the keyword, investors can take a look at these three long/short ETFs which beat the aforementioned broader U.S. ETFs in the first week of 2016. QuantShares U.S Market Neutral Anti-Beta ETF (NYSEARCA: BTAL ) Investors who want to shift their focus to investing in low-beta stocks during this uncertain market environment can consider adding BTAL ETF to their portfolio. This fund tracks the Dow Jones U.S. Thematic Market Neutral Anti-Beta Total Return Index, which is an equal-weighted, dollar-neutral, sector-neutral benchmark. The index identifies the lowest-beta stocks and goes long on them, while at the same time going short on the highest-beta stocks. Like MOM, this fund also invests in equal dollar amounts for both the long and short positions, and looks to profit from the spread return between low- and high-beta stocks. This is thin on AUM having amassed just $8.5 million in assets. The fund charges 99 basis points as expenses and gained 4% in the last five trading sessions (as of January 7, 2016). WisdomTree Dynamic Bearish U.S. Equity Fund (NYSEMKT: DYB ) The fund looks to track long equity positions or long U.S. Treasury positions and short equity positions. The long equity positions take care of about 100 U.S. large- and mid-cap stocks that satisfy eligibility criteria and have the best combined score based on fundamental growth and value signals. The stocks are weighted as per their volatility features. The short equity positions comprise the largest 500 U.S. companies designed to act as a market risk hedge. This $1.3-million fund charges 48 bps in fees and added 2.3% in the last five trading sessions (as of January 7, 2016). QuantShares U.S. Market Neutral Momentum ETF (NYSEARCA: MOM ) The fund looks to track the performance of the Dow Jones U.S. Thematic Market Neutral Momentum Index. The target index is equal-weighted, dollar-neutral and sector-neutral. The index takes the highest-momentum stocks into account as long positions and the lowest-momentum stocks as short positions, in almost equal measure within each sector. Thanks to its focus on momentum stocks, this low-volatility ETF offers a nice return even in a bull market. The basket of about 200 stocks that the fund is long on seeks to outperform the portfolio of about 200 stocks with short positions. Despite its solid strategy, the product has so far been overlooked by investors with AUM of $8.4 million. It charges a fee of 1.49% per year from investors and gained about 0.4% in the last one week. Original Post

Forget China, Buy These 3 India ETFs Instead

While a flurry of weak Chinese data escalated concerns regarding sluggish global growth, it’s India that showed promises to outpace other major economies over the next few years. The World Bank along with the International Monetary Fund (IMF) indicated that India was the world’s fastest growing economy in 2015 and will continue to hold that position for the next three years, easily surpassing the former leader, China. In this scenario, ETFs having significant exposure to India may provide an excellent opportunity for investors to tap this positive trend. Weak Chinese Economy The sluggish growth condition in China remained one of the major concerns over the past one year. Recently released economic data showed that the Chinese economy is still struggling to provide a congenial economic environment. While the Caixin manufacturing PMI finished below 50 for the 10th straight month in December, the Caixin China services purchasing managers’ index PMI dropped to 50.2 in December from 51.2 in November. Multiple rate cuts and devaluations of the yuan over the past one-year period failed to resuscitate the economy. Also, the World Bank reduced its outlook for Chinese GDP growth in 2016 by 30 percentage points to 6.7%, below last year’s estimated growth rate of 6.9%, which was also below the June forecast of 7.2%. The bank also predicted that the economy may grow at a slower pace of 6.5% over the next two years. Blaming the weak Chinese economy, the bank also reduced its global growth rate forecast for 2016 by 0.4 percentage points to 2.9%. However, it remained above 2015’s estimated growth rate of 2.4%. India in a Bright Spot The World Bank projected the Indian economy to expand at a rate of 7.8% this year and 7.9% over the next two years. While the economy registered a GDP growth rate of 7.4% in the July-September quarter, the economy is expected to continue this positive trend to end the current fiscal year with a growth pace between 7% and 7.5%. Increase in activities in sectors such as manufacturing, mining and services were cited as the main drivers behind the growth in the quarter. Moreover, economic policies including rate cuts by the Reserve Bank of India (RBI) along with several measures taken by the Indian government are likely to boost the economy in the months ahead. Meanwhile, positive net FDI flows in the reserve of RBI and a significant decline in fiscal deficit also had a positive impact on the economy. It was reported that India’s fiscal deficit gradually declined from 7.6% of GDP in 2009 to currently 4%. Also, the continuing slump in prices of oil, which is one of the major imported commodities in India, had a significant effect on the Indian economy over the past one year. While the plunge in crude helped the trade deficit to remain at a controllable level, decline in prices of oil and other major commodities also restrained the inflation rate to go beyond the targeted range. The World Bank said, “In contrast to other major developing countries, growth in India remained robust, buoyed by strong investor sentiment and the positive effect on real incomes of the recent fall in oil prices.” 3 India ETFs to Buy Given the bullishness, we have highlighted three India ETFs with a Zacks ETF Rank #2 (Buy) that may prove to be profitable for investors who are interested to gain from the positive outlook of the Indian economy. Market Vectors India Small-Cap ETF (NYSEARCA: SCIF ) This fund targets the small cap segment and tracks the Market Vectors India Small-Cap Index. In total, it holds 143 securities in its basket with none making up for more than 3.27% of assets. Financials occupies the top position from a sector look at 27.7% while industrials, consumer discretionary, and information technology round off the next three spots. The fund has so far amassed $173.2 million in its asset base while charging 89 bps in annual fees. Volume is good, exchanging around 94,000 shares in hand a day. The ETF lost 0.3% over the past one-month period. EGShares India Infrastructure ETF (NYSEARCA: INXX ) This ETF provides exposure to 30 Indian stocks by tracking the Indxx India Infrastructure Index. It is pretty well spread out across components with none of the securities holding more than 5.06% of assets. With respect to sector holdings, construction & materials takes the top spot at 18.3%, followed by mobile telecommunications (14.7%), electricity (14.3%) and industrial engineering (10.2%). The product has managed assets worth $40.8 million and trades in volume of nearly 26,000 million shares a day. It has an expense ratio of 0.93% and lost 0.3% over the past one month. PowerShares India ETF (NYSEARCA: PIN ) This fund offers exposure to a basket of 50 stocks selected from the universe of the largest companies listed on two major Indian exchanges by tracking Indus India. The top two firms are Reliance Industries and Infosys (NYSE: INFY ). From a sector look, the fund is tilted towards energy and information technology, each accounting for around 20% share, followed by financials (11.5%) and healthcare (11%). The fund has amassed $430.3 million in its asset base and trades in solid volume of around 1.2 million shares a day on average. It charges an expense ratio of 85 bps and lost 0.4% in the past one month. Original Post