ETFReplay.com Portfolio Update
The ETFReplay.com Portfolio holdings have been updated for February 2015. I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility. The portfolio begins with a static basket of 14 ETFs. These 14 ETFs are ranked by 6 month total returns (weighted 40%), 3 month total returns (weighted 30%), and 3 month price volatility (weighted 30%). The top 4 are purchased at the beginning of each month. When a holding drops out of the top 5 ETFs it will be sold and replaced with the next highest ranked ETF. The 14 ETFs are listed below: Symbol Name RWX SPDR DJ International Real Estate PCY PowerShares Emerging Mkts Bond WIP SPDR Int’l Govt Infl-Protect Bond EFA iShares MSCI EAFE HYG iShares iBoxx High-Yield Corp Bond EEM iShares MSCI Emerging Markets LQD iShares iBoxx Invest Grade Bond VNQ Vanguard MSCI U.S. REIT TIP iShares Barclays TIPS VTI Vanguard MSCI Total U.S. Stock Market DBC PowerShares DB Commodity Index GLD SPDR Gold Shares TLT iShares Barclays Long-Term Trsry SHY iShares Barclays 1-3 Year Treasry Bnd Fd In addition, ETFs must be ranked above the cash-like ETF SHY in order to be included in the portfolio, similar to the absolute momentum strategy I profiled here . This modification could help reduce drawdowns during periods of high volatility and/or negative market conditions (see 2008-2009), but it could also reduce total returns by allocating to cash in lieu of an asset class. The top 5 ranked ETFs based on the 6/3/3 system as of 1/31/15 are below: 6mo/3mo/3mo LQD iShares iBoxx Invest Grade Bond VNQ Vanguard MSCI U.S. REIT TLT iShares Barclays Long-Term Trsry TIP iShares Barclays TIPS SHY Barclays Low Duration Treasury Since all of the current holdings are still ranked in the top 5 there is no turnover this month. In 2014 I introduced a pure momentum system, which ranks the same basket of 14 ETFs based solely on 6 month price momentum. There is no cash filter in the pure momentum system, volatility ranking, or requirement to limit turnover – the top 4 ETFs based on price momentum will be purchased each month. The portfolio and rankings will be posted on the same spreadsheet as the 6/3/3 strategy. The top 4 six month momentum ETFs are below: 6 month Momentum TLT iShares Barclays Long-Term Trsry VNQ Vanguard MSCI U.S. REIT LQD iShares iBoxx Invest Grade Bond VTI Vanguard Total U.S. Stock Market The top 4 ETFs are the same as last months, so there is no turnover for February. Disclosures: None How did this change your view of ? More Bullish More Bearish It Didn’t This impact ( ) More Bullish More Bearish Unchanged Thanks for sharing your thoughts. Submit & View Results Skip to results » Share this article with a colleague