Dual Momentum February Update

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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”.

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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 iShares Barclays 1-3 Treasury Bond ETF (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 an 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 here.

I also posted an updated test previously using Allocate Smartly here.

Below are the four portfolios along with current signals:

Return Data Provided by Quandl

High Yield Dividend Champion Portfolio – February Update

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The High Yield Dividend Champion Portfolio is a publicly tracked stock portfolio on Scott’s Investments.  The goal is to capture quality high yield stocks with a history of raising dividends.

The screening process for this portfolio starts with the “Dividend Champions” as compiled by DRIP Investing. The list is comprised of stocks that have increased their dividend payout for at least 25 consecutive years.  Stocks are then ranked on yield, P/E and 3 year dividend growth rate and assigned an overall rank.

Stocks are sold on the re-balance date (generally around the 5th of the month) when they drop out of the top 15 (to limit turnover) and are replaced with the next highest rated stock.

The top 25 stocks are below and displayed in order of their overall ranking (figures are from the end of November, “999” indicates a N/A value):

Name Symbol Yield P/E 3-yr
Altria Group Inc. MO 3.75 8.79 8.3
Target Corp. TGT 3.3 15.8 8.7
AT&T Inc. T 5.34 18 2.1
Meredith Corp. MDP 3.3 15.98 6.3
Kimberly-Clark Corp. KMB 3.42 18.28 5.6
Archer Daniels Midland ADM 2.98 20.16 10.1
Old Republic International ORI 3.54 11.25 1.4
Black Hills Corp. BKH 3.42 21.12 5.1
Universal Health Realty Trust UHT 4 20.54 1.6
Consolidated Edison ED 3.56 20.14 3.1
Realty Income Corp. O 4.94 43.6 5
Community Bank System CBU 3.75 26.39 4.5
Leggett & Platt Inc. LEG 3.1 18.83 5
United Bankshares Inc. UBSI 3.7 19.37 1
Eagle Financial Services EFSI 2.91 14.11 4.6
Sonoco Products Co. SON 2.87 19.97 6.6
National Retail Properties NNN 4.79 32.52 4.1
Computer Services Inc. CSVI 2.67 19.7 15.8
Federal Realty Inv. Trust FRT 3.31 38.47 7.1
People’s United Financial PBCT 3.51 20.28 1.5
Weyco Group Inc. WEYS 2.84 19.36 5.1
National Fuel Gas NFG 2.98 16.89 2.6
Mercury General Corp. MCY 5.11 27.35 0.4
Vectren Corp. VVC 2.97 22.37 5.4
ExxonMobil Corp. XOM 3.53 28.44 4.3


There is turnover in two positions this month. People’s United Financial (PBCT), a holding since July 2017, was sold for a capital gain of 7.05%.  Weyco Group (WEYS), a holding since March 2017 was sold for a capital gain of 7.08%.  The proceeds were used to purchase Meredith Corporation (MDP) and Black Hills Corp (BKH)

The current portfolio is below:

Position Shares Average Purchase Price Initial Purchase Date Cost Basis Current Value
MDP 514 56.05 2/6/2018 $28,809.70 $28,809.70
KMB 246 115.49 10/9/2017 $28,410.54 $28,078.44
ORI 1145 16.22 4/4/2014 $18,571.90 $23,701.50
ADM 762 41.95 6/6/2017 $31,965.90 $32,004.00
TGT 391 68.65 6/3/2016 $26,842.15 $28,429.61
MO 400 58.14 1/7/2016 $23,256.00 $26,612.00
SON 552 51.21 10/9/2017 $28,267.92 $28,383.84
UBSI 820 35.8 1/10/2018 $29,356.00 $28,413.00
BKH 557 51.75 2/6/2018 $28,824.75 $28,824.75
T 650 38.13 3/7/2016 $24,784.50 $23,939.50
 Cash $19,184.44
Current Portfolio Value (excluding recent dividends): $296,380.78

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