ETFReplay.com November Portfolio

This month’s ETFReplay.com Relative Strength ETF Portfolio has been updated at Scott’s Investments and includes turnover in two positions.  With the October rally in equities, I was eager to see if any equity ETFs would make into this month’s portfolio. However, this month’s portfolio continues to avoid equities and commodities.  

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Strategy Background

I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility.  I originally created a portfolio of 22 ETFs and then expanded it to 25 ETFs which I believe represent a diverse basket of ETFs.  Readers often get confused by this point – I select only the top ETFs out of this static basket of 25 ETFs.

The buy/sell strategy for the portfolio is simple: purchase the top  ETFs based on a combination of their 6 month returns, 3 month returns, and 3 month volatility (lower volatility receives a higher ranking) and the average of  the 3 month return, 20 day return, and 20 day volatility.  I refer to these two different sets as “6/3/3” and “3/20/20”.  The top 2 ETFs in the 6/3/3 ranking and top 2 in the 3/20/20 ranking are purchased each month.  When there are duplicates in the top 2, I look to the third ranked ETF in the 3/20/20 and, if necessary, the third ranked ETF in the 6/3/3.  The strategy always holds 4 ETFs.

I track this strategy as a public portfolio on Scott’s Investments.  As of the close October 31st the hypothetical portfolio was up 7% year-to-date including dividends (returns exclude commissions and taxes and all trades are hypothetical so real results will differ).  At the end of September the portfolio was up 6.2%, so its positions in bond funds caused the strategy to lag the overall equity market in October.   For some backtests on these strategies please see a post from mid-September.


October Updates


For October 31st the strategy is selling its position in TIP (Treasury Inflation Protected Securities) and SHY (Barclays 1-3 Year Treasury Bond).   For those looking to limit turnover, one could consider holding TIP for November. It is ranked third in the 6/3/3 strategy. It is being replaced by DBV (
PowerShares DB G10 Currency Harvest), which is ranked third in the 3/20/20 strategy.


SHY is being replaced by XLU (Utilties Select Sector SPDR), which is currently ranked first in the 3/20/20 strategy.

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Below are the full rankings of both the 6/3/3 and 3/20/20 strategies, in order from top to bottom ranked:

6mo/3mo/3mo
Symbols Name
IEF iShares Barclays 7-10 Yr Treasury (7-8yr)
LQD iShares iBoxx Invest Grade Bond (7-8yr)
TIP iShares Barclays TIPS (4-6yr)
TLT iShares Barclays Long-Term Treasury (15yr)
GLD SPDR Gold Shares
XLU U.S. Utilities Sector SPDR
SHY Barclays Low Duration Treasury (2-yr)
PCY PowerShares Emerging Mkts Bond (7-8yr)
DBV PowerSh DB G10 Currency Harvest
BWX SPDR Barcap Global Ex-U.S. Bond (6-7yr)
HYG iShares iBoxx High-Yield Corp Bond (4-5yr)
WIP SPDR Int’l Govt Infl-Protect Bond (9-10yr)
PFF iShares S&P US Preferred Stock Index
VNQ Vanguard MSCI U.S. REIT
SPY SPDR S&P 500 Index
DBA PowerShares DB Agricultural Commodities
DBC PowerShares DB Commodity Index
XLE U.S. Energy Sector SPDR
VBR Vanguard MSCI U.S. SmallCap Value
RWX SPDR DJ International Real Estate
EFA iShares MSCI EAFE Index
LSC Elements S&P C.T.I.
SCZ iShares MSCI EAFE Small Cap Index
DBB PowerShares DB Base Metals
EEM iShares MSCI Emerging Markets

3mo/20day/20day
Symbols Name
XLU U.S. Utilities Sector SPDR
LQD iShares iBoxx Invest Grade Bond (7-8yr)
DBV PowerSh DB G10 Currency Harvest
HYG iShares iBoxx High-Yield Corp Bond (4-5yr)
TIP iShares Barclays TIPS (4-6yr)
IEF iShares Barclays 7-10 Yr Treasury (7-8yr)
SPY SPDR S&P 500 Index
GLD SPDR Gold Shares
PCY PowerShares Emerging Mkts Bond (7-8yr)
SHY Barclays Low Duration Treasury (2-yr)
PFF iShares S&P US Preferred Stock Index
VNQ Vanguard MSCI U.S. REIT
BWX SPDR Barcap Global Ex-U.S. Bond (6-7yr)
TLT iShares Barclays Long-Term Treasury (15yr)
WIP SPDR Int’l Govt Infl-Protect Bond (9-10yr)
XLE U.S. Energy Sector SPDR
VBR Vanguard MSCI U.S. SmallCap Value
EFA iShares MSCI EAFE Index
RWX SPDR DJ International Real Estate
DBC PowerShares DB Commodity Index
DBA PowerShares DB Agricultural Commodities
SCZ iShares MSCI EAFE Small Cap Index
EEM iShares MSCI Emerging Markets
DBB PowerShares DB Base Metals
LSC Elements S&P C.T.I.

Disclaimer: No current positions in stocks mentioned. Please note that Scott’s Investments and its author is not a financial adviser. Please consult your own investment adviser and do your own due diligence before making any investment decisions. Please read the full disclaimer at the bottom of Scott’s Investments.