This month’s ETFReplay.com Relative Strength ETF Portfolio has been updated at Scott’s Investments and includes turnover in three positions.
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Strategy Background
I track this strategy as a public portfolio on Scott’s Investments. As of the close January 31st the hypothetical portfolio was up 10% since inception, including dividends (returns exclude commissions and taxes and all trades are hypothetical so real results will differ). For some backtests on these strategies please see a post from mid-September.
February 2012 Updates
Minor fluctuations in rankings may not always justify selling positions each month. For example, if one ETF drops from the second highest rated to the third or fourth highest rated, it may not warrant selling the position. An investor could only sell a position when it drops out of the top 4 or 5 at the end of the month. This type of modification could be used when someone is looking to limit turnover; however, I think it is important to have whatever rule you prefer to use in place prior to making the investment decision in order to avoid discretionary or emotional decision making.
Last month I made some changes in the online portfolio tracking. There will be less transaction history posted due to the limitations of Google Docs, the clutter created with too many details on the spreadsheets, and the amount of time required to manually track dividends and performance. Instead, I will be using a third-party software platform for performance calculations and post the results monthly. Below is a performance graph of the portfolio (green) versus SPY (SPDR S&P 500 ETF) in purple from the portfolio’s inception until January 31st, 2012:
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) |
| TIP | iShares Barclays TIPS (8yr) |
| TLT | iShares Barclays Long-Term Trsry (15-17yr) |
| LQD | iShares iBoxx Invest Grade Bond (7-8yr) |
| PFF | iShares S&P US Preferred Stock Index |
| PCY | PowerShares Emerging Mkts Bond (7-9yr) |
| VNQ | Vanguard MSCI U.S. REIT |
| HYG | iShares iBoxx High-Yield Corp Bond (4-5yr) |
| SHY | Barclays Low Duration Treasury (2-yr) |
| XLU | U.S. Utilities Sector SPDR |
| SPY | SPDR S&P 500 Index |
| GLD | SPDR Gold Shares |
| VBR | Vanguard MSCI U.S. SmallCap Value |
| DBV | PowerSh DB G10 Currency Harvest |
| WIP | SPDR Int’l Govt Infl-Protect Bond (9-10yr) |
| BWX | SPDR Barcap Global Ex-U.S. Bond (6-7yr) |
| DBC | PowerShares DB Commodity Index |
| LSC | Elements S&P C.T.I. |
| DBB | PowerShares DB Base Metals |
| XLE | U.S. Energy Sector SPDR |
| DBA | PowerShares DB Agricultural Commodities |
| EEM | iShares MSCI Emerging Markets |
| RWX | SPDR DJ International Real Estate |
| SCZ | iShares MSCI EAFE Small Cap Index |
| EFA | iShares MSCI EAFE Index |
| 3mo/20day/20day | |
| Symbols | Name |
| PFF | iShares S&P US Preferred Stock Index |
| VBR | Vanguard MSCI U.S. SmallCap Value |
| TIP | iShares Barclays TIPS (8yr) |
| VNQ | Vanguard MSCI U.S. REIT |
| SPY | SPDR S&P 500 Index |
| IEF | iShares Barclays 7-10 Yr Treasury (7-8yr) |
| LQD | iShares iBoxx Invest Grade Bond (7-8yr) |
| HYG | iShares iBoxx High-Yield Corp Bond (4-5yr) |
| WIP | SPDR Int’l Govt Infl-Protect Bond (9-10yr) |
| DBV | PowerSh DB G10 Currency Harvest |
| DBB | PowerShares DB Base Metals |
| SHY | Barclays Low Duration Treasury (2-yr) |
| GLD | SPDR Gold Shares |
| TLT | iShares Barclays Long-Term Trsry (15-17yr) |
| PCY | PowerShares Emerging Mkts Bond (7-9yr) |
| EEM | iShares MSCI Emerging Markets |
| BWX | SPDR Barcap Global Ex-U.S. Bond (6-7yr) |
| RWX | SPDR DJ International Real Estate |
| SCZ | iShares MSCI EAFE Small Cap Index |
| DBC | PowerShares DB Commodity Index |
| XLU | U.S. Utilities Sector SPDR |
| LSC | Elements S&P C.T.I. |
| EFA | iShares MSCI EAFE Index |
| XLE | U.S. Energy Sector SPDR |
| DBA | PowerShares DB Agricultural Commodities |
No current positions
