Spreadsheet Issues

Most of the spreadsheets hosted on Google Docs are not updating properly.  The data either does not load or in the case of Finviz data it appears it is not current.

The data sources look correct, so I believe the issue is with Google Docs as I have seen similar loading issues with other users’ spreadsheets.

Hopefully things will be functioning again soon. That being said, if anyone has any insight please let me know.

Holiday Week Reads

If you are looking for any last minute gift ideas, don’t forget to review my reading list here or check out other great deals from Amazon.

Things have been a bit hectic for me lately and I am behind on my reading list.  Here a few articles I am catching up on:

Strategies Can Beat The Market, You Can’t – The Irrelevant Investor

From ETF.com: 4 Ways To Build Better ETF Portfolios, Swedroe: Explaining The Value Premium, Swedroe: Ignore Forecasters At All Costs, Swedroe: Skeptical On The Low-Vol ‘Factor’

From Alpha Architect: An Affordable, Tax-Efficient, Long/Short Hedge Fund; Oil Stocks: A Real-Time Case Study in Value Investing; ValueShares Launches International Quantitative Value ETF (IVAL)

Value + Momentum: The Tortoise and the Hare – Millennial Invest

Efficient Frontier “Theory” for the Long Run – AQR

What Investment Success Looks Like To Me – The Reformed Broker

The Promise of Smart Beta – Research Affiliates

“Do you Want to be Right or do you Want to Make Money?” Pragmatic Capitalism

Measuring Tactical Alpha, Part 1 – GestaltU


More on this topic (What's this?) Read more on Wharf (HLDGS) at Wikinvest


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 has a new book out, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. If you want to see how he applies Dual Momentum to a portfolio strategy I encourage you to read the book.

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 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 in the 2013 Year in Review.  Next month I will provide updated test results.

Below are the four portfolios along with current signals:

Return data courtesy of Finviz
Equity Representative ETF 1 Year % Total Returns Average of Quarterly/Half/Full Year % Returns Signal based on 1 year returns Signal based on average returns
US Equities VTI 15.48 7.68 Invested Invested
International Equities VEU -0.36 -5.37
Cash SHY 0.46 0.34
Credit Risk Representative ETF 1 Year % Total Returns Average of Quarterly/Half/Full Year % Returns Signal based on 1 year returns Signal based on average returns
High Yield Bond HYG 0.61 -2.33
Interm Credit Bond CIU 3.05 1.27 Invested Invested
Cash SHY 0.46 0.34
Real-Estate Risk Representative ETF 1 Year % Total Returns Average of Quarterly/Half/Full Year % Returns Signal based on 1 year returns Signal based on average returns
Equity REIT VNQ 31.52 18.19 Invested Invested
Mortgage REIT REM 22.33 9.06
Cash SHY 0.46 0.34
Economic Stress Representative ETF 1 Year % Total Returns Average of Quarterly/Half/Full Year % Returns Signal based on 1 year returns Signal based on average returns
Gold GLD -2.62 -2.5
Long-term Treasuries TLT 24.61 16.02 Invested Invested
Cash SHY 0.46 0.34

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.

More on this topic (What's this?)
How to Spot a Genuine Momentum Stock
More Sales Momentum For euNetworks in Q2
Infinera Maintained Its Momentum Through Q2
Read more on Momentum at Wikinvest

Monday Readings

It is the holiday season and I have fallen way behind on my regular investment reads.  Below is a list of articles I am catching up on from the past 2 weeks:

Top 50 Trending Stocks

Millennial Investors Don’t Trust The Market – And They Shouldn’t – Read more at Meb Faber Research

Dilution, Index Evolution, and the Shiller CAPE: Anatomy of a Post-Crisis Value Trap – PHILOSOPHICAL ECONOMICS

7 Simple Things Most Investors Don’t Do – A Wealth of Common Sense

Is Bitcoin the Future? John Mauldin

Why the all-weather portfolio is a wash-out – Barry Ritholtz via The Washington Post

Price-to-Book Value Ratios: A Long-Term Winner with Long Periods of Underperformance – What Works on Wall Street

Beat the Average Investor by not Trying to “Beat the Market” – Pragmatic Capitalism

From ETF.com: Swedroe: Know The Risks, Stick To The Plan, The Best Inflation Protection, Passive Investing’s Foundations

Diversification or Deworsification? Dual Momentum

The World’s Dumbest Idea – James Montier of GMO

Alpha Architect: Our Robest Asset Allocation Solution & A Modification to the Flexible Asset Allocation Model

A New Twist on an Easy All-in-One Fund – WSJ (see also Finally a Free ETF from ETF Trends)

High Yield Dividend Champion Portfolio – December Update

The High Yield Dividend Champion stock portfolio has been updated for December. The portfolio is tracked publicly as a continuous hypothetical portfolio with a starting balance of $100,000 on Scott’s Investments.

The High Yield Dividend Champion Portfolio uses a small number of historically relevant ideas to create a simple, yet powerful investment plan. As I previously detailed, “Some studies have shown that the, highest yielding, low payout stocks perform better over time than stocks with higher payouts and lower yields.”

The High Yield Dividend Champion Portfolio attempts to capture the best high yield, low payout stocks with a history of raising dividends. There are numerous ways to rank high yield/low payout stocks. 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.

To date the portfolio is up over 92% including dividends.  I mentioned in the 2013 year in review that valuation of high yield stocks was a concern. In January’s update I noted that “I have lowered my expectations for future returns of US equities and high yield stocks.” US equities have held up well for most of 2014, while many yield-centric ETFs have trailed overall equity returns:


I added a valuation filter to the portfolio starting in 2014 in an attempt to mitigate concerns over valuation.  We still begin with the Dividend Champion list, which is first sorted by yield and the lowest 50% yielding stocks are eliminated. Eliminating the lowest yielding stocks ensures only stocks with a relatively “high” yield make the portfolio.

The remaining stocks are then assigned a rank based on their yield (the higher the yield the higher the rank), payout ratio (the lower the payout ratio the higher the rank), 3 year dividend growth rate, and price-earnings (P/E) ratio.  Extra weight is given to yield and payout ratio rankings.

I have also created a second portfolio using similar metrics as the High Yield Dividend Champion portfolio. The primary difference is it only requires 10 years of dividend increases and it also hedges the portfolio during unfavorable market conditions. Hedging requires margin, but the portfolio can also be implemented without the hedge. The portfolio is available on Portfolio123 and backtested results were posted in the June update.

The top 10 stocks based on the new ranking system make the portfolio. Stocks will be sold at 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 15 stocks based on my ranking methodology are below and displayed in order of their overall ranking (figures are November month-end).

There is no turnover in positions for December:

Name Symbol Yield
Helmerich & Payne Inc. HP 3.92
Chevron Corp. CVX 3.92
ExxonMobil Corp. XOM 3.05
Old Republic International ORI 4.82
AT&T Inc. T 5.20
Eagle Financial Services EFSI 3.48
Tompkins Financial Corp. TMP 3.43
AFLAC Inc. AFL 2.61
Questar Corp. STR 3.17
First Financial Corp. THFF 2.93
McDonald’s Corp. MCD 3.51
Community Trust Banc. CTBI 3.32
Consolidated Edison ED 3.99
Mercury General Corp. MCY 4.48
Sonoco Products Co. SON 3.05

As previously stated EFSI is not purchased due to its low liquidity.

The current portfolio is below:

Current Positions Position Initial Purchase Date Percentage Gain/Loss Excluding Dividends Current Yield Current Allocation
CVX 12/6/2012 2.60% 3.86% 7.96%
MCD 1/3/2014 -0.24% 3.53% 8.37%
ORI 4/4/2014 -9.06% 4.95% 8.79%
MCY 9/5/2014 10.90% 4.39% 10.37%
TMP 8/6/2014 14.75% 3.29% 11.39%
CTBI 5/5/2014 -0.41% 3.30% 12.92%
XOM 4/5/2013 5.40% 2.94% 9.57%
HP 10/6/2014 -25.54% 4.08% 8.35%
T 3/6/2014 4.95% 5.42% 11.71%
THFF 7/7/2014 5.86% 2.88% 10.31%


Below is the portfolio charted against three benchmarks:

Div Champ

More on this topic (What's this?)
Independent thinking for successful dividend investing
Is time spent learning dividend investing worth it?
7 Higher Yield Dividend Growth Stocks
Read more on Dividend Investing at Wikinvest

ETFReplay.com Portfolio for December

The ETFReplay.com Portfolio holdings have been updated for December 2014.  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 15 ETFs. These 15 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.

Bring Your Portfolio Into The 21st Century
Free Access – INO.com Special Report

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 11/28/14 are below:

TLT iShares Barclays Long-Term Trsry
LQD iShares iBoxx Invest Grade Bond
SHY Barclays Low Duration Treasury
PCY PowerShares Emerging Mkts Bond

Since SHY is ranked higher than VNQ and PCY, only TLT and LQD will be held over from November. PCY and VTI will be sold and the proceeds used to purchase SHY, which is a close proxy for cash.

Beginning in 2014 we track both the 6/3/3 strategy (same system as 2013) as well as the pure momentum system, which will rank the same basket of 15 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 5 six month momentum ETFs are below:

6 month Momentum
TLT iShares Barclays Long-Term Trsry
VTI Vanguard Total U.S. Stock Market
LQD iShares iBoxx Invest Grade Bond
PCY PowerShares Emerging Mkts Bond

The 6 month momentum system maintains all of its current positions for December – TLT, PCY, VTI, and VNQ.


30% Off Any Book at Amazon

If you are considering one of the books from my investment book shopping list, try using the 30% off Amazon coupon code found here.

Here are a few books on my current wish list:

Rule Based Investing: Designing Effective Quantitative Strategies for Foreign Exchange, Interest Rates, Emerging Markets, Equity Indices, and Volatility

Quantitative Investing: Strategies to exploit stock market anomalies for all investors

Investing with the Trend: A Rules-based Approach to Money Management

Pragmatic Capitalism: What Every Investor Needs to Know About Money and Finance

Deep Value: Why Activist Investors and Other Contrarians Battle for Control of Losing Corporations (Wiley Finance)

Abnormal Returns: Winning Strategies from the Frontlines of the Investment Blogosphere

Ivy & Commission Free ETF Portfolios – December Update

Scott’s Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber’s book. When a security is trading below its 10 month simple moving average, the position is listed as “Cash”. When the security is trading above its 10 month simple moving average the positions is listed as “Invested”.

The spreadsheet’s signals update once daily (typically in the late evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price.  Even though the signals update daily, it is not an endorsement to check signals daily or trade based on daily updates. It simply gives the spreadsheet more versatility for users to check at his or her leisure.

The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10 month simple moving average, using both adjusted and unadjusted data. If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10 month SMA. This could also potentially impact whether an ETF is above or below its 10 month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach. My preference is to use adjusted data when evaluating signals.

Bring Your Portfolio Into The 21st Century
Free Access – INO.com Special Report

The current signals based on November’s adjusted closing prices are below. The spreadsheet also provides quarterly, half year, and yearly return data courtesy of Finviz. Ranks are provided for each ETF based on the average of these three returns. This data may come in useful when overlaying a momentum strategy with a moving average filter:

Ivy Dec

I also provide a “Commission-Free” Ivy Portfolio spreadsheet as an added bonus. This document tracks the 10 month moving averages for four different portfolios designed for TD Ameritrade, Fidelity, Charles Schwab, and Vanguard commission-free ETF offers.

Not all ETFs in each portfolio are commission free, as each broker limits the selection of commission-free ETFs and viable ETFs may not exist in each asset class. Other restrictions and limitations may apply depending on each broker.

Below are the 10 month moving average signals (using adjusted price data) for the commission-free portfolios:

Dec Free

Dec Free2

Investment Book Shopping List

Love it or hate it, the holiday shopping season has begun. If you are looking for some book ideas, consider something from my “Recommended Book” list.

Note: If you follow one of the links below and purchase anything from Amazon, I will receive a small commission. It will not affect the price you pay for the item. It is a great no cost way to support this site!

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk (my review here)

Reminiscences of a Stock Operator

Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors (Wiley Finance)

Trend Trading for a Living: Learn the Skills and Gain the Confidence to Trade for a Living– (my review here)

The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets

The Little Book That Still Beats the Market– (my review here)

The Intelligent Investor: The Definitive Book on Value Investing. A Book of Practical Counsel (Revised Edition)

Security Analysis: Sixth Edition, Foreword by Warren Buffett (Security Analysis Prior Editions)

Against the Gods: The Remarkable Story of Risk

Market Wizards, Updated: Interviews With Top Traders

How to Make Money in Stocks: A Winning System in Good Times and Bad, Fourth Edition

Martin Zweig’s Winning on Wall Street

The Fundamental Index: A Better Way to Invest – (my review here)

Jackass Investing: Don’t do it. Profit from it.– (my review here)

Diary of a Professional Commodity Trader: Lessons from 21 Weeks of Real Trading – (my review here)