Portfolio for June

The Portfolio holdings have been updated for June 2014.  I previously detailed here and here how an investor can use 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.

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In addition, ETFs must be ranked above the cash 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 off 5/30/14 are below:

PCY PowerShares Emerging Mkts Bond
RWX SPDR DJ International Real Estate
TLT iShares Barclays Long-Term Trsry
LQD iShares iBoxx Invest Grade Bond

The portfolio maintains positions in  VNQ, and LQD for the month of June. DBA was sold for a gain of 1.24% after purchasing it originally on 2/28/14.  VTI was sold for a gain of 2.14% and purchase date of 4/30/14. The proceeds were used to purchase RWX and PCY.

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
DBA PowerShares DB Agricultural Commodities
TLT iShares Barclays Long-Term Trsry
PCY PowerShares Emerging Mkts Bond
RWX SPDR DJ International Real Estate

For June the portfolio maintains positions in TLT, VNQ and DBA. VTI was sold for a gain of 3.86% and purchase date of 12/31/13. Proceeds were used to purchase PCY.

More on this topic (What's this?)
Core ETF Report
US Market ETF Trading Map
Read more on Exchange Traded Fund (ETF) at Wikinvest

2 thoughts on “ Portfolio for June”

  1. Hi. The amounts invested are rebalanced every month for this strategy? I guess the strategy assumes equal weight investing and rebalance among the several ETFs on a monthly basis.

    1. My spreadsheet does not rebalance monthly, so it attempts to be more realistic. However, some articles may reference backtests using ETFReplay which assume a monthly rebalance.

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