ETFReplay.com April Update

The ETFReplay.com Portfolio holdings have been updated for April 2015.  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 14 ETFs. These 14 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.

The 14 ETFs are listed below:

Symbol Name
RWX SPDR DJ International Real Estate
PCY PowerShares Emerging Mkts Bond
WIP SPDR Int’l Govt Infl-Protect Bond
EFA iShares MSCI EAFE
HYG iShares iBoxx High-Yield Corp Bond
EEM iShares MSCI Emerging Markets
LQD iShares iBoxx Invest Grade Bond
VNQ Vanguard MSCI U.S. REIT
TIP iShares Barclays TIPS
VTI Vanguard MSCI Total U.S. Stock Market
DBC PowerShares DB Commodity Index
GLD SPDR Gold Shares
TLT iShares Barclays Long-Term Trsry
SHY iShares Barclays 1-3 Year Treasry Bnd Fd

 

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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 4/2/15 are below:

6mo/3mo/3mo
RWX SPDR DJ International Real Estate
VNQ Vanguard MSCI U.S. REIT
LQD iShares iBoxx Invest Grade Bond
EFA iShares MSCI EAFE
TLT iShares Barclays Long-Term Trsry

 

(SHY) had been a holding since December 2014 but since it is no longer in the top 5 it will be replaced by the highest rated ETF, (RWX) .

In 2014 I introduced a pure momentum system, which ranks the same basket of 14 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 are purchased each month. The portfolio and rankings are posted on the same spreadsheet as the 6/3/3 strategy.

The top 4 six month momentum ETFs are below:

6 month Momentum
VNQ Vanguard MSCI U.S. REIT
TLT iShares Barclays Long-Term Trsry
VTI Vanguard Total U.S. Stock Market
RWX SPDR DJ International Real Estate

 

(LQD) was a holding since January 2015 and since it is no longer in the top 4 it will be sold for a gain of 1.78% and  replaced by the next highest rated ETF, (RWX).

The updated holdings for each portfolio are below:

6/3/3 strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value Gain/Loss Excluding Dividends Percentage Gain/Loss Excluding Dividends
TLT 25 119.05 8/29/2014 $2,976.25 $3,268.25 $292.00 9.81%
VNQ 40 81 12/31/2014 $3,240.00 $3,393.20 $153.20 4.73%
LQD 26 118.22 9/30/2014 $3,073.72 $3,159.78 $86.06 2.80%
RWX 78 43.99 4/2/2015 $3,431.22 $3,432.78 $1.56 0.05%

 

Pure Momentum strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value Gain/Loss Excluding Dividends Percentage Gain/Loss Excluding Dividends
TLT 20 116.27 9/30/2014 $2,325.40 $2,614.60 $289.20 12.44%
RWX 64 43.99 4/2/2015 $2,815.36 $2,816.64 $1.28 0.05%
VTI 22 101.24 9/30/2014 $2,227.28 $2,362.58 $135.30 6.07%
VNQ 33 70.73 2/28/2014 $2,334.09 $2,799.39 $465.30 19.93%