Portfolio Update

The Portfolio holdings have been updated for June 2015.  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 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
HYG iShares iBoxx High-Yield Corp Bond
EEM iShares MSCI Emerging Markets
LQD iShares iBoxx Invest Grade Bond
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


Bring Your Portfolio Into The 21st Century
Free Access – 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.

There is turnover in 1 of the 4 holdings in the 6/3/3 portfolio.  The top 5 ranked ETFs based on the 6/3/3 system as of 5/29/15 are below:

VTI Vanguard Total U.S. Stock Market
HYG iShares iBoxx High-Yield Corp Bond (4-5yr)
SHY Barclays Low Duration Treasury (2-yr)
PCY PowerShares Emerging Mkts Bond (7-9yr)


The strategy is rotating out of SPDR DJ International Real Estate (RWX), a holding since the beginning of April.  RWX will be replaced by (SHY).

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
VTI Vanguard Total U.S. Stock Market
RWX SPDR DJ International Real Estate
TLT iShares Barclays Long-Term Trsry


There is no turnover in the portfolio this month.

The updated holdings for each portfolio are below:

6/3/3 strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value
EFA 47 66.51 4/30/2015 $3,125.97 $3,132.08
VTI 29 107.91 4/30/2015 $3,129.39 $3,169.99
HYG 35 90.99 4/30/2015 $3,184.65 $3,181.85
SHY 40 84.87 5/29/2015 $3,394.80 $3,394.00


Pure Momentum strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value
TLT 20 116.27 9/30/2014 $2,325.40 $2,454.80
RWX 64 43.99 4/2/2015 $2,815.36 $2,782.72
VTI 22 101.24 9/30/2014 $2,227.28 $2,404.82
EFA 39 66.51 4/30/2015 $2,593.89 $2,598.96

4 thoughts on “ Portfolio Update”

  1. Scott:
    I like the ETFReplay 6/3/3; very interesting. Are there any backtests for the 6/3/3 specifically? Sharpe/Sortino ratios?
    Enjoy the blog; thanks!

      1. Hi Scott:

        Hey, many thanks for the backtest results on the ETFReplay 6/3/3! Very much appreciated. I visited the Portfolio123 website and reviewed the ETFReplay’s return/risk profile. It differs significantly from the backtest results that you posted yesterday. Are the strategies different….? Thanks again.

        1. Good question and observation. P123 accounts for slippage so returns are reduced with each transaction. DBA is also excluded from the ETFReplay tests, I dropped it this year. It remains in the backtest results for P123. In addition, the strategy rebalances each 4 weeks (not monthly at the end of the month) which leads to some different holdings depending on the timing of the updates. Finally, ETFReplay assumes equal holdings each month (i.e. rebalancing back to equal weight each month) while P123 lets positions run so holdings may become unbalanced over time.

Comments are closed.