Ivy Portfolio October Update

The Ivy Portfolio spreadsheet 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 both 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.

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The current signals based on September 30th’s adjusted closing prices are below.    This month  (BND) is above its moving average and the balance of the ETFs, (VEU) (VB) (VTI) (RWX) (VWO) (DBC) (GSG) (VNQ) and (TIP), are below their 10 month moving average.

The spreadsheet also provides quarterly, half year, and yearly return data courtesy of Finviz. The return data is useful for those interested in overlaying a momentum strategy with the 10 month SMA strategy:


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:


Weekly Investment Articles

Below is a list of investment articles I am reading this week:

Alpha Architect:

Factor Models Can Only Tell You So Much
The Case for Active Management…from Vanguard…

A Wealth of Common Sense:

In Defense of Risk Parity (Or Any Long-Term Strategy)
How Much Diversification is Necessary?
6 Reasons For David Swensen’s Success at Yale
Something Most Investors Simply Cannot Accept

Are We on the Precipice of Another 2008? – Pragmatic Capitalism

Swedroe: The Lessons In A Correction – ETF.com

Book Review: DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth – Dual Momentum

The Case for Put Writing / Further Improving PutWrite Performance – Econompic Data

Hey Investor… Tread Lightly! Blue Sky Asset Management

Another Thing That Worked in the Past That Won’t In the Future – The Investor’s Field Guide

Why The Big Bad Bear (Probably) Isn’t Over Yet – Meb Faber

The advice to ensure financial ruin? It fits on a 4×6 index card. The Big Picture

The World’s Best Investment For the Next 12 Months – Philosophical Economics

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SIPA's Can't-Lose Investment Contest
Market Outlook
Read more on Investment, HK EL Holdings at Wikinvest

Dual ETF Momentum September Update

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’s book, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, also details Dual Momentum as a total portfolio strategy.

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 and the January 2015 Update.

Below are the four portfolios along with current signals:


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.

Dividend Champion Portfolio September Update

The High Yield Dividend Champion Portfolio is a publicly tracked stock portfolio on Scott’s Investments.  Its goal is to capture quality high yield stocks with a history of raising dividends.

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.  Stocks from the Dividend Champion list are then ranked on yield, payout ratio, P/E, and 3 year dividend growth rate.

Stocks are sold on 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  are below and displayed in order of their overall ranking (figures are August month-end):

Name Symbol Yield Payout 3-yr P/E
Helmerich & Payne Inc. HP 4.66 49.11 116.13 10.54
ExxonMobil Corp. XOM 3.88 52.05 13.43 13.41
Chevron Corp. CVX 5.28 66.25 10.86 12.54
Emerson Electric EMR 3.94 52.08 7.04 13.22
Wal-Mart Stores Inc. WMT 3.03 41.00 10.98 13.54
Universal Health Realty Trust UHT 5.57 55.65 1.29 10.00
Cincinnati Financial CINF 3.52 46.46 2.78 13.21
Eagle Financial Services EFSI 3.48 45.71 2.26 13.15
Tompkins Financial Corp. TMP 3.20 44.80 4.99 14.00
Questar Corp. STR 4.35 65.63 6.55 15.09
Old Republic International ORI 4.71 59.68 1.41 12.67
Universal Corp. UVV 4.23 58.26 2.04 13.78
Community Trust Banc. CTBI 3.53 48.82 1.60 13.82
Sonoco Products Co. SON 3.56 54.26 3.36 15.24
T. Rowe Price Group TROW 2.89 45.61 12.38 15.76

EFSI is not eligible for purchase due to its low liquidity.

There is no turnover this month, so all positions will be held until next month.

The current portfolio is below:

Position Initial Purchase Date Percentage Gain/Loss Excluding Dividends Current Allocation
CVX 12/6/2012 -25.53% 9.32%
EMR 8/4/2015 -5.66% 11.08%
ORI 4/4/2014 -3.82% 9.94%
UVV 4/8/2015 5.01% 9.62%
TMP 8/6/2014 15.72% 12.29%
CTBI 5/5/2014 -3.75% 13.36%
XOM 4/5/2013 -17.46% 8.02%
HP 10/6/2014 -41.54% 7.02%
STR 3/6/2015 -17.37% 9.02%
UHT 4/8/2015 -21.22% 9.65%

The portfolio’s equity curve along with three benchmarks is below:

Div Champ