RAA Updated Allocation

Note: Spreadsheets are currently not importing data or importing intermittently. If you have extensive experience working with Google Sheets and would be willing to assist, please contact me.

The RAA Spreadsheet tracks signals for 7 ETFS and is based on a strategy developed by Alpha Architect. The strategy is detailed in-depth in DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth (DIY) .  You can find my review of the book and more strategy background here.

The RAA spreadsheet displays an allocation percent for each ETF depending on the risk management signals. If the SMA signal says “invested” and the 12 month price momentum is positive we invest the full amount of the target allocation. If one risk management signal is positive and the other negative we invest half of the target allocation. If both signals are negative we invest the target allocation in cash.  Signals for each ETF are based on an index (SPY for US equities and EFA for international equities), while we use the individual ETF signals for commodities and REITs.

Below are the allocations at the end of March:





Ivy Portfolio April Update

Note: Spreadsheets are currently not importing data or importing intermittently. If you have extensive experience working with Google Sheets and would be willing to assist, please contact me.

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 on Scott’s Investments 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 convenience.

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 March 31st’s adjusted closing prices are below.    This month (DBC) (GSG) (VEU) and (VB) are below their moving average and the balance of the ETFs are above 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:


Monday Market Reads

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A Wealth of Common Sense:

Weekend Reads

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What Hedge Funds Get Right – A Wealth of Common Sense
3 Paths to Outperformance – Morningstar

Dual ETF Momentum March 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:

Return Data Provided by Finviz

Dual March

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 – March 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.

I made one change to the screen methodology for 2016 in order to further simplify the process. Stocks from the Dividend Champion list were previously ranked on yield, payout ratio, P/E, and 3 year dividend growth rate.

In 2016 stocks are ranked on yield, P/E and 3 year dividend growth rate.  Payout ratio will no longer be a factor.  The modification has a relatively low impact to screen results.

Stocks will still be 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 using the new method  are below and displayed in order of their overall ranking (figures are February month-end):

Name Symbol Yield
Helmerich & Payne Inc. HP 5.19
Emerson Electric EMR 3.89
Eaton Vance Corp. EV 3.67
Archer Daniels Midland ADM 3.43
AT&T Inc. T 5.2
Old Republic International ORI 4.21
Chevron Corp. CVX 5.13
T. Rowe Price Group TROW 3.13
ExxonMobil Corp. XOM 3.64
Universal Corp. UVV 3.89
Community Trust Banc. CTBI 3.68
Altria Group Inc. MO 3.67
Universal Health Realty Trust UHT 4.98
Eagle Financial Services EFSI 3.49
HCP Inc. HCP 7.78
Consolidated Edison ED 3.83


There is turnover this month in two positions.  Questar (STR) has been a holding since 3/6/2015 and will be sold for a capital gain of 9.43% .  Target (TGT), a holding since 12/7/2015, will be sold for a capital gain of 10.12%.

The proceeds from the two sales will be used to purchase AT&T (T) and T. Rowe Price Group (TROW).

The current portfolio is below:

Position Initial Purchase Date Percentage Gain/Loss Excluding Dividends
CVX 12/6/2012 -12.15%
EMR 8/4/2015 4.57%
ORI 4/4/2014 11.59%
EV 2/5/2016 11.06%
ADM 12/7/2015 4.89%
MO 1/7/2016 6.28%
XOM 4/5/2013 -5.12%
HP 10/6/2014 -28.01%
TROW 3/7/2016 0.00%
T 3/7/2016 0.00%


The equity curve for the portfolio is below, since inception:

Div Champ

Momentum Portfolio Update

In 2011 Scott’s Investments began tracking a momentum portfolio which ranks a basket of ETFs based on price momentum and volatility.  In 2014 I also introduced a pure momentum system, which ranks the same basket of ETFs based solely on 6 month price momentum. The first portfolio was previously called the “ETFReplay.com Portfolio” but going forward it will be called the “Conservative Momentum Portfolio” (or “6/3/3 strategy”) to reflect some changes in the portfolio and tracking methodology for both portfolios detailed below.

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In previous years the Conservative Momentum Portfolio  began with a static basket of 14 ETFs.  The basket of 14 ETFs has been reduced to 10 ETFs. This change is being made in order to further simplify the portfolio. The 10 ETFs are listed below:

RWX SPDR DJ International Real Estate
PCY PowerShares Emerging Mkts Bond
EEM iShares MSCI Emerging Markets
TIP iShares Barclays TIPS
VTI Vanguard MSCI Total U.S. Stock Market
GLD SPDR Gold Shares
TLT iShares Barclays Long-Term Trsry
SHY iShares Barclays 1-3 Year Treasry Bnd Fd


The ETFs are still ranked by 6 month total returns (weighted 40%), 3 month total returns (weighted 30%), and 3 month price volatility (weighted 30%). The top 3 are purchased  at the beginning of each month and if a holding drops out of the top 3 at the next month’s rebalance it will be replaced. Previously, the portfolio purchased the top 4 ETFs and only sold when a holding dropped out of the top 5. In addition, ETFs previously had to be ranked above the cash-like ETF (SHY) in order to be included in the portfolio. This requirement has been removed, so the top 3 ETFs will be held regardless of proximity to SHY.

Pure Momentum System

The pure momentum system previously ranked  ETFs based solely on 6 month price momentum.  For 2015 the strategy now ranks ETFs based on 5 month price momentum. There is no cash filter in the pure momentum system, volatility ranking, or requirement to limit turnover. Previously the strategy bought the top 4 ETFs each month – going forward the top 3 ETFs will be purchased. The portfolio and rankings are posted on the same spreadsheet as the 6/3/3 strategy.

The portfolio names dropped “ETFreplay.com” because the strategies can be tracked on multiple website.  ETFReplay.com is still an excellent choice for tracking and backtesting the strategies detailed. However, a formidable free option for backtesting these strategies has emerged at Portfolio Visualizer.

The current top 3 ETFs are listed below for each strategy:


Conservative Momentum
TIP iShares Barclays TIPS Bond Fund
GLD SPDR Gold Shares ETF
TLT iShares Barclays 20 Year Treasury Bond Fund
Pure Momentum
GLD SPDR Gold Shares ETF
TLT iShares Barclays 20 Year Treasury Bond Fund


The current portfolios are below:

Conservative Momentum

Position Shares Avg Purchase Price Purchase Date
TIP 38 111.2 2/1/2016
TLT 32 126.67 2/1/2016
GLD 35 118.64 2/29/2016


Pure Momentum

Position Shares Purchase Price Purchase Date
GLD 27 118.64 2/29/2016
TLT 25 126.67 2/1/2016
VNQ 40 79.89 10/30/2015


Current signals can be viewed on Scott’s Investments here.