Ivy Portfolio August 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 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 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.

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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.

The current signals based on July 29th’s adjusted closing prices are below.    This month only S&P GSCI Commodity-Indexed Trust (GSG) is below its  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:

Ivy August

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:



July Investment Reads

Below is my reading list for the past couple of weeks.  I use a free plugin for Chrome, One Tab, to consolidate my tabs in Chrome and create my reading lists.  You can also view the list as a webpage here.

Combining Equity Momentum (PDP) & Managed Futures (CSAIX) – Systematic Relative Strength 
A Wealth of Common Sense:

Dual ETF Momentum – July 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 May.

Below are the four portfolios along with current signals:

Return Data Provided by Finviz

Dual July

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 July 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 but payout ratio is no longer a factor.  The modification has a relatively low impact on 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 25 stocks using the new method  are below and displayed in order of their overall ranking (figures are June month-end):

Name Symbol Yield P/E 3-yr
Target Corp. TGT 3.44 13.20 17.84
Helmerich & Payne Inc. HP 4.17 68.50 114.15
Emerson Electric EMR 3.64 17.99 5.40
Eagle Financial Services EFSI 3.49 11.57 3.10
Old Republic International ORI 3.89 12.61 1.39
Community Trust Banc. CTBI 3.58 12.88 2.25
Questar Corp. STR 3.47 22.06 8.10
T. Rowe Price Group TROW 2.96 15.59 15.21
AT&T Inc. T 4.44 19.20 2.22
Eaton Vance Corp. EV 3.00 16.83 9.18
Universal Corp. UVV 3.67 17.82 2.00
Archer Daniels Midland ADM 2.80 16.50 16.96
Altria Group Inc. MO 3.28 24.81 8.36
HCP Inc. HCP 6.50 999.00 4.16
Weyco Group Inc. WEYS 3.02 17.36 6.18
Chevron Corp. CVX 4.08 151.93 6.83
ExxonMobil Corp. XOM 3.20 30.14 9.73
Coca-Cola Company KO 3.09 27.31 8.97
United Bankshares Inc. UBSI 3.52 18.94 1.06
Bowl America Class A BWL-A 4.76 39.72 1.78
Universal Health Realty Trust UHT 4.55 31.08 1.47
Consolidated Edison ED 3.33 20.89 2.42
Wal-Mart Stores Inc. WMT 2.74 16.15 7.78
Computer Services Inc. CSVI 2.67 18.12 21.05
Procter & Gamble Co. PG 3.16 28.32 5.99

There is turnover in two long term holdings this month. Chevron (CVX), a holding since December 2012, will be sold for a small capital gain of .37%.  Exxon Mobile (XOM), a holding since April 2013, will be sold for a capital gain of 4.55%.

The proceeds will be used to purchase Community Trust Bancorp (CTBI) and T Rowe Price Group (TROW). Questar (STR) is in the midst of a pending merger with Dominion Resources, so I am excluding it from eligibility for purchase.

The current portfolio is below:

Position Average Purchase Price Initial Purchase Date Current Value Percentage Gain/Loss Excluding Dividends
CTBI 33.9 7/5/2016 $21,357.00 0.00%
EMR 49.64 8/4/2015 $21,696.25 2.84%
ORI 16.22 4/4/2014 $21,938.20 18.13%
EV 28.38 2/5/2016 $24,458.00 23.11%
TGT 68.65 6/3/2016 $27,268.34 1.59%
MO 58.14 1/7/2016 $27,844.00 19.73%
TROW 71.35 7/5/2016 $21,405.00 0.00%
HP 82.79467 10/6/2014 $20,097.00 -21.19%
STR 25.03 5/6/2016 $27,100.75 0.72%
T 38.13 3/7/2016 $28,177.50 13.69%

Momentum Portfolio July 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 at the beginning of 2016 was renamed “Conservative Momentum Portfolio” (or “6/3/3 strategy”) to reflect some changes in the portfolio and tracking methodology for both portfolios detailed below.

Bring Your Portfolio Into The 21st Century
Free Access – INO.com Special Report

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 was 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
GLD SPDR Gold Shares ETF
TLT iShares Barclays 20 Year Treasury Bond Fund
Pure Momentum
GLD SPDR Gold Shares ETF
EEM iShares MSCI Emerging Markets


The current portfolios are below:

Conservative Momentum

Position Shares Avg Purchase Price Purchase Date
GLD 34 126.47 6/30/2016
VNQ 49 83.67 5/31/2016
TLT 31 138.9 6/30/2016


Pure Momentum

Position Shares Purchase Price Purchase Date
GLD 27 118.64 2/29/2016
EEM 98 34.36 6/30/2016
VNQ 38 88.67 6/30/2016


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