Ivy Portfolio March 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 February’s adjusted closing prices are below.    This month  BND and RWX are below their  10 month moving averages.

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:

Dual Momentum 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 here.

Below are the four portfolios along with current signals:

Return Data Provided by Finviz

The Dual ETF Momentum 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 – February 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 are then ranked on yield, P/E and 3 year dividend growth rate and assigned an overall rank.

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 25 stocks are below and displayed in order of their overall ranking (figures are from the end of January):

Name Symbol Yield P/E 3-yr
Target Corp. TGT 3.72 11.83 13.66
VF Corp. VFC 3.26 17.88 18.69
T. Rowe Price Group TROW 3.20 14.14 12.43
Helmerich & Payne Inc. HP 3.93 999.00 28.76
AT&T Inc. T 4.65 20.08 2.17
Consolidated Edison ED 3.71 18.36 2.90
Altria Group Inc. MO 3.43 26.76 8.59
Old Republic International ORI 3.61 13.00 1.37
Kimberly-Clark Corp. KMB 3.20 20.22 6.21
Coca-Cola Company KO 3.37 25.19 7.72
Eagle Financial Services EFSI 3.38 15.57 2.57
ExxonMobil Corp. XOM 3.58 39.20 6.60
Weyco Group Inc. WEYS 2.98 19.71 5.84
Archer Daniels Midland ADM 2.71 16.77 16.45
PepsiCo Inc. PEP 2.90 22.76 9.11
National Retail Properties NNN 4.17 40.00 3.62
Emerson Electric EMR 3.27 23.85 4.70
Wal-Mart Stores Inc. WMT 3.00 14.48 3.26
McDonald’s Corp. MCD 3.07 22.37 4.98
Johnson & Johnson JNJ 2.83 19.07 6.74
Computer Services Inc. CSVI 2.67 18.92 20.89
Vectren Corp. VVC 3.06 21.96 4.37
Cincinnati Financial CINF 2.83 18.14 4.97
Leggett & Platt Inc. LEG 2.85 18.35 4.10
Universal Health Realty Trust UHT 4.22 48.53 1.61

There is turnover in one position this month.  Universal (UVV) will be sold for a capital gain of 23.6% since its original purchase date of 10/6/2016.  Proceeds from the sale will be used to purchase Kimberly-Clark (KMB).

The current portfolio is below:

Position Shares Average Purchase Price Initial Purchase Date Cost Basis Current Value Percentage Gain/Loss Excluding Dividends
VFC 470 57.39 12/7/2016 $26,973.30 $23,199.20 -13.99%
ED 390 70.41 12/7/2016 $27,459.90 $28,977.00 5.52%
ORI 1145 16.22 4/4/2014 $18,571.90 $23,987.75 29.16%
KO 653 41.29 12/7/2016 $26,962.37 $27,138.68 0.65%
TGT 391 68.65 6/3/2016 $26,842.15 $24,797.22 -7.62%
MO 400 58.14 1/7/2016 $23,256.00 $28,516.00 22.62%
TROW 300 71.35 7/5/2016 $21,405.00 $20,199.00 -5.63%
HP 341 80.9 10/6/2014 $27,586.90 $23,535.82 -14.68%
KMB 240 121.24 2/6/2016 $29,097.60 $29,097.60 0.00%
T 650 38.13 3/7/2016 $24,784.50 $26,689.00 7.68%


The portfolio equity curve is below:

Momentum Portfolio February 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 ranked the same basket of ETFs based solely on price momentum.  Both strategies have undergone minor revisions over the years but the key elements remain.

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The strategies in their current form begin by screening a  basket of these 10 ETFs:

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 in the “Conservative Momentum” system are still ranked by 6 month total returns (weighted 34%), 3 month total returns (weighted 33%), and 3 month price volatility (weighted 33%). 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 is replaced.

Pure Momentum System

The pure momentum system previously ranked  ETFs based solely on 6 month price momentum.  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.  The portfolio and rankings are posted on the same spreadsheet as the Conservative Momentum strategy.

A free option for backtesting these strategies is available at Portfolio Visualizer.

The current top 3 ETFs are listed below, and for this month the only new position is EEM in the Pure Momentum system, replacing SHY:


Conservative Momentum
VTI Vanguard MSCI Total U.S. Stock Market
SHY iShares Barclays 1-3 Year Treasry Bnd Fd
Pure Momentum
EEM iShares MSCI Emerging Markets
VTI Vanguard MSCI Total U.S. Stock Market


The current portfolios are below:

Conservative Momentum

Position Shares Avg Purchase Price Purchase Date Cost Basis Current Value Percentage Gain/Loss Excluding Dividends
VTI 36 113.78 11/30/2016 $4,096.08 $4,228.20 3.23%
EFA 70 58.09 1/3/2017 $4,066.30 $4,190.90 3.06%
SHY 50 84.5 11/30/2016 $4,225.00 $4,223.00 -0.05%


Pure Momentum

Position Shares Purchase Price Purchase Date Cost Basis Current Value Percentage Gain/Loss Excluding Dividends
EFA 53 56.79 11/30/2016 $3,009.87 $3,173.11 5.42%
EEM 93 37.36 2/1/2017 $3,474.48 $3,474.48 0.00%
VTI 27 113.78 11/30/2016 $3,072.06 $3,171.15 3.23%