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 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.  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 February):

Name Symbol Yield P/E 3-yr
Target Corp. TGT 4.08 10.78 13.7
Altria Group Inc. MO 3.26 10.26 8.6
T. Rowe Price Group TROW 3.2 14.93 12.4
VF Corp. VFC 3.2 18.8 18.7
Helmerich & Payne Inc. HP 4.1 999 28.8
AT&T Inc. T 4.69 19.9 2.2
Consolidated Edison ED 3.58 18.7 2.9
Old Republic International ORI 3.67 12.94 1.4
Weyco Group Inc. WEYS 3.07 19.15 5.8
Eagle Financial Services EFSI 3.2 15.19 2.6
Coca-Cola Company KO 3.53 28.16 7.7
ExxonMobil Corp. XOM 3.69 43.26 6.6
National Retail Properties NNN 4.02 38.02 3.6
Universal Corp. UVV 3.19 19.12 2
Genuine Parts Co. GPC 2.82 20.85 6.4
Emerson Electric EMR 3.19 23.48 4.7
Kimberly-Clark Corp. KMB 2.93 22.13 6.2
Sonoco Products Co. SON 2.78 18.91 5.9
Archer Daniels Midland ADM 2.73 21.65 16.4
Vectren Corp. VVC 2.98 22.01 4.4
Wal-Mart Stores Inc. WMT 2.88 16.16 3.3
McDonald’s Corp. MCD 2.95 23.29 5
Mercury General Corp. MCY 4.25 44.42 0.4
Chevron Corp. CVX 3.84 999 3.2
Leggett & Platt Inc. LEG 2.77 18.77 4.1


There is turnover in one position this month. Kimberly-Clark (KMB) will be sold for a one month capital gain of 10.01% since its original purchase date of 2/6/2017.  Proceeds from the sale will be used to purchase Weyco Group Inc. (WEYS).

The current portfolio is below:

Position Initial Purchase Date Cost Basis Current Value Percentage Gain/Loss Excluding Dividends
VFC 12/7/2016 $26,973.30 $24,731.40 -8.31%
ED 12/7/2016 $27,459.90 $29,889.60 8.85%
ORI 4/4/2014 $18,571.90 $23,277.85 25.34%
KO 12/7/2016 $26,962.37 $27,419.47 1.70%
TGT 6/3/2016 $26,842.15 $21,559.74 -19.68%
MO 1/7/2016 $23,256.00 $30,440.00 30.89%
TROW 7/5/2016 $21,405.00 $21,270.00 -0.63%
HP 10/6/2014 $27,586.90 $23,314.17 -15.49%
WEYS 3/7/2017 $30,257.28 $30,257.28 0.00%
T 3/7/2016 $24,784.50 $27,222.00 9.83%


The portfolio equity curve is below:

Momentum Portfolio March 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 Conservative Momentum system, replacing SHY:


Conservative Momentum
VTI Vanguard MSCI Total U.S. Stock Market
EEM iShares MSCI Emerging Markets
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 $4,443.84 8.49%
EFA 70 58.09 1/3/2017 $4,066.30 $4,267.90 4.96%
EEM 110 38.58 3/1/2017 $4,243.80 $4,243.80 0.00%


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 $3,231.41 7.36%
EEM 93 37.36 2/1/2017 $3,474.48 $3,587.94 3.27%
VTI 27 113.78 11/30/2016 $3,072.06 $3,332.88 8.49%


Below are historical backtests of each strategy using Portfolio Visualizer starting with the conservative momentum strategy:

And the pure momentum strategy,