Momentum Portfolio June 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.

After holding many of the same positions for much of the year the portfolios are diverging.  The Conservative Momentum portfolio has turnover in two positions.  EEM and VTI will be sold for gains of 7.7% and 9.86% , respectively, and replaced with RWX and PCY.

The Pure Momentum portfolio has turnover in one position.  VTI will be sold for a gain of 9.86% and replaced with GLD.

The current portfolios are below:

Conservative Momentum

Position Shares Avg Purchase Price Purchase Date Cost Basis Current Value Percentage Gain/Loss Excluding Dividends
RWX 115 39.49 6/1/2017 $4,541.35 $4,541.35 0.00%
EFA 70 58.09 1/3/2017 $4,066.30 $4,654.30 14.46%
PCY 153 29.62 6/1/2017 $4,531.86 $4,531.86 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 $3,523.97 17.08%
EEM 93 37.36 2/1/2017 $3,474.48 $3,864.15 11.22%
GLD 28 120.72 6/1/2017 $3,380.16 $3,380.16 0.00%

2 thoughts on “Momentum Portfolio June Update”

  1. Hi Scott, I was curious….do you have the results since 2011 of the momentum portfolio returns listed somewhere? Thanks, Bob

    1. Actually, I see the spreadsheets now…are the “all time” returns since 2011?? Bob

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