Dual Momentum December Update

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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”.

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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.

I also posted an updated test previously using Allocate Smartly here.

Below are the four portfolios along with current signals:

Return Data Provided by Quandl

Dividend Champion Portfolio December Update

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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 November, “999” indicates a N/A value):

Name Symbol Yield P/E 3-yr
Target Corp. TGT 4.14 12.58 13.7
Altria Group Inc. MO 3.89 8.48 8.6
Archer Daniels Midland ADM 3.21 18.72 16.4
AT&T Inc. T 5.39 17.49 2.2
Helmerich & Payne Inc. HP 4.78 999 28.8
Kimberly-Clark Corp. KMB 3.24 19.76 6.2
Weyco Group Inc. WEYS 3.12 17.63 5.8
ExxonMobil Corp. XOM 3.7 27.13 6.6
Old Republic International ORI 3.62 15.42 1.4
United Bankshares Inc. UBSI 3.62 19.76 1.8
Sonoco Products Co. SON 2.92 19.67 5.9
People’s United Financial PBCT 3.63 20.9 1.5
Black Hills Corp. BKH 3.25 22.25 3.4
Genuine Parts Co. GPC 2.9 20.85 6.4
Leggett & Platt Inc. LEG 2.99 19.53 4.1
National Retail Properties NNN 4.63 33.66 3.6
Computer Services Inc. CSVI 2.56 20.19 20.9
Coca-Cola Company KO 3.23 43.59 7.7
PepsiCo Inc. PEP 2.76 24.07 9.1
Universal Health Realty Trust UHT 3.53 23.1 1.6
Consolidated Edison ED 3.1 22.32 2.9
Procter & Gamble Co. PG 3.07 24.06 4.1
Eagle Financial Services EFSI 2.79 15.07 2.6
Federal Realty Inv. Trust FRT 3.03 42.11 8.6
National Fuel Gas NFG 2.82 17.82 2.6


As like last month, there is no turnover for December.

The current portfolio is below:


Position Shares Average Purchase Price Initial Purchase Date Cost Basis Current Value
PBCT 1758 17.86 7/7/2017 $31,397.88 $33,208.62
KMB 246 115.49 10/9/2017 $28,410.54 $29,460.96
ORI 1145 16.22 4/4/2014 $18,571.90 $23,850.35
ADM 762 41.95 6/6/2017 $31,965.90 $31,478.22
TGT 391 68.65 6/3/2016 $26,842.15 $23,886.19
MO 400 58.14 1/7/2016 $23,256.00 $28,600.00
SON 552 51.21 10/9/2017 $28,267.92 $30,222.00
HP 390 76.57 10/6/2014 $29,862.30 $22,311.90
WEYS 1088 27.81 3/7/2017 $30,257.28 $30,659.84
T 650 38.13 3/7/2016 $24,784.50 $23,510.50
Cash $11,641.83
Current Portfolio Value (excluding recent dividends): $288,830.41

Momentum Portfolio December Update

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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  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.

There is no turnover in either portfolio this month. The current portfolios are below:

Conservative Momentum

Position Shares Avg Purchase Price Purchase Date Cost Basis Current Value Percentage Gain/Loss Excluding Dividends
EEM 107 41.63 7/3/2017 $4,454.41 $4,932.70 10.74%
EFA 70 58.09 1/3/2017 $4,066.30 $4,907.70 20.69%
VTI 34 130.2 10/2/2017 $4,426.80 $4,635.56 4.72%


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 $3,715.83 23.45%
EEM 93 37.36 2/1/2017 $3,474.48 $4,287.30 23.39%
VTI 25 130.2 10/2/2017 $3,255.00 $3,408.50 4.72%