All posts by oyenscott

ETFReplay.com Portfolio May Update

The ETFReplay.com Portfolio holdings have been updated for April 2015.  I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility.

The portfolio begins with a static basket of 14 ETFs. These 14 ETFs are ranked by 6 month total returns (weighted 40%), 3 month total returns (weighted 30%), and 3 month price volatility (weighted 30%). The top 4 are purchased  at the beginning of each month. When a holding drops out of the top 5 ETFs it will be sold and replaced with the next highest ranked ETF.

The 14 ETFs are listed below:

Symbol Name
RWX SPDR DJ International Real Estate
PCY PowerShares Emerging Mkts Bond
WIP SPDR Int’l Govt Infl-Protect Bond
EFA iShares MSCI EAFE
HYG iShares iBoxx High-Yield Corp Bond
EEM iShares MSCI Emerging Markets
LQD iShares iBoxx Invest Grade Bond
VNQ Vanguard MSCI U.S. REIT
TIP iShares Barclays TIPS
VTI Vanguard MSCI Total U.S. Stock Market
DBC PowerShares DB Commodity Index
GLD SPDR Gold Shares
TLT iShares Barclays Long-Term Trsry
SHY iShares Barclays 1-3 Year Treasry Bnd Fd

 

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

In addition, ETFs must be ranked above the cash-like ETF (SHY) in order to be included in the portfolio, similar to the absolute momentum strategy I profiled here. This modification could help reduce drawdowns during periods of high volatility and/or negative market conditions (see 2008-2009), but it could also reduce total returns by allocating to cash in lieu of an asset class.

There is turnover in 3 of the 4 holdings in the 6/3/3 portfolio.  The top 5 ranked ETFs based on the 6/3/3 system as of 4/30/15 are below:

6mo/3mo/3mo
EFA iShares MSCI EAFE
VTI Vanguard Total U.S. Stock Market
RWX SPDR DJ International Real Estate
HYG iShares iBoxx High-Yield Corp Bond (4-5yr)
EEM iShares MSCI Emerging Markets

 

The strategy is rotating out of bond ETFs (TLT) and (LQD), holdings since August and September 2014, respectively.  In addition, the strategy is selling (VNQ), a holdindg since the beginning of the year.  The three new additions are (VTI) , (EFA) , and (HYG).

In 2014 I introduced a pure momentum system, which ranks the same basket of 14 ETFs based solely on 6 month price momentum. There is no cash filter in the pure momentum system, volatility ranking, or requirement to limit turnover – the top 4 ETFs based on price momentum are purchased each month. The portfolio and rankings are posted on the same spreadsheet as the 6/3/3 strategy.

The top 4 six month momentum ETFs are below:

6 month Momentum
TLT iShares Barclays Long-Term Trsry
EFA iShares MSCI EAFE
VTI Vanguard Total U.S. Stock Market
RWX SPDR DJ International Real Estate

 

(VNQ), a holding since Feburary 2014 will be sold for a 12%+ gain and replaced by (EFA).

The updated holdings for each portfolio are below:

6/3/3 strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value
EFA 47 66.51 4/30/2015 $3,125.97 $3,125.97
VTI 29 107.91 4/30/2015 $3,129.39 $3,129.39
HYG 35 90.99 4/30/2015 $3,184.65 $3,184.65
RWX 78 43.99 4/2/2015 $3,431.22 $3,457.74

 

Pure Momentum strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value
TLT 20 116.27 9/30/2014 $2,325.40 $2,519.00
RWX 64 43.99 4/2/2015 $2,815.36 $2,837.12
VTI 22 101.24 9/30/2014 $2,227.28 $2,374.02
EFA 39 66.51 4/30/2015 $2,593.89 $2,593.89

Ivy Portfolio May Update

Scott’s Investments provides a daily Ivy Portfolio spreadsheet to 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 tracks 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’s 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 leisure.

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.

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

The current signals based on April’s adjusted closing prices are below.  Only (DBC) and (GSG) are below their 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:

Ivy

 

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:

Comm1comm2

 

Friday Reads

Below is my Friday investment reading list:

April/May Safe Haven Play – It Is That Time Again!

If US Stocks Are Expensive, How Do I Protect Myself? Mebane Faber

Imagine: Brokers Who Work for Investors – Barry Ritholtz

Not-So-Great Expectations: Why Real Interest Rates Won’t Soar – Research Affiliates

Lumber, Gold, and Volatility in Equities – Pension Partners

Does Smart Beta = Smart Asset Allocation? The Capital Spectator

Understanding Dual, Relative, and Absolute Momentum – Dual Momentum

Human Innovation is Winning the Race Against Scarce Resources – Pragmatic Capitalism

Looking Back at Risk Parity’s Golden Age – Econompic Data

The “Impossible Trade” is working – The Reformed Broker

From Alpha Architect:

Tactical Asset Allocation with Market Valuations: Magic of Myth?
Tactical Asset Allocation and Low Volatility Stocks
Attention Value Investors: How to Predict Accounting Trickery
Are Value Investing and Momentum Investing Robust Anomalies?
Momentum Investing: A Simple Bond Momentum Strategy

From ETF.com:

Swedroe: ‘The One-Page Financial Plan’
Swedroe: Carry & Trend Effects Up Close

More on this topic (What's this?)
Optimizing Your Asset Allocation
2014-Q4 Performance Review
Read more on Asset Allocation at Wikinvest

Graham Value Portfolio Update

In January 2012 I announced a new portfolio, a Benjamin Graham “inspired” value stock portfolio.  The Graham portfolio is an attempt to add a value strategy to Scott’s Investments, which is otherwise focused on momentum, trend, income and market timing strategies. The portfolio tracks returns for a portfolio of 15 stocks selected based on a variety of valuation metrics.

The criteria used to select the stocks are listed below.  The tool used to perform the screen and backtests are courtesy of  Portfolio123 (“P123″).

The actual screen factors are below:

  • Liquidity filter: No OTC Stocks
  • Market capitalization > $100 million
  • Eliminate companies classified in the Miscellaneous Financial Services Industry, most of which are investment companies and funds and not the kind of stocks this all-star tended to seek
  • Current ratio must be at least 1.5
  • Long-term debt must be no higher than 10% above working capital
  • EPS must be above breakeven in each of the last four quarters and in each of the last five annual periods
  • Trailing 12 month EPS most be above EPS in the latest annual period
  • EPS in the latest annual period must be above EPS in the prior year and five years ago
  • The company must have paid common dividends in the last 12 months

The ranking system used as a basis for selecting the top 15 based among those stocks that pass the Graham screen are below:

  • Valuation – 60% of total
  • Trailing 12 month P/E (15% of this category)
  • Price-to-Book (15% of this category)
  • Price-to-Tangible Book Value (35% of this category)
  • Operating P/E, defined as Market Capitalization divided by Business Income, which is Sales minus Cost of Goods sold minus Selling, General & Administrative Expense and omits unusual items (35% of this category)
  • Earnings – 40% of total
  • 5-year EPS Growth Rate (50% of this category)
  • EPS Stability, defined as the standard deviation of EPS over the past 16 quarters, lower being better (50% of this category)

Stocks are sold when they drop below the 75th percentile ranking based on the ranking system above. Improvements in the screening and testing platform (via Portfolio123) allows a change in the sell/turnover rule from previous updates.

I began tracking this portfolio real-time on January 13th, 2012. As of April 16, 2015 it is up over 58%. A real-world application of this portfolio could also utilize stop losses in order to prevent large drawdowns in single positions. However, for the purposes of tracking the portfolio results, all positions are bought and held until rebalancing.

Below is a 14+ year backtest results for this screen  using a quarterly rebalance, assume the next day’s opening price as the execution price, and .50% slippage to help account for bid/ask spreads. Backtests include the 75th percentile sell rule (stocks will only be sold when they drop below the 75th percentile ranking):

(test data courtesy of Portfolio123)

Graham Graham2

The current holdings including stocks being sold 4/16/15 are listed below:

 

Current Positions Symbol Name Purchase Price Purchase Date Unadjusted Percentage Gain/Loss
Sell BGFV Big 5 Sporting Goods Corp 15.32 4/15/2014 -17.82%
Sell BWC The Babcock & Wilcox Company 33.85 4/15/2014 -4.70%
hold HFC HollyFrontier Corp 45.9 4/15/2013 -17.39%
Sell ALG Alamo Group 39.72 10/15/2014 55.59%
hold CLMS Calamos Asset Management Inc. 12.67 4/15/2014 -1.74%
Sell CSH Cash America International 47.35 4/15/2014 -44.08%
Sell CTCM CTC Media, Inc 9.26 4/15/2014 -51.19%
hold AVT Avnet 41.69 1/16/2015 7.65%
hold JST Jinpan International 7.77 1/15/2014 -46.07%
Sell FF FutureFuel 11.79 1/16/2015 -8.91%
hold GPRE Green Plains 21.39 1/16/2015 40.91%
hold RCKY Rocky Brands 15.37 1/15/2014 43.98%
Sell SCVL Shoe Carnival Inc. 24.82 1/15/2014 13.94%
Sell DDS Dillard’s Inc. 91.08 4/15/2014 51.77%
Sell KALU Kaiser Aluminum Corporation 73.01 4/15/2014 5.66%

The new portfolio, including stocks purchased 4/16/15, is listed below:

 

Current Positions Symbol Name Purchase Price Purchase Date
INTC Intel Corporation 32.87 4/16/2015
MLR Miller Industries Inc 24.87 4/16/2015
hold HFC HollyFrontier Corp 45.9 4/15/2013
NOV National Oilwell Varco, Inc 55.3 4/16/2015
hold CLMS Calamos Asset Management Inc. 12.67 4/15/2014
HOFT Hooker Furniture Corp 23.81 4/16/2015
HY Hyster-Yale Materials Handling, Inc 74.8 4/16/2015
hold AVT Avnet 41.69 1/16/2015
hold JST Jinpan International 7.77 1/15/2014
HAL Halliburton Company 47.83 4/16/2015
hold GPRE Green Plains 21.39 1/16/2015
hold RCKY Rocky Brands 15.37 1/15/2014
RES RPC Inc. 15.75 4/16/2015
RS Reliance Steel & Aluminum Co. 57.74 4/16/2015
VLO Valero Energy Corporation 58.26 4/16/2015

Weekend Reads

Below is a long-overdue reading list, which explains the length of the list.  Some of the articles are a few weeks old but still worth the read:

Logical 4 Month Market Forecast – Gold, Oil, Stocks & Bonds

Ray Dalio: Open-Mindedness And The Power of Not Knowing – Farnam Street

PIMCO Touts Carry and Trend Across Asset Classes – DailyAlts

How to Combine Value and Momentum Investing Strategies – Alpha Architect

Investing in High Dividend Yield Stocks: a Sucker Bet? Alpha Architect

Absolute Momentum and Stock Momentum Strategies: Friends, not enemies – Alpha Architect

Woe Betide the Value Investor – Research Affiliates

A New-and-Improved Shiller CAPE: Solving the Dividend Payout Ratio Problem – Philosophical Economics

Sharpe Ratio: the Black Sheep of Risk Analysis – Attain Capital

Sustainable Momentum Investing: Doing Well By Doing Good – Dual Momentum

A Historical Look at a 50/50 Portfolio – A Wealth of Common Sense

Should You Be Mostly Cash Like Mohamed El-Erian? Pragmatic Capitalism

Monitoring Bubble Risk In The US Stock Market – The Capital Spectator

3 secrets from the Book of (Trend Following) Revelations – Humble Student of the Markets

Average Returns Are Exceedingly Rare – The Big Picture

Common Sense Security for Your Portfolio Assets – The Big Picture

How to Find Those Costly Hidden Investment Fees – Pragmatic Capitalism

More on this topic (What's this?) Read more on How To Invest at Wikinvest

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 has a new book out, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. If you want to see how he applies Dual Momentum to a portfolio strategy I encourage you to read the book.

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 the 2013 Year in Review and the January 2015 Update.

Below are the four portfolios along with current signals:

Dual Momo

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.

More on this topic (What's this?)
How to Spot a Genuine Momentum Stock
More Sales Momentum For euNetworks in Q2
Infinera Maintained Its Momentum Through Q2
Read more on Momentum at Wikinvest

Dividend Champion Portfolio April 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 from the Dividend Champion list are then ranked on yield, payout ratio, P/E, and 3 year dividend growth rate.

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 15 stocks  are below and displayed in order of their overall ranking (figures are March month-end):

Name Symbol Yield Payout P/E 3-yr
Helmerich & Payne Inc. HP 4.04 40.92 10.13 116.13
Chevron Corp. CVX 4.08 42.25 10.36 10.86
ExxonMobil Corp. XOM 3.25 36.36 11.20 13.43
Old Republic International ORI 4.95 51.75 10.45 1.41
Community Trust Banc. CTBI 3.62 48.19 13.32 1.60
Eagle Financial Services EFSI 3.27 38.65 11.84 2.26
Tompkins Financial Corp. TMP 3.12 48.55 15.56 4.99
Universal Corp. UVV 4.41 65.62 14.88 2.04
Universal Health Realty Trust UHT 4.52 63.82 14.13 1.29
Cincinnati Financial CINF 3.45 57.86 16.75 2.78
Emerson Electric EMR 3.32 59.68 17.97 7.04
Questar Corp. STR 3.52 65.12 18.50 6.55
T. Rowe Price Group TROW 2.57 46.74 18.20 12.38
Johnson & Johnson JNJ 2.78 49.12 17.65 7.05
Altria Group Inc. MO 4.16 81.25 19.54 8.14

EFSI is not eligible for purchase due to its low liquidity.

There is turnover in two positions for April. Consolidate Edison (ED) , a holding for one month, was sold for a capital gain of 1.03%.  AFLAC (AFL) , a holding since January, was sold for a capital gain of 9.57%.

The proceeds were used to purchase Universal (UVV) and Universal Health Realty Trust (UHT).

The current portfolio is below:

 

Position Average Purchase Price Initial Purchase Date Percentage Gain/Loss Excluding Dividends
CVX 108.06 12/6/2012 -1.30%
CINF 52.47 3/6/2015 2.38%
ORI 16.22 4/4/2014 -7.15%
UVV 47.3 4/8/2015 0.00%
TMP 44.46 8/6/2014 21.41%
CTBI 36.55 5/5/2014 -10.40%
XOM 89.01 4/5/2013 -5.56%
HP 90.57 10/6/2014 -21.30%
STR 22.8 3/6/2015 3.86%
UHT 55.27 4/8/2015 0.00%

I also have  a second portfolio using similar metrics as the High Yield Dividend Champion portfolio. The primary difference is it only requires 10 years of dividend increases and it also hedges the portfolio during unfavorable market conditions. Hedging requires margin, but the portfolio can also be implemented without the hedge. The portfolio is available on Portfolio123 and backtested results were posted in the June update.

ETFReplay.com April Update

The ETFReplay.com Portfolio holdings have been updated for April 2015.  I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility.

The portfolio begins with a static basket of 14 ETFs. These 14 ETFs are ranked by 6 month total returns (weighted 40%), 3 month total returns (weighted 30%), and 3 month price volatility (weighted 30%). The top 4 are purchased  at the beginning of each month. When a holding drops out of the top 5 ETFs it will be sold and replaced with the next highest ranked ETF.

The 14 ETFs are listed below:

Symbol Name
RWX SPDR DJ International Real Estate
PCY PowerShares Emerging Mkts Bond
WIP SPDR Int’l Govt Infl-Protect Bond
EFA iShares MSCI EAFE
HYG iShares iBoxx High-Yield Corp Bond
EEM iShares MSCI Emerging Markets
LQD iShares iBoxx Invest Grade Bond
VNQ Vanguard MSCI U.S. REIT
TIP iShares Barclays TIPS
VTI Vanguard MSCI Total U.S. Stock Market
DBC PowerShares DB Commodity Index
GLD SPDR Gold Shares
TLT iShares Barclays Long-Term Trsry
SHY iShares Barclays 1-3 Year Treasry Bnd Fd

 

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

In addition, ETFs must be ranked above the cash-like ETF (SHY) in order to be included in the portfolio, similar to the absolute momentum strategy I profiled here. This modification could help reduce drawdowns during periods of high volatility and/or negative market conditions (see 2008-2009), but it could also reduce total returns by allocating to cash in lieu of an asset class.

The top 5 ranked ETFs based on the 6/3/3 system as of 4/2/15 are below:

6mo/3mo/3mo
RWX SPDR DJ International Real Estate
VNQ Vanguard MSCI U.S. REIT
LQD iShares iBoxx Invest Grade Bond
EFA iShares MSCI EAFE
TLT iShares Barclays Long-Term Trsry

 

(SHY) had been a holding since December 2014 but since it is no longer in the top 5 it will be replaced by the highest rated ETF, (RWX) .

In 2014 I introduced a pure momentum system, which ranks the same basket of 14 ETFs based solely on 6 month price momentum. There is no cash filter in the pure momentum system, volatility ranking, or requirement to limit turnover – the top 4 ETFs based on price momentum are purchased each month. The portfolio and rankings are posted on the same spreadsheet as the 6/3/3 strategy.

The top 4 six month momentum ETFs are below:

6 month Momentum
VNQ Vanguard MSCI U.S. REIT
TLT iShares Barclays Long-Term Trsry
VTI Vanguard Total U.S. Stock Market
RWX SPDR DJ International Real Estate

 

(LQD) was a holding since January 2015 and since it is no longer in the top 4 it will be sold for a gain of 1.78% and  replaced by the next highest rated ETF, (RWX).

The updated holdings for each portfolio are below:

6/3/3 strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value Gain/Loss Excluding Dividends Percentage Gain/Loss Excluding Dividends
TLT 25 119.05 8/29/2014 $2,976.25 $3,268.25 $292.00 9.81%
VNQ 40 81 12/31/2014 $3,240.00 $3,393.20 $153.20 4.73%
LQD 26 118.22 9/30/2014 $3,073.72 $3,159.78 $86.06 2.80%
RWX 78 43.99 4/2/2015 $3,431.22 $3,432.78 $1.56 0.05%

 

Pure Momentum strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value Gain/Loss Excluding Dividends Percentage Gain/Loss Excluding Dividends
TLT 20 116.27 9/30/2014 $2,325.40 $2,614.60 $289.20 12.44%
RWX 64 43.99 4/2/2015 $2,815.36 $2,816.64 $1.28 0.05%
VTI 22 101.24 9/30/2014 $2,227.28 $2,362.58 $135.30 6.07%
VNQ 33 70.73 2/28/2014 $2,334.09 $2,799.39 $465.30 19.93%

Ivy Portfolio April Update

My apologies for the delay in posting the end of month updates – travel plans made it difficult to post.  However, this delay highlights the benefit of the spreadsheets provided on Scott’s Investments  – the sheets auto update daily so you, the reader, is not dependent on my posts to deliver timely information.

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 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’s 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 leisure.

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.

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

The current signals based on April 2nd’s adjusted closing prices are below.  Last month (DBC) (GSG) and (VWO) were below their moving averages.  As of the close April 2nd, (DBC) and (GSG) are below their 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:

Ivy5

 

ivy10

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:

free1 free2

Weekend Reads

Below is my weekend investment reading list:

What a Great Time To Be An Investor! Meb Faber

Diversification Means Always Having to Say You’re Sorry – The Investor’s Paradox

This is an Investor’s Worst Nightmare – The Irrevelevant Investor

THE NEXT FINANCIAL CRISIS – Part I

On Schwab’s Intelligent Portfolio launch from the NY Times, ETF.com,  The Reformed Broker, and Pragmatic Capitalism

Bridgewater’s Ray Dalio Explains the Power of Not Knowing in Institutional Investor

From Millennial Invest: Does Value Still Work? and The Grandpa vs Millennial Portfolio

Vanguard Inches Its Way Into the Liquid Alts Market – DailyAlts

Can a Quant Model Be Trusted? Systematic Relative Strength

Bernard Baruch’s 10 Rules of Investing – The Reformed Broker

Which Value Investing Metrics Should You Trust? Alpha Architect