Tag Archives: dbc

Ivy Portfolio July 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 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 June 30th’s adjusted closing prices are below.   As of the close May 29, (DBC) (GSG) (VNQ) and (TIP) were below their 10 month moving average.  This month those 4 ETFs remain below their moving average. In addition, (BND) (RWX) (TIP) and (VWO) are now also 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:

Ivy10

Ivy5

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:

Commfree1 Commfree2

All-Season ETF Portfolio: Minimum Correlation Allocation

In January I launched an “All-Season ETF Portfolio”. The portfolio began with a static allocation based on a simplistic and unleveraged interpretation of Ray Dalio and Bridgwater Associates “All-Weather” investment strategy. The proposed static allocation is below:

Name Symbol Static Allocation
Vanguard Total Stock Market VTI 18.75%
 PowerShares DB Commodity Index Tracking Fund DBC 7.25%
SPDR Gold Trust GLD 7.25%
 iShares iBoxx $ High Yield Corporate Bond Fund HYG 6.50%
iShares Emerging Markets USD Bond ETF EMB 14.50%
iShares Barclays TIPS Bond Fund TIP 20.75%
iShares Barclays 20+ Year Treasury Bond ETF TLT 12.50%
iShares Barclays Aggregate Bond Fund AGG 12.50%

The proposed allocation is not intended as a one-size-fits-all allocation model, but it does serve as a framework for further study and is based on having allocation to the four different market environments espoused by Bridgewater (full paper here):

I backtested the static allocation using ETFReplay.com – it outperformed the Vanguard 60-40 (VBINX) mutual fund since 2008 on both a total and risk-adjusted basis. The All-Season portfolio has a sharpe ratio of .67 and max drawdown of -21.5% versus a sharpe of.25 and max drawdown of -34.4% for VBINX. Positions were rebalanced annually:

Last week I introduced a basic risk-parity allocation tool for the All-Season ETF portfolio. The risk parity allocation uses the trailing 20-day volatility of the adjusted closing prices of each ETF to calculate a risk-based allocation. The risk parity allocation as of Friday’s close is below:

Name Symbol Risk Parity Weighting (unleveraged)
Vanguard Total Stock Market VTI 5.17%
 PowerShares DB Commodity Index Tracking Fund DBC 7.22%
SPDR Gold Trust GLD 4.32%
 iShares iBoxx $ High Yield Corporate Bond Fund HYG 22.44%
iShares Emerging Markets USD Bond ETF EMB 12.57%
iShares Barclays TIPS Bond Fund TIP 15.62%
iShares Barclays 20+ Year Treasury Bond ETF TLT 5.41%
iShares Barclays Aggregate Bond Fund AGG 27.25%

The All-Season ETF portfolio risk-parity allocation has performed relatively well since 2008, also outperforming VBINX by a wide margin. Risk-parity posted a sharpe ratio of .82 and max drawdown of -16.8%. Positions were rebalanced quarterly:

When researching the All-Weather portfolio I came across David Varadi’s work at CSS Analytics. Varadi, along with Michael Kapler, Corey Rittenhouse, and Henry Bee,  published a paper in September 2012, “The Minimum Correlation Algorithm: A Practical Diversification Tool”.  In the paper they introduce two heuristic algorithms for effective portfolio diversification and passive investment management, which they conclude “is an excellent alternative to Risk Parity, Minimum Variance and Maximum Diversification.”

Their algorithm, in my own words, is an alternative asset allocation model which makes intuitive sense. It uses both the historical volatility and correlation of securities in a portfolio to determine asset allocation. Securities with low correlations and volatility relative to the other securities in the portfolio receive higher weightings. The result is a portfolio allocation which changes over time to reflect the evolving volatility and correlations of the securities in the portfolio.

I was happily surprised to discover David freely provides a downloadable “Mincorr spreadsheet” on his site. The spreadsheet uses the algorithms presented in the paper and allows users to calculate their own minimum correlation allocations.

50 Top Stocks

After downloading the spreadsheet from CSS Analytics, I tweaked it to incorporate eight securities (this took a little more time than anticipated). I then created a template to download daily price data to calculate trailing correlations and volatility for the eight securities in the All-Season portfolio (this took a lot more time than anticipated). Finally, I used the Mincorr spreadsheet framework to calculate a daily “minimum correlation” allocation for the eight securities in the All-Season ETF portfolio and I provide the results on the All-Season ETF spreadsheet.

Backtesting this strategy is more difficult than a simple risk-parity or static asset allocation model. The most comprehensive tests are available in the The Minimum Correlation Algorithm paper, which has tests dating to 1980 for a variety of portfolios. The authors of the paper were kind enough to help me run some tests for the All-Season ETF portfolio. The tests are available in the pdf here: minn corr backtests, with tests being run from December 2007 – February 2013. The “min.corr.excel” results used a formula close to the calculation on my All-Season spreadsheet.

The current Minimum Correlation allocations are below:

Name Symbol Minimum Correlation Weightings
Vanguard Total Stock Market VTI 6.71%
 PowerShares DB Commodity Index Tracking Fund DBC 8.86%
SPDR Gold Trust GLD 3.37%
 iShares iBoxx $ High Yield Corporate Bond Fund HYG 29.37%
iShares Emerging Markets USD Bond ETF EMB 9.76%
iShares Barclays TIPS Bond Fund TIP 14.01%
iShares Barclays 20+ Year Treasury Bond ETF TLT 4.71%
iShares Barclays Aggregate Bond Fund AGG 23.21%

Note: my minimum correlation formula differs slightly from the method in the The Minimum Correlation Algorithm in that I use a 20-day historical volatility & correlation versus the 60-day range used in the paper. Using a shorter time period allows the spreadsheet to load quicker, but I may change the 20-day look-back period in the future.

Any errors or omissions in my Min Corr calculation are my own. I have done my best to review and scrub the data, but I make no warranties. As my programming knowledge evolves I hope to post additional minimum correlation backtests.

Past performance is no guarantee of future results. To learn more about the Minimum Correlation algorithm please take a few minutes to visit CSS Analytics.

If you enjoy these free tools, please consider making a donation on the home page of Scott’s Investments using the Paypal link in the upper-right corner!

More on this topic (What's this?) Read more on Barclays at Wikinvest

All-Season Portfolio: Risk Parity Allocation

Earlier this year I launched an “All-Season” ETF Portfolio. The initial launch of the portfolio provided a static allocation to 8 ETFs.  I have added two dynamic allocations to the All-Season portfolio spreadsheet.

The first is an unleveraged risk-parity asset allocation. The allocations for each ETF are updated daily based on the trailing 20-day volatility of each ETF as calculated using adjusted closing prices. The allocation to each ETF is calculated by taking the inverse of its trailing 20-day volatility and then calculating the percent each ETF contributes to the sum of all the inverse volatilities (for an example of the calculation please visit the spreadsheet). Bottom line: the lower trailing volatility an ETF has relative to the other ETFs in the portfolio, the higher its allocation.

The allocations as of last Friday’s close are below. The 20-day volatility is listed along with the static allocation I proposed in January. While the allocations update daily, I do not personally check the allocations daily nor do I endorse checking allocations daily. The spreadsheet and calculations were created to allow for maximum flexibility; hence, the daily updates:

 

Name Symbol Original Static Allocation Historic 20-Day Volatility of ETF Risk Parity Weighting
Vanguard Total Stock Market VTI 18.75% 12.85% 5.11%
 PowerShares DB Commodity Index Tracking Fund DBC 7.25% 7.01% 9.38%
SPDR Gold Trust GLD 7.25% 14.23% 4.62%
 iShares iBoxx $ High Yield Corporate Bond Fund HYG 6.50% 3.60% 18.27%
iShares Emerging Markets USD Bond ETF EMB 14.50% 4.44% 14.80%
iShares Barclays TIPS Bond Fund TIP 20.75% 4.51% 14.57%
iShares Barclays 20+ Year Treasury Bond ETF TLT 12.50% 12.42% 5.29%
iShares Barclays Aggregate Bond Fund AGG 12.50% 2.35% 27.96%

Stay tuned this week for details on the second dynamic allocation tool, the “minimum correlation” weightings!

If you enjoy these free tools, please consider making a donation on the home page of Scott’s Investments using the Paypal link in the upper-right corner!

Ivy Portfolio – March Update

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the 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. 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.

Top 50 Trending Stocks

The current signals based on February 28th closing prices are below.  Real estate and equities are leading while bonds and commodities are lagging and trading below their 10 month moving average.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

As an added bonus I created a “Commission-Free” Ivy Portfolio spreadsheet. This document tracks the 10 month moving averages for three different portfolios designed for TD Ameritrade, Fidelity, 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 for the commission-free portfolios:

If you enjoy these tools, please consider making a donation on the home page of Scott’s Investments using the Paypal link in the upper-right corner!

Ivy Portfolio Month-End Update

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the 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 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. It simply gives the spreadsheet more versatility for user’s to check at their 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.

Top 50 Trending Stocks

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site but do periodically backtest the strategy. For the most recent test results, please view December’s update.

The current signals based on January 31st closing prices are below.  International and domestic equities are leading, while bonds are lagging and trading below their 10 month moving average.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

 

Ivy Portfolio Update

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the 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.

This month’s update is a trading day early (markets will be open on the 31st) than a typical end of month update.  It also comes at a time when the long-term moving average strategy has struggled and is under scrutiny. John Hussman notes that since 2009 the S&P 500 Index has actually performed better when below its 200 day moving average than when it has been above the 200 day moving average.  He also notes the recent performance is contrary to the longer-term success of a moving average strategy:

“…since 2010, the S&P 500 has gained just 1.5% annually when it has been above its 200-day moving average, versus a striking 46.3% annual return when it has been below. Needless to say, this pattern is not necessarily indicative of how the S&P 500 will behave in the future, and is in fact contrary to the historical pattern”

Hussman focuses on one index, the S&P 500. With hundreds of markets to trade, some will follow the historical trend while others, like the S&P 500 may buck the trend for months, years, or perhaps forever. The key is not to focus or trade one market with one strategy – the S&P 500 is not the market but rather one index among many, and its asset class (US equities) one among many.

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 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. It simply gives the spreadsheet more versatility for user’s to check at their leisure.

Now you can follow me on Stocktwits and Twitter!

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.

MarketClub Holiday Special

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site but do periodically backtest the strategy. For the most recent test results, please view last month’s update.

The current signals based on November 30th’s closing prices are below.  International equities and international real estate are the strongest sector in terms of their percent above their 10 month moving average.  Commodities and US REITs are the weakest sectors.

The first table is based on adjusted historical data and the second table is based on unadjusted price data:

Portfolio Updates & Weekend Readings

For November there was no change in the US Sector Momentum portfolio – it continues to hold Health Care Select Sector SPDR (XLV).

The Basic ETF Portfolio sold PowerShares DB Commodity Index Tracking (DBC) and purchased Vanguard FTSE All-World ex-US ETF (VEU). You will remember last month that DBC and VEU were virtually tied based on momentum.

I will be sitting quietly in a deer stand this weekend so there will be no further commentary on the two portfolios above.

Below are some articles for the weekend:

Distinction Without a Difference – John Hussman

The Quest for Certainty (pdf) – John Mauldin

 Regression to Trend – Doug Short

Is the Stock Market Cheap? Doug Short

Improving on Risk Parity – The Idea Farm

Time to Vote! Bill Gross

ETFReplay.com Portfolio for October

This month’s ETFReplay.com Relative Strength ETF Portfolio has been updated at Scott’s Investments and includes turnover in three out of four positions.

I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility.   I select only the top ETFs out of a static basket of 25 ETFs and re-balance the portfolio monthly.

The buy/sell strategy for the portfolio is simple: purchase the top  ETFs based on a combination of their 6 month returns, 3 month returns, and 3 month volatility (lower volatility receives a higher ranking) and the average of  the 3 month return, 20 day return, and 20 day volatility.  I refer to these two different sets as “6/3/3″ and “3/20/20″.  The top 2 ETFs in the 6/3/3 ranking and top 2 in the 3/20/20 ranking are purchased each month.  When there are duplicates in the top 2, I look to the third ranked ETF in the 3/20/20 and, if necessary, the third ranked ETF in the 6/3/3.  The strategy always holds 4 ETFs.

I track this strategy as a public portfolio on Scott’s Investments.  As of the close September 28th the hypothetical portfolio was up 13.13%, since inception on January 1st, 2011. Returns include dividends but exclude commissions and taxes and all trades are hypothetical so real results will differ.  For some backtests on these strategies please see a recent post here.

For September 28th the strategy sold its positions in Vanguard MSCI U.S. REIT (VNQ) at a loss of 2.64%,Vanguard MSCI U.S. SmallCap Value (VBR) at a gain of 2.83%  and PowerShares DB Commodity Index (DBC) at a loss of .38% (individual ETF returns exclude dividends).

Proceeds were used to purchase iShares iBoxx Invest Grade Bond (LQD), SPDR Gold Shares (GLD), and iShares MSCI EAFE Small Cap Index (SCZ). The portfolio also continues to hold its position in the PowerShares Emerging Markets Bond (PCY) . 

Top 50 Trending Stocks

Minor fluctuations in rankings may not always justify selling positions each month. For example, if one ETF drops from the second highest rated to the third or fourth highest rated, it may not warrant selling the position. An investor could only sell a position when it drops out of the top 4 or 5 at the end of the month. This type of modification could be used when someone is looking to limit turnover; however, I think it is important to have whatever rule you prefer to use in place prior to making the investment decision in order to avoid discretionary or emotional decision making.
Below are the top 6 ranked ETFs for this month, using both the 6/3/3 and 3/20/20 strategy:
6mo/3mo/3mo
PCY PowerShares Emerging Mkts Bond
LQD iShares iBoxx Invest Grade Bond
GLD SPDR Gold Shares
RWX SPDR DJ International Real Estate
PFF iShares S&P US Preferred Stock Index
IEF iShares Barclays 7-10 Yr Treasury

3mo/20day/20day
PCY PowerShares Emerging Mkts Bond
GLD SPDR Gold Shares
SCZ iShares MSCI EAFE Small Cap Index
XLE U.S. Energy Sector SPDR
DBB PowerShares DB Base Metals
RWX SPDR DJ International Real Estate

Below is a performance graph of the portfolio (green) versus SPY (SPDR S&P 500 ETF) and AOR (S&P Growth Allocation) from the portfolio’s inception until September 28th, 2012. Total returns are similar but a significant drawdown was avoided in 2011:

Basic & Sector ETF Portfolios for October

The US Sector and Basic ETF Portfolios have been updated for October. Both portfolios have no turnover from last month, below is a brief review:

US Sector Momentum – The US Sector Momentum Portfolio continues to hold  Health Care Select Sector SPDR (XLV) based on 6-month price momentum.

Year-to-date the strategy is up 3.77%.  For background on this strategy click here.

The table below shows various momentum metrics for sector ETFs:

Symbol Name Quarterly 6 Month Year Average 200 Day SMA
XLB Materials Select Sector SPDR 4.81% 0.60% 23.32% 9.58% 4.04%
XLE Energy Select Sector SPDR 11.15% 3.30% 23.96% 12.80% 5.78%
XLF Financial Select Sector SPDR 6.93% -0.45% 29.70% 12.06% 7.21%
XLI Industrial Select Sector SPDR 3.08% -1.27% 23.58% 8.46% 2.62%
XLK Technology Select Sector SPDR 7.74% 3.02% 29.30% 13.35% 8.09%
XLP Consumer Staples Select Sector SPDR 3.75% 6.59% 22.94% 11.09% 6.73%
XLU Utilities Select Sector SPDR -0.57% 5.94% 10.41% 5.26% 3.20%
XLV Health Care Select Sector SPDR 6.08% 7.79% 27.49% 13.79% 9.29%
XLY Consumer Discret Select Sector SPDR 7.24% 4.51% 32.47% 14.74% 8.28%

Basic ETF Portfolio – The Basic ETF Portfolio went several months without turnover, holding  Vanguard Total Stock Market ETF (VTI), Vanguard REIT Index ETF (VNQ), and Vanguard Total Bond Market ETF (BND) until las month. However, for September the strategy rules called for a sale of BND at a gain of 1.5% (excluding dividends). The proceeds were used to purchase 119 shares of DBC which based on the portfolio’s momentum rules is tied with VEU for third place this month. The tie will be granted to the existing position, thus, there is no turnover this month.

Below is a table showing the various momentum metrics for the five available ETFs in the Basic Portfolio.  For strategy background, click here.

Symbol Name Quarterly Half Year Year Average 200 Day SMA
BND Vanguard Total Bond Market ETF 1.57% 3.73% 4.81% 3.37% 2.31%
DBC PowerShares DB Commodity Index Tracking 11.38% -0.42% 7.54% 6.17% 3.91%
VEU Vanguard FTSE All-World ex-US ETF 6.73% -1.08% 12.87% 6.17% 4.30%
VNQ Vanguard REIT Index ETF 0.09% 3.73% 28.78% 10.87% 4.17%
VTI Vanguard Total Stock Market ETF 6.19% 2.94% 26.94% 12.02% 6.66%

Total portfolio gain to date is 3.78% including dividends.

Ivy Portfolio for October

Early in 2012  Scott’s Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the 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 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. It simply gives the spreadsheet more versatility for user’s to check at their leisure.

Now you can follow me on Stocktwits and Twitter!

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.

I do not track these portfolios as hypothetical portfolios like I do with other portfolios on the site. However, I will periodically post backtest results on the strategy. Below are updated backtest results for the Ivy Portfolio using ETFReplay.com.

The backtest results for the Ivy 5 Portfolio since 2007 and 10 month simple moving average with a monthly update are charted below. For the backtests, iShares Barclays Aggregate Bond (AGG) was used in lieu of BND and iShares MSCI EAFE (EFA) was used in lieu of VEU because they have longer trading histories:

The Ivy 10 Portfolio, using a 10 month moving average and updated monthly has performed as follows since 2007 and compared to SPY. Again, AGG and EFA were used in the backtests:

The strategy’s strength is avoiding significant drawdowns during periods of market turbulence, such as 2008. During periods of strong uptrending equity markets it has the potential to under-perform a benchmark such as SPY.  ”Choppy” markets, in which markets are trend-less can also reduce the strategy’s returns as securities bounce above and below long-term moving averages without establishing a trend.

The current signals based on September 28th’s closing prices are below.  Real-estate linked ETFs and US Equity ETFs remain the strongest sector in terms of their percent above their 10 month moving average. All of the securities in the 5 and 10 ETF portfolios are above their 10 month moving averages.

The first table is based on adjusted historical data and the second table is based on unadjusted price data: