15 thoughts on “Momentum Portfolios”

  1. Hi, I have “played” with etfreplay following an article you wrote and I am wondering how the volatility filter interact with return filters. I understand that volatility lower the ranking but don’t understand how it’s calculated. I have seen very interesting simulated results and want to understand it better before incorporating it to what I use (simple 3 and 6 months returns) to rotate between AC. can you Help me with it? Thanks, André

    1. Andre – ETFReplay has a tutorial and explanation on their site, they may be best suited to explain their calculation methodology.

    1. The 6/3/3 strategy is similar – it ranks ETFs on momentum and volatility and then requires they may be rated higher than cash (SHY).

  2. Is there anyone/brokerage/investment firm with “packaged plan” that automatically invests using any of the ETF momentum models that one can invest in? Thanks, Dave

    1. David …. might take a look at First Trust’s ETF “FV” …. it’s a Relative Strength Rotational approach based on Dorsey Wright’s P&F chart data.

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