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.
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) .
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:
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2012-10-01 06:20:37
Source: http://www.scottsinvestments.com/2012/10/01/etfreplay-com-portfolio-for-october/
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