November Update – ETFReplay.com Portfolio

The ETFReplay.com Portfolio holdings have been updated for November 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:

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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 cash filter is in effect this month, the same as the previous four months.  SHY is the highest rated ETF in the 6/3/3 system.  Therefore, SHY will continue to be the sole holding in the portfolio.

The top 5 ranked ETFs based on the 6/3/3 system as of 10/30/15 are below:

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:

(TIP), a holding for 2 months, will be sold for a loss of -.56%.  (LQD), a holding for 1 month, will be sold for a gain of .28%. The proceeds will be used to purchase (VNQ) and (TLT).

The updated holdings for the pure momentum portfolio is below:

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