Backtesting the Single Country ETF Portfolio

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Includes: EWW, GXG, RSX, THD, TUR
by: Scott's Investments

Once per month I update and track a single country ETF strategy on my site. Last month's update is available here. Using stockscreen123, I decided to put the strategy to the test. I tested the current list of 33 single country ETFs available on the right hand side of my site. The strategy is simple: buy the 5 highest ranked ETFs based on the sum of their 3, 6, and 12 month returns once per month. In addition, the ETF must be above its 200 day moving average.

Using stockscreen123, I tested the strategy the past 5 years. Some small liberties had to be taken in order to fit the system to the stock screener. I rebalanced the backtest every 4 weeks (as opposed to once per month), and the ETFs were ranked on the sum of their 65, 130, and 260 day returns. In addition, I capped each position size at 20%. This is relevant when less than 5 ETFs meet the screen criteria. If only one ETF met the criteria, 80% of the portfolio was considered cash (earning 0%) and the remaining 20% in the passing ETF. This helps give the backtest more realistic returns. Finally, I assumed .5% slippage to make the returns more realistic. Below are the returns, but to summarize the 5 year returns are 122.6%, 3 year 18.6%, and 1 year at 15.8%.

The strategy is inspired in part by Mebane Faber, author of The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets.

The current list of top 5 ETFs are below:


Ticker Company Free Trend Analysis
RSX Market Vectors Russia ETF Here
TUR iShares MSCI Turkey Invest Mkt Index Here
THD iShares MSCI Thailand Invest Mkt Index Here
GXG Global X/InterBolsa FTSE Colombia 20 ETF Here
EWW iShares MSCI Mexico Investable Mkt Idx Here
Click to enlarge

(click to enlarge)

Screen Dt

AvgRet% No Slip $SP500 Ret% Excess Ret% $100 Investment $100 in $SP500 Turnover
04/10/10 -2.39 0.22 -2.6 198.19 103.88 40
03/13/10 7.23 4.04 3.19 203.04 103.66 40
02/13/10 4.57 6.43 -1.86 189.34 99.63 0
01/16/10 -7.75 -5.01 -2.74 181.06 93.61 20
12/19/09 7.94 2.78 5.16 196.27 98.55 40
11/21/09 -2.34 0.95 -3.3 181.83 95.88 20
10/24/09 -2.45 1.34 -3.79 186.19 94.98 40
09/26/09 6.17 3.35 2.82 190.87 93.72 60
08/29/09 3.63 1.97 1.66 179.79 90.68 80
08/01/09 -5.43 3.53 -8.96 173.49 88.93 40
07/04/09 13.47 10.73 2.74 183.45 85.9 33.33
06/06/09 -1.16 -4.67 3.51 161.68 77.58 0
05/09/09 0 1.64 -1.64 163.57 81.38 0
04/11/09 0 7.91 -7.91 163.57 80.07 0
03/14/09 0 12.72 -12.72 163.57 74.2 0
02/14/09 0 -7.3 7.3 163.57 65.83 0
01/17/09 0 -3.65 3.65 163.57 71.01 0
12/20/08 0 -4.23 4.23 163.57 73.7 0
11/22/08 0 10.73 -10.73 163.57 76.96 0
10/25/08 0 -8.36 8.36 163.57 69.5 0
09/27/08 0 -27.69 27.69 163.57 75.84 0
08/30/08 0 -6.12 6.12 163.57 104.88 100
08/02/08 -8.88 2.2 -11.08 163.57 111.72 66.67
07/05/08 -8.48 -0.22 -8.27 179.52 109.31 40
06/07/08 -10.52 -7.2 -3.32 196.16 109.55 60
05/10/08 -3.02 -2.06 -0.96 219.22 118.05 40
04/12/08 4.68 4.29 0.39 226.05 120.53 20
03/15/08 8.66 3.82 4.84 215.94 115.56 60
02/16/08 -15.86 -5.36 -10.51 198.74 111.31 0
01/19/08 14.93 3.27 11.66 236.21 117.62 0
12/22/07 -19.67 -11.56 -8.11 205.52 113.89 0
11/24/07 6.43 3.04 3.39 255.86 128.78 20
10/27/07 -13.16 -6.26 -6.9 240.41 124.98 0
09/29/07 12.9 0.63 12.27 276.85 133.32 20
09/01/07 16.73 3.62 13.11 245.21 132.49 20
08/04/07 7.54 2.86 4.69 210.06 127.86 0
07/07/07 -7.79 -6.36 -1.42 195.33 124.31 20
06/09/07 10.37 1.51 8.86 211.83 132.76 20
05/12/07 0.47 0.12 0.34 191.93 130.78 20
04/14/07 3.12 3.64 -0.52 191.03 130.62 20
03/17/07 12.72 4.75 7.97 185.25 126.03 20
02/17/07 -6.26 -4.71 -1.55 164.34 120.31 0
01/20/07 3.51 1.75 1.76 175.31 126.26 20
12/23/06 4.1 1.4 2.7 169.37 124.09 20
11/25/06 4.02 0.7 3.32 162.7 122.38 0
10/28/06 6.82 1.72 5.1 156.41 121.53 40
09/30/06 3.1 3.11 0 146.43 119.48 20
09/02/06 1.38 1.9 -0.52 142.02 115.88 40
08/05/06 2.62 2.47 0.15 140.09 113.72 40
07/08/06 1.58 1.09 0.49 136.51 110.98 60
06/10/06 5.97 1.05 4.91 134.39 109.77 80
05/13/06 -14.36 -3.01 -11.35 126.82 108.63 20
04/15/06 0.24 0.16 0.07 148.09 112.01 0
03/18/06 2.97 -1.39 4.36 147.74 111.83 20
02/18/06 -0.51 1.55 -2.06 143.47 113.4 20
01/21/06 5.16 2.04 3.12 144.21 111.66 20
12/24/05 5.44 -0.57 6.01 137.13 109.43 20
11/26/05 4.25 0.03 4.21 130.05 110.05 40
10/29/05 8.29 5.83 2.46 124.75 110.02 20
10/01/05 -6.25 -2.47 -3.78 115.2 103.96 20
09/03/05 5.55 0.89 4.66 122.89 106.6 20
08/06/05 5.21 -0.71 5.92 116.43 105.66 0
07/09/05 6.43 1.23 5.2 110.67 106.41 20
06/11/05 2.78 1.15 1.63 103.99 105.13 60
05/14/05 3.4 3.82 -0.42 101.18 103.93 40
04/19/05 -2.15 0.11 -2.26 97.85 100.11 0
Average 1.3 0.23 1.07 24.24
Up Markets 4.15 2.98 1.17 27.56
Down Markets -4.79 -5.66 0.87 17.14
Click to enlarge

Disclosure: No positions.