In July 2009 I profiled a momentum based ETF portfolio. I track this portfolio (and others) monthly using a spreadsheet. The portfolio consists of the ETFs with the best momentum among 5 ETFs: BND (Vanguard Total Bond Market ETF), DBC (Powershares Commodity Index), VEU (Vanguard FTSE All-World ex-US ETF), VNQ (Vanguard REIT Index ETF), VTI (Vanguard Total Stock Market ETF).
The Basic Portfolio strategy is tracked as a hypothetical portfolio with a $10,000 starting balance. The portfolio finished down over 5% for 2011, including dividends and as of the close April 2nd, the portfolio is up 2.79%.
The strategy for the portfolio is simple: purchase the top 3 ETFs with the highest average 3, 6, and 12 month returns ("3-6-12″). Only purchase the top 3 ETFs if they are also above their 200 day simple moving average at month end. Investors could also ignore the moving average indicator and purchase the top 3 ETFs strictly based on historical returns ("3-6-12″) or could use a combination of different approaches or trading strategies.
Listed below are the month end results for March of the 5 ETFs listed above. This month the top three momentum ETFs are VEU, VTI and VNQ. These are the same top 3 as last month, so there is no turnover in current positions.
Many of the strategies listed here were inspired in part by Mebane Faber, author of The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. For an even better explanation of some of the strategies, I recommend the book.
The data source for the information below is Finviz, and Google Finance.
|Symbol||Name||Quarterly||Half Year||Year||Average||% above/below 200 Day SMA|
|BND||Vanguard Total Bond Market ETF||0.24%||1.06%||7.08%||2.79%||0.97%|
|DBC||PowerShares DB Commodity Index Tracking||7.14%||7.99%||-5.60%||3.18%||1.47%|
|VEU||Vanguard FTSE All-World ex-US ETF||12.06%||14.09%||-7.22%||6.31%||4.54%|
|VNQ||Vanguard REIT Index ETF||10.14%||24.12%||12.97%||15.74%||11.93%|
|VTI||Vanguard Total Stock Market ETF||12.36%||23.33%||7.24%||14.31%||11.95%|