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% |
Disclosure: None
