In July 2009 I profiled a momentum based ETF portfolio. I track this portfolio (and others) monthly on Scott's Investments 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 on Scott's Investments with a $10,000 starting balance. The portfolio finished down over 5% for 2011, including dividends and as of the close April 30th, the portfolio is up 2% since inception.
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 April of the 5 ETFs listed above. This month the top three momentum ETFs are BND, VTI and VNQ. Thus, we will be selling VEU, a holding in the portfolio since February, because it is no longer in the top 3 momentum. The proceeds will be used to purchase BND.
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:
| Symbol | Name | Quarterly | Half Year | Year | Average | 200 Day SMA |
| BND | Vanguard Total Bond Market ETF | 0.83% | 1.97% | 6.85% | 3.22% | 1.63% |
| DBC | PowerShares DB Commodity Index Tracking | 0.78% | 3.16% | -10.01% | -2.02% | 0.42% |
| VEU | Vanguard FTSE All-World ex-US ETF | 1.92% | 4.20% | -13.16% | -2.35% | 3.57% |
| VNQ | Vanguard REIT Index ETF | 6.68% | 19.12% | 9.26% | 11.69% | 14.15% |
| VTI | Vanguard Total Stock Market ETF | 6.26% | 13.86% | 3.82% | 7.98% | 10.43% |
