In February I announced a new "Dual ETF Momentum" spreadsheet. The idea was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. The spreadsheet is available here. The objective of the spreadsheet is to track four pairs of ETFs and provide an "Invested" signal for the ETF in each pair with the highest relative momentum.

Relative momentum is gauged by the 12 month total returns of each ETF. The 12 month total returns of each ETF is also compared to a short-term Treasury bill ETF (a "cash" filter). In order to have an "Invested" signal, the ETF with the highest relative strength must also have 12-month total returns greater than the 12-month total returns of the cash ETF. This is the absolute momentum filter which is detailed in depth by Antonacci, and has historically helped increase risk-adjusted returns.

I have added an "average"

In December 2010, I created a screen / hypothetical portfolio called the "High Yield Dividend Champion Portfolio." The screen is tracked publicly as a continuous hypothetical portfolio with a starting balance of $100,000 on my site.

Like many of the screens, strategies, and portfolios I track and prefer, the High Yield Dividend Champion Portfolio uses a small number of historically relevant ideas to create a simple, yet powerful investment plan. As I previously detailed, "Some studies have shown that the highest yielding, low payout stocks perform better over time than stocks with higher payouts and lower yields."

The High Yield Dividend Champion Portfolio attempts to capture the best high yield, low payout stocks with a history of raising dividends. There are numerous ways to rank high yield/low payout stocks. The screening process for this portfolio starts with the "Dividend Champions" as compiled by DRIP Investing. The list

Among the more popular portfolios on Scott's Investments has been the ETFReplay.com Portfolio. The strategy has been revised and improved for 2013 in order to make it simpler to follow.

I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility. I select only the top 4 ETFs out of a static basket of ETFs and re-balance the portfolio monthly. Previously, the static basket of ETFs was 25. This number of ETFs creates a high degree of turnover and also creates cross-over among ETFs that have a high correlations. For example, if you are only purchasing 4 ETFs each month and 2 or 3 of the ETFs are highly correlated, there is little benefit in holding more than 1 of the ETFs.

For 2013 the static basket of ETFs was reduced to 15. From this

Once per quarter, I update a Graham Value Stock Portfolio (the most recent portfolio update can be viewed here). It draws inspiration from the work of a well-known investor, Benjamin Graham. The portfolio cannot precisely mimic how Graham would invest today, but it strives to remain philosophically consistent with his emphasis on value and company fundamental strength and an emphasis on stability.

Graham may be one of the best known investors of all-time, but there are myriad examples of historical and modern-day "all-star" investors. Recently, a reader asked me to investigate a Piotroski model. Joseph Piotroski is a modern academic, perhaps best known for his research paper, entitled Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers. His paper documented a systematic, accounting-based fundamental analysis strategy that historically outperformed equity indexes. He emphasized price-to-book valuation, supplemented with fundamental analysis.

Fortunately, we can

In January 2012 I announced a new portfolio, a Benjamin Graham "inspired" value stock portfolio. The purpose of the hypothetical portfolio is to track returns for a portfolio of 15 stocks selected based on a variety of valuation metrics.

I originally intended to update the portfolio monthly; however, in the spirit of creating a lower turnover, value-driven portfolio it is now updated approximately once per quarter. I have also added an additional criteria to limit turnover in the portfolio (see below). The Graham portfolio is an attempt to add a value strategy to Scott's Investments, which is otherwise focused on momentum, trend, income and market timing strategies.

The criteria used to select the stocks are listed below. The tool used to perform the screen and backtests are courtesy of Portfolio123 ("P123″).

The actual screen factors are below:

• Liquidity filter: No OTC Stocks
• Market capitalization > $100 million
• Eliminate

Gary Antonacci has just posted a new research paper on absolute momentum. I encourage everyone to check it out. Some of his previous research served as a catalyst for the Dual ETF Momentum tracker on Scott's Investments.

The current signals as of Wednesday's close for the Dual ETF Momentum portfolio is below. As a reminder, the portfolio is not intended as an optimal portfolio or the ideal mix of asset classes, but does show how to put relative and absolute momentum into action:

Return data courtesy of Finviz

In December 2010, I created a screen/hypothetical portfolio called the "High Yield Dividend Champion Portfolio." The screen is tracked publicly as a continuous hypothetical portfolio with a starting balance of $100,000 on here.

Like many of the screens, strategies, and portfolios I track and prefer, the High Yield Dividend Champion Portfolio uses a small number of historically relevant ideas to create a simple, yet powerful investment plan. As I previously detailed, "Some studies have shown that the, highest yielding, low payout stocks perform better over time than stocks with higher payouts and lower yields."

The High Yield Dividend Champion Portfolio attempts to capture the best high yield, low payout stocks with a history of raising dividends. There are numerous ways to rank high yield / low payout stocks. The screening process for this portfolio starts with the "Dividend Champions" as compiled by DRIP Investing. The list is

Among the more popular portfolios on Scott's Investments has been the ETFReplay.com Portfolio. The strategy has been revised and improved for 2013 in order to make it simpler to follow.

I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility. I select only the top four ETFs out of a static basket of ETFs and re-balance the portfolio monthly. Previously, the static basket of ETFs was 25. This number of ETFs creates a high degree of turnover and also creates cross-over among ETFs that have a high correlations. For example, if you are only purchasing four ETFs each month and two or three of the ETFs are highly correlated, there is little benefit in holding more than one of the ETFs.

For 2013, the static basket of ETFs was reduced to 15. From this basket

Early in 2012 Scott's Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber's book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

The Ivy Portfolio spreadsheet tracks the 5 and 10 ETF Portfolios listed in Faber's book. When a security is trading below its 10 month simple moving average, the position is listed as "Cash". When the security is trading above its 10 month simple moving average the position is listed as "Invested".

The spreadsheet's signals update once daily (typically in the late evening) using dividend/split adjusted closing price from Yahoo Finance. The 10 month simple moving average is based on

In February I announced a new "Dual ETF Momentum" spreadsheet. The idea was inspired by a paper written by Gary Antonacci and available on Optimal Momentum.

The spreadsheet is available on Scott's Investment's here. The objective of the spreadsheet is to track four pairs of ETFs and provide an "Invested" signal for the ETF in each pair with the highest relative momentum. Relative momentum is gauged by the 12 month total returns of each ETF. The 12 month total returns of each ETF is also compared to a short-term Treasury bill ETF (a "cash" filter). In order to have an "Invested" signal the ETF with the highest relative strength must also have 12-month total returns greater than the 12-month total returns of the cash ETF. This is the absolute momentum filter which is detailed in depth by Antonacci, and has historically helped increase risk-adjusted returns.

I have

In January I launched an "All-Weather ETF Portfolio". The portfolio began with a static allocation based on a simplistic and unleveraged interpretation of Ray Dalio and Bridgwater Associates' "All-Weather" investment strategy. The proposed static allocation is below:

The proposed allocation is not intended as a one-size-fits-all allocation model, but it does serve as a framework for further study and is based on having allocation to the four different market environments espoused by Bridgewater (full paper here):

I backtested the static allocation using ETFReplay.com

In December 2010, I created a screen/hypothetical portfolio called the "High Yield Dividend Champion Portfolio." The screen is tracked publicly as a continuous hypothetical portfolio with a starting balance of $100,000 on Scott's Investments (see the right hand column for a link to the spreadsheet).

Like many of the screens, strategies, and portfolios I track and prefer, the High Yield Dividend Champion Portfolio uses a small number of historically relevant ideas to create a simple, yet powerful investment plan. As I previously detailed, "Some studies have shown that the, highest yielding, low payout stocks perform better over time than stocks with higher payouts and lower yields."

The High Yield Dividend Champion Portfolio attempts to capture the best high yield, low payout stocks with a history of raising dividends. There are numerous ways to gauge the "best" high yield/low payout stocks. The screening process for this portfolio starts with

Earlier this year I launched an "All-Weather" ETF Portfolio. The initial launch of the portfolio provided a static allocation to 8 ETFs and was inspired by Ray Dalio of Bridgewater Associates.

I have added two dynamic allocations to the All-Weather portfolio spreadsheet. The first is an unleveraged risk-parity asset allocation. The allocations for each ETF are updated daily based on the trailing 20-day volatility of each ETF as calculated using adjusted closing prices. The allocation to each ETF is calculated by taking the inverse of its trailing 20-day volatility and then calculating the percent each ETF contributes to the sum of all the inverse volatilities (for an example of the calculation please visit the spreadsheet). Bottom line: the lower trailing volatility an ETF has relative to the other ETFs in the portfolio, the higher its allocation.

The allocations as of last Friday's close are below. The 20-day volatility

In December 2010, I created a screen/hypothetical portfolio called the "High Yield Dividend Champion Portfolio." The screen is tracked publicly as a continuous hypothetical portfolio with a starting balance of $100,000 (spreadsheet here).

Like many of the screens, strategies, and portfolios I track and prefer, the High Yield Dividend Champion Portfolio uses a small number of historically relevant ideas to create a simple, yet powerful investment plan. As I previously detailed,

Some studies have shown that the, highest yielding, low payout stocks perform better over time than stocks with higher payouts and lower yields.

The High Yield Dividend Champion Portfolio attempts to capture the best high yield, low payout stocks with a history of raising dividends. There are numerous ways to gauge the "best" high yield/low payout stocks. The screening process for this portfolio starts with the "Dividend Champions" as compiled by DRIP Investing. The list is

In January 2012 I announced a new portfolio, a Benjamin Graham "inspired" value stock portfolio. The purpose of the hypothetical portfolio is to track returns for a portfolio of 15 stocks selected based on a variety of valuation metrics. I originally intended to update the portfolio monthly; however, in the spirit of creating a lower turnover, value-driven portfolio, it is now updated approximately once per quarter. I have also added an additional criteria to limit turnover in the portfolio (see below).

The Graham portfolio is an attempt to add a value strategy to Scott's Investments, which is otherwise focused on momentum, trend, income and market timing strategies. There are numerous ways to add market timing or hedging techniques to any stock portfolio, such as shorting the S&P 500 when it trades below a long-term moving average while simultaneously holding a portfolio of long stock positions. However, for the purposes

I am discontinuing the Basic Portfolio and replacing it with an All-Weather ETF Portfolio. First, the Basic Portfolio is being discontinued because there is too much cross-over with the moving average and momentum strategies already used in the Ivy Portfolios and ETFReplay.com Portfolio. I will continue to track the Ivy and ETFReplay.com Portfolios on Scott's Investments.

The Basic ETF Portfolio will be replaced with an "All-Weather ETF Portfolio." The portfolio draws inspiration from several sources, the first being Ray Dalio, founder of Bridgewater Associates. Dalio created an "All-Weather" investment strategy (Bridgewater pdf available here) which is intended to perform well over all market environments. The strategy as explained by Bridgewater boils down to having exposure to asset classes that perform well in four different market environments, summarized in the simple diagram below:

(click to enlarge)

The Fiscal Pop-N-Drop for Equities - Look Out

The All-Weather portfolio can be

The Contrarian ETF portfolio began as a bit of an experiment in 2011. The idea is to purchase asset classes that have had multiple down years in a row. The hope is that returns will revert to the mean and the underperforming asset classes will outperform in the subsequent year, as Mebane Faber lays out in The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets.

Despite the underperformance (especially in 2011) of my interpretation of the strategy, the logic behind the strategy deserves attention and further refinement. 2012 was a better year for the test portfolio with performance listed below for each security. To see what I wrote regarding the strategy at the beginning of 2012 click here. For an update on some contrarian individual country ideas for 2013, see Mebane Faber's recent post here.

As a whole, the average return of

Early in 2012 Scott's Investments added a daily Ivy Portfolio spreadsheet. This tool uses Google Documents and Yahoo Finance to track the 10 month moving average signals for two of the portfolios listed in Mebane Faber's book, The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages.

This month's update is a trading day early (markets will be open on the 31st) than a typical end of month update. It also comes at a time when the long-term moving average strategy has struggled and is under scrutiny. John Hussman notes that since 2009 the S&P 500 Index has actually performed better when below its 200 day moving average than when it has been above the 200 day moving average. He also notes the recent performance is contrary

Last week we explored a simple dual momentum strategy using three portfolios consisting of three mutual funds. The strategy was inspired in part by Gary Antonacci's "Risk Premia Harvesting Through Dual Momentum" paper available on Optimal Momentum.

The first article generated interest and several readers emailed questions. To reiterate, mutual fund were used strictly because of their longer trading histories. Since most mutual funds have trading restrictions, a real-world application of the strategy would be better served with exchange-traded funds (ETFs) that do not have many of the same trading restrictions. However, with ETFs come commissions, which will reduce overall returns.

The portfolios in the first article were not meant as optimal portfolios but there was a rationale behind the security selection. Funds were grouped into three asset classes - equities, bonds, and real assets - that historically perform differently in different economic conditions. Within

Once per month I update a high yield dividend stock momentum portfolio on Scott's Investments. The portfolio is comprised of the highest yielding stocks in the S&P 500 with high price momentum.

The portfolio is a simple quantitative strategy and begins by screening the S&P 500 for stocks yielding greater than 4%. The results are then ranked by their 6 month returns. The top stocks are then added to a hypothetical portfolio and tracked publicly on Scott's Investments. This month there were 57 results, 5 less than last month due in part to the recent equity market sell-off resulting in higher dividend yields.

Per a previous article, the highest momentum, high-yield stocks have historically out-performed lower yielding, lower momentum stocks. The screen is more of a trading strategy and less of a passive income strategy, although the dividends do play an essential component in the overall returns. Thus,