ETFReplay.com Portfolio Update

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Includes: DBC, EEM, EFA, GLD, HYG, LQD, PCY, RWX, SHY, TIP, TLT, VNQ, VTI, WIP
by: ETFreplay

The ETFReplay.com Portfolio holdings have been updated for June 2015. I previously detailed here and here how an investor can use ETFReplay.com to screen for best-performing ETFs based on momentum and volatility.

The portfolio begins with a static basket of 14 ETFs. These 14 ETFs are ranked by 6-month total returns (weighted 40%), 3-month total returns (weighted 30%), and 3-month price volatility (weighted 30%). The top 4 are purchased at the beginning of each month. When a holding drops out of the top 5 ETFs, it will be sold and replaced with the next-highest ranked ETF.

The 14 ETFs are listed below:

Symbol Name
RWX SPDR Dow Jones International Real Estate ETF
PCY PowerShares Emerging Markets Sovereign Debt Portfolio ETF
WIP SPDR DB International Government Inflation-Protect Bond ETF
EFA iShares MSCI EAFE ETF
HYG iShares iBoxx $ High Yield Corporate Bond ETF
EEM iShares MSCI Emerging Markets ETF
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF
VNQ Vanguard REIT Index ETF
TIP iShares TIPS Bond ETF
VTI Vanguard Total Stock Market ETF
DBC PowerShares DB Commodity Index Tracking ETF
GLD SPDR Gold Trust ETF
TLT iShares 20+ Year Treasury Bond ETF
SHY iShares 1-3 Year Treasury Bond ETF

In addition, ETFs must be ranked above the cash-like ETF (NYSEARCA:SHY) in order to be included in the portfolio, similar to the absolute momentum strategy I profiled here. This modification could help reduce drawdowns during periods of high volatility and/or negative market conditions (see 2008-2009), but it could also reduce total returns by allocating to cash in lieu of an asset class.

There is turnover in 1 of the 4 holdings in the 6/3/3 portfolio. The top-5 ranked ETFs based on the 6/3/3 system as of 5/29/15 are below:

6-month/3-month/3-month
VTI Vanguard Total Stock Market ETF
EFA iShares MSCI EAFE ETF
HYG iShares iBoxx $ High Yield Corporate Bond ETF (4-5 year)
SHY iShares 1-3 Year Treasury Bond ETF (2-year)
PCY PowerShares Emerging Markets Sovereign Debt Portfolio ETF (7-9 year)

The strategy is rotating out of RWX, a holding since the beginning of April. RWX will be replaced by SHY.

In 2014, I introduced a pure momentum system, which ranks the same basket of 14 ETFs based solely on 6-month price momentum. There is no cash filter in the pure momentum system, volatility ranking, or requirement to limit turnover - the top 4 ETFs based on price momentum are purchased each month. The portfolio and rankings are posted on the same spreadsheet as the 6/3/3 strategy.

The top 4 six-month momentum ETFs are below:

6-Month Momentum
EFA iShares MSCI EAFE ETF
VTI Vanguard Total Stock Market ETF
RWX SPDR Dow Jones International Real Estate ETF
TLT iShares 20+ Year Treasury Bond ETF

There is no turnover in the portfolio this month.

The updated holdings for each portfolio are below:

6/3/3 strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value
EFA 47 66.51 4/30/2015 $3,125.97 $3,132.08
VTI 29 107.91 4/30/2015 $3,129.39 $3,169.99
HYG 35 90.99 4/30/2015 $3,184.65 $3,181.85
SHY 40 84.87 5/29/2015 $3,394.80 $3,394.00

Pure Momentum strategy:

Position Shares Purchase Price Purchase Date Cost Basis Current Value
TLT 20 116.27 9/30/2014 $2,325.40 $2,454.80
RWX 64 43.99 4/2/2015 $2,815.36 $2,782.72
VTI 22 101.24 9/30/2014 $2,227.28 $2,404.82
EFA 39 66.51 4/30/2015 $2,593.89 $2,598.96