Entering text into the input field will update the search result below

Momentum Portfolio August Update

Aug. 03, 2018 4:44 AM ETRWX, PCY, EFA, EEM, VNQ, TIP, VTI, GLD, TLT, SHY
Scott's Investments profile picture
Scott's Investments

In 2011, Scott's Investments began tracking a momentum portfolio which ranks a basket of ETFs based on price momentum and volatility. In 2014 I also introduced a pure momentum system, which ranked the same basket of ETFs based solely on price momentum. Both strategies have undergone minor revisions over the years but the key elements remain.

The strategies in their current form begin by screening a basket of these 10 ETFs:

RWX SPDR DJ International Real Estate
PCY PowerShares Emerging Mkts Bond
EEM iShares MSCI Emerging Markets
TIP iShares Barclays TIPS
VTI Vanguard MSCI Total U.S. Stock Market
GLD SPDR Gold Shares
TLT iShares Barclays Long-Term Trsry
SHY iShares Barclays 1-3 Year Treasry Bnd Fd

The ETFs in the "Conservative Momentum" system are still ranked by 6-month total returns (weighted 34%), 3-month total returns (weighted 33%), and 3-month price volatility (weighted 33%). The top 3 are purchased at the beginning of each month and if a holding drops out of the top 3 at the next month's rebalance it is replaced.

Pure Momentum System

The pure momentum system ranks ETFs based on 5-month price momentum. There is no cash filter in the pure momentum system, volatility ranking, or requirement to limit turnover. The portfolio and rankings are posted on the same spreadsheet as the Conservative Momentum strategy.

A free option for backtesting these strategies is available at Portfolio Visualizer.

The conservative momentum system has turnover in one position this month. SHY, a holding representing cash since 3/30/2018, was sold and the proceeds used to purchase VNQ.

The pure momentum system has turnover in two positions. TIP, a holding since 7/1/18, was sold for a capital loss of 1.57%. SHY, a holding since 5/31/18, was also sold. The proceeds were used to purchase RWX

This article was written by

Scott's Investments profile picture
I am an independent investor writing at Scott's Investments (http://www.scottsinvestments.com). My site is dedicated to discussing and publicly tracking historically successful investments strategies and sharing free investment resources. I emphasize empirical, historical, and quantitative analysis, portfolio strategies for individual investors and technical analysis. I have quickly become a highly-rated site on Investimonials, http://www.investimonials.com/blogs/reviews-scottsinvestmentsgmailcom.aspx

Recommended For You


Disagree with this article? Submit your own. To report a factual error in this article, . Your feedback matters to us!
To ensure this doesn’t happen in the future, please enable Javascript and cookies in your browser.
Is this happening to you frequently? Please report it on our feedback forum.
If you have an ad-blocker enabled you may be blocked from proceeding. Please disable your ad-blocker and refresh.