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The ETFReplay.com Portfolio holdings have been updated for August 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 DJ International Real Estate PCY PowerShares Emerging Mkts Bond WIP SPDR Int’l Govt Infl-Protect Bond EFA iShares MSCI EAFE HYG iShares iBoxx High-Yield Corp Bond EEM iShares MSCI Emerging Markets LQD iShares iBoxx Invest Grade Bond VNQ Vanguard MSCI U.S. REIT TIP iShares Barclays TIPS VTI Vanguard MSCI Total U.S. Stock Market DBC PowerShares DB Commodity Index GLD SPDR Gold Shares TLT iShares Barclays Long-Term Trsry SHY iShares Barclays 1-3 Year Treasry Bnd Fd 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. The cash filter is in effect this month. SHY is the highest rated ETF in the 6/3/3 system. Therefore, SHY will continue to be the sole holding in the portfolio. The top 5 ranked ETFs based on the 6/3/3 system as of 7/31/15 are below: 6mo/3mo/3mo SHY Barclays Low Duration Treasury (2-yr) VTI Vanguard Total U.S. Stock Market HYG iShares iBoxx High-Yield Corp Bond PCY PowerShares Emerging Mkts Bond (7-9yr) TIP iShares Barclays TIPS 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 VTI Vanguard Total U.S. Stock Market SHY Barclays Low Duration Treasury (2-yr) HYG iShares iBoxx High-Yield Corp Bond EEM , a holding for just one month, will be sold for a loss of 6.31%. RWX , a holding since April, will be sold for a loss of 3.89%. They will be replace by VTI and SHY . The updated holdings for each portfolio are below. 6/3/3 strategy: Position Shares Avg Purchase Price Purchase Date Cost Basis Current Value Gain/Loss Excluding Dividends SHY 149 84.86 5/29/2015 & 6/30/15 $12,644.14 $12,644.14 $0.00 Pure Momentum strategy: Position Shares Purchase Price Purchase Date Cost Basis Current Value Gain/Loss Excluding Dividends VTI 22 108.84 7/31/2015 $2,394.48 $2,394.48 $0.00 SHY 29 84.86 7/31/2015 $2,460.94 $2,460.94 $0.00 HYG 27 88.8 6/30/2015 $2,397.60 $2,375.19 -$22.41 EFA 39 66.51 4/30/2015 $2,593.89 $2,526.42 -$67.47 Disclosure: None. Share this article with a colleague Scalper1 News
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