Market Overview

Dual ETF Momentum Tool (New!)

Last December I posted multiple “Dual Momentum” tests that were inspired by a paper written by Gary Antonacci and available on Optimal Momentum. I received positive feedback from the first two articles (they are available here and here) so I have launched a new “Dual ETF Momentum” spreadsheet.

The spreadsheet is available on Scott's Investment's here. The objective of the spreadsheet is to track four pairs of ETFs and to present 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.

The selection of each pair of ETFs was intended to stay as true as possible to Antonacci's article, which was based on indices, not ETFs. However, there are several other ETFs which could be easily substituted for the ones listed on the spreadsheet.

As an added bonus, the spreadsheet also has four additional sheets using a dual momentum strategy with broker specific commission-free ETFs. It is important to note that each broker may have additional trade restrictions and the terms of their commission-free ETFs could change in the future. Also, the dual momentum strategy has historically had relatively low turnover.

Below are the five portfolios along with current signals. If you enjoy these types of tools and articles, please also consider making a donation via the Paypal link on the homepage of Scott's Investments:




Dual Momentum   Return data courtesy of Finviz      
Equity Representative ETF Quarterly % Total Returns Half Year % Total Returns 1 Year % Total Returns Signal (based on 1 year returns)
US Equities VTI 10.27 10.86 15.08 Invested
International Equities VEU 9.42 12.95 9.27  
Cash SHY 0.09 0.14 0.3  
           
Credit Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
High Yield Bond HYG 2.89 4.45 8.8 Invested
Interm Credit Bond CIU 0.02 1.58 5.11  
Cash SHY 0.09 0.14 0.3  
           
Real-Estate Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Equity REIT VNQ 7.86 6.1 13.5  
Mortgage REIT REM 10.58 10.58 22.46 Invested
Cash SHY 0.09 0.14 0.3  
           
Economic Stress Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Gold GLD -2.96 3.38 -4.79  
Long-term Treasuries TLT -4.94 -5.93 3.2 Invested
Cash SHY 0.09 0.14 0.3  
           
           
TD Ameritrade Commission Free          
           
Equity Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
US Equities VTI 10.27 10.86 15.08 Invested
International Equities VEU 9.42 12.95 9.27  
Cash SHY 0.09 0.14 0.3  
           
Credit Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
High Yield Bond JNK 2.61 4.6 8.91 Invested
Interm Credit Bond CIU 0.02 1.58 5.11  
Cash SHY 0.09 0.14 0.3  
           
Real-Estate Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Equity REIT VNQ 7.86 6.1 13.5  
Mortgage REIT** REM 10.58 10.58 22.46 Invested
Cash SHY 0.09 0.14 0.3  
           
Economic Stress Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Gold** GLD -2.96 3.38 -4.79  
Long-term Treasuries TLT -4.94 -5.93 3.2 Invested
Cash SHY   0.14 0.3  
           
**COMMISSIONS APPLY. NO VIABLE COMMISSION FREE ETF AVAILABLE FROM  BROKER          
           
Vanguard Commission Free          
           
Equity Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
US Equities VTI 10.27 10.86 15.08 Invested
International Equities VEU 9.42 12.95 9.27  
Cash VGSH 0.1 0.18 0.36  
           
Credit Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
High Yield Bond** JNK 2.61 4.6 8.91 Invested
Interm Credit Bond BND -1.33 -0.68 1.88  
Cash VGSH 0.1 0.18 0.36  
           
Real-Estate Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Equity REIT VNQ 7.86 6.1 13.5  
Mortgage REIT** REM 10.58 10.58 22.46 Invested
Cash VGSH 0.1 0.18 0.36  
           
Economic Stress Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Gold** GLD -2.96 3.38 -4.79  
Long-term Treasuries VGLT -4.28 -4.67 3.41 Invested
Cash VGSH 0.1 0.18 0.36  
           
**COMMISSIONS APPLY. NO VIABLE COMMISSION FREE ETF AVAILABLE FROM  BROKER          
           
Schwab Commission Free          
           
Equity Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
US Equities SCHB 10.13 10.82 15.09 Invested
International Equities SCHF 9.66 13.9 10.58  
Cash SCHO 0.09 0.13 0.19  
           
Credit Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
High Yield Bond PHB 1.64 3.67 7.8 Invested
Interm Credit Bond SCHZ -0.72 -0.4 2.34  
Cash SCHO 0.09 0.13 0.19  
           
Real-Estate Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Equity REIT RWO 6.82 8.1 17.47  
Mortgage REIT** REM 10.58 10.58 22.46 Invested
Cash SCHO 0.09 0.13 0.19  
           
Economic Stress Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Gold SGOL -2.99 3.36 -4.8  
Long-term Treasuries TLO -4.59 -5.18 3.14 Invested
Cash SCHO 0.09 0.13 0.19  
           
**COMMISSIONS APPLY. NO VIABLE COMMISSION FREE ETF AVAILABLE FROM  BROKER          
           
Fidelity Commission Free          
           
Equity Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
US Equities IWV 10.21 10.83 14.96 Invested
International Equities ACWX 8.69 11.55 7.9  
Cash** SHY 0.09 0.14 0.3  
           
Credit Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
High Yield Bond HYG 2.89 4.45 8.8 Invested
Interm Credit Bond LQD -1.11 1.08 6.38  
Cash** SHY 0.09 0.14 0.3  
           
Real-Estate Risk Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Equity REIT IYR 7.77 6.82 14.43  
Mortgage REIT** REM 10.58 10.58 22.46 Invested
Cash** SHY 0.09 0.14 0.3  
           
Economic Stress Representative ETF Quarterly % Returns Half Year % Returns 1 Year % Returns Signal (based on 1 year returns)
Gold** GLD -2.96 3.38 -4.79  
Long-term Treasuries** TLT -4.94 -5.93 3.2 Invested
Cash** SHY 0.09 0.14 0.3  
           
**COMMISSIONS APPLY. NO VIABLE COMMISSION FREE ETF AVAILABLE FROM  BROKER          

The following article is from one of our external contributors. It does not represent the opinion of Benzinga and has not been edited.

Posted-In: Markets Trading Ideas ETFs

 

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