This month's ETFReplay.com Relative Strength ETF Portfolio has been updated at Scott's Investments and includes turnover in two out of four positions.
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 ETFs out of a static basket of 25 ETFs and re-balance the portfolio monthly.
I track this strategy as a public portfolio on Scott's Investments. As of the close October 31st the hypothetical portfolio was up 13.38%, since inception on January 1st, 2011. Returns include dividends but exclude commissions and taxes and all trades are hypothetical so real results will differ. For some backtests on these strategies please see a recent post here.
For October 31st the portfolio sold its positions in SPDR Gold Shares (GLD) and (iShares MSCI EAFE Small Cap Index (SCZ).
Proceeds were used to purchase iShares S&P US Preferred Stock Index (PFF) and SPDR DJ International Real Estate (RWX). The portfolio also continues to hold its position in the PowerShares Emerging Markets Bond (PCY) and iShares iBoxx Invest Grade Bond (LQD).PFF iShares S&P US Preferred Stock Index
RWX SPDR DJ International Real Estate
LQD iShares iBoxx Invest Grade Bond
HYG iShares iBoxx High-Yield Corp Bond
GLD SPDR Gold Shares
3mo/20day/20day
PCY PowerShares Emerging Mkts Bond
RWX SPDR DJ International Real Estate
PFF iShares S&P US Preferred Stock Index
LQD iShares iBoxx Invest Grade Bond
SCZ iShares MSCI EAFE Small Cap Index
HYG iShares iBoxx High-Yield Corp Bond
Below is a performance graph of the portfolio (green) versus SPY (SPDR S&P 500 ETF) and AOR (S&P Growth Allocation) from the portfolio's inception until October 31st, 2012.
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