Beating Mr. Market: ETF Strategy Backtests, Galore

Sun, 03/11/2012 - 08:55 EDT - Seeking Alpha

By Scott's Investments:A reader asked if I had updated backtest results for a variety of ETF Replay and Ivy Portfolio strategies. I track one tactical ETF asset allocation strategy live on my site using data from ETFReplay.com; however, from time to time I will backtest the results and also show how adding different re-balancing rules impact the results. The Ivy Portfolio strategy’s long/cash signals (background here) are also tracked on Scott’s Investments, but the portfolio is not tracked live. However, it is easy enough to backtest the results using ETFReplay.com. Below are backtest results for a relative strength ETF strategy. Returns include dividends but exclude commissions, taxes, and slippage (in other words, real results will differ). The buy/sell strategy for the portfolio is simple: purchase the top ETFs based on a combination of their 6 month returns, 3 month returns, and 3 month volatility (lower volatility receives a higher ranking) and theComplete Story »

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ETF Replay Portfolio For May
By Scott's Investments:This month's ETFReplay.com Relative Strength ETF Portfolio has been updated at Scott's Investments and includes turnover in one position.
ETF Replay Portfolio For September
By Scott's Investments:This month's ETFReplay.com Relative Strength ETF Portfolio has been updated and includes turnover in three out of four positions.
ETF Replay Portfolio For April
By Scott's Investments:This month's ETFReplay.com Relative Strength ETF Portfolio has been updated at Scott's Investments and includes turnover in one position.
Global ETF Sector August Portfolio
Scott's Investments submits:Global sector ETF performance update for the close of July is below and has also been updated as a free portfolio to track on my blog. Note that all of the ETFs were below the 200 day moving average at the end of June which in my preferred strategy would exclude them for consideration of any long position. However, this month 4 of the 10 ETFs are above the 200 day SMA.
Global Sector July Portfolio
Scott's Investments submits:Global sector ETF performance update for the close of June is below and has also been updated as a free portfolio to track on my blog. Note that all of the ETFs were below the 200 day moving average at month end which in my preferred strategy would exclude them for consideration of any long position.
March ETF Replay Portfolio Rankings
By Scott's Investments:This month’s ETFReplay.com Relative Strength ETF Portfolio has been updated at my site and includes turnover in two positions.
An ETF Relative Strength Portfolio for August
Scott's Investments submits:I previously detailed here and here how an investor can use ETF Replay to screen for best performing ETFs based on momentum and volatility.
February's ETF Replay Portfolio Update
By Scott's Investments:I previously detailed here and here how an investor can use
Relative Strength ETF Portfolio for May
Scott's Investments submits:I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility.
An ETF Relative Strength Portfolio for July
Scott's Investments submits:I previously detailed here and here how an investor can use ETF Replay to screen for best performing ETFs based on momentum and volatility.

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Beating Mr. Market: ETF Strategy Backtests, Galore

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