Quant Mashup - Scott\'s Investments
Updated Dual Momentum Test [Scott's Investments]
I frequently get asked for updated tests on various strategies. Using Portfolio123 I ran a backtest on a Dual Momentum strategy from 1/1/2007 – 5/25/2016. The strategy is updated on Scott’s Investments monthly, the most recent update is here. The strategy invests equally in one ETF from each of
- 8 years ago, 26 May 2016, 07:56pm -
Ivy Portfolio January Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 8 years ago, 2 Jan 2016, 08:07am -
Ivy Portfolio December Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 8 years ago, 30 Nov 2015, 11:18pm -
Ivy Portfolio November Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber's book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on
- 8 years ago, 2 Nov 2015, 12:42pm -
Book Review: DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth [Scott's Investments]
Readers of Scott’s Investments know I am a proponent of do-it-yourself investing solutions. I am also a big fan of Alpha Architect, so I was excited when I was asked to review a book which combines the best of both worlds, DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth
- 9 years ago, 6 Oct 2015, 07:46am -
Ivy Portfolio October Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 9 years ago, 1 Oct 2015, 01:08pm -
Dual ETF Momentum September Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci’s book, Dual Momentum Investing: An Innovative Strategy for Higher
- 9 years ago, 11 Sep 2015, 11:06am -
Ivy Portfolio September Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 9 years ago, 31 Aug 2015, 11:30pm -
Dual Momentum August Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci’s book, Dual Momentum Investing: An Innovative Strategy for Higher
- 9 years ago, 11 Aug 2015, 11:32am -
Ivy Portfolio August Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 9 years ago, 2 Aug 2015, 09:57pm -
Diverse Momentum – Can We Do Better? [Scott's Investments]
A Diverse Momentum System Using Vanguard Allocation Funds generated a plethora of feedback. Can we improve or simplify the system? And does it hold up well if variables are changed? The systems tested in the original article rarely held the Moderate Growth (VSMGX), which allocate 60% stocks/40%
- 9 years ago, 17 Jul 2015, 01:00am -
A Diverse Momentum System Using Vanguard Allocation Funds [Scott's Investments]
One of the criticisms of momentum systems is they are prone to crashes when momentum reverts. The system highlighted in this article can be implemented using any number of “life style” or target-risk funds or ETFs. The system chooses from a small number of funds that reflect a range of asset
- 9 years ago, 15 Jul 2015, 03:08am -
Ivy Portfolio July Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 9 years ago, 1 Jul 2015, 04:42am -
Backtesting – A Cautionary Example [Scott's Investments]
My previous article detailed backtest results for the ETFReplay.com portfolio. Aggregate, risk-adjusted results since 2004 were impressive when compared to a 60/40 Vanguard mutual fund. However, results over the past 2-3 years lagged the benchmark. The test below was conducted using Portfolio123
- 9 years ago, 25 Jun 2015, 12:46am -
New Backtests for ETFReplay Portfolio [Scott's Investments]
I am frequently asked about various strategy and portfolio performance metrics and backtests. A reader recently asked if there are any current backtests for the ETFReplay 6/3/3 Portfolio so I decided now is the appropriate time to provide updated results. The strategy background is available here
- 9 years ago, 23 Jun 2015, 04:11am -
Dual Momentum June Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci’s book, Dual Momentum Investing: An Innovative Strategy for Higher
- 9 years ago, 12 Jun 2015, 01:31pm -
Ivy Portfolio June Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 9 years ago, 31 May 2015, 05:36am -
Dual Momentum May Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci has a new book out, Dual Momentum Investing: An Innovative Strategy for
- 9 years ago, 12 May 2015, 01:13am -
Dividend Champion Portfolio Update [Scott's Investments]
The High Yield Dividend Champion Portfolio is a publicly tracked stock portfolio on Scott’s Investments. Its goal is to capture quality high yield stocks with a history of raising dividends. The screening process for this portfolio starts with the “Dividend Champions” as compiled by DRIP
- 9 years ago, 7 May 2015, 01:59am -
Ivy Portfolio May Update [Scott's Investments]
Scott’s Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that
- 9 years ago, 1 May 2015, 02:42pm -
ETFReplay.com Portfolio May Update [Scott's Investments]
The ETFReplay.com Portfolio holdings have been updated for April 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
- 9 years ago, 1 May 2015, 02:42pm -
Graham Value Portfolio Update [Scott's Investments]
In January 2012 I announced a new portfolio, a Benjamin Graham “inspired” value stock portfolio. The Graham portfolio is an attempt to add a value strategy to Scott’s Investments, which is otherwise focused on momentum, trend, income and market timing strategies. The portfolio tracks returns
- 9 years ago, 17 Apr 2015, 01:25am -
Dual Momentum Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci has a new book out, Dual Momentum Investing: An Innovative Strategy for
- 9 years ago, 11 Apr 2015, 10:18am -
Dividend Champion Portfolio April Update [Scott's Investments]
The High Yield Dividend Champion Portfolio is a publicly tracked stock portfolio on Scott’s Investments. Its goal is to capture quality high yield stocks with a history of raising dividends. The screening process for this portfolio starts with the “Dividend Champions” as compiled by DRIP
- 9 years ago, 9 Apr 2015, 02:39am -
Ivy Portfolio April Update [Scott's Investments]
My apologies for the delay in posting the end of month updates - travel plans made it difficult to post. However, this delay highlights the benefit of the spreadsheets provided on Scott’s Investments - the sheets auto update daily so you, the reader, is not dependent on my posts to deliver timely
- 9 years ago, 6 Apr 2015, 12:35am -
Dual Momentum ETF Portfolio [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci has a new book out, Dual Momentum Investing: An Innovative Strategy for
- 9 years ago, 11 Mar 2015, 02:39pm -
RAA Follow-Up [Scott's Investments]
Last week I announced the Robust Asset Allocation, or RAA, portfolio tracker which is inspired by Alpha Architect, The original article cited by Alpha Architect used 7-10 Treasury Bonds for the bond holding. I chose a broad-based bond bond (BND) in lieu of a 7-10 year treasury ETF like the iShares
- 9 years ago, 5 Mar 2015, 10:15am -
Ivy Portfolio March Update [Scott's Investments]
Scott’s Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that
- 9 years ago, 1 Mar 2015, 04:03am -
New Portfolio Tracker – Robust Asset Allocation [Scott's Investments]
One of the primary goals of Scott’s Investments is to educate individual investors by creating and tracking relevant investment strategies. Some of the strategies are my own, while others like the Ivy Portfolio are inspired by others. This week I added a new portfolio spreadsheet to my site, the
- 9 years ago, 25 Feb 2015, 03:22am -
Dual Momentum Portfolio Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci has a new book out, Dual Momentum Investing: An Innovative Strategy for
- 9 years ago, 11 Feb 2015, 12:20pm -
Ivy Portfolio February Update [Scott's Investments]
Scott’s Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that
- 9 years ago, 1 Feb 2015, 09:10pm -
Graham Value Stock Portfolio January Update [Scott's Investments]
In January 2012 I announced a new portfolio, a Benjamin Graham “inspired” value stock portfolio. The Graham portfolio is an attempt to add a value strategy to Scott’s Investments, which is otherwise focused on momentum, trend, income and market timing strategies. The portfolio tracks ret
- 9 years ago, 19 Jan 2015, 04:30pm -
Dual Momentum Portfolio Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum†spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci has a new book out, Dual Momentum Investing: An Innovative
- 9 years ago, 11 Jan 2015, 09:17pm -