إستراتيجية تداول القطاع إتف

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صناديق الاستثمار المتداولة لاستراتيجيات تناوب القطاع.
ويرغب العديد من المستثمرين في استثمار وتنويع محفظتهم في مختلف القطاعات العالمية والمحلية، ولكنهم غالبا ما يكونون غير متأكدين من أين تبدأ. دوران القطاع هو استراتيجية يستخدمها المستثمرون حيث أنهم يتمتعون بمكانة زائدة في القطاعات القوية ونقص المراكز في القطاعات الأضعف. الصناديق المتداولة في البورصة (إتفس) التي تركز على قطاعات صناعية محددة توفر للمستثمرين طريقة مباشرة للمشاركة في تناوب قطاع الصناعة. كما تسمح صناديق الاستثمار المتداولة للمستثمر بالاستفادة من الفرص الاستثمارية في العديد من المجموعات الصناعية في جميع أنحاء العالم. (لمعرفة أساسيات دوران القطاع، تحقق من دوران القطاع: أساسيات.)
في هذه المقالة سوف نعرض لكم ثلاثة أنماط مختلفة من استراتيجيات دوران القطاع وتحديد لماذا صناديق الاستثمار المتداولة تساعد على نحو سلس مسار كل نمط.
W هي دو المستثمرين اختيار القطاع دوران؟
كبديل أسهل، يمكن للمرء أن ينظر في استخدام صناديق الاستثمار المتداولة التي تركز على قطاعات محددة. ويستفيد التناوب القطاعي من الدورات الاقتصادية من خلال الاستثمار في القطاعات التي تتزايد وتتجنب تلك التي تنخفض. (الحفاظ على قراءة حول هذا في صعودا وهبوطا من الاستثمار في الأسهم الدورية ومراحل نمو الصناعة.)
دوران القطاع هو مزيج من الإدارة النشطة والاستثمار الطويل الأجل: نشط في أن المستثمرين بحاجة إلى القيام ببعض الواجبات المنزلية لتحديد القطاعات التي يتوقعون لأداء جيدا؛ على المدى الطويل في أنه يمكنك عقد بعض القطاعات لسنوات.
وتميل الأسواق إلى توقع القطاعات التي ستؤدي أداء أفضل، في كثير من الأحيان قبل ثلاثة إلى ستة أشهر من بدء دورة الأعمال. وهذا يتطلب واجبات منزلية أكثر من مجرد شراء أو الاحتفاظ بالمخزونات أو الصناديق المشتركة، ولكن أقل من المطلوب لتجارة الأسهم الفردية. والمفتاح هو أن نشتري دائما في قطاع على وشك أن نؤيد في حين بيع القطاع الذي بلغ ذروته.
إتفس وأساليب الاستراتيجية الثلاثة.
النمط 1: استراتيجية الدورة الاقتصادية.
سام ستوفال أوف ستاندارد & أمب؛ يصف بورز استراتيجية دوران القطاع التي يفترض أن الاقتصاد يتبع دورة اقتصادية محددة جيدا كما هو محدد من قبل المكتب الوطني للبحوث الاقتصادية (نبر). وتؤكد نظريته أن قطاعات الصناعة المختلفة تؤدي أداء أفضل في مختلف مراحل الدورة الاقتصادية. وتتطابق قطاعات التسعة والثالثة مع كل مرحلة من مراحل دورة األعمال. ويتبع كل قطاع دورته وفقا لما تقتضيه مرحلة الاقتصاد. وينبغي للمستثمرين أن يشتروا في القطاع التالي الذي على وشك أن يشهد ارتفاعا. عندما يصل القطاع إلى ذروة تحركه على النحو المحدد في الدورة الاقتصادية، يجب على المستثمرين بيع هذا القطاع. وباستخدام هذه اإلستراتيجية، يمكن استثمار مستثمر في عدة قطاعات مختلفة في نفس الوقت الذي يتناوب فيه من قطاع إلى آخر - وكلها موجهة من مرحلة الدورات االقتصادية.
والمشكلة الرئيسية في هذه الاستراتيجية هي أن الاقتصاد عادة لا يتبع الدورة الاقتصادية كما هو محدد تماما. حتى الاقتصاديين لا يمكن أن يتفق دائما على اتجاه الاقتصاد. ومن المهم ملاحظة أن سوء الحكم على مرحلة دورة الأعمال قد يؤدي إلى خسائر بدلا من المكاسب.
نمط 2: استراتيجية التقويم.
تستفيد إستراتيجية التقويم من تلك القطاعات التي تميل إلى تحقيق أداء جيد خلال أوقات محددة من السنة. فترة منتصف الصيف قبل العودة إلى المدرسة غالبا ما يخلق فرص مبيعات إضافية لتجار التجزئة. أيضا، عطلة عيد الميلاد غالبا ما توفر تجار التجزئة مع مبيعات إضافية والفرص المتعلقة بالسفر. صناديق الاستثمار المتداولة التي تركز على تجار التجزئة الذين يستفيدون من هذه الأحداث يجب أن تفعل جيدا خلال هذه الفترات.
هناك العديد من الأمثلة على أحداث مستهلكة خاصة بالدورة، ولكن من السهل تصنيفها هو موسم القيادة الصيفي. الناس في نصف الكرة الشمالي يميلون إلى قيادة سياراتهم أكثر خلال أشهر الصيف. وهذا يزيد من الطلب على البنزين والديزل، مما يخلق فرصا لمصففي النفط. قد تستفيد أي مؤسسة إتف التي لديها جزء كبير من حيازاتها في الشركات التي تقوم بتحسين النفط. ومع ذلك، مع هبوط الموسم، وبالتالي فإن الأرباح من صناديق الاستثمار المتداولة للقطاع ذات الصلة.
النمط 3: الاستراتيجية الجغرافية.
ويمكن للمستثمرين من منظور التناوب الثالث في القطاع أن يختاروا صناديق الاستثمار المتداولة التي تستفيد من المكاسب المحتملة في واحد أو أكثر من الاقتصادات العالمية. وربما يستفيد بلد أو منطقة من الطلب على المنتجات التي تنتجها. قد تكون إتف متاحة التي تعطي المستثمر وسيلة للاستفادة من هذا الاتجاه من خلال الاستثمار في الشركات في هذا البلد.
إذا كان اقتصاد بلد ما ينمو بوتيرة أسرع من بقية العالم، فقد يوفر للمستثمرين فرصة للاستثمار في صناديق الاستثمار المتداولة المطلوبة لدعم النمو (مثل الطاقة والبنية التحتية والمواد الترفيهية وما إلى ذلك). وتتيح صناديق الاستثمار المتداولة المتخصصة في ذلك البلد للمستثمر طريقة أخرى للاستفادة من قطاع خاص دون الحاجة إلى شراء أسهم فردية.
ومثل أي استثمار، من المهم أن نفهم مخاطر استراتيجية دوران القطاع وصناديق الاستثمار المتداولة المقابلة قبل الالتزام برأس المال. من خلال الاستثمار في عدة قطاعات مختلفة في نفس الوقت، مرجحة وفقا لتوقعاتك من الأداء في المستقبل، يمكنك إنشاء محفظة أكثر تنوعا التي تساعد على الحد من خطر الخطأ في أي استثمار واحد. وبالإضافة إلى ذلك، يمكن لهذه الاستراتيجية أن تنتشر مخاطر اختيار الأسهم في جميع الشركات في إتف.
يجب أن يكون المستثمرون حريصين على عدم خلق تركيز غير مرغوب فيه في أي قطاع واحد، وخاصة عند استخدام مزيج من دورة الاقتصادية والتقويم والاستراتيجيات الجغرافية.
ومع توفر العديد من صناديق الاستثمار المتداولة، من المهم فهم استراتيجية الاستثمار وتكوين محفظة صناديق الاستثمار المتداولة قبل الالتزام برأس المال. وعلاوة على ذلك، تشكل صناديق الاستثمار المتداولة المتداولة بشكل طفيف خطرا إضافيا حيث قد يكون من الصعب بيعها بسرعة إذا لم يكن هناك عرض أساسي للأسهم.
وباستمرار الاستثمار الكامل في مجموعة متنوعة من صناديق الاستثمار المتداولة، يكون المستثمر قادرا على الاستفادة من الاتجاه الصعودي في القطاعات الجديدة مع الحد من مخاطر الخسائر بسبب التعرض للمخزونات العالية المخاطر. وبالإضافة إلى ذلك، من خلال بيع جزء من عقد الخاص بك في القطاعات التي هي في ذروة دورة وإعادة استثمار في القطاعات التي من المتوقع أن تؤدي بشكل جيد في الأشهر القليلة المقبلة، كنت تتبع استراتيجية استثمارية منضبطة. (حافظ على القراءة في هذا في الإستراتيجية المنضبطة إلى عوائد عالية.)
وتوفر إستراتيجية التناوب القطاعي التي تستخدم صناديق الاستثمار المتداولة للمستثمرين الطريقة المثلى لتعزيز أداء محفظتهم وزيادة التنويع. فقط تأكد من تقييم المخاطر في كل إتف واستراتيجية قبل الالتزام بأموالك.

3 ثبت إتف استراتيجيات دوران القطاع يجب أن تعرف!
عند الاقتراب من مسألة كيفية الاستثمار في صناديق الاستثمار المتداولة للحصول على أفضل عائد ممكن، يجب عليك أن تأخذ في الاعتبار الأسلوب الثابت لاستراتيجية دوران سوق الأسهم.
وتستند جميع استراتيجيات التناوب القطاعية إلى مفهوم الاستثمار القطاعي، وهو ببساطة شراء الأسهم في الشركات التي تمثل فئة سوقية معينة، مثل التجزئة أو الطاقة أو التكنولوجيا.
على هذا النحو، صناديق الاستثمار المتداولة تتناسب تماما مع هذا النهج.
ونظرا لأن مختلف الأعمال والصناعات تؤدي أداء أفضل بشكل متوقع في أوقات مختلفة، وفي ظل ظروف مختلفة، يمكنك استخدام هذه الأنماط الدورية للتبديل الفعال لحيازات صندوق الاستثمار الأوروبي من قطاع إلى آخر، من أجل زيادة عوائدك الإجمالية.
الآن دعونا ندرس الاستراتيجيات الثلاث السائدة لتداول صناديق الاستثمار المتداولة حسب القطاع من أجل تحقيق أقصى استفادة من التقلبات الاقتصادية والموسمية والجغرافية في السوق.
1 - استراتيجية دوران قطاع السوق.
إلى حد بعيد استراتيجية التناوب الأكثر شيوعا في سوق الأسهم التي تشمل صناديق الاستثمار المتداولة هي التي تتبع الدورة الاقتصادية المتغيرة باستمرار.
هذه التقنية هي عموما نهج استثمار طويل الأجل، وتعتمد على حقيقة أن الاقتصاد يميل إلى الذهاب من خلال دورة يمكن التنبؤ بها وقابلة للتكرار.
وعلى مدى عدة أشهر أو سنوات، يؤدي الركود إلى الانتعاش المبكر، ويؤدي الانتعاش الكامل إلى الركود المبكر. ومعظم الأسهم، بدورها، ستحاكي وتؤدي عموما هذا النمط في شكل ما، مع وجود قطاعات سوقية مختلفة تميل إلى الأداء الأفضل خلال مراحل مختلفة من الدورة الاقتصادية.
على سبيل المثال، ينقسم سوق S & أمب؛ P 500 إلى تسعة قطاعات رئيسية، وقد تم تحديد كل منها لعرض أفضل إمكانياتها للعائدات خلال مرحلة محددة من التقدم الاقتصادي القياسي.
بشكل عام، عندما الاقتصاد، وبالتالي سوق الأوراق المالية، وقيعان خارج والتكنولوجيا والصناديق المالية وغالبا ما تكون من بين أفضل الأداء.
ومع تحسن السوق، تبدأ القطاعات الصناعية وقاعدة المواد في التعافي، تليها صناعة الطاقة. مع بدء الاقتصاد في الانخفاض مرة أخرى، والرعاية الصحية والمرافق تأتي في تلقاء نفسها.
من خلال تحديد أي مرحلة من مراحل الدورة الاقتصادية التي نعيشها حاليا، وأي جزء من السوق يميل إلى أداء أفضل خلال تلك المرحلة، يمكنك ببساطة شراء صناديق الاستثمار المتداولة في أقوى القطاعات، وبيعها والانتقال إلى القطاع التالي عند الوصول الأول ذروته ويبدأ في الانخفاض.
بالطبع، هذه الاستراتيجية يمكن أن يكون أكثر صعوبة لمتابعة في الوقت الحقيقي من على الورق.
الاقتصاد، وقطاعات السوق المصاحبة له، قد لا تتبع دائما دوراتها التاريخية تماما كما تم تعريفها. قد يكون من الصعب التنبؤ بالاتجاهات أحيانا، وعندما يكون هناك ركود، هناك دائما احتمال أن يظهر كل قطاع تراجع.
ولكن إذا كنت على استعداد للقيام ببعض الواجبات المنزلية، إتف الاستثمار يوفر الطريقة المثلى للاستفادة من استراتيجية دوران قطاع السوق، تتطلب وقتا أقل البحوث، وتوفير حماية أفضل المخاطر، من الاستثمار الأسهم الفردية.
[تنبيه-ملاحظة] ⇒ نصيحة الاستثمار: تدوير الاستثمار الخاص بك وإعادة تنويع محفظتك الاستثمارية عندما يكون هناك تباين في الدورة الاقتصادية.
• عندما یرتفع الاقتصاد، الاستثمار في صناديق الاستثمار المتداولة التي تتبع قطاعات الأوراق المالیة الدوریة.
• عندما ينخفض ​​الاقتصاد، الاستثمار في صناديق الاستثمار المتداولة التي تتبع قطاعات الأسهم الدفاعية. [/ أليرت-نوت]
2. استراتيجية دوران الموسمية.
وخلافا لاستراتيجية التناوب القائمة على الاقتصاد، فإن أحدهما يقوم على التقلبات الموسمية يوفر ميزة توفير المزيد من الفوائد القصيرة الأجل.
العديد من قطاعات السوق تظهر أنماطا يمكن أن تساعد على تحقيق أقصى قدر من عائدات المستثمرين عدة مرات خلال السنة التقويمية، بما في ذلك تلك التي مثل قطاع التجزئة التي تزيد خلال التسوق في فصل الخريف ومواسم عيد الميلاد، وقطاعات الطاقة والمرافق التي تميل إلى الارتفاع خلال فصل الشتاء أشهر في المناخات الباردة.
إذا كنت تبحث صناديق الاستثمار المتداولة حسب القطاع، وتطوير مجموعة من المعرفة على أساس مختلف الأحداث الاستهلاكية التي تميل إلى دفع لهم على مدار السنة، وسوف نفهم أفضل الأوقات لشراء وبيع الأموال التي تمثل فئات كل منها.
بالإضافة إلى قطاعي التجزئة والطاقة الذي تمت مناقشتهما، يمكنك النظر في صناديق الاستثمار المتداولة التي تسمح لك بالاستفادة القصوى من مواسم القيادة الصيفية وفصل الشتاء.
وخلال هذه الأوقات، قد يساعد الاستثمار في القطاعات التي تشمل شركات الضيافة والإقامة والوقود وشركات الطيران على زيادة عوائدك الإجمالية.
من المهم أن نتذكر أن العديد من قطاعات السوق تبدأ في الزيادة والنقصان استجابة لمطالب المستهلكين السنوية قبل موسم الذروة وصولها ويغادر، لذلك يجب عليك دراسة أدائها التاريخي لتحديد الأوقات الأكثر فعالية لشراء وبيع.
وكما هو الحال مع أي استراتيجية استثمارية، يجب ألا تفترض أبدا أن قطاعا معينا من الأسواق سيؤدي أداء جيدا لأنه من المفترض أن يحدث، وخاصة خلال فترة الانكماش الاقتصادي.
انتظر وقتا كافيا لضمان أن قطاع معين يظهر نموه المتوقع قبل شراء أي صناديق استثمار متداولة.
[تنبيه-ملاحظة] ⇒ تلميح الاستثمار: الفترات الموسمية لا تبقى على حالها، تأكد من استخدام هذه الاستراتيجية جنبا إلى جنب مع التحليلات الأساسية والفنية الصلبة. [/ أليرت-نوت]
3 - استراتيجية التناوب على أساس المنطقة.
ولن يكتمل استكشاف استثمار صناديق الاستثمار المتداولة عن طريق استراتيجية التناوب دون النظر في المكاسب المحتملة التي تتيحها الاستثمارات الإقليمية.
تماما مثل بلدك، الأسواق العالمية تجربة دورات اقتصادية يمكن أن تترجم إلى عائدات مربحة إذا كنت تعرف أي صناديق الاستثمار المتداولة في البلاد للاستثمار في ومتى.
وعلى وجه الخصوص، قد تكون الفئة المعروفة باسم الأسواق الناشئة جديرة بالنظر، لأنها تمثل على وجه التحديد الشركات العالمية التي هي حاليا في مرحلة نموها، ربما لأنها تنتج منتجا أو خدمة ذات طلب مرتفع.
وبطبيعة الحال، فإن الأسواق الناشئة لا تخلو من مخاطرها، نظرا لأن الكثير من الشركات المعنية قد تكون أصغر سنا، وبدون تاريخ راسخ من العوائد القوية. ولكن اتجاهات النمو يمكن أن تجلب مكافآت مالية كبيرة لمن لديهم قدرة أكبر على تحمل المخاطر.
وفي الوقت نفسه، فإن استراتيجية التناوب على أساس المنطقة توفر أيضا إمكانات من حيث صناديق الاستثمار المتداولة للقطاع التي تدعم بشكل غير مباشر نمو الصناعة في بعض البلدان. للاستفادة من هذا، يمكنك التفكير في الاستثمار في الأموال التي تشمل الطاقة المحلية، والبناء، وغيرها من الأعمال القائمة على البنية التحتية.
[تنبيه-ملاحظة] ⇒ نصيحة الاستثمار: إذا نما قطاع معين بسرعة في الأسواق المتقدمة، فمن المرجح أن ينمو بشكل أسرع في الأسواق الناشئة، والعكس بالعكس & # 8230؛ [/ أليرت-نوت]
الخط السفلي.
إذا كنت على استعداد للقيام بدور نشط في إدارة استثمارات صندوق الاستثمار الأوروبي الخاص بك، يمكن أن تكون استراتيجيات التناوب القطاع وسيلة رائعة للاستفادة من الاتجاهات يمكن التنبؤ بها إلى حد كبير في الدورة الاقتصادية، والإنفاق الاستهلاكي الموسمية، واتجاهات نمو السوق العالمية.
هناك مستوى من المخاطر المرتبطة بأي تداول نشط، لذلك فمن الضروري أن تستثمر الوقت لإجراء بحث شامل لكل من الاستراتيجيات الموضحة هنا وفرص الصندوق المتداولة في إكسهانج المتداولة.
تذكر أن شراء وشراء صناديق الاستثمار المتداولة غالبا ما يتطلب دفع رسوم عمولات، ولكن من الناحية المثالية، فإن أي زيادة في العائدات التي تواجهها نتيجة لهذه الأساليب يجب أن تكون أكثر من جعل هذه تكلفة مجدية للقيام بالأعمال التجارية.
هونغ نغوين تحديث نوفمبر 10، 2017 إتف الاستثمار.
الوظائف ذات الصلة.
6 ثبت استراتيجيات إتف للاستثمار في سوق الدب.
4 استراتيجيات مثبتة للحد من الضرائب على صناديق الاستثمار المتداولة الخاصة بك.
10 يجب أن تعرف نصائح للاستثمار في صناديق الاستثمار المتداولة.
3 أشياء إتف يجب أن يعرف المستثمرون عن توقيت السوق.
5 استراتيجيات ثبت للاستثمار في صناديق الاستثمار المتداولة التي تعمل من أجلك!
8 أكبر الفوائد وعيوب الاستثمار إتف.
كيفية البدء في إتف الاستثمار للمبتدئين (وسيلة سهلة لتوجيه)
هونغ نغوين.
منظم، مستثمر مستقل، مدرب ورؤية لفريقي هنا. لقد تم اللعب مع الأسهم وتقاسم معرفتي إلى العالم. سوق الأسهم هو بارد، وأنا أحب ذلك!

إستراتيجية تداول القطاع إتف
الترتيب حسب الإغلاق في تاريخ آخر تداول للشهر السابق.
الشهر الأول نشتري أعلى المنصبين، زلف و زلو، ونحن نحمل هذه حتى يسقطون دون موقف 6 في الشاشة لدينا. بعد المعلومات الواردة في الجدول 1 سترى أنه اعتبارا من الأول من مارس زلف انخفض إلى الموضع 8 مما أثار بيع هذا عقد وشراء من إون، والذي كان في المرتبة الأولى لم نكن عقد بالفعل. ثم بحلول مايو قد انخفض زلو إلى موقف رقم 7 ويتم استبدال في محفظتنا من قبل زلب. ويبقى إيون و زلب في أعلى 6 مواضع خلال الفترة المتبقية من الفترة المبينة في الجدول 1 وفي عام 2002.
وبلغ معدل النمو السنوي المركب لهذا النظام 15.7٪ خلال هذه الفترة الزمنية، بينما عاد السوق بنسبة 0.4٪ سنويا. لا يعني أن هذا الأداء سيستمر ولكن من الجميل أن نبدأ معرفة النظام الخاص بك لديه القدرة على تفوق بشكل ملحوظ في السوق. المزيد من الإحصاءات في الجدول 3.
بيانات أداء الشهر حسب النموذج و سبي هي في الجدولين 4 و 5. وكما ترون من هذه البيانات فإن نموذجنا البسيط تفوق أداء السوق الواسع في 37 من 56 شهرا ولكل سنة من فترة الاختبار.
كما يظهر الرسم البياني أدناه هذا النموذج قد تضاعف تقريبا في القيمة خلال وقت كان السوق في الأساس مسطحة. إلا أن هذا الأداء لم يأت بالتساوي، ولكن حتى هذا النموذج لم يكن بمنأى عن السوق الدب من عام 2002. خلال ذلك العام ومرة ​​أخرى في عام 2003 هذا النموذج شهدت انخفاضات أكثر من 20٪ من انها قمم التقييم السابقة. ولكن حتى ذلك الحين بقيت القيمة أعلى بكثير مما كان يمكن أن تقدمه سبي.
إخلاء المسؤولية: لاحظ أن هذه النتائج يجب أن تعتبر افتراضية، وأن أسعار الإغلاق المستخدمة قد لا تكون قابلة للتحقيق في التداول الحقيقي، وأنه لا يتم تضمين رسوم المعاملات. كما ندرك أن الأداء السابق لا يتنبأ بالضرورة بالأداء المستقبلي وبالتالي يجب عليك بذل العناية الواجبة الخاصة بك قبل اتباع هذه الاستراتيجية أو أي استراتيجية استثمار أخرى.
التعليقات الحالية.
يتم الاحتفاظ بهذه الصفحات لأغراض مرجعية، وقد تم إغلاق قسم التعليقات هذا الآن. يجب ترك التعليقات العامة باستخدام الرابط أدناه في التذييل. شكر.
مشاركة همتود في الأربعاء، 09.3.14 @ 11:11 ص | # 2792.
تشرين الثاني نوفمبر - كان شهر نوفمبر شهر صلبة آخر للسوق الأمريكية، مع العائد سبي 3.0٪ وهذه الاستراتيجية القطاع العائدين 4.0٪. وبالنسبة لهذه السنة، فقد عادت هذه الإستراتيجية الآن إلى 29.8٪ مقابل 29.0٪ للسوق الواسع. كل من هذه الحافظة \ 'ق مقتنيات، إو و إوم، لا تزال في المراكز الأربعة شاشة أعلى حتى لم يكن هناك أي تغييرات هذا الشهر .. - هيو.
مشاركة همتود في يوم الاثنين، 12.16.13 @ 12:18 م | # 1769.
أكتوبر تحديث - واصلت السوق انها تشغيلها في أكتوبر مع سبي كسب 4.6٪ أخرى. وقد فشلت هذه الاستراتيجية النموذجية في تحقيق هذا الهدف الذي لم يتجاوز 1.8٪ في الشهر. وبالنسبة لهذا العام، فقد استحوذت استراتيجية القطاع على 24.7٪، في حين أن السوق الواسعة قد اكتسبت 25.3٪. كل من هذه الحافظة \ 'ق مقتنيات، إو و إوم، لا تزال في المراكز الثلاثة شاشة أعلى حتى لا تكون هناك أي تغييرات هذا الشهر .. - هيو.
مشاركة همتود في الثلاثاء، 11.5.13 @ 10:20 ص | # 1751.
سبتمبر تحديث - كان السوق تشغيل لطيفة في سبتمبر مع سبي كسب 3.2٪. اتبعت هذه الاستراتيجية نموذج في الغالب حذوها، والحصول على 3.0٪. وبالنسبة لهذه السنة، فقد حققت هذه االستراتيجية 22.6٪، في حين أن السوق الواسعة قد اكتسبت 19.7٪. كل من هذه الحافظة \ 'ق القابضة، زلف و زلف، سقطت في رتبة الشاشة على مدى الشهر وتحل محلها إتسيل 2000 إتف (إيو) و إتسيل راسل 2000 (إوم). - هيو.
مشاركة همتود في الثلاثاء، 10.8.13 @ 10:47 ص | # 1744.
أغسطس - تابعت إستراتيجية القطاع هذا السوق خلال شهر أغسطس، متراجعا بنسبة 3.9٪ في حين خسر سهم سبي 3.0٪. وبالنسبة لهذه السنة، أصبحت هذه الاستراتيجية الآن 19٪ في حين أن سوق الولايات المتحدة واسعة بنسبة 16.0٪. أما الحيازات الحالية، و زلف و زلف، فتصنف في المرتبة 2 و # 6، على التوالي في نهاية الشهر، لذلك لا توجد تغييرات. - هيو.
مشاركة همتود في الخميس، 09.5.13 @ 12:23 م | # 1729.
تحديث يونيو / يوليو - آخر شهرين تحديث هذه المرة. وانخفضت استراتيجية القطاع بنسبة 1.3٪ في يونيو، لكنها ارتفعت بنسبة 5.4٪ في يوليو، في حين أن مؤشر سبي كان عائدا بنسبة 1.3٪ و 5.2٪. وبالنسبة لهذا العام، فإن محفظة النماذج هذه قد ارتفعت الآن بنسبة 23.7٪ في حين ارتفعت السوق الواسعة بنسبة 19.6٪. لم تتغير حيازات هذا النموذج حتى اليوم، عندما انخفض إوس في الرتبة ويتم استبدال الرعاية الصحية (زلف). ينضم زلف الذي هو حاليا # 3 في الشاشة. - هيو.
مشاركة همتود في الخميس، 08.1.13 @ 16:20 م | # 1722.
مايو تحديث - كان هذا القطاع استراتيجية جيدة شهر آخر، عائد 3.8٪ في حين عادت السوق واسعة 2.4٪. يأخذ Y-t-d العودة إلى 19.1٪ لهذا النموذج محفظة مقابل لطيفة 15.3٪ ل سبي. مرة أخرى، لدينا مقتنيات من زلف و إوس لا تزال ضمن مواقف الشاشة العليا حتى لا يكون هناك تغييرات محفظة هذا الشهر. - هيو.
مشاركة همتود في الثلاثاء، 06.4.13 @ 11:25 ص | # 1712.
تحديث أبريل - هذه الاستراتيجية القطاع عاد 2.0٪ لشهر أبريل في حين عاد سبي قريب تقريبا 1.9٪. وبالنسبة لهذه السنة حتى الآن، فإن هذه الاستراتيجية لديها عائد 14.7٪ مقابل 12.6٪ للسوق الواسع. زلف و إوس لا تزال ضمن مواقف الشاشة العليا حتى لا تكون هناك تغييرات محفظة هذا الشهر. ويبدو استمرار اتجاهي للسنة من نشر في وقت متأخر، هيو.
مشاركة همتود في الثلاثاء، 05.14.13 @ 11:49 ص | # 1704.
& غ؛ ما هي الأوزان لتصنيفات قوات الأمن السريع؟ \ r \ نان، الصيغة الدقيقة لقياسنا في قوات الدفاع السريع مملوكة، ولكنها تستند إلى بيانات العودة لشرائح مختلفة من العام الماضي، مرجحة، تتعلق بالسوق الواسع، ومن ثم وأخيرا يتم احتساب المرتبة المئوية. وأنا أعلم أنك ترغب في مزيد من التحديد، ولكن هذا هو كل ما يمكنني تقديمه. التحيات، هيو.
مشاركة همتود في الثلاثاء، 05.14.13 @ 11:42 ص | # 1703.
ما هي الأوزان لتصنيفات رسف؟
مشاركة جين أون الإثنين، 05.13.13 @ 17:31 بيإم | # 1702.
جوجيش، أقترح عليك تحميل الأسعار التاريخية 500 والقيام تقييم الخاصة بك من 200 يوم إشارة ما. دراستي على مدى عدة عقود يظهر انتهاك 200 يوم ما يعمل بشكل أفضل كإشارة شراء من إشارة بيع. وبطبيعة الحال، فإن سوق الدب الشديد مثل 2000-2002 و 2008 هي استثناءات للقاعدة. ولكن هناك دائما استثناءات.
مشاركة توم في يوم الأحد، 04.21.13 @ 20:29 بيإم | # 1701.
التحديث في وقت متأخر لشهري فبراير ومارس - آسف حول انقضاء في التحديث، سأفعل أفضل المضي قدما. لقد كان عاما جيدا لهذه الاستراتيجية القطاعية في الولايات المتحدة، وحصل على 12.5٪ خلال الأشهر الثلاثة الأولى من العام عندما حقق سبي 10.5٪. وارتفعت الاستراتيجية بنسبة 6.6٪ و 1.5٪ و 4.0٪ على التوالي، خلال الأشهر الثلاثة الأولى. طوال الوقت وقد عقدت محفظة نموذج زلف و إوس. واعتبارا من نهاية مارس كانت هذه لا تزال أعلى اثنين من الأموال على الشاشة حتى لا تزال أي تغييرات. - هيو.
مشاركة همتود في الجمعة، 04.12.13 @ 09:21 ص | # 1699.
هل هذا لا يزال محدثا؟
مشاركة دان هانوم في الخميس، 04.4.13 @ 22:06 م | # 1697.
ماذا لو نحن الجمع بين نفس الاستراتيجية مع البقاء نقدا عندما S & P هو الخوار انها 200 ما؟
مشاركة جوجيش يوم الثلاثاء، 04.2.13 @ 01:06 ص | # 1696.
تحديث يناير - استحوذت هذه الاستراتيجية القطاع على لطيفة 6.6٪ في شهر يناير في حين أن سبي حصل على إعجاب 5.1٪. بداية لطيفة لهذا العام بغض النظر. زلف و إوس هي الحيازات الحالية ولا تزال في المرتبة في المواقف 1 و 2، على التوالي، لذلك لا توجد تغييرات هذا الشهر في هذا النموذج محفظة. - هيو.
مشاركة همتود في الأربعاء، 02.6.13 @ 14:46 م | # 1686.
رافي - يبدو أنني لم تأخذ عطلة صغيرة من نشر، ولكن فقط لمدة 1 شهر. اسف بشأن ذلك. - هيو.
مشاركة همتود في الأربعاء، 02.6.13 @ 14:35 بيإم | # 1684.
شكرا هيو وغيرها هي إتفسكرين - هذا هو بديل أفضل بكثير لنهج المحافظ كسول ل بل. الذين ليس لديهم الكثير من الوقت لتحليل مركت الأسهم. أنا لا أرى التحديثات الخاصة بك لشهر يناير أو فبراير - تتمتع عطلة جميلة بعض المكان ؛-). لكي تكون أكثر أمانا، يمكنك إضافة \ كابتشا \ 'إلى هذه الصفحة.
مشاركة رافي في الأربعاء، 02.6.13 @ 12:25 م | # 1683.
تحديث ديسمبر - ارتفع هذا القطاع استراتيجية 2.0٪ في شهر ديسمبر في حين ارتفع سبي بنسبة 0.9٪. ويأخذ هذا المجموع في السنة إلى 2.8٪ في حين أن السوق الواسع ارتفع بنسبة 16.0٪. منذ عام 2001 هذه الاستراتيجية لديها معدل نمو سنوي مركب 6.2٪ مقارنة مع 2.7٪ ل سبي. زلف و زلف هي الحيازات الحالية. وقد انخفض زلف في رتبة الشاشة وسيتم استبدالها من قبل إوس في هذا النموذج محفظة. - هيو.
مشاركة همتود في الأربعاء، 01.2.13 @ 12:59 م | # 1664.
تشرين الثاني نوفمبر - ارتفع هذا القطاع استراتيجية 1.1٪ في شهر نوفمبر في حين ارتفع سبي بنسبة 0.6٪. وبالنسبة لهذا العام، فإن محفظة النموذج هذه قد عادت إلى اللون الأسود مع مكاسب بنسبة 0.8٪، ولكن لا يزال هناك شوط طويل من مكاسب الأسواق الواسعة بنسبة 15.0٪. زلب و زلف هي الحيازات الحالية. وقد انخفض زلب في صفوف الشاشة وسيتم استبدالها مع زلف في هذا النموذج محفظة. يرجى ملاحظة، هذا النموذج محفظة دائما يتبع بدقة القواعد ويستثمر دائما، ولكن كل واحد منا هو المسؤول عن قراراتنا الاستثمارية الخاصة ولدينا خيارات. - هيو.
مشاركة همتود في يوم الاثنين، 12.3.12 @ 09:02 ص | # 1652.
لجيم H. استراتيجيتك تبدو جيدة في باكتيستس الخاصة بي. أحد الاقتراحات الأخرى هو القيام اثنين من اللقطات للإطار الزمني لمدة ستة أشهر واثنين من اللقطات لمدة ثلاثة أشهر الإطار الزمني. تظهر الاختبارات الخلفية نتائج قوية. وعندما يكون المرء في حالة ركود قد تعوض الأخرى.
مشاركة توم في يوم الاثنين، 11.26.12 @ 17:50 بيإم | # 1650.
أكتوبر تحديث - هذا القطاع فقدت الاستراتيجية 1.1٪ في شهر أكتوبر في حين خسر سهم سبي 1.8٪. وبالنسبة لهذا العام، فقدت محفظة النموذج هذه 0.4٪ في حين أن السوق الواسعة قد اكتسبت 14.3٪. زلب و زلف هي الحيازات الحالية ولا تزال في المرتبة رقم 3 و 1، على التوالي، لذلك لا توجد تغييرات محفظة هذا الشهر. - هيو.
مشاركة همتود في الخميس، 11.1.12 @ 13:31 م | # 1641.
شكرا على التعليقات حول النموذج. وأظن أن هذين الاقتراحين لهما ميزة. وهو يساعد دائما تقريبا على تسهيل البيانات الخلفية مع المتوسط ​​المناسب، وقائمة صناديق أقل ارتباطا يمكن أيضا أن تكون مفيدة.
مشاركة همتود في الثلاثاء، 10.2.12 @ 05:11 ص | # 1612.
مشاركة أندرو في السبت، 09.15.12 @ 20:08 بيإم | # 1598.
الشيء الوحيد الذي أجده مفيد: بدلا من استخدام سعر واحد منذ 126 يوما، كان متوسط ​​الأسعار الثلاثة منذ 147 و 126 و 105 يوما (أو ما يعادله قبل 7 و 6 و 5 أشهر).
مشاركة جيم H. أون الخميس، 09.13.12 @ 14:40 بيإم | # 1596.
أغسطس تحديث - عاد هذا القطاع استراتيجية 2.0٪ في شهر أغسطس في حين أن سبي عاد 2.5٪. وهذا يأخذ أرقام y-t-d إلى -0.9٪ لهذا النموذج و + 13.6٪ للسوق واسعة. زلك و زلب في المرتبة حاليا رقم 3 و # 2، على التوالي، في الشاشة حتى لا تكون هناك أي تغييرات في هذا الوقت.
مشاركة همتود في الثلاثاء، 09.4.12 @ 12:32 م | # 1590.
يمكنك أن تفعل تحديث ثرو و 1 H 2018؟
مشاركة تبوتو في السبت، 09.1.12 @ 04:52 ص | # 1583.
أحب هذا الموقع. تبحث عن نتائج أغسطس.
مشاركة جيمس في الخميس، 08.30.12 @ 07:52 ص | # 1582.
تحديث يوليو - عاد هذا الإستراتيجية القطاعية 1.0٪ في شهر يوليو في حين عاد سبي بنسبة 1.2٪. وهذا يأخذ أرقام y-t-d إلى -2.8٪ لهذا النموذج و 10.8٪ للسوق واسعة. زلف الآن إلى # 9 في التصنيف الشاشة وسيتم استبدال مع السلع الاستهلاكية (زلب) اعتبارا من إغلاق اليوم. التكنولوجيا (زلك) لا يزال في الشاشة. - هيو.
مشاركة همتود في الأربعاء، 08.1.12 @ 13:57 م | # 1543.
تحديث يونيو - شهدت يونيو انتعاش السوق من مايو، مع كل من السوق وهذه الاستراتيجية اختبار العائد 4.1٪. وهذا يعطي سبي ربحا بنسبة 9.5٪ للسنة، في حين أن هذه الاستراتيجية لا تزال متخلفة بفقدان 3.8٪ لنفس الفترة. زلك و زلف في المرتبة حاليا # 1 و # 2، على التوالي، في الشاشة حتى لا تكون هناك تغييرات محفظة في هذا الوقت. - هيو.
مشاركة همتود في الإثنين، 07.2.12 @ 09:28 ص | # 1490.
مايو تحديث - قد كان شهر سيء للسوق، وبالمثل، لهذه الاستراتيجية القطاع. فقدت محفظة النموذج هذه 7.7٪ خلال الشهر بينما خسر السوق الواسع 6.0٪. حتى الآن كان عاما سيئا لهذه الاستراتيجية، التي فقدت 7.5٪ حتى الآن في حين أن سبي قد اكتسب 5.2٪. زلك و زلف في المرتبة حاليا رقم 3 و # 1، على التوالي، في الشاشة حتى لا يكون هناك تغييرات محفظة هذا الشهر. - هيو.
مشاركة همتود في الجمعة، 06.1.12 @ 07:11 ص | # 1409.
أرسلت بواسطة بك يوم الاثنين، 05.7.12 @ 14:32 بيإم | # 1393.
للسجل، وإزالة زلف انخفض بالفعل معدل نمو سنوي مركب بنسبة 0.1٪ للفترة بأكملها. أعتقد أننا يمكن أن ننظر فيه حتى عن، ولكن أنا لن إسقاط زلف من الشاشة دون مزيد من الدراسة، والتي ليس لدي الوقت للقيام به الآن. في الواقع، لم أكن حتى نظرت في التجارة عن طريق البيانات التجارية لرؤية التحديدات التي تم إجراؤها بدلا من زلف. - هيو.
مشاركة همتود في السبت، 05.5.12 @ 10:29 ص | # 1392.
كنت أفكر في القيام ببعض الاختبارات البديلة على البيانات التي تستخدمها في محاولة لمعرفة ما إذا كان يمكنني الحصول على أي تعديل مهم إحصائيا لاستراتيجيتك للعمل ل إيرا روث كانت تكاليف المعاملات هي 0.
مشاركة إيريك ياكو في السبت، 05.5.12 @ 08:23 ص | # 1391.
هيو، شكرا للحفاظ على هذه الاستراتيجية الذهاب. تعليقي الوحيد هو زلف هو أنه بمجرد اكتشاف الناس شيئا ما لا يعمل، ثم يبدأ في العمل. ما يؤدي في دورة السوق (2003-2007) لا يؤدي عادة في الدورة القادمة. يوم زلف في المستقبل. شكر.
نشره توم في يوم الجمعة، 05.4.12 @ 18:30 بيإم | # 1390.
إذا قمت بإزالة زلف، وأتساءل ما سوف تظهر باكتست. إذا إزالة زلف يؤدي إلى أداء أفضل، وأنا قد تنظر لإزالة زلف من القائمة. أنا حقا غريبة.
مشاركة بك في ويدنزداي، 05.2.12 @ 12:47 بيإم | # 1389.
تحديث أبريل - مثل السوق، تخلت إستراتيجية القطاع عن بعض المكاسب هذا الشهر و فقدت 1.8٪ في حين خسر السوق الواسع 0.7٪. وبالنسبة لهذا العام، فإن محفظة النماذج هذه تصل الآن إلى نسبة هزيلة تبلغ 0.2٪ في حين أن السبي هو الأفضل بنسبة 11.9٪. زلك و زلف في المرتبة حاليا رقم 2 و # 3 في الشاشة حتى لا يكون هناك تغييرات محفظة هذا الشهر. - هيو.
مشاركة همتود في الثلاثاء، 05.1.12 @ 13:39 م | # 1387.
يبدو أن زلف لا يوفر ربحا معقولا في هذه الإستراتيجية. عندما عوائد السوق من الخسارة، فإن استراتيجية اختيار زلف. سبي أو مجلس السوق سوف تستفيد أفضل بكثير من زلف. هل انا صائب؟
2001-01-02 2001-03-01 -4.2 -3.3.
2002-11-01 2003-01-02 0.2 1.4.
2009-09-01 2018-01-04 6.3 14.3.
2018-04-02 2018-04-30 -3.1 -1.4.
مشاركة همتود في الثلاثاء، 05.1.12 @ 13:35 م | # 1386.
أرسلت بواسطة بك يوم الاثنين، 04.30.12 @ 14:40 بيإم | # 1385.
آذار / مارس - ارتفع هذا القطاع بنسبة 2.3٪ خلال شهر مارس في حين ارتفع مؤشر سبي بنسبة 3.2٪. وكان هذا كافيا لسحب هذه الاستراتيجية إلى منطقة إيجابية لهذا العام، ولكن في 2.0٪ انها بعيدة كل البعد عن السوق العريضة 12.7٪ العائد. وقد انخفض شلي إلى موقف رقم 7 لذلك يتم استبداله زلف (فينانشيال)، الذي ينضم زلك (التكنولوجيا) في هذه العينة محفظة. - هيو.
مشاركة همتود يوم الإثنين، 04.2.12 @ 13:30 بيإم | # 1353.
تحديث فبراير - ارتفع هذا القطاع بنسبة 2.3٪ خلال الشهر، في حين ارتفع السوق الواسع التعافي بنسبة 4.3٪. خلال الشهرين الأولين من السنة، حقق سبي الآن 9.2٪ وتظهر هذه الإستراتيجية خسارة بنسبة 0.3٪. ومع استمرار الانتعاش، فإن الأموال الدفاعية تعاني من ضعف أداء قطاعات السوق الأخرى. في ضوء هذا زلب و زلو، وهما الأموال التي عقدت حاليا في هذه العينة محفظة، انخفضت في رتبة الشاشة وسيتم استبدال زلك (التكنولوجيا) و شلي (الصناعات) اعتبارا من إغلاق اليوم. - هيو.
مشاركة همتود في الخميس، 03.1.12 @ 07:06 ص | # 1324.
تحديث يناير - بدأ هذا القطاع استراتيجية العام وضعه متحفظا، والذي كان في مكان خاطئ لشهر قوي. هذه الاستراتيجية فقدت 2.5٪ عقد زلو و زلب في حين ارتفع السوق واسعة 4.6٪. وهذا يضر، وهذان الصندوقان لا يزالان ضمن المراكز الستة الأولى للشاشة حتى لا تكون هناك تغييرات في هذا الوقت. - هيو.
مشاركة همتود في الأربعاء، 02.1.12 @ 08:50 ص | # 1302.
مشاركة همتود في الأربعاء، 01.4.12 @ 07:40 ص | # 1286.
شكرا للآراء. قلت: "ما يبدو أنه يعمل بشكل أفضل هو أن يكون هناك مؤشر سوق واسع للإشارة إلى التحولات بين السندات وشاشات الأسهم".
لم أر أي منها موثوقة.
الآن، يبدو، في رأيي، أن السندات قريبة من ذروتها. استنادا إلى النظر في مختلف قصيرة ومتوسطة وطويلة الأجل مذبذب ماكد.
مشاركة إيريك يوم الثلاثاء، 01.3.12 @ 18:17 بيإم | # 1285.
تحديث ديسمبر - انتهت استراتيجية القطاع هذا العام مع زيادة لطيفة 3.2٪ في ديسمبر في حين ارتفع سبي بنسبة 1.0٪. وبالنسبة لعام 2018، عادت محفظة النموذج هذه إلى 9.6٪ في حين ارتفع السوق الواسع بنسبة 1.9٪. منذ عام 2001 كان لهذه الاستراتيجية معدل نمو سنوي مركب قدره 6.5٪ مقابل 1.6٪ ل سبي. زلو و زلب لا تزال الصناديق أعلى مرتبة في هذه الشاشة حتى لا تكون هناك تغييرات محفظة في هذا الوقت. - هيو.
مشاركة همتود في الثلاثاء، 01.3.12 @ 09:16 ص | # 1283.
إريك، صناديق السندات أو صناديق الأسهم قصيرة يمكن أن تستفيد بالتأكيد العوائد. ومع ذلك، لم يكن لدي حظا سعيدا فقط إضافة السندات إلى الشاشة. I don't have results in front of me to share, but generally the time it takes for bonds to rise to the top and then fall in the rankings results in losses at least as great as holding the equities through _most_ drawdowns. What seems to work better is to have a broad market indicator to signal shifts between bond and equity screens. Again, no data in front of me to share at the moment so take it for what it is worth (not much).
Posted by hmTodd on Tuesday, 01.3.12 @ 09:08am | #1282.
Do you think adding BOND etfs to the Screener would produce better results? I saw someone mentioned they added Bond funds to the ETF and didn't get crushed in 2008. I added all Vanguard BOND ETFs to my own screen of Vanguard ETFs and interestingly the top 3 ETFs are all bond funds. The highest stock fund is Utilities sector.
Posted by Eric on Thursday, 12.29.11 @ 19:30pm | #1276.
Thanks for a great resource. I was interested in the discussions regarding the addition of a moving average. Have you had the chance to experiment with this idea, and if so, how would this be incorporated into the sector strategy to best advantage?
Posted by Robert on Wednesday, 12.7.11 @ 17:48pm | #1263.
November Update - This Sector Strategy eeked out a gain of 1.0% in November while the SPY lost 0.4%. For the year it now has a gain of 6.2% vs a gain of 0.8% for the broad market. XLV has now dropped to position #7 in the screen and will be replaced by XLP as of today's close. XLU remains in this sample portfolio. - Hugh.
Posted by hmTodd on Thursday, 12.1.11 @ 13:01pm | #1259.
October Update - Apparently I didn't post the October updates, and it was a good month. This sector strategy was up 4.7% while the SPY was up 10.9%. For the year, the model portfolio is up 5.2% vs 1.3% for the broad market. I do not currently have the updated positions but will edit this post when I can get them. - Hugh.
ملاحظة - XLU and XLV remained within the top 6 screen spots so there were not changes.
Posted by hmTodd on Tuesday, 11.22.11 @ 12:09pm | #1255.
where's the Oct. update? Love the site!
Posted by james on Thursday, 11.17.11 @ 12:56pm | #1254.
Like to access model data as an excel spreadsheet.
Posted by Michigander on Friday, 10.21.11 @ 15:28pm | #1238.
Posted by Rob on Monday, 10.17.11 @ 00:47am | #1236.
September Update - This sector strategy was hurt by the September tumble, but not like the broad market. This model portfolio lost 2.3%, while the SPY lost 6.9%. That takes this strategy down to +0.4% for the year to date, and the SPY to a -8.7%. The model holdings of XLV and XLU are still in the top 3 screen slots so there are no changes at this time. - Hugh.
Posted by hmTodd on Monday, 10.3.11 @ 08:54am | #1228.
I won't be able to update the strategy performance tables for a few days. The update pages were last updated early July, at sectorstrategyupdate. php and intlstrategyupdate. php.
Posted by hmTodd on Monday, 10.3.11 @ 08:40am | #1227.
Any chance of extending the performance charts for the sector and international methods,
perhaps up to the most recent results?
Also, should equal weighted funds, like RSP, be added to your 21 stock universe as they become available?
Posted by Bob on Sunday, 10.2.11 @ 15:07pm | #1226.
Can someone tell me what the script is for the old sector strategy?
Posted by broker on Sunday, 09.25.11 @ 15:59pm | #1224.
August Update - August was a tough month and our model portfolios suffered along with it. This Sector Strategy lost 5.6% during the month, almost matching the broad market's 5.5% decline. For the year this strategy is still up 2.8% while the SPY is down 1.9% as of 8/31. During the month XLE dropped out of the top slots and was replaced in this model by Utilities(XLU) as of the close on 9/1. To clarify the rules, we take the rankings as of the end of the month. The table of current rankings defaults to the current data and if you are looking at that table on the first of the month you might need to select 'prior close' data. - Hugh.
Posted by hmTodd on Friday, 09.2.11 @ 07:43am | #1217.
توم. thanks so much for the input!
Posted by Paul on Thursday, 08.18.11 @ 10:40am | #1207.
To Paul: I found my spreadsheet. I used 30 Vanguard etf's, including their sectors, capitalization like large growth, various international funds incl their Pacific and Emerging markets, plus a number of bond etf's. The idea was to go with the top 3 and hold as long as they were in the top six. Preservation of wealth would have occurred naturally in this setup during the 2008 bear as bonds outperformed stocks. Due to the newness of the Vanguard funds the backtest began in mid 2004 and continued in this study through Aug 2018. The result was the portfolio was up 85% (if my calculations are correct) in that time period. Your idea will work. but in my view you need something to preserve capital. I avoided the meat grinder of 2008-09 because I got chewed up in 2002 and had to devise a preservation scheme. أطيب الأماني.
Posted by Tom on Tuesday, 08.16.11 @ 03:56am | #1206.
To: Tom. thanks for the comments. Vanguard has 38 ETFs that I'm aware of. How about this idea. I sort out the 8 with the lowest average volume, sort the remaining 30, and then pick the top 2 based on 6-month results, and see once it drops from the top 6? Since I'm dealing with 30 ETFs instead of 21, maybe I should pick the top 3 instead of 2?
Posted by Paul on Monday, 08.15.11 @ 07:15am | #1205.
For Paul re Vanguard: I had a similar idea to yours (anything free is worth checking out),did a manual backtest a year ago using the Vanguard etf's and found they have a similar result to the spdrs. They're balanced a little differently but it works. One issue with Vanguard though is their much slimmer volume which can increase the slippage. You might also consider adding their other etf's (dividend and bond etf's) into the mix. Bond etf's rose to the top during the 2008 bear and gave you preservation of capital.
Posted by Tom on Monday, 08.15.11 @ 03:55am | #1204.
Anybody try this strategy using Vanguard's free ETFs? I would think the results would similar, but without the commissions.
Posted by Paul on Sunday, 08.14.11 @ 12:14pm | #1203.
. I kept XLE and replaced IWP with XLP. What am I missing with the above linked list and a 6 month return ranking? I showed IWP as ninth. I want to stay with the 6 over 6 team!
Posted by widespread panic on Monday, 08.1.11 @ 19:33pm | #1200.
July Update - This sector strategy lost 1.2% during the month of July, while the SPY lost 2.0%. For the year, this strategy has returned 8.9% while the broad market has returned 3.8%. لا تزال المقتنيات الحالية من إوب و شل ضمن أعلى 6 مواقف حتى لا يكون هناك أي تغييرات هذا الشهر. - Hugh.
Posted by hmTodd on Monday, 08.1.11 @ 08:34am | #1198.
Brian - The link at the top right of this page to Current Rankings is the place to look. That table is sorted by 6-month total return, which is the measure this strategy is based on. Thanks for the question - Hugh.
Posted by hmTodd on Monday, 08.1.11 @ 08:29am | #1197.
How do I tell what are the top ETFs as the table on your Current Ranking page does not match Table 1 on your ETF Sector Strategy page? I haven't observed your Current Ranking page long enough to know if the order in which they are listed changes. It is not clear because the ETF at top does not appear to have the highest RSf or highest return.
Posted by Brian on Sunday, 07.31.11 @ 11:09am | #1195.
Thanks for updating the records. This is such a simple strategy. One could have done a simple hedge (hedge if under both the 100ma and 200ma) and avoided the carnage in 2008; that would have produced even more phenomenal results with something as simple as this. Having reviewed and backtested all kinds of strategies I keep coming back to a simple strategy like this incorporating a hedge factor. Thanks again for the website. ملاحظة I'm trying to adapt a similar strategy using Fidelity's sector mutual funds. If anyone has any suggestions, please email at pdcpastort@gmail. شكر.
Posted by Tom on Sunday, 07.3.11 @ 09:12am | #1186.
June Update - This sector strategy lost 1.8% during the month of June, while the SPY lost 1.2%. For the year, this strategy is still outperforming the broad market with a 10.3% return, vs. 5.9% for the market. لا تزال المقتنيات الحالية من إوب و شل ضمن أعلى 6 مواقف حتى لا يكون هناك أي تغييرات هذا الشهر. For those interested, I have updated some longer term stats at sectorstrategyupdate. php. Hugh.
Posted by hmTodd on Friday, 07.1.11 @ 08:17am | #1184.
Is it possible to update the chart-Sector Strategy vs SPY to 2018? I'm interested in the last six years.
Posted by reedlee on Saturday, 06.25.11 @ 07:23am | #1183.
Rich, Thanks for catching that. I've corrected both the model and SPY returns for ytd. - Hugh.
Posted by hmTodd on Thursday, 06.2.11 @ 07:58am | #1182.
You quoted the "Market" as up 2.1% "for the year" in your May update. The S&P is up over 5% YTD.
Posted by Rich on Thursday, 06.2.11 @ 07:23am | #1181.
Tom, Thanks for the kind comments. The returns do include dividends. A return is a return whether it comes from dividends or capital appreciation. Thanks, Hugh.
Posted by hmTodd on Thursday, 06.2.11 @ 07:14am | #1180.
Especially good website with lots of good educational tools. Question: do the annual results for sector include dividends? I assume they do but would appreciate input from anyone on this. شكر.
Posted by Tom on Thursday, 06.2.11 @ 06:13am | #1179.
May Update - (Corrected) This U. S. sector strategy lost 2.2% during the month of May, while the SPY lost 1.1%. For the year, this strategy is still outperforming the broad market with a 12.3% return, vs. 7.7% for the market. لا تزال المقتنيات الحالية من إوب و شل ضمن أعلى 6 مواقف حتى لا يكون هناك أي تغييرات هذا الشهر. Hugh.
Posted by hmTodd on Thursday, 06.2.11 @ 04:44am | #1177.
April Update - During the month of April this model strategy gained 2.2% while the SPY gained 2.9%. For the year, this strategy has gained 14.8% while the broad market has gained 9.0%. لا تزال المقتنيات الحالية من إوب و شل ضمن أعلى 6 مواقف حتى لا يكون هناك أي تغييرات هذا الشهر. Hugh.
Posted by hmTodd on Monday, 05.2.11 @ 07:38am | #1165.
I had somehow missed Richard L's post, sorry about that.
- & GT. لا شيء. This strategy demonstrates a simple methodology of buying the top ranked funds and holding for a month. There are many ways to improve this strategy, but they add complexity.
- & GT. This strategy, not well. This strategy was down 50% from peak to trough, about the same as the SPY. The SPY has recovered slightly better as well, it is still down about 15% and this strategy is still off it's peak a little over 20%. I wouldn't bet on which will recover first, though.
- & GT. This strategy is always in the market, 100% invested.
Posted by hmTodd on Wednesday, 04.27.11 @ 07:46am | #1164.
My questions would be the same as #1162 can I ask what was your answers to his questions.
Posted by J-Rod on Wednesday, 04.27.11 @ 05:43am | #1163.
1. What role (if any) do stop-loss orders play in your methodology.
Posted by Richard L. on Thursday, 04.21.11 @ 12:20pm | #1162.
March Update - I'm a little late with this update, sorry about that. The SPY treaded water in March, returning 0.0% while the model strategy had a positive 1.8% return. For the year, the broad market has returned 5.9% while this portfolio has returned 12.3%. لا تزال المقتنيات الحالية من إوب و شل ضمن أعلى 6 مواقف حتى لا يكون هناك أي تغييرات هذا الشهر. Hugh.
Posted by hmTodd on Sunday, 04.3.11 @ 11:48am | #1152.
The RSf value seems to be a very powerful tool, but what exactly is it? I seem to recall seeing someplace that that it was a measure of the ETF's strength relative to the market. هل هذا صحيح؟ What timeframe is it measured against? Can you share the calculation?
Posted by Bob on Thursday, 03.10.11 @ 14:44pm | #1150.
Posted by dexthoftred on Saturday, 03.5.11 @ 15:43pm | #1149.
Jerry, Common sense would imply that if one has a system that is net positive then the CAGR would increase along with volatility by using leverage. However, leveraged funds have some peculiarities that might affect this and I haven't backtested it to get a judge of the performance. Therefore, I would be cautious and do some testing before proceeding down that road. Hugh.
Posted by hmTodd on Thursday, 03.3.11 @ 12:09pm | #1148.
Would not my performance be significantly better if I used the corresponding LEVERAGED etfs vs your non-leveraged etfs?
Posted by Jerry on Thursday, 03.3.11 @ 11:08am | #1147.
I’ve been visiting your blog for a while now and I always find a gem in your new posts. شكرا للمشاركة.
Posted by Arreceibind on Wednesday, 03.2.11 @ 09:59am | #1146.
I’ve been visiting your blog for a while now and I always find a gem in your new posts. شكرا للمشاركة.
Posted by auto wreckers on Tuesday, 03.1.11 @ 18:23pm | #1145.
February Update - The SPY has now had two strong months in a row, as has this strategy. For the month, the SPY returned 3.5% and this model portfolio returned 5.7%. For the year, the numbers are 5.9% and 10.4%, respectively. Our holdings of IWP and XLE are still within the top 6 screen positions, with XLE at #1, so there will be no changes at this time. Hugh.
Posted by hmTodd on Tuesday, 03.1.11 @ 12:21pm | #1142.
Yes, you can expect some updates fairly soon. There are several ideas being considered and I'm not ready to decide it at the moment. شكرا لدعمك.
Posted by hmTodd on Wednesday, 02.16.11 @ 14:02pm | #1124.
I have been following your strategy page for a while. Will you consider updating the list of ETF after so many changes in financial market? Will some ETFs start to become important, more fundamental or attractive than before?
Posted by BC on Wednesday, 02.16.11 @ 12:39pm | #1123.
Thanks a bunch. That was helpful!
Posted by rcmst on Tuesday, 02.1.11 @ 15:55pm | #1104.
January Update - The SPY started the year with a 2.3% monthly gain, it's best start since 2006. Meanwhile, this strategy started the year with a 4.4% gain, also the best since 2006. The current holdings of IWP and XLE are still in the top two screen positions so there will be no changes at this time. Hugh.
Posted by hmTodd on Tuesday, 02.1.11 @ 12:05pm | #1102.
RSf or Rtn-6mo, which is better? I've not run any recent formal comparisons, but generally I've found RSf to give more consistent results.
Posted by hmTodd on Wednesday, 01.26.11 @ 07:39am | #1097.
مهلا! Thanks for a wonderful job; especially with the new screener. أبقه مرتفعاً.
I have a couple of questions:
1. I noted that for the Ameritrade Commission-Free screen that you did in your blog of 20 Jan 2018, you presumably used the listing sorted out by RSf. But for your sector and international strategy, you are using a listing sorted out by 6 mths returns. Which in your view is preferable? Or are they the same?
2. What is the Ulcer Index in the backtest results? What does the Exposure mean?
Posted by rcmst on Tuesday, 01.25.11 @ 15:34pm | #1094.
Herb asked>Why did you choose 6 month return? Did you back test 3 month return?
Posted by hmTodd on Saturday, 01.8.11 @ 08:08am | #1087.
Why did you choose 6 month return? Did you back test 3 month return?
Posted by Herb on Friday, 01.7.11 @ 18:27pm | #1086.
On the Screener page there is a link to a field definitions page that should help.(/screenerfields. php) cGroup stands for Correleted Group. For details go to the home page and click the Top Fund Groups by RSf box. RRS is the Regression Relative Strength. It is based on the slope of a regression line through the log of the prices, and is converted to an annualized growth rate. It is comparable to the total return figures but incorporates all closing prices instead of just the beginning and ending prices, which makes it more stable. On the site we use a standard 21 market day month, so each day we drop a day and add a day. We need to work on a 'Terms' page or FAQ page, or something. Thanks for you interest and hope this helps. Feel free to email me at the link on the bottom of the page if you would like more details. - Hugh.
Posted by hmTodd on Tuesday, 01.4.11 @ 09:07am | #1085.
What is cGroup, RRS21, RRS42. 63,126,189,252 all mean on your Right Column settings and how are the rtn-1mo, rtn-3mo, . ect calculated when you are in the middle days of a month? I wish you had a terms page or something like hover over term and pop up definition would appear like when you hover over an ETF symbol.
Posted by Tom on Monday, 01.3.11 @ 22:38pm | #1084.
December Update - This Sector Strategy wrapped up the year with a 6.8% gain in December while the SPY returned 6.7%. For the year, the strategy gained 23.9% compared to 14.6% for the broad market. The current holdings, IWP and XLE, are still near the top of the screen list so there will be no changes at this time. Looking back to the beginning of 2001, this strategy has grown with a CAGR of 6.2%, compared to 1.5% for the SPY. Remember that past results are no guarantee of future results so do your own research. Have a Happy New Year, Hugh.
Posted by hmTodd on Monday, 01.3.11 @ 07:43am | #1083.
Thanks, Hugh. I could manage to run this strategy with Amibroker with some modification. I could get result similar to yours. I'll be experimenting with some of the modifications suggested here.
Posted by Ramo on Wednesday, 12.8.10 @ 18:16pm | #1035.
Ramo asked about how I backtest these strategies - I developed a system a while back for testing these types of strategies when there was no commercial software available for such. It may not have all the bells and whistles of a commercial package but it works well for this particular purpose. I think I've heard of people using Amibroker, but I don't remember them ever using a lower sell position like these screens do.
Posted by hmTodd on Monday, 12.6.10 @ 20:06pm | #1028.
How do you back test this strategy? I am looking for some guidance in back testing this strategy using Amibroker or any other means.
Posted by Ramo on Saturday, 12.4.10 @ 07:47am | #1023.
Thanks for the update! you work on this site is always appreciated!
Posted by Doug on Friday, 12.3.10 @ 07:49am | #1019.
November Update - Yes, Im a little late with the updates this month, but here they are. The SPY ended at the same level in both October and November, so was a wash for the month. This Sector Strategy during that month gained a measly 0.2%, so inline. For the year the strategy is now at +16.0% and the broad market, +7.4%. The holdings have been XLU and IWP. XLU has dropped down the screen and was replaced by Energy(XLE) as of the close on the first day of the month. Wishing everyone a happy December. - Hugh.
Posted by hmTodd on Friday, 12.3.10 @ 07:43am | #1018.
Posted by hmTodd on Friday, 11.12.10 @ 13:10pm | #989.
Posted by Skookum on Thursday, 11.11.10 @ 20:40pm | #988.
Nice to see all the comments and glad you all find the strategy thought provoking.
Posted by hmTodd on Friday, 11.5.10 @ 13:58pm | #983.
I just book marked your blog on Digg and StumbleUpon. I enjoy reading your commentaries.
Posted by soypeKene on Friday, 11.5.10 @ 10:19am | #982.
مرحبا! efbdddd interesting efbdddd site!
Posted by Pharmf714 on Thursday, 11.4.10 @ 18:00pm | #981.
This is in deed great strategy and very helpful for average investor like me. شكرا جزيلا.
Posted by Nilesh on Thursday, 11.4.10 @ 09:15am | #980.
if i were to start this month, do i go with the top 2 as of today ie XLB & XLK.
Posted by ska on Wednesday, 11.3.10 @ 22:48pm | #979.
October Update - October saw a nice continuation of a strong market and this Sector Strategy returned 2.5%, while the SPY returned 3.8% over the month. Year to date, this strategy has returned 15.8% while the broad market has returned 7.4%. The current holdings of XLU and IWP are currently ranked #1 and #5, respectively, so there will be no changes this month.
Posted by hmTodd on Saturday, 10.30.10 @ 09:12am | #976.
I’ve been visiting your blog for a while now and I always find a gem in your new posts. شكرا للمشاركة.
Posted by ubxcjbwr on Friday, 10.29.10 @ 21:59pm | #975.
Posted by Pharmd774 on Wednesday, 10.27.10 @ 23:58pm | #974.
مرحبا! edbeded interesting edbeded site!
Posted by Pharmg592 on Wednesday, 10.27.10 @ 23:58pm | #973.
Posted by Pharmg762 on Wednesday, 10.27.10 @ 21:12pm | #972.
مرحبا! gfbabfe interesting gfbabfe site!
Posted by Pharme22 on Wednesday, 10.27.10 @ 21:12pm | #971.
One minor difference on the calculation. We use standard 21 day months on this site so the 6 month term would be 126 trading days. Otherwise I think you have it. But remember we use prices adjusted for both splits and distributions. Hugh.
Posted by hmTodd on Thursday, 10.21.10 @ 19:32pm | #970.
Just want to be sure I have the sort process correct. Take the close of the last day of the latest month minus the close of the last day of the month, six months back. Then calculate the percent gain or loss and rank them accordingly. Is that all there is to it?
شكرا. Johan77.
Posted by Johan77 on Thursday, 10.21.10 @ 17:24pm | #969.
This is one amazing site - I want to thank you.
Posted by Jeff on Wednesday, 10.20.10 @ 09:12am | #968.
Posted by gfdggdfg on Monday, 10.11.10 @ 17:10pm | #967.
You certainly deserve a round of applause for your post and more specifically, your blog in general. Very high quality material.
Posted by adwareuosef on Sunday, 10.3.10 @ 03:24am | #966.
September Update - First, thanks for the positive comments and I am glad that there are several of you that find this useful. Now to the results. In a month where the SPY gained 9.0% this sector strategy gained 10.3%. For the year this strategy is now up 13.0% while the broad market is up 3.5%. As of yesterdays close both IWS and XLI had dropped out of the top 6 screen positions as measured by 6 month return. They will be replaced, as of todays close, by the top two on the screen which are Utilities(XLU) and Mid-cap Growth(IWP). Seems like a strange combination to me, but thats what the screen shows. Have a good October.
Posted by hmTodd on Friday, 10.1.10 @ 07:56am | #964.
Awesome Blog. I add this Blog to my bookmarks.
Posted by antivirusfuyyh on Friday, 10.1.10 @ 05:51am | #963.
I just book marked your blog on Digg and StumbleUpon. I enjoy reading your commentaries.
Posted by carauction5227 on Tuesday, 09.28.10 @ 13:17pm | #962.
ثابر على العمل الجيد.
Posted by viewer on Thursday, 09.23.10 @ 15:26pm | #961.
August Update - This sector strategy lost 5.7% during the month of August while the broad market lost 4.5%. For the year this strategy is now up 2.4% while the SPY is down 5.1%. The holdings are unchanged at MidCap Value(IWS) and Industrial(XLI).
Posted by hmTodd on Wednesday, 09.1.10 @ 12:32pm | #958.
RickJ asked about performance numbers. Right now you will need to look back through the posts for the updates. Ill try to get something more recent posted.
Posted by hmTodd on Wednesday, 09.1.10 @ 12:30pm | #957.
Do you have any data regarding the performance of the sector strategy ?
Posted by RickJ on Monday, 08.9.10 @ 17:57pm | #955.
Posted by ETF Investor on Tuesday, 08.3.10 @ 09:42am | #954.
July Update - This update will cover the past two months since I did not get an update posted a month ago. I apologize for that, and now realize more of you read this section than I thought. At the end of May this model strategy held MidCap Value(IWS) and Consumer Discretionary(XLY). At the end of June XLY dropped out of the top 6 screen positions and was replaced by the Industrial ETF(XLI). June was a bad month for the market, with the SPY down 5.2% and this model down 7.9%. July has seen a rebound with the broad market up 6.8% and this sector strategy up 9.5%. For the year, this model is now up 8.6% while the SPY is down 0.6%. Holdings remain IWS and XLI since they occupy the top two screen positions.
Posted by hmTodd on Monday, 08.2.10 @ 08:17am | #951.
Could you post the "ETF SCREEN" screen for this strategy. I have not been able to combine name fields like "sector spdr" and Ishares Russell"
I have been doing two separate screns but it would be nice to combine into one.
Otherwise, great tool.
Posted by ETF Investor on Monday, 08.2.10 @ 04:58am | #950.
is this area no longer updated?
Posted by bruce on Sunday, 08.1.10 @ 19:00pm | #949.
You certainly have some agreeable opinions and views. Your blog provides a fresh look at the subject.
Posted by vemma0216 on Sunday, 08.1.10 @ 17:31pm | #948.
So for me the XLY and XLI were below their 200 dma so I went to cash.
Posted by widespread panic on Monday, 07.5.10 @ 06:26am | #947.
I’ve been visiting your blog for a while now and I always find a gem in your new posts. شكرا للمشاركة.
Posted by buy vemma on Monday, 06.21.10 @ 16:15pm | #945.
I just sent this post to a bunch of my friends as I agree with most of what you’re saying here and the way you’ve presented it is awesome.
Posted by Na Zdrowie on Monday, 06.7.10 @ 23:42pm | #944.
May Update - This sector strategy lost 7.4% during the month of May while the broad market lost 7.9%. For the year this strategy is up 7.7% while the SPY is down 1.9%. The holdings are unchanged at MidCap Value(IWS) and Consumer Discretionary(XLY).
Posted by hmTodd on Tuesday, 06.1.10 @ 12:08pm | #942.
Have you tried to use highest return for three months instead of six months? It seems to respond the market faster. It may need more trading. I wonder what you think?
Posted by Brian on Wednesday, 05.5.10 @ 15:42pm | #941.
April Update - This sector strategy gained 5.2% in April while the SPY gained 1.5%. For the year this strategy has gained 16.3% while the broad market has gained 6.6%. The holdings are unchanged at MidCap Value(IWS) and Consumer Discretionary(XLY).
Posted by hmTodd on Monday, 05.3.10 @ 12:53pm | #939.
I just sent this post to a bunch of my friends as I agree with most of what you’re saying here and the way you’ve presented it is awesome.
Posted by lovect on Sunday, 05.2.10 @ 14:28pm | #938.
I would propose that performance would have improved dramatically if short funds had been included in the universe of funds. Have you checked that?
Posted by Waymac on Friday, 04.23.10 @ 13:06pm | #937.
March Update - This sector strategy gained 7.5% in March while the SPY gained 5.7%. For the year this strategy has gained 10.6% while the broad market has gained 5.0%. The holdings are unchanged at MidCap Value(IWS) and Consumer Discretionary(XLY).
Posted by hmTodd on Thursday, 04.1.10 @ 12:26pm | #935.
There have been a few requests for updated stats and charts. I had hoped to post a good bit of data with some refinements to the strategies but since everything is not ready Ill just post updated strategy results. See sectorstrategyupdate. php.
Posted by hmTodd on Wednesday, 03.3.10 @ 12:13pm | #933.
February Update - This sector strategy gained 5.2% in February while the SPY gained 3.1%. For the year this strategy has gained 2.8% while the broad market has lost 0.6%. The holdings are unchanged at MidCap Value(IWS) and Consumer Discretionary(XLY).
Posted by hmTodd on Monday, 03.1.10 @ 12:47pm | #930.
Hugh, will you be updating the performance graphs for the sector & international strategies vs the SPY. I believe the drawdowns will be helpful especially for 2008. Thanks.
Posted by Earl on Sunday, 02.14.10 @ 07:47am | #929.
A lot of information here. It is a little hard to interpret. What years in the past 10 has the strategy underperformed the S&P?. What was the performance in 2009. thank you.
Posted by daniel hogan on Friday, 02.5.10 @ 19:36pm | #927.
January Update - This sector strategy lost 2.2% in January while the SPY lost 3.6%. The holdings are unchanged at MidCap Value(IWS) and Consumer Discretionary(XLY). This model finished last year with an 11% gain compared to a 26.4% gain for the broad market. Since 2001, this model has a CAGR of 4.1%, compared to -0.3% for the SPY. Hugh.
Posted by hmTodd on Saturday, 01.30.10 @ 10:23am | #925.
In addition to a moving average component, if the asset classes included cash since in some markets cash performs better then stocks (2008 for instance)I think the backtest models would then propel your strategy even farther ahead of the S&P.
Posted by Doug Nashif on Monday, 01.18.10 @ 18:10pm | #915.
To answer a few questions:
Posted by hmt on Monday, 01.11.10 @ 15:02pm | #893.
How do you integrate this system into an overall investment strategy? Does one keep a fixed asset allocation and select best ETF's within the asset classes? For instance in a 60%stocks/40%bonds does one sort the fixed income group and pick the best bond ETF.
Posted by Frank on Monday, 01.11.10 @ 07:29am | #892.
Thanks for all the work. Have you looked at applying your technique to all the sector funds (All sector ETF's)? This technique would have one invested in bear market funds.
Posted by Frank on Friday, 01.8.10 @ 13:19pm | #890.
Thanks for the great website and these two example strategy's. They look like excellent ways to invest part or all of one's portfolio especially if stop loss protection and a 200 dma moving average qualification are included.
Posted by Doug Nashif on Tuesday, 01.5.10 @ 05:22am | #889.
December Update - This sector strategy gained 1.9% during the month of December, matching the return for SPY. For the year this strategy has returned 11.0% while the broad market gained 26.4%. This model currently holds Financials(XLF) and MidCap Value(IWS). XLF has dropped in ranking and will be replaced in this model with Consumer Discretionary(XLY) at today's close. Hugh.
Posted by hmTodd on Monday, 01.4.10 @ 18:34pm | #886.
November Update - This sector strategy gained 4.8% during the month of November while the broad market gained 6.2%. For the year this strategy has returned 8.9% while the SPY has returned 24.0%. This model currently holds Financials(XLF) and MidCap Value(IWS). These ETFs are still within the top screen rankings so there are no changes at this time.
Posted by hmTodd on Tuesday, 12.1.09 @ 08:17am | #862.
Posted by fJyIUOIvTzI on Thursday, 11.19.09 @ 11:18am | #860.
Oct Update - This sample strategy lost 5.7% during the month of October while the broad market, as measured by SPY, lost 1.9%. For the year this strategy has returned 4.0% while the SPY has returned 16.8%. This model currently holds Financials(XLF) and MidCap Value(IWS). These are currently in screen postitions 1 and 4, respectively, so there are not changes at this time.
Posted by hmTodd on Monday, 11.2.09 @ 06:49am | #843.
Todd - Prior to finding your site, I've played w/ several combinations of monthly averages. I'm still in XLF and XLB as I started with just the nine sector funds, but I now rank IWR and IWM for some sml/mid cap w/out overkill. Picking one point of 6 months scared me but we were never far apart until yesterday. For 6 months I use 24 weeks instead of 126 days. Comparing the 10/22 close vs. wk 5/4, 1)XLK 2)IWR 7)XLF, wk 4/27, 1)XLF 2)IWR, wk 5/11, 1)XLF 2)IWR. Average the 3 weeks and you still have 1)XLF 2)IWR. Scary! I'm wondering if you've ever back tested moving averages. When I average 126 and 200 MA, 1)XLF 2)IWR.
Posted by Mick on Friday, 10.23.09 @ 11:33am | #842.
Sept Update - This sector strategy returned 5.3% in the month of September while the SPY returned 3.5%. For the year this strategy has returned 10.3% while the broad market has returned 19.1%. This model currently holds Financials(XLF) and Materials(XLB). Materials has dropped in screen rank since last month and will be replaced with MidCap Value(IWS) as of todays close.
Posted by hmTodd on Thursday, 10.1.09 @ 08:43am | #839.
وذلك بفضل لرؤساء متابعة. The months were incorrect but have now been changed. As for the SPY return, I believe the 15% ytd number is correct although it doesn't feel like it. The screen rankings are taken as of the close of the month and XLB was in position #2 as of 8/31. On 9/1 it would have been IWS. Thanks for paying attention.
Posted by hmTodd on Thursday, 09.3.09 @ 13:19pm | #837.
Just a heads up I think you have made a mistake on your July and August updates. First you refer to the July update under your August update and then you list an update for June under your July update. Then you say that ytd the S&P 500 is up 15% through August. I don't think that is right. انظر أدناه. Also how did XLB get into the top two? Was that as of 8/31 or 9/1. شكر.
Posted by d on Thursday, 09.3.09 @ 07:41am | #836.
August Update - This sector strategy returned 2.5% in the month of August, underperforming the SPYs 3.7% return. For the year this strategy still trails with a 4.7% return compared to the broad markets 15.0%. This strategy currently holds Mid-Cap Growth(IWP) and Technology(XLK). These have both dropped in screen rank and will be replaced with Financials(XLF) and Materials(XLB) as of todays close.
Posted by hmTodd on Tuesday, 09.1.09 @ 12:30pm | #834.
July Update - This sector strategy returned 8.0% in the month of July, barely outpacing the broad market's 7.5% return. For the year this strategy is still seriously behind the SPY, with a 2.2% return compared to the market's 10.9%. This strategy currently holds Mid-Cap Growth(IWP) and Technology(XLK). These are still in the top six screen positions so there will be no changes this month.
Posted by hmTodd on Saturday, 08.1.09 @ 12:28pm | #831.
For anyone reading, Dean and I have been conversing about his market timing tweak via email and hope to share some results soon.
Posted by hmTodd on Saturday, 08.1.09 @ 12:24pm | #830.
Posted by Dean on Thursday, 07.30.09 @ 15:35pm | #829.
The ytd return through June was -5.3%. Sorry I failed to include it in the update.
Posted by hmTodd on Thursday, 07.30.09 @ 12:58pm | #828.
For the June update, you forgot to mention the YTD performance of the sector strategy vs the SPY. Please be sure to give this info in the July update. شكر. I am trying to decide which strategy to use and this would be helpful.
Posted by Cheryl on Thursday, 07.30.09 @ 12:24pm | #827.
I just found your website and am interested in implementing your sector strategy. Should I start with the top two as of today's date, which are XLF and XLK, or should I start with the two that were on the top back on July 1st, which were____ and ___?
Posted by Cheryl on Tuesday, 07.21.09 @ 14:35pm | #826.
Can you create and test a strategy for inverse ETFs when the broad market indices trend is down? It would be interesting to use this long sector strategy when the broad markets are up and then sell all long positions and buy inverse positions when the markets are trending down. مجرد فكرة.
Posted by chris on Friday, 07.17.09 @ 18:57pm | #825.
June Update - This model strategy returned 0.4% in the month of June while the market (SPY) returned -0.1%. This strategy began the month holding Consumer Discretionary(XLY) and Mid-Cap Growth(IWP). XLY has fallen out of the top 6 screen positions so was replaced by Technology(XLK) as of the close on July 1st.
Posted by hmTodd on Monday, 07.6.09 @ 09:57am | #822.
Yes this page should be updated and I apologize for not getting to it sooner. I'll update the model results in another post but get to the recent questions below.
Posted by hmTodd on Monday, 07.6.09 @ 09:50am | #821.
Is this page still being updated?
Posted by bruce on Monday, 07.6.09 @ 08:11am | #820.
have you ever tested a model using your existing rules, but running the screen daily? I was wondering if it improved performance to continuously monitor this list and then take action whenever a positon drops below your established threshold.
thanks for your time - you have a great site.
Posted by bruce on Tuesday, 06.23.09 @ 07:11am | #819.
Have you tested your own relative strength measure, RSf, in addition to using 6 month performance? If not, why not? If so, how did it do compared to the 126 day measure of relative strength? شكرا لكم. This is a great site and an excellent resource.
Posted by Malcolm Trevillian on Friday, 06.5.09 @ 11:00am | #811.
I notice that in January of '08 you list your 2007 performance as +9.2 % but in August of '08 you show 2007 as +11.3%. What accounts for the difference?
Posted by bruce on Thursday, 06.4.09 @ 10:23am | #810.
May Update - The SPY gained 5.8% this month and moved into positive year-to-date performance with a gain of 3.3%. This model strategy gained 2.3% for the month and still has a loss of 5.7% for the year. The current holdings, Consumer Discretionary(XLY) and Mid-Cap Growth(IWP), are currently in screen positions 4 and 1, respectively, so there are no changes this month.
Posted by hmTodd on Monday, 06.1.09 @ 07:38am | #808.
I scanned the previous letters and suspect some of my comments may have been answered.
Posted by Radman on Sunday, 05.17.09 @ 12:04pm | #807.
this post is fantastic.
Posted by Zfdtffdo on Sunday, 05.10.09 @ 17:11pm | #806.
Wonderfull great site.
Posted by Pilzdgwp on Sunday, 05.3.09 @ 00:38am | #805.
I'm happy very good site.
Posted by Ssjomxuc on Friday, 05.1.09 @ 23:44pm | #804.
April Update - The broad market continued its positive move in March, gaining 9.9% for the month and cutting its year to date loss to 2.4%. This strategy gained only 2% during the month and currently has a loss of 7.8% for the year. The two positions in this model portfolio have been Consumer Staples(XLP) and Healthcare(XLV). These defensive holdings have given way to Consumer Discretionary(XLY) and Mid-Cap Growth(IWP) as of todays close.
Posted by hmTodd on Friday, 05.1.09 @ 10:29am | #802.
Best Site good looking.
Posted by Atiakqdj on Friday, 04.24.09 @ 21:51pm | #801.
March Update - The market had a nice bounce in March. The two positions in this strategy returned 5.2% in the month while the SPY returned 8.3%. For the year the market has now lost 11.2% while this strategy has lost 9.6%. XLV and XLP remain in the top 6 screen positions so there are no changes to the model this month.
Posted by hmTodd on Wednesday, 04.1.09 @ 07:48am | #799.
Shawn asked about an update similar to the 8/8/2008 update. The 2001 - 2007 numbers obviously did not change. Below are the numbers for 2008 to present.
2008 -44.4 -46.8 -36.8.
2009 -9.6 -20.2 -11.2.
Posted by hmTodd on Wednesday, 04.1.09 @ 07:44am | #798.
can you provide some update as to the overall results since starting the strategy as you did previously on 8/8/2008 (#734)
Posted by Shawn on Monday, 03.30.09 @ 13:42pm | #797.
Look at the UYG at the 52 week low and ready for a huge run. The chart is looking greater every day load up.
Posted by JJ on Monday, 03.9.09 @ 17:07pm | #796.
February Update - As I write this the headlines are about the Dow losing half its value since its 2007 peak. That says a lot about the market as a whole. This momentum strategy lost another 10.4% during the month while the SPY lost 10.7%. For the year this strategy has lost 14.1% while the broad market lost 18.1%. The two holdings of this model, Consumer Staples(XLP) and Healthcare(XLV), remain in the top two screen positions so there are no changes at this time.
Posted by hmTodd on Monday, 03.2.09 @ 08:21am | #792.
January Update - The two holdings of this model, Consumer Staples(XLP) and Healthcare(XLV), lost a little ground in January, with the model portfolio losing 4.1% while the broad market, as measured by SPY, lost 8.2%. These are still in the top two positions so there are no changes at this time.
Posted by hmTodd on Monday, 02.2.09 @ 12:39pm | #788.
This remains one of the best ETF sites available. Thanks for maintaining it and for posting monthly performance results. I find your ETF Performance screen especially helpful. I use it currently in the 3 month setting.
Posted by kayboe on Sunday, 01.18.09 @ 18:51pm | #787.
December Update - The two holdings of this model, Consumer Staples(XLP) and Healthcare(XLV), performed well in December returning 5% and 12%, respectively, from 12/1 to 12/31. But the strategy lost 3.0% because of the losses in IWO and IWM on the first day of December. The broad market(SPY) returned +1.0% over the same period. For the year, this strategy lost 44.4% while the SPY lost 36.8%. With that, 2008 is done. The holdings, XLP and XLV, are still in the top two screen positions so remain in this strategy for January.
Posted by hmTodd on Friday, 01.2.09 @ 06:25am | #785.
November Update - The market turmoil continues and the performance of this strategy continues to reflect that environment, losing 11.9% last month while the SPY lost 7.2%. For the year this strategy has lost 42.7% while the broad market has lost 37.6%. This strategy began the month holding IWO and IWM. Both of these have now dropped in rank and will be replaced by Consumer Staples(XLP) and Healthcare(XLV).
Posted by hmTodd on Monday, 12.1.08 @ 08:13am | #782.
October Update - The market turmoil took its toll on this model portfolio this month with a loss of 21.3% as compared to a market loss of 16.5%. For the year to date, this strategy has lost 34.9% while the SPY has lost 32.7%. Both IWO and IWM are still in the top 6 screen positions so there will be no changes this month.
Posted by hmTodd on Monday, 11.3.08 @ 09:12am | #779.
First, thanks again for maintaining this site.
Have you tested using RSf with this strategy? (I am sure you have, interesting results.)
I would love to see this screener enhanced to allow:
*a user chosen pool of etfs.
*and while I am at it, a HTD feature.
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Posted by on Friday, 10.24.08 @ 07:15am | #777.
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I tried to use your ETF screener to replicate your ETF strategy and had trouble selecting the right criteria.
Posted by Investor237 on Saturday, 10.4.08 @ 11:53am | #775.
September Update - The two Russell funds in this model portfolio offered no protection from the market's correction. This portfolio lost 13.1% during the month while the broad market lost 9.4% as measured by the SPY. For the year this strategy is down 17.3% while the SPY is down 19.4%. Since IWO and IWM are still in the top 6 screen positions there will be no chances this month.
Posted by hmTodd on Wednesday, 10.1.08 @ 18:43pm | #773.
Posted by Stefano on Monday, 09.22.08 @ 13:58pm | #772.
August Update - August continued the shift away from commodities and into equities, although at a cautious pace. We began the month holding Materials(XLB) end Energy(XLE) and both lost ground during the month. During August this model strategy lost 0.5% while the market returned +1.5%. For the year they have lost 4.8% and 11.0%, respectively. The model is indicating it is time to close the two open positions as of today's close and move into two Russell funds, Small Cap Growth(IWO) and Small Cap in general(IWM). Interestingly, the last time these two funds were held at the same time was in 2003.
Posted by hmTodd on Tuesday, 09.2.08 @ 11:08am | #769.
I found your strategy very interesting! I do have some questions though:
Posted by Thom on Sunday, 08.17.08 @ 06:30am | #767.
Posted by hmTodd on Monday, 08.11.08 @ 12:36pm | #749.
A new, carefully performed study by two Dutch researchers concludes that ETF's cannot be used to profitably trade U. S. sectors using a momentum strategy. They found a mean 5% return per year without any trading costs, but theier estimate of the trading costs --- which was quite optimistic and which was less than those costs imputed in the ETFScreen scheme were more than 5% per year.
Our studies examined a large family of possible momentum stratgies, including the ETF Screen strategy --- which is one of the better ones.
P & B Invesments.
Posted by Paul H. Lasky on Monday, 08.11.08 @ 08:50am | #748.
Some wanted an update on how this strategy has done longer term so here is the data. The period covers 2001 through July, 2008. This is just an extension of the period covered above in the initial release.
Posted by hmTodd on Friday, 08.8.08 @ 08:24am | #734.
July Update - Due to an unexpected trip this is going to be short and to the point. I'll try to post more and update return data next week. This model strategy lost 11% during July when the SPY lost 0.9%, bringing the year to date returns to -4.4% for this strategy and -12.4% for the broad market. We've been discussing when the run for Energy and Materials would be over and it might have begun. But these funds are still in positions 1 and 3 so they will stay in the portfolio for another month.
Posted by hmTodd on Thursday, 07.31.08 @ 19:44pm | #712.
GreggB - I'd like to find a screen utilizing the short ETFs that are now available, but haven't devoted time to it recently. One problem in backtesting the short ETFs is their lack of price history. One would probably need to start by synthesizing index values for a longer history. شكرا على السؤال. Hugh.
Posted by hmTodd on Tuesday, 07.29.08 @ 06:35am | #703.
آسف. Didn't see Adam's similar short question from 2006.
Posted by Gregg B on Monday, 07.28.08 @ 14:00pm | #698.
I have not started to use this strategy yet but may begin the first of August.
any thoughts on doing a similar strategy for Short ETF's? To take advantage of segment downturns as well as segment momentum? مجرد فكرة.
Posted by Gregg B on Monday, 07.28.08 @ 13:55pm | #697.
June Update - June was a miserable month for the market but this strategy came through it with only minor damage. For the month this model portfolio lost 0.5% while the broad market lost 8.4%, taking year to date numbers to +7.5% for this model and -11.6% for the SPY. According to my numbers this was the worst monthly performance for the SPY since Sept 2002, when the world was expecting another terrorist attack.
Posted by hmTodd on Tuesday, 07.1.08 @ 07:31am | #692.
Michael, You could probably have improved performance the past year with some other commodity funds in the mix. Of course, that is hindsight at this point in the cycle. Part of the theory behind this model is to limit the selections to funds with low correlation so the family of Select Sector SPDR's was used.
Posted by hmTodd on Tuesday, 07.1.08 @ 07:22am | #691.
Posted by Michael on Thursday, 06.26.08 @ 04:58am | #690.
Thanks Hugh, I look forward to your posts every month.
Posted by editedby on Monday, 06.16.08 @ 09:06am | #685.
May Update - May was another good month for this model portfolio, returning 5.2% while the broad market returned 1.5%. For the year this strategy has returned 8.0% and the SPY is still negative at -3.5%. You never know when the market will turn against the energy and materials sectors but it will some day. For the moment we will stay where we are holding XLE and XLB because they are top in the screen.
Posted by hmTodd on Monday, 06.2.08 @ 07:51am | #672.
Has this site closed down? It is now June 2008--
Posted by mike on Saturday, 05.31.08 @ 09:08am | #670.
April Update - The month of April provided a good snap back for the market and this strategy capitalized on that, returning 8.3% while the broad market returned 4.8%. For the year this strategy is now in the black at +2.7% while the SPY is still negative at -5.0%. XLE is still #1 in the rankings and XLB is #3 so there are no portfolio changes this month. Hugh.
Posted by hmTodd on Thursday, 05.1.08 @ 05:44am | #661.
March Update - The tough market continues. This strategy lost 1.9% over the month holding Materials(XLB) and Energy(XLE) while the SPY lost 0.9%. For the year this model portfolio is ahead, if you can call it that, losing 5.1% while the market has lost 9.3%. Neither are very good. Going forward, the above two holdings are still in positions 3 and 2, respectively, in our list so they will remain in the portfolio another month. Hugh.
Posted by hmTodd on Tuesday, 04.1.08 @ 07:25am | #647.
Posted by hmTodd on Thursday, 03.6.08 @ 06:34am | #636.
Posted by HZ on Wednesday, 03.5.08 @ 14:12pm | #635.
I haven't tested your S&P 500 strategy, but my experience with market timing strategies that are either in the market or out of the market shows they need more smarts than a simple trailing return. This strategy does not try to time when to be in and when to be out, it merely tries to stay in the top performing segment. One could probably improve on this return with some rules that would exit the market entirely under certain circumstances, but that is more complex than I wanted to get with this simple strategy. Maybe something I should look at as a more advanced strategy.
Thanks for your comments,
Posted by hmTodd on Wednesday, 03.5.08 @ 13:46pm | #634.
Hi I found your website when searching ETF strategy on google. Your provide some very interesting results. However, since ETFs are relatively new, it is difficult to test your strategy across different market condition.
Posted by HZ on Wednesday, 03.5.08 @ 13:19pm | #633.
February Update - It was another unpleasant month for the market, and one that looked at times like it could be so good. This sector strategy held the two best funds by a long shot, returning +6.2% during the month when the SPY lost 2.6%. That still wasn't enough to carry us into positive territory for the year but it was a start. For the year this model strategy has lost 3.3% while the broad market has lost 8.5%. Our holdings, XLE & XLB, are at the top of the rankings so there are no portfolio changes at this time. Hugh.
Posted by hmTodd on Saturday, 03.1.08 @ 07:39am | #631.
It looks like I missed a couple of questions being asked. First for the question about combining returns from various periods, like 3 months, 6 months, and 12 months. Such a model is used by some and is effective. There is no one right way and many that will keep you in the top tier of performance over the long haul.
Posted by hmTodd on Saturday, 03.1.08 @ 07:31am | #630.
I have read your very interesting work about ETF-Screening.
I tried to write a rotationsmodel for my own and took your idea.
as an inital point.
I was using quotes from yahoo finance. But also with yahoos.
adjusted Prices I could not replicate your entries and exits.
Could you please tell me which prices you where using.
of which type of adjusting?
Posted by Werner Dunker on Sunday, 02.17.08 @ 05:39am | #624.
What about using a simple combination of returns: add the 3 month, 6 month, and one year returns and rank based on that sum. Or, to emphasize recent performance: add 1 month, 3 month, and 6 month returns.
Posted by uthr on Friday, 02.15.08 @ 14:41pm | #623.
Phil asked a good question about using the one month trailing return instead of the six month. From my experience and tests I've performed in the past I've found a short term measurement results in many more trades and whipsaws that eat into returns. In short, you react to the noise rather than changes in trend. Sorry I don't have any numbers on hand at the moment to support this.
Posted by hmTodd on Thursday, 02.14.08 @ 11:58am | #622.
what about using a one month trailibg return instead of six month?
Posted by Phil Kilby on Thursday, 02.14.08 @ 09:23am | #621.
January Update - No hiding from the down market with this strategy which got hit like everything else did. We began the year holding positions in Materials(XLB) and Energy(XLE). This combination lost 8.9% for the month, while the SPY lost 6.0%. Not the way we like to begin but the year has a lot left in it. These two funds are still among the top 6 on the list so there are no portfolio changes at this time. Hugh.
Posted by hmTodd on Friday, 02.1.08 @ 06:20am | #615.
December Update - This model portfolio began the month holding positions in Materials(XLB) and Energy(XLE). XLE had a strong month and this strategy returned 5.1% in the month while the broad market lost 1.1%. For the entire year of 2007 this portfolio returned 9.2% while the SPY returned 5.1%. These two funds are still in the top 6 screen positions so there are no changes this month. Wishing each of you a Happy and Prosperous New Year. Hugh.
Posted by hmTodd on Tuesday, 01.1.08 @ 09:28am | #609.
November Update - This model portfolio began the month holding positions in Materials(XLB) and Energy(XLE), which resulted in a loss of 4.6% for the month compared to a 3.9% loss for the SPY. For the year this strategy has returned 3.9% while the market, as measured by the SPY, has returned 6.3%. These funds are currently ranked #5 and #1 on our screen so there are no changes again this month. Hugh.
Posted by hmTodd on Monday, 12.3.07 @ 05:50am | #598.
There are any number of successful approaches to trading ETFs. The strategies presented here as examples are mainly to generate ideas and show what can be done. From the backtesting I have perfomed you don't want to switch from one fund to another if the two are highly correlated. That is one of the reasons the strategies on the site use a fixed list of funds, trying to avoid overlap. I see from the comments that you all recognize this and are avoiding the related funds. Stops are a difficult issue. I have seen few cases where a percentage stop improves returns for a momentum based strategy. Psychologically, however, stops make a trading strategy more palatable and can help to avoid some big losses in exchange for more small ones. That said, I have not tested stops on these ETF strategies so cannot comment with quantitative support.
Posted by hmTodd on Monday, 12.3.07 @ 05:44am | #597.
Becca I'm doing a similar thing with the "sector" strategy. I'm taking Hugh's list from the menu on the left of "All Sector ETF's". Sorting it by 6 months and looking for the best unrelated ETF's. I'm also sticking mostly with the iShares and SPDR because the other flavors seem to tend to putting a large percentage in a single stock which I don't like. I'm not using any stop though other than following Hugh's methodology of trading out any that have fallen out of the 8th position (since it is a long list).
Posted by Eric on Friday, 11.30.07 @ 11:29am | #596.
Re: Becca's strategy.
Many professional managers have used simple momentum strategy successfully like your strategy. Two name comes to mind are: fundxfunds and ETF and sector momentum tracker from fidelityadviser. Also I beleive etfquest uses RS based strategy.
Posted by investor on Thursday, 11.29.07 @ 11:38am | #595.
I am thinking of using a strategy very similar to that posted by Becca on 10/3/07 in comment 854, both in terms of ETF selection criteria (although mine are slightly different) as well as the use of a stop loss (I am using a 10% trail stop).
Posted by Mike on Sunday, 11.11.07 @ 21:55pm | #594.
October Update - This portfolio began the month holding positions in Materials(XLB) and Energy(XLE). These holdings yielded a 3.2% gain for the month taking the year-to-date return to 8.9%. This compares to a 1.4% monthly gain, and 10.6% ytd gain, for the SPY. These funds currently rank #3 and #1 on our screen so there are no changes this month. Hugh.
Posted by hmTodd on Thursday, 11.1.07 @ 11:16am | #592.
I'd like to know what you think about the following strategy using your performance screen of ALL etfs (Last time I counted I think there were about 240!) What I'd like to do is buy the top three UNRELATED etfs at the eginning of the month (for example I would not buy two China funds, nor a China fund and a BRIC fund) based on 6 month return. It would not matter to me whether they fall into international or sector strategies or both. Whatever etfs are in the top 15 percent of all etfs listed at the beginning of the next month would be kept, while those falling below this cutoff would be sold and replaced. Another thing I would add is a stop-loss that would automatically sell etfs that lose more than 10 percent during the month. When this happens I would wait until the first of the following month to buy an etf to replace the stopped out position, even if that means re-entering that stopped out position! I would commit 20 percent of my retirement funds to this sector strategy while the rest of my funds would be in diversified stock and bond mutual funds. I would use Morningstar to determine whether the top etfs are sufficiently different to own concurrently. Thanks so much for your web site and thanks ahead of time for your opinion of my plan.
Posted by Becca on Wednesday, 10.3.07 @ 10:50am | #584.
September Update - This portfolio began the month holding Materials(XLB) and Energy(XLE). Luckily these were the two top performing sectors for the month and this model portfolio returned 7.8%, taking the year-to-date return to 5.5%. The SPY, for comparison, has returned 3.9% for the month and 9.1% for the year. Obviously we are still behind for the year and need a strong finish to catch up. Since both of these funds are still in the top 6 positions there will be no changes at this time. Hugh.
Posted by hmTodd on Monday, 10.1.07 @ 04:49am | #581.
August Update - This model portfolio held Materials (XLB) and Utilities (XLU) during the month of August. The net result was a gain of 0.6% for the month taking the year to date return to -2.1%. For reference the SPY gained 1.3% in August and 5.1% year to date. XLU has dropped in rank and will be replaced with Energy (XLE) in this model portfolio on the close today. XLB is currently in position #6 which will keep it in the portfolio for another month.
Posted by hmTodd on Tuesday, 09.4.07 @ 06:02am | #570.
July Update - This will be a two month update since there was no update posted in June. This model strategy lost 2.9% in June and another 3.4% in July yielding a ytd return of -2.7%. The comparable numbers for the SPY were -1.5 and -3.1 for June and July and +3.7 year-to-date. This strategy is still holding materials (XLB) and utilities (XLU). We'll see where they go in August.
Posted by hmTodd on Wednesday, 08.1.07 @ 11:54am | #564.
The normal monthly update will have to wait a week or so, but I took a quick glance at market close today and it looks like both XLB and XLU will remain in this model portfolio another month even though XLU had poor performance in June.
Posted by hmTodd on Friday, 06.29.07 @ 19:02pm | #480.
Update for May - This sector portfolio returned 2.7% in May holding Materials(XLB) and Utilities(XLU), taking the year to date return up to 3.8%. While positive, both underperform the SPY which returned 3.4% in the month and 8.7% y. t.d. Since both of the above funds are still near the top of our list they remain in the model portfolio for another month.
Posted by hmTodd on Friday, 06.1.07 @ 09:20am | #453.
Update for April - This model portfolio returned 2.3% in April holding Materials(XLB) and Utilities(XLU), taking the year to date return to a positive 1.1%. For comparison, the SPY gained 4.4% for the month and 5.1% for the year. This strategy continues to lag the market, but has now turned positive on the year. We'll see how May goes with these same two funds since they are still at the top of the screen list. In other words - no changes in holdings this month.
Posted by hmTodd on Tuesday, 05.1.07 @ 05:49am | #421.
Update for March - Our sector stratgy portfolio returned a positive 0.6% in March while the market, as measured by SPY, returned 1.2%. For the year this model portfolio is down 1.4% compared to a positive 0.7% for the market. Our Consumer Discretionary(XLY) holding has fallen in our screen during March and should be replaced by Utilities(XLU) as of today's close.
Posted by hmTodd on Monday, 04.2.07 @ 09:05am | #400.
Josh asked about monthly performance numbers - Yes the numbers used on this site take dividends into account since they are returns just as capital gains are. Another reason we could be different is that we always use the same number of trade days for a given period where many sites use a calendar. We consider a month to always have 21 trading days so we effectively remove one variable from interpreting the results.
Posted by hmTodd on Monday, 04.2.07 @ 09:00am | #399.
How do you determine the monthly returns? They do not seem to match up with what I see elsewhere on the web. It looks as if you take into account dividends but I don't think that should make that much of a differnce (for example: according to Ishares website the 3 month performance for IWP is 2.43% , you have it as 4.01% , a fairy big difference, just wanted to get an idea how this is figured)
Posted by Josh on Wednesday, 03.28.07 @ 06:22am | #396.
Great site and a very interesting approach to ETF investing. I noticed that the most current data only runs through Sept 05 and I wanted to ask you when (or if) you were planning on posting results through 2006.
Posted by Aquafiend on Sunday, 03.4.07 @ 20:27pm | #327.
Update for February - After Tuesday's market drop this strategy lost 2.6% in the month of February, bringing the ytd return down to -2.0%. Technology(XLK) has not performed well and has dropped out of the top 6 screen positions so it will be removed from this model portfolio on today's close with the proceeds going into Materials (XLB).
Posted by hmTodd on Thursday, 03.1.07 @ 11:49am | #282.
Great site you have - I just stubled across it. I have two questions.
Posted by Earl on Sunday, 02.25.07 @ 17:14pm | #280.
An excellent and simple strategy.
Do you have any plans to post the 21 funds current position or is this just an historical survey?
Posted by cma on Saturday, 02.17.07 @ 18:59pm | #276.
I believe No Load Fund X newsletter out of San Francisco is ranked number one over 15 years by Hulbert and they pretty much have the same format. They pick the top couple ranked mutual funds and as they drop out of the top 5 or so then they select new ones. So the basic format has been successful for many years.
Posted by rw mac on Saturday, 02.10.07 @ 19:20pm | #275.
I just stumbled accross your sight today. You should be commended for the time, energy you have put into this sight. You are in "my favorites". Would you consider any inverse ETFs in your mix? Have you backtested any RSf strategies? Keep up the good work, it is appreciated.
Posted by Ralph Regula on Friday, 02.2.07 @ 11:23am | #272.
Update for January - This Select Sector SPDR strategy returned 0.6% in January while the market as measured by the SPY returned 1.5%. Our Utilities(XLU) position lost a little while our position in Technology(XLK) picked up a couple of percent during the month. XLU has now dropped in the rankings and will be replaced in this model portfolio with Consumer Discretionary(XLY) on today's close.
Posted by hmTodd on Thursday, 02.1.07 @ 07:47am | #269.
Update for December - December completed a positive but sub-par year for this model portfolio. During the month this model lost 0.3% while the SPY gained 0.8%. For the year the model returned 8.3%, respectable but just over half of the SPY's 15.2%. Since the beginning of 2001 the model returned 13.6% versus 3.1% for the broad market. The portfolio holdings are Utilities(XLU) and Technology(XLK) and do not change this month since both positions are still in the top 6 screen positions. Have a happy New Year and may your 2007 be a great year.
Posted by hmTodd on Sunday, 12.31.06 @ 10:58am | #262.
Update for November - This model portfolio returned 1.2% during the month holding Utilities(XLU) and Consumer Staples(XLP). The market during this period gained 2.0% as measured by the SPY. For the year this strategy has gained 8.5% while the SPY has gained 14.3%. The Consumer Staples(XLP) sector lost ground during the month and finished near the bottom of our list of funds. That position should be closed as of today's close and replaced with Technology(XLK).
Posted by hmTodd on Friday, 12.1.06 @ 05:59am | #250.
Update for October - This model portfolio held Utilities(XLU) and Consumer Staples(XLP) since October 1st, and returned 3.6% for the month compared to the SPY's 3.2%. This brings our ytd results to 7.2% during which time the market has gained 12.1%. The Utilities fund is still the top fund on our list and Consumer Staples is in position #4 so there are no portfolio changes.
Posted by hmTodd on Wednesday, 11.1.06 @ 06:35am | #113.
for your Relative Strength Trends (RSf) charts,
both the weekly and monthly versions.
Posted by William F Thomas on Monday, 10.23.06 @ 14:23pm | #70.
always in the market, never on the sidelines.
Would that not be a problem in a world wide.
bear market? Is there a way of moving to the.
sidelines during such an episode using these.
Posted by William F Thomas on Friday, 10.20.06 @ 21:41pm | #69.
Update for September - We began the month holding Utilities(XLU) and Energy(XLE). For a second consecutive month the market was not kind to the energy fund and our model portfolio lost both in absolute terms (-2.4%) and against the market, which gained 2.7% on the month. This brings our ytd results down to 3.5% during which time the SPY has gained 8.7%. The model indicates its time to close out the XLE trade and shift those assets into Consumer Staples(XLP) as of today's close.
Posted by hmTodd on Monday, 10.2.06 @ 05:19am | #67.
Update for August - We began the month holding Utilities(XLU) and Energy(XLE). The month was not kind to the energy fund and our model portfolio lost 2.2%. This brings us down to 6.1% for the year compared to the market's 5.8%. The SPY gained 2.2% in the month of August. Since both funds are still in the top 6 positions (XLE is #6) there will be no trades this month.
Posted by hmTodd on Friday, 09.1.06 @ 06:14am | #64.
Posted by hmTodd on Friday, 09.1.06 @ 06:10am | #63.
It seems that a 3 month performance period might be more prudent than the 6 month, since most sectors and styles are generally peaking within 6 months. With the 6 month selection you will be buying a sector near the top of it's cycle.
Posted by geoff on Saturday, 08.26.06 @ 06:26am | #62.
Update for July - This sector based strategy had a small loss in July as the small cap value fund lost more than the energy fund gained. For the month the combination lost 0.8%, more than the markets loss of 0.4%. For the year this strategy has returned a theoretical 6.5%, beating the SPY's 2.6%. The trading rules call to sell IWN at the end of today's trading and buy utilities (XLU) with the proceeds.
Posted by hmTodd on Tuesday, 08.1.06 @ 08:40am | #59.
This is the most useful site for ETF that I have seen so far.
"Ability to pick TOP n ETF for a criteria and be able to do more than one time"
(currently i see we can only do one level sort)
One I would like to do personally is something like -
Posted by swamib on Saturday, 07.22.06 @ 21:19pm | #58.
Update for June - This sector based strategy had a small recovery in June, gaining 2.1% for the month while the market gained 0.2%. For the year this strategy has returned 7.4% while the market has returned 3.1 as measured by the SPY. The trading rules dicatate another trade as of market close today, selling Materials (XLB) and buying the Russell 2000 Value fund (IWN).
Posted by hmTodd on Monday, 07.3.06 @ 04:55am | #54.
Update for May - This strategy led the market down in May, losing 5.0% while the broad market as measured by the SPY lost 3.0%. For the year the Sector Strategy has gained 5.2% while the SPY has gained only 2.8%. Going into June we will keep our position in Materials(XLB) but the model calls for closing out the position in Small-Cap Growth (IWO) and move into Energy(XLE).
Posted by hmTodd on Thursday, 06.1.06 @ 07:39am | #51.
Update for April - This strategy had another positive return in April, besting the market 2.0% to 1.3%. For the year the Sector Strategy stands at 10.8% vs. 6.0% for the SPY. Going into May we will keep our position in Materials(XLB) but the model calls for closing out the position in Mid-Cap Growth (IWP) and move into Small-Cap Growth(IWO). IWP was picked up by the model in November and has returned over 14% since that time.
Posted by hmTodd on Sunday, 04.30.06 @ 13:56pm | #48.
Update for March - This strategy did well in March, gaining 4.0% versus 1.7% for the market. For the first three months of the year this Sector Strategy has gained 8.6% versus 4.7% for the SPY. Going into April we maintain our positions in Materials(XLB) and Mid-Cap Growth(IWP).
Posted by hmTodd on Sunday, 04.2.06 @ 10:45am | #40.
Update for February - This strategy suffered a bit in February with the sell off in energy, losing 5.7% on the month compared to +0.6% for the SPY. But for the year our strategy still leads 4.4% to 3%. We trade in our energy position (XLE) for basic materials (XLB) this month. I only hope it can be so successful. Although it cost us this month, our strategy has held XLE for almost two years and it has risen over 75% during that time. Not all bad!
Posted by hmTodd on Wednesday, 03.1.06 @ 08:33am | #34.
Adam, you ask some good questions. First, the 2-week version backtests with a slightly lower CAGR than the 1-month version, but probably within the normal noise(randomness). It had 23 vs 17 trades for 2001 - current. I've found that the more often the re-assessment period the more stable the indicator needs to be, making a simple indicator like 6 month total return less useful. When you get down to daily or even weekly periods you need a more complex measure like regression.
Posted by hmTodd on Thursday, 02.16.06 @ 18:46pm | #33.
Couldn't help making a second comment! Have you tried shorting the two worst performing sectors each month (or every 2 weeks)?
Posted by Adam on Wednesday, 02.15.06 @ 19:02pm | #32.
I love the simplicity of your strategy, but I'm curious what other strategies you've tested. Could you list them? You provide a large number of screening variables on your site and it's hard to believe that none of them beat the 6-month performance screen. Also, have you looked at the results and number of trades if you were to re-assess every 2 weeks rather than every 4?
Posted by Adam on Wednesday, 02.15.06 @ 18:58pm | #31.
Update for January - Both of our published strategies began the year with exceptional returns. This Sector Strategy gained 10.7% in January compared to a 2.4% gain for the SPY. A solid gain for this strategy even if it did underperform the International Strategy. Again, no trades this month since both XLE and IWP are still in the top 6 positions of the screen ranking.
Posted by hmTodd on Wednesday, 02.1.06 @ 05:57am | #27.
Posted by hmTodd on Tuesday, 01.3.06 @ 13:18pm | #26.
Hugh, thought you'd be interested in this.
مقالة - سلعة. Particularly the system.
Posted by Paul Crum (rushes100) on Tuesday, 01.3.06 @ 09:49am | #25.
Update for December - This Sector Strategy returned 1.4% in December compared to a loss of 0.2% for the SPY. For the year, the strategy is up 30.7% vs 4.8% for the broad market. Again, no trades this month since both XLE and IWP are still in the top 6 positions of the screen ranking.
Posted by hmTodd on Monday, 01.2.06 @ 10:41am | #21.
Posted by hmTodd on Wednesday, 12.21.05 @ 11:37am | #20.
If and when I try to follow this system you are already in 2 positions, and then I get into it at the end of the month. what if 2 other etf's hold the top positions.
Would you say to get into the one's you are already in because they are in the top 6 or would you think it is okay to just buy the top 2 even if they are not the ones you are holding?
Posted by jay on Wednesday, 12.21.05 @ 09:11am | #19.
My only knowledge of "Guy Lerner" system is in.
the paragraph named "The Methodology". It looks.
like he is using a determination of the "Bull"
and/or "Bear" market bias to "buy" new ETFs.
Other than that I don't know.
Posted by Paul Crum on Tuesday, 12.20.05 @ 08:32am | #18.
Posted by hmTodd on Monday, 12.19.05 @ 16:40pm | #17.
In rereading your etf "investing concept",
which I think is great, I had come across this.
post on the Yahoo board (it's actually from.
the Street) that I thought Hugh would be.
Posted by Paul Crum on Monday, 12.19.05 @ 11:34am | #16.
pbd100 asked about using a 3-month lookback for this strategy instead of the 6-month. I just reviewed results from such a model and the 6-month lookback outperformed during the time period of this trial in total and for each year except 2004. In that year the 3-month lookback returned 20.4% while the 6-month returned 18.7%. For 2001 through Nov, 2005, the 3-mo had a CAGR of 1.8% compared to 14.6 for the standard model.
Posted by hmTodd on Monday, 12.5.05 @ 10:29am | #14.
Have you looked at the same strategy with a 3 month look back instead of 6 month? I would expect a slight improvement in returns.
Posted by pbd100 on Friday, 12.2.05 @ 07:54am | #13.
Update for November - This strategy returned 2.2% in November compared to 4.4 for the SPY. Year to date, the strategy is at 28.9% vs 5% for the broad market. No trades this month since both XLE and IWP are still in the top 6 positions of the screen ranking.
Posted by hmTodd on Friday, 12.2.05 @ 07:43am | #12.
I won't argue with the logic of what you suggest. The problem is, as you mentioned, that only IYR has been around long enough for the backtest. Adding IYR in with the other funds does not improve the returns at all, in fact it is never selected over this short time period.
Posted by hmTodd on Wednesday, 11.23.05 @ 04:48am | #11.
I like this approach but instead of all the Russell Funds I would look at ETFs that reflect major markets following the approach of John Murphy's Intermarket Analysis. What that means is I would have IYR (Real Estate), GLD (Gold), EFA (global markets), IWC (Russell Microcap) and some selection from IEF, TIP, & SHY (all Bond Funds). The problem with this is that some of these are new funds and would not fit into a backtest.
Posted by pbd100 on Thursday, 11.17.05 @ 22:50pm | #10.
Update for October - As suspected this month turned out to be a poor one. Our two funds, XLE and XLU, lost 7.9% for the month handing us our 3rd worst performance since 2001. I'd feel bad about it, but as of the end of October these two funds were up 63% and 30%, respectively, since our model picked them. November began with one trade. Our utility holding (XLU) was sold and replaced with the iShares Russell MidCap Growth Index Fund (IWP). Looking for a better November,
Posted by hmTodd on Friday, 11.4.05 @ 11:09am | #9.
Update for September:
Posted by hmTodd on Thursday, 10.6.05 @ 10:49am | # 8.
Good screen that keeps you in the long term trend. Who would think it would be this simple? It just shows consistency pays off.
Posted by Trader on Thursday, 09.29.05 @ 08:10am | # 7.

PODCAST: A Simple Sector ETF Rotation Strategy That Beats the Market.
On today’s show, economist and FTMDaily founder Jerry Robinson is joined by one of America’s top quantitative minds, Meb Faber . Faber is the founder and Chief Investment Officer of Cambria Investment Management and is the author of several books and white papers on the topics of investing and trend analysis.
In this special guest interview, Faber provides his current view of the financial markets, shares some uncommon wisdom on investment allocation, and explains his popular sector ETF rotation strategy. Faber also offers a free copy of his latest book for all of our listeners (Keep reading to learn how you can get your free copy.)
Later in the program, Jerry Robinson breaks down all of the the basic stock market sectors in the S&P 500 index and explains how he personally uses Faber’s sector ETF rotation strategy to consistently beat the markets.
Later, Precious metals advisor, Tom Cloud , provides an update on the latest price action on gold and silver.
ON TODAY’S PODCAST, YOU WILL LEARN.
& # 8211؛ Why average stock market returns may become mediocre in the months ahead…
& # 8211؛ Where most Americans should be focusing their investment dollars right now…
& # 8211؛ A stock market sector list of ETFs based on the nine basic stock market sectors included in the S&P 500 index…
& # 8211؛ How to use Meb Faber’s simple sector ETF rotation strategy to beat the market 70% of the time…
& # 8211؛ An update on the Greek debt crisis as a new bailout (or bail-in) looms…
RESOURCES MENTIONED IN THIS EPISODE.
2018 Market Insights: An Interview with Meb Faber.
MEB FABER is a co-founder and the Chief Investment Officer of Cambria Investment Management and currently manages Cambria’s ETFs, separate accounts and private investment funds. Faber has authored numerous white papers and several investment books: Shareholder Yield, The Ivy Portfolio, and Global Value. He is a frequent speaker and writer on investment strategies and has been featured in Barron’s, The New York Times, and The New Yorker.
In today’s interview, Faber provides his latest insights on the global financial markets and shares where he is investing his own money.
In addition, Faber talks about the recent Chinese stock market rally and explains his popular sector ETF rotation strategy that has been shown to beat overall market returns 70% of the time.
Stock Market Sector List – Basic Stock Market Sectors.
A few years ago, I stumbled across an interesting white paper entitled Relative Strength Strategies for Investing written by Meb Faber of Cambria Investment Management. The paper demonstrated a powerful (but simple) investment strategy that outperformed the typical “buy-and-hold” strategy nearly 70% of the time.
Faber’s research, which was based upon 80+ years of stock market data, revealed an astoundingly simple way to beat the market. Put simply, the strategy involves buying sector-based ETFs that have recently outperformed their peers.
Instead of simply buying an S&P 500 index fund, like SPY, this strategy shows how to beat the return of the S&P by investing in the underlying sectors displaying the most relative strength.
Below, I have provided a stock market sector list (courtesy of State Street Global Advisors)
How This Sector ETF Rotation Strategy Works.
The S&P 500 Index is composed of the above nine sectors. Of course, some sectors outperform others each month, each quarter, and each year. Faber’s sector rotation strategy is quite simple. The strategy basically invests in the top 1, 2, or 3 sectors based upon trailing total returns including dividends .
By focusing your investments into the top performing sectors within the S&P 500, you are more likely to own more of the leaders and less of the laggards in the stock market. This, in turn, can boost your returns if the current uptrend continues in your selected sector(s).
Faber’s strategy is also very flexible in that you can invest in the top 1, 2, or 3 sectors and you can rebalance them every month, quarter, six months, or every year. So, it can suit most people’s schedules and temperments.
If you choose to only invest in the top performing sector, then you would basically invest 100% into that sector.
If you instead choose to invest in the two best performing sectors, then you would invest 50% into each of the top two sectors. (While investing in the two (or three) top sectors slightly lowers the historical return probability, it also slightly lowers your risk through wider diversification.)
And if you choose to invest in the top three performing sectors, your investment would be divided evenly into thirds, that is 33% invested in each of the top three sectors.
How often do you rebalance the portfolio? هذا راجع اليك. You can do it every month, quarter, six months, or once a year. Faber’s research does reveal, however, that certain timeframes are more ideal than others.
As you can see, it is a very simple investment strategy that is easy to implement and has historically beaten the underlying index returns 70% of the time.
If this simple sector ETF rotation strategy sounds interesting, I urge you to download and read Faber’s 22-page White Paper here . It’s a quick read and contains some interesting insights, especially regarding how to optimize the portfolio for the best possible returns. Also, you should know that Faber’s paper is based upon a different index than the S&P 500. But that’s okay, as the strategy can be applied not only to any typical stock index, but to foreign stock markets and other asset classes.
NOTE : I have personally been using this sector ETF rotation strategy for nearly two years and have been very pleased with the results. I personally choose to rebalance my sector ETF investments every quarter and am now sharing which sector(s) I am buying with our FTM Insiders and Pro Trader community. If you would like access, you can learn more here .
الجديد! Premium Precious Metals Weekly Charts!
While gold, silver, palladium, and platinum have all suffered in recent years, we believe that the current downtrends will eventually end and give way to a new major uptrend.
As we anticipate these new uptrends, FTMDaily has begun providing weekly precious metals trend analysis to all of our FTM Insiders and Pro Traders.
Our weekly trend analysis on gold, silver, palladium, and platinum will keep you “in the know” on the metals. You will know the current trend at all times.
And when the new major uptrend begins, you will know immediately.
This means more profits and a better entry price for the next leg up.
You can learn more specifics about our new precious metals trend analysis here .
Free Precious Metals Investing Resources.
Here at FTMDaily, we believe that gold and silver are the best forms of money. We also believe that the current paper money system is going to eventually implode due to unsustainable debt levels. The beneficiaries of such an implosion would include hard assets like precious metals, commodities, and other tangible investments.
Most Americans have never purchased investment grade precious metals. FTMDaily seeks to inform the public on the benefits of owning precious metals. We have created many educational resources that will help any investor — whether novice or advanced — to better understand how to buy gold at the best time, and at the best price.
THANKS FOR LISTENING!
Thanks for joining me again this week. Have something you’d like to share with me or one of our guests? ترك ملاحظة في قسم التعليق أدناه!
If you enjoyed this episode, please share it on Facebook , Twitter , and any other social media outlets. Help us spread the word!
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شكرا لدعمكم! See you next week!
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