Fixed Income ETF Selection

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Bucket 2 in the ETF Retirement Strategy is Fixed Income.  For this bucket, we attempted to pick a “best in class” ETF for each of the five (5) categories:

 

Morningstar /Schwab Fund CategoryETF
Long Government BondsEDV – Vanguard Extended Duration Treasury Index Fund ETF Shares
Emerging Market BondsEMB – Shares JPMorgan USD Emerging Markets Bond ETF
Municipal BondsMUB – iShares National Muni Bond ETF
Long Term BondsVCLT – Vanguard Long Term Corporate Bond ETF
World Bond – US HedgedBNDX – Vanguard Total International Bond Index Fund ETF Shares

As with the Equity ETF’s, our desire is for the asset correlation to be less then .70.  read more

Equity ETF Selection

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As I shared in a previous post, Mark and I have been on a journey of selecting a portfolio of ETF’s to include in the modified three bucket approach.

After various iterations and experiments, we have settled on a “Magic 8” as the Equity portion of the portfolio (our buckets 3 and 4).  At the core of the eight (8) are a set of five (5) sector ETFs from George Dagnino with one substitution: read more

Retirement Strategy Portfolio – ETF Selection Process – Overview and Introduction

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I have spent numerous hours researching ETF’s to include in our model portfolio.  As Mark has shared in other posts, we are using the “Three Bucket” approach recommended by Christina Benz with Morningstar.  In her articles, she includes investments for the three buckets for a moderate and aggressive portfolios.  If you are interested in the articles and unable to find them based upon Mark’s previous posts or doing Bing or Google searches, let me know and I will gladly share. read more

Algorithm Comparison to Previous Versions

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Attached are comparison’s of the latest algorithm to two previous versions. In version 44, we attempted to replace and remove select ETF’s to see the impact. Overall Annual RoR increased from 8.34% to 8.41%.

In version 45.2, Annual RoR increased to 9.49% by Mark introducing economic indicators into the model. I will let “the Dr.” go into more detail about the changes.

For those who want to explore the data/results in more detail, I will post/share the Power BI report in the Portfolio Slicer topic area. The latest data from v45.2 is already loaded into the model. I will elaborate in more detail about the Power BI report in that post. read more

V45.2 Trading Report Portfolio slicer

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Attached is a customized version of the Portfolio Slicer Power BI report containing v45.2 of the trading model. Attempts to refresh will fail since the data connections point to the Excel spreadsheet and PSData folders where data from external data sources are loaded (e.g. quotes and dividends).

The first several pages are additions to v2.4 of the PBI report from the Portfolio Slicer site. Some of the original pages have been modified and others are in development… the latter should be obvious.

I am still learning the data model and the meaning of many measures and am not an expert. I know enough about Power BI and Power Query to be somewhat productive and a little DAX. If anyone has DAX or MDX experience, please let me know so I can reach out to you for assistance if/when needed.

I will attempt to answer any question and welcome requests to improve the reporting which is evolving. read more

Version 46 with kiplinger 20 ETFs

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Version 46 with Kiplinger 20 ETF data

Attached are the results from running the V46 algorithm with Kiplinger 20 ETF data. RAR, Win/Loss% are similar to that with Bucket ETFs. MaxDD is higher because this universe of ETFs likely has a bit larger beta. Exposure is a bit lower due to the predominance of equity ETFs. read more

Trading day analysis

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The attached is an analysis varying the standard trading day in the month away from month end to see if it impacts results.

Results do vary, but Win % and MaxDD are relatively consistent. The bias seems to be toward end of month trading, and we are already there by signaling at end of month. read more