ETF

V53 Model Refinement Using Fidelity Economic Cycle Analysis

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The linking of economic cycles with the technical investing algorithms is an important part of our ETF algorithm.  The model has been updated to Version 53 to include refined economic criteria.

 

In Version 53 the trade entry logic was further refined using an analysis that was conducted by Fidelity Investments and summarized in the table below.  As a result of this refinement the backtesting results (1/1/2003 – current period for our target ETF securities) for the algorithm have improved slightly: read more

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

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

V45.2 Profitability

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This is the profitability by ETF from the latest iteration (v45.2) of the model trades from a page in a customized Power BI (PBI) version of Portfolio Slicer (PS). Trades from the model are loaded into the PS Excel workbook using some semi-automation we have developed.

Shown is overall profitability based upon trading the ETF (Sales Capital Gain), Dividends and Unrealized Capital Gains for those ETF’s currently being held. Dividends are from Yahoo using the external date scripts available as part of PS.

A comparison to previous iterations will be posted shortly. read more

Collaboration

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This site is designed to allow collaboration among people who are managing or intending to manage their retirement investments themselves.

The important elements of retirement investing are covered including stock/ETF selection, asset allocation, rebalancing, BUY/SELL timing. What is out of scope is retirement budgeting, expense management, and other financial planning topics such as estate planning.

One of the elements of the site is a monthly strategy that is designed to provide low risk return with a predictable income stream. This strategy is grounded in technical investing theory as well as economic theory. It is designed to be reviewed and managed on a monthly basis.

Review the various postings on the site at your leisure. And “follow” topics of interest to get emails as updates are created. read more