This page is based on a portfolio management method that capitalizes on price “momentum”. It's a scheme for which there is a substantial amount of supporting academic research. Shown below are current changes in position sizes that were generated using the very same version of momentum and relative strength that is analyzed in the article “Does Momentum Work?”, which is available under the Articles menu on this site. As such, the positions that are shown are chosen so as to optimize the performance of the entire portfolio in the aggregate.

Therefore the data are not useful for the management of investments in individual ETFs, hence the plots do not illustrate the performance for individual ETFs. The plots for the individual ETFs do however generally illustrate in detail that the program seldom fails to avoid taking long positions in any ETF during bear markets such as the 2000-2003 and 2007-2008 periods. That for any given ETF the program may seemingly fail to stay long during some favorable trends should not be held against the program as it could well mean that it is moving capital to some other ETF that is doing even better. But none of the RB portfolio performance plots on this site are of actual trading experience; all are “hypothetical”, representative of what would have happened had the program been in use in the past. See the “Momentum Overview” item on the Performance menu for a quick comparison of the backtested performances of the momentum-managed portfolios.

Momentum and the “Sector” Portfolio— ETFs, Trading in the USA (Dividends Reinvested)

SymbolName Date Position?Chart
XBI SPDR® S&P® Biotech ETF 05/01/17 0.071
04/03/17 0.067
XES SPDR® S&P® Oil & Gas Equipment & Services ETF 05/01/17 0.000
04/03/17 0.067
XHB SPDR® S&P® Homebuilders ETF 05/01/17 0.071
04/03/17 0.067
XLB Materials Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.067
XLE Energy Select Sector SPDR® Fund 05/01/17 0.000
04/03/17 0.067
XLF Financial Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.067
XLI Industrial Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.067
XLK Technology Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.067
XLP Consumer Staples Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.067
XLU Utilities Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.000
XLV Health Care Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.067
XLY Consumer Discretionary Select Sector SPDR® Fund 05/01/17 0.071
04/03/17 0.067
XME SPDR® S&P® Metals and Mining ETF 05/01/17 0.000
04/03/17 0.067
XOP SPDR® S&P® Oil & Gas Exploration & Production ETF 05/01/17 0.000
04/03/17 0.067
XPH SPDR® S&P® Pharmaceuticals ETF 05/01/17 0.071
04/03/17 0.000
XRT SPDR® S&P® Retail ETF 05/01/17 0.000
04/03/17 0.067
XSD SPDR® S&P® Semiconductor ETF 05/01/17 0.071
04/03/17 0.067
_All_ Entire Portfolio 05/01/17 0.857
04/03/17 1.000

Notes: All position entries are position sizes, presented as fractions of the total amount of equity that is committed to the portfolio. Often some portion of the total amount of equity will be held as cash. For example, if 0.10 is the shown position for a particular ETF then the value of the portfolio's position in that ETF should be maintained at approximately 10% of the total equity, and if the total of all of the position sizes of all of the ETFs is less than 1.0 then that means that the remainder is held as cash. The calculations for the “RB Portfolio” trace on the plots do include interest earned on cash, at the rate that is implied by the discount rate on the 13-week US Treasury bill. With this program trading is assumed to occur at most only once a month, as needed, at the close of the trading day on the first trading day of the month.