Testing The Ivy ETF Portfolio

Ulli The IVY Portfolio Contact

A big tip of the hat goes to reader Richard for sharing his back testing results of the Ivy ETF Portfolio. Richard is a far better chartist than I am and has thrown me an assist on some occasions. He writes as follows:

There are several details to be aware of, as I tried to keep it simple/rule-based:

1.  No sell stops used – only 195dma on each asset class.

2.   IVY chart starts on 4/10/07 because that was the inception date of BND.

(Could go back further with substitute funds, but this was a quick first cut.)

2.  For the 195dma Buy/Sell trigger, I tried to simulate your real world monitoring of the 195dma buy/sell.  To avoid short-term daily whipsaws as the index first goes through the 195dma, I set it up so the Sell was triggered only when the ETF makes 10 consecutive closes below the 195 dma, and likewise the re-entry; Buy after 10 consecutive closes above the 195 dma.

At first this seems too risky, but I looked at market cycles going back many years, and as the index meanders +/- around the 195 dma, this still catches the major trend and often better than a quicker move, and greatly reduces whip saw transactions and filters out some noise.  I can adjust this to any # – and really in practice look at other factors also.

Let’s look at the chart:

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ETF/No Load Fund Tracker For Friday, May 13, 2011

Ulli ETF Tracker Contact

ETF/No Load Fund Tracker StatSheet

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THE LINK TO OUR CURRENT ETF/MUTUAL FUND STATSHEET IS:

https://theetfbully.com/2011/05/weekly-statsheet-for-the-etfno-load-fund-tracker-updated-through-5122011/

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Market Commentary

Friday, May 13, 2011

BEARISH FOOTPRINTS

Mixed economic data throughout the week kept the markets bouncing around in a trading range with no clear direction. Compared to last Friday’s close, the S&P 500 ended down 2 points.

Expectations for an expanding economy remain widespread, but a continued slowdown has become a distinct possibility, which would limit any upside growth and certainly will impact equity prices. As to when and how much remains the big unknown.

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Weekly StatSheet For The ETF/No Load Fund Tracker – Updated Through 5/12/2011

Ulli ETF StatSheet Contact

ETF/Mutual Fund Data updated through Thursday, May 12, 2011

If you are not familiar with some of the terminology used, please see the Glossary of Terms.

1. DOMESTIC EQUITY MUTUAL FUNDS/ETFs: BUY— since 6/3/2009

As announced via a blog post, on 6/2/2009, the TTI triggered a buy signal with an effective date of 6/3/2009. We will use the 7% trailing stop loss of our positions as an exit point or the crossing of the trend line to the downside, whichever occurs first.

As of today, our Trend Tracking Index (TTI—green line in above chart) has broken above its long term trend line (red) by +5.15%.

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High Volume ETFs On The Cutline – Updated Through 5/11/2011

Ulli ETFs on the Cutline Contact

Here’s the latest update of the High Volume ETFs, which are hovering within 20 positions below and above their cutline (trend line). High Volume (HV) ETFs are defined as those with an average daily volume of $10 million or higher.

These ETFs are generated from my selected list of 90 that I use in my advisor practice. It cuts out the “noise,” which simply means it eliminates those ETFs that I would never buy because of their volume limitations.

Yesterday’s sell off caused several ETFs to drop down from a level above the +20 that are listed. Two of them are the U.S. Oil ETF (USO) and the South Africa Index (EZA).

Emerging markets (VWO) held up fairly well by dropping only from last week’s +16 to the current +14 position. RSX and SLX slipped but managed to stay above the cutline. Making a move from -2 to +4 was BRF, but it remains very close to the yellow line, just like ILF, and can therefore change positions quickly.

Looking at the juggling that went on above the line and reviewing all momentum numbers, there is only 1 ETF, which would qualify as a contender for new money.

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USO Underperforms Benchmark

Ulli Oil ETFs Contact

With oil having come off its highs, the performance, or lack thereof, of the United States Oil Fund (USO) has raised some eyebrows, as the WSJ (subscription required) reports in “The Sum of Oil Fears:”

The United States Oil Fund, ticker USO, remains one of Wall Street’s most popular vehicles for betting on oil prices. The exchange-traded fund, which invests in oil futures, has had average assets of $2.2 billion since the start of 2009, according to Morningstar, meaning a payday for USO’s managers of roughly $23 million given the 0.45% management fee.

And yet, the USO and oil have inhabited different universes when it comes to performance. Front-month futures on West Texas Intermediate oil, USO’s benchmark, have risen 123% since the start of 2009, while the ETF has risen a mere 19%.

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6 ETF Model Portfolios You Can Use – Updated through 5/10/2011

Ulli Model ETF Portfolios Contact

Last week’s market pullback did affect all of our portfolios, although only one position slipped enough to trigger its trailing sell stop. As I posted last Friday, that was the volatile commodity sector, in which we had holdings via the DBC index, which were sold.

The winner for last week turned out to be the ETF income portfolio (#5), which barely budged and has now taken the top spot in terms of YTD performance.

With the sale of DBC, we had some extra funds available, which I was able to re-deploy today via the purchase of another sector ETF.

Let’s look at the portfolios in order:

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