I recently ran some backtests (here and here) of ETF portfolios featured in Mebane Faber’s The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. I used etfreplay.com to rank and backtest the ETFs in the Ivy Portfolios.
ETF Replay tracks the returns (including dividends) of 402 unlevered ETFs. It is possible to rank these ETFs at any point in time based on a combination of momentum and volatility. Ranking all 402 unlevered ETFs tracked on the site based on a combination of 3 month returns (40% weighting), 20 day return (30% weighting) and 20 day volatility (30% weighting) as of today the top 5 ranked ETS are:
|Symbol||Name||3 mo return %||20 day return %||20 day volatility %|
|(NYSE:EWH)||MSCI Hong Kong Index||24||9||11|
|(NYSE:PXR)||Emerging Mkts Infrastructure||25||9||13|
|(NYSE:THD)||MSCI Thailand Index||32||11||14|
|(NYSE:HAO)||China Small Cap Index||26||9||14|
|(NYSE:IFGL)||FTSE Developed Real Estate ex-US||22||9||13|
If we change the timeframe to a combination of 6 month returns (40% weighting), 3 month return (30% weighting) and 3 month volatility (30% weighting) as of today the top 5 ranked ETS are:
|Symbol||Name||6 mo return %||3 mo return %||3 mo volatility %|
|(NYSE:EWH)||MSCI Hong Kong Index||19||24||13|
|(NYSE:DBP)||Powershares DB Precious Metals||23||19||12|
|(NYSE:EPU)||MSCI Peru Index||39||40||16|
|(NYSE:DGS)||Emerging Mkts Small Cap Dividend||17||22||15|
|(NYSE:THD)||MSCI Thailand Index||40||32||18|
It is not possible to backtest more than 25 ETFs at one time using ETF Replay, so I’m not sure how these rankings have performed historically when applied to all 402 ETFs. However, as my previously referenced tests showed, the rankings have shown success when applied to smaller portfolios. I also track a portfolio for free on my site using the same ranking system used in this article.