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 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. 

Written By Scott’s Investments

A site focused on consolidating and tracking free online investment resources for the public with an emphasis on ETFs, stocks, portfolio strategies, technical analysis, and macroeconomics.

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