Are You Ready For The Next Rotation?

Nov 18, 2010 has developed some new pages that we think better enable users to observe what is occurring across global market segments. 

The first app is the 'Relative Strength Reader' and it works seamlessly with any ETF portfolio list you have already created. Its been designed to show ETF relative strength changes that are occurring presently - as well as some easy controls to replay past changes. It combines charting with some advanced database queries and delivers a unique, easy-to-use product.

The product is in free trial-mode and you can give it a try here:

A second announcement is that while a significant portion of the site will always remain free, we will be initiating a subscription service for certain applications in coming weeks. Along with this change we will concurrently be releasing another strong new application that is currently in final beta testing. 

We look forward to 2011 and the opportunities to further develop unique functionality for the site. We appreciate your support and feedback.

The ETFreplay team


Comments (10) -

Nov 19, 2010 07:33 #

I hope you keep the little retail investor in mind when you decide on the fee amount. This is a great site, but so many like it charge exorbitant fees that price retail investors out of the service.

Jim United States

Nov 19, 2010 08:08 #

Jim, rest assured, we will do!

Simon United States

Nov 19, 2010 19:16 #

Please put my vote in for the little retail investor also...  I knew the party had to end sometime. I was hoping the advertising would support it... Keep up the fantastic work!  

Henry United States

Nov 20, 2010 08:01 #

Hi Henry,

We have some excellent work in development and having worked for multiple large institutions with the highest-priced software on the market (thousands per month) --- I can't tell you how much easier it is -- as a user --  to do this within a browser.   This will ultimately be a compelling bundle of functionality and an exceptional value.


Nov 20, 2010 11:17 #

Legendary investor Harry Browne wrote a little book decades ago titled Fail-Safe Investing, in which he recommended a buy-and-hold portfolio that would preserve its value in all market conditions. It contained 25% each of gold, long term treasuries, stocks, and cash. If we use the moving average strategy, we can eliminate cash, because we will go to cash if any of the other three assets drops below its moving average. So using a 3-ETF portfolio composed of GLD, TLT, and SPY, the moving average formula (10-month) from 2005 through October 2010 gives a total return of 83.8% (10.9% annual), volatility of 9.1%, and max draw down of only 5.5%.  If we go with Browne's buy-and-hold portfolio, we get a total return of 72.1%, volatility of 9.1%, and max draw down of -16.71%. Looks like, as safe as Browne's formula is, our 3-ETF moving-average approach did about 10% better with a third of the volatility.

Jim United States

Nov 20, 2010 11:26 #

Investment analyst Mebane Faber has made famous the effectiveness of various strategies that use five basic asset classes: US stocks, foreign stocks, intermediate term treasuries, REITs, and commodities. The amazing power of such a simple approach is demonstrated when we run a relative strength back test on this portfolio, using all the ETF Replay defaults (monthly switching, top 1 ETF, 3-Month, 20-days, 20-days). Using the portfolio (SPY, EFA, DBC, ICF, IEF), and running it from 2006 through today (November 20, 2010) we get an annual return of 25.1%, with a worst draw down of only -7.5%. Move out of the way Hedge Funds!

Jim United States

Nov 20, 2010 11:34 #

Here is a very low risk portfolio for a monthly moving average strategy - DVY, EEM, IAU, IEF, TLT, XLU.  I ran it with a 10-month MA Length, using SHY for cash, from 2006 through today (Nov 20, 2010). The CAGR is 11.10%, with a max draw down of only -4.0%. I think the ETFs in this little portfolio may do well in both inflationary and deflationary environments.

Jim United States

Nov 20, 2010 15:16 #

TLT doesn't yield much and is quite volatile so its hard to justify using TLT.    IEF  will have some drawdowns -- but the volatility is a lot lower than with TLT and yet it is a reasonable hedge against the risk-off, flight-to-safety trade that grips the market from time to time.  

Chris United States

Nov 21, 2010 09:34 #

Thanks Chris, replacing TLT with IEF does improve returns and reduce volatility in my Moving Average portfolios, and in one or two momentum portfolios. On the other hand, it significantly increases returns and reduces portfolio volatility in many other momentum portfolios, by reacting more quickly and strongly against market down drafts. The portfolio design issue seems to be figuring out where volatile ETFs like TLT are a handicap or an asset.  

Jim United States

Feb 06, 2011 06:01 #


Faber's portfolio underperformed SPY from 2004 to 2007. A really good portfolio would outperform (or at least be on par) with SPY during bull markets, and of course avoid major drawdowns during bear markets (which Faber's portfolio indeed does well).

Also, you are right about a key challenge in designing portfolios is figuring out what the role of high-volatility ETF's is: are they "bad" (because the introduce significant drawdowns sometimes), or are they "good" (because they contribute major uplifts sometimes)?

Most of my time spent on ETFreplay right now is about finding the "optimal" portfolio of 25 ETF's, which has these criteria:
- rise reasonable well along with equity bull markets
- avoid large drawdowns (no more than -15%)
- do this well across in different years and time-periods
- be sufficiently diversified to accomodate future rising relative strength in global asset markets
- no "data fitting", i.e. not be tuned to what we know has worked well in the past (as this may be too biased a selection to account for future global developments)

Paul Belgium

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