Holding Vanguard S&P 500 While Paying a 2% Fee

Dec 08, 2017 in S&P 500

 Example of what fees did to the decade of the 2000s.    Dec 31, 1999 to Dec 31, 2009.

 

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Video: A look at mixing strategies during 2000-2002 and 2008 bear markets

Dec 05, 2017 in Advanced Relative Strength | Video

A short video using the Advanced RS Pro backtest to look at how mixing strategies together performed during the 2000-2002 and 2008 bear markets..

 

 to expand, click the '4 expanding arrows' 'icon in the bottom right corner of the video screen

 

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New pro subscription

Dec 04, 2017

We have just introduced a new subscription package for investing professionals.

Based on feedback and requests the we've received from advisors and portfolio managers, the new pro subscription adds the following functionality to the regular subscription.:

 

  • All Moving Average, Channel, Ratio and Relative Strength portfolio strategies can be backtested from Dec 31, 1999
  • Buy Top limit on all Relative Strength backtests raised to 20
  • Number of favorite backtest settings to Save / Load increased to 20 per backtest
  • Advanced Relative Strength Pro backtest:  test investing the strongest ETFs from up to 4 separate portfolios
  • Annual fee deduction option on Core-Satellite and Adv RS Pro backtests

 

Subscribers that would like to upgrade to this new package can do so by going to My Account > Subscription Settings > Upgrade to Pro

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Current 10-Month Relative Strength Themes From The Ameritrade List of Zero-Commission ETFs

Nov 10, 2017 in Relative Strength Follow us on Follow etfreplay on Twitter

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Short-Sell Backtesting with ETFs

Nov 02, 2017 in Backtest | Short Selling | VIX | Volatility

 If you would like to test Short-Selling on ETFreplay, use the versatile app called Rel Str - Combine Portfolios.

You can test going short the top or bottom ranking securities in a list.

 

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Chinese ETF Calendar Year Returns & Drawdowns

Oct 17, 2017 in Drawdown

 

Link to ETFreplay Subscriber Tool: ETF Calendar Year Max Drawdowns

 

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A Backtest Example For Inspiration: EFA vs QQQ regime

Oct 06, 2017 in Regime Change

This backtest defines a Regime by comparing the performance of EFA and QQQ, two standard ETFs with plenty of market cap. The backtest then decides to allocate to EFA or QQQ depending on which Regime is in place. SPY is held in either case as a core position:

 

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Gold ETF: GLD in its 74th Month of Drawdown

Oct 03, 2017 in Drawdown | Gold Follow us on Follow etfreplay on Twitter

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Tracking A Robo Portfolio For YTD Performance Through the End of Q3 2017

Oct 02, 2017 in Robo

 YTD Performance for a major Robo portfolio that we entered into our Imported Backtests Module which will track any ETF portfolio you would like to track.  

We separately calculated the CONTRIBUTION of each of the major holdings.  While each account at a robo will show slightly different performance, the 13-F filings are a good way to have a non cherry-picked aggregate example.  Note that advisor fees that are on top of fund-level fees are excluded. 

 PDF download:  2017_0929_RoboB_Update_p.pdf (203.15 kb)

[Link to the tool in this blog (members): ETFreplay Imported Backtests Module ]

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Low Drawdowns and High Returns. 2017 thus far has been investment nirvana.

Sep 27, 2017 in Drawdown

[Link to the tool in this blog (members): ETF Max Drawdown ]

Over the past ~15 years, the bond market has generally had positive single-digit returns and also single-digit calendar year drawdowns.  As the gentlemens asset class, bond ETFs generally don't have the anguish associated with the big drawdowns of many equity ETFs.

For a reference point, below is a snapshot of Calendar Year returns and drawdowns for LQD, an investment grade bond ETF:

 

What is remarkable about this year is the combination of high returns with extremely low drawdown in some traditionally high-vol, high-drawdown segments - such as emerging markets.   2017's max drawdown for emerging markets has actually been less than most BOND market years.

 

 

+27% YTD total return near the end of the 3rd quarter of 2017 vs just -3.5% drawdown.   Obviously, strong return and Low volatility leads to high rankings in our Relative Strength models.  Uptrends can have some violent short-lived corrections but investors can manage such volatility by tilting their portfolios away from the weakest segments.

 

[Link to the tool in this blog (members): ETF Max Drawdown ]

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