New Module: Allocations [Beta]

Sep 19, 2011

We have added a new module to that expands the functionality in a logical way. It is located on the My Account tab: has advanced methods for screening and backtesting various relative strength and moving average strategies. The community runs thousands of backtests and it makes sense to see how members may be able to help each other with shared research ideas.

If you think about portfolio management, it doesn't matter what your process is --- in the end, when each day closes --- you have a portfolio filled with securities. Even if your portfolio is mostly cash, that is still an allocation. So our new Allocations module allows you to go to the final step in a process -- that is, take everything you know --- from fundamental to quantitative etc... and create an allocation. Once set-up, we will automate the tracking of the total return -- as well as calculate some of the most important items --- such as your portfolio volatility and portfolio drawdowns and sharpe ratio etc...

Importantly, you can do this privately if you would like --- or you can place the allocation you create on the public Allocations Board. You create your own customized fund symbol (ie, ETFRS) to identify the allocation. You can comment on each others allocations or choose to have comments turned off. You can keep watch lists of various strategies (from those which have chosen to be public). You can delete or create new allocations. We have tried to design it in a way that simply helps you to make better portfolio decisions. And as we've done with all of our applications, we will make the module significantly better over time. has provided research applications that aid in the investent process --- but we simply can't model every possible variation of your requests into a few clicks. After you have researched and tested some ideas and have weighed all the variables and then have decided what to do, what we can do is capture the final allocation that you enter.

Note that we have installed some rules that may seem a bit rigid at first --- but these rules are necessary as we do not want to have this become a short-term trading competition. This is about portfolio management, not the latest earnings speculation or the macro news-of-the-day. The graphic below is one way to visualize the process as we see it.



Note that you can set an allocation to begin and it will use that days closing values. You can update on any day and it will then save the result of the historical fund return and subsequently combine that with the return of the new allocation. We will capture the total return of all securities (adjusting for dividends & cap gains distributions) so that your income securities are properly tracked. We know that relative to a real account, sometimes you will get a price that is different than the closing price -- but this is an allocation app and its purpose is to show various types of portfolio strategies --- not to perfectly mimic intraday trades.

Over the long-run, allocation moves are the overwhelmingly dominant factor in portfolio performance. Sometimes you may get into an ETF at a price $0.25 better than the closing price --- but this will be partially offset by the times your entry is worse. In the long-run, this is a lot less important than other factors.

We have been in beta testing on this the past few months and have worked out many of the details. We plan to add various features to this module over time. We are calling this a BETA product for now as we may have some plumbing adjustments necessary depending on how many people find use in this module and will surely have to allow for the scaling of data should many people like this feature. So please give it a try and tell us how you like it -- it is included in your existing subscription so there is no additional cost. We are excited about the potential this new application has should the community begin to share ideas and learn from each other not just through talk --- but through portfolio allocation actions.



Comments (11) -

Sep 19, 2011 19:32 #

Finally!!  I am thrilled.  This is what many of us have waited for is to see what the community is doing.

widespread panic United States

Sep 20, 2011 02:40 #

This is something Ive been waiting for. Will be very interesting to see how other traders position themselves in the market.


onico Norway

Sep 21, 2011 08:27 #

I must be missing something here.  

(1) Is it intended that I cannot see the entire portfolios & how they are constructed?
(2) Why do portfolios start from now?


GrahamCC Australia

Sep 21, 2011 09:27 #

It would be helpful if one would add a short description/goal of each portfolio.

hugos Germany

Sep 21, 2011 11:05 #

Let this breathe for a little while.  It will take some time of daily data collection and people getting comfortable with it before this becomes more useful.  It is a brand new dimension to the website and it's still technically in Beta so just give it a little time.    

Hugos, there is an option to provide a description --- but it's certainly not required.

Chris United States

Sep 22, 2011 15:40 #

I use a relative strength rotation strategy with a fixed set of ETFs and invest in only the top 2.  The rest have a 0% allocation.  It would be helpful if the portfolio saved those etfs with a 0 in their allocation.

scrabbie United States

Sep 24, 2011 07:43 #

You can save the full list of ETFs in your regular 'My Portfolios'.    This 'Allocations' module is for putting together a portfolio mix -- which may or may not be the same as the backtest portfolio.   So if you want to run the full list, just stick with the backtest.   If you want to track other peoples allocation portfolio ideas and see what kinds of allocations are doing well and what are not, then use this one.

Chris United States

Sep 24, 2011 16:04 #

I agree that it would be great to see the entire portfolio somewhere.  Maybe we can post the entire portfolio on day1 and then post the top two, or how ever many, on day 2 so that the changes are under the history. It will alter the returns

dholmes60614 United States

Sep 25, 2011 01:43 #

@Chris: Thanks for adding the fine new allocation feature!

I have added an allocation called "E-LEAFA". I have used the "Allocation Description" field to document how its allocation method works, including the portfolio of ETFs it can select from, and the monthly ranking system it uses to make its allocation selection.

Perhaps it would be a good idea for all contributors to document their allocations in detail via the Allocation Description field in this way?

TurnLeaf Belgium

Sep 25, 2011 05:29 #


I built your portfolio and note the results.  Thank you for addressing my question #1 above.  

My question #2 from above still remains: "Why do portfolios start from now?".  

Now I have question #3 - "what is the point of this exercise?"  If it is to monitor fixed allocations then this seems contrary to the purpose of ETFreplay.  If it is to encourage user dialogue on dynamic asset allocation, as per E-LEAFA, why post results only from today.

Maybe I've missed something fundamental.  Please advise.  Thanks

GrahamCC Australia

Sep 25, 2011 06:52 #


We are not going to force anyone to do anything.   If people want to share, they will.  If people want to keep their allocations private, that is up to them.

I don't think I understand your question 'why do portfolios start from now?'    This module is new and so it started when we were done testing it -- which was this past week.   Portfolios can start whenever you would like though.     If you want to go back and fill in simulated historical results then just run the backtesting apps and don't use this.

Essentially, this allocations application simulates the decision-making process and forward returns.   You can run 1000 different backtests but in the end you have to settle on something --- and this is a way to harness all the work users are doing and summarize it in actual allocations.    You may find it helpful or you can just ignore it and stick to the core backtesting apps.

Chris United States

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