Top 10 ETFs For This Month's Global Asset Allocation Strategy

Top 10 ETFs For This Month’s Global Asset Allocation Strategy

global relative strength etf portfolio

Each month, I like to update my global asset allocation strategy (aka the global relative strength ETF portfolio model). This model is based on the relative strength of a prescreened ETF universe.

The purpose of this model is two-fold:

-Create a simple international investment model.

-To help view where global investors are buying and selling.

As geopolitical risks are increasingly appearing in the headlines, keeping an eye on the relative strength of different parts of the world can help us gauge how other investors are reacting to these risks.

If this is your first time visiting this site, I highly recommend reading “A Better Global Asset Allocation Strategy” to help familiarize yourself with how this investment model works. Also, please note that the historical performance numbers are backtested data. (see important note on using backtested data here: Disclosures).

ETF Performance In August

For a “sleepy summer month”, global markets did relatively well during the month of August.

The strongest ETF in our model was the Powershares Nasdaq 100 (QQQ) with a whopping return of 5.01% as investors viewed the July pullback as an opportunity to buy.

global relative strength etf portfolio

 

Analytics For The Global Asset Allocation Strategy

Below is the performance of the model for the past year, including data points on risk vs the S&P 500.
screenshotperf

model risk analytics

Data from model account held and tracked at Folio Institutional 

When I backtest this model on ETFreplay, the strategy has some pretty impressive results – while being less volatile than the S&P 500 index (SPY):

screenshot1

source: ETFreplay

Model Allocation For September

Below are the top 10 relative strength ETFs within our prescreened universe for September:

sept screenshot

Most of the global relative strength ETF portfolio remains unchanged from last month. The only two changes to the portfolio were:

  • iShares MSCI Hong Kong Index Fund (EWH) was replaced by iShares MSCI Belgium Investable Mkt (EWK)
  • iShares MSCI Japan (EWJ) was replaced by iShares MSCI Switzerland Index Fund (EWL)

This change within the portfolio may be attributed to a weakening Euro. As the Euro weakens, consumer goods manufactured within Europe will be more competitive in the global markets price-wise.

Global Asset Allocation Strategy ETF Portfolio Backtested Data

If you want to take a closer look at the backtested performance numbers, I am including a spreadsheet of the data back to 2003:

Global relative strength ETF portfolio

Start DateEnd DateModel ReturnS&P 500 ReturnModel VolatilityS&P 500 Volatility
12/31/20021/31/2003-0.15%-2.46%12.18%23.78%
1/31/20032/28/20032.17%-1.35%7.94%18.47%
2/28/20033/31/2003-1.24%0.21%9.18%26.94%
3/31/20034/30/20035.38%8.46%5.43%18.75%
4/30/20035/30/20036.82%5.48%13.47%15.56%
5/30/20036/30/20031.46%1.07%13.42%15.50%
6/30/20037/31/20032.55%1.80%14.34%15.69%
7/31/20038/29/20032.34%2.06%9.57%11.80%
8/29/20039/30/20030.70%-1.09%14.31%14.07%
9/30/200310/31/20035.89%5.35%10.60%11.07%
10/31/200311/28/20032.10%1.09%10.70%10.88%
11/28/200312/31/20038.14%5.03%9.03%9.42%
12/31/20031/30/20042.67%1.98%15.72%10.66%
1/30/20042/27/20042.61%1.36%14.40%8.54%
2/27/20043/31/2004-1.19%-1.32%19.79%15.11%
3/31/20044/30/2004-4.95%-1.89%14.31%12.54%
4/30/20045/28/20041.38%1.71%20.01%12.16%
5/28/20046/30/20043.06%1.85%13.99%10.34%
6/30/20047/30/2004-3.85%-3.22%11.84%11.55%
7/30/20048/31/20041.76%0.24%9.24%12.46%
8/31/20049/30/20044.23%1.00%8.27%9.19%
9/30/200410/29/20044.25%1.29%10.26%13.11%
10/29/200411/30/20047.43%4.45%11.05%9.37%
11/30/200412/31/20044.81%3.02%11.54%7.49%
12/31/20041/31/2005-2.06%-2.24%13.30%9.97%
1/31/20052/28/20054.20%2.09%8.78%10.80%
2/28/20053/31/2005-3.64%-1.83%11.50%10.50%
3/31/20054/29/2005-2.41%-1.87%12.65%15.33%
4/29/20055/31/20050.84%3.22%9.42%9.54%
5/31/20056/30/20051.42%0.15%7.38%8.03%
6/30/20057/29/20053.63%3.83%7.29%8.24%
7/29/20058/31/20050.80%-0.94%11.82%9.84%
8/31/20059/30/20053.57%0.80%11.34%8.62%
9/30/200510/31/2005-3.49%-2.37%15.54%15.36%
10/31/200511/30/20052.65%4.40%7.96%7.12%
11/30/200512/30/20053.80%-0.19%9.73%7.54%
12/30/20051/31/20066.52%2.40%18.91%11.29%
1/31/20062/28/2006-0.67%0.57%9.83%9.99%
2/28/20063/31/20063.79%1.65%11.91%7.98%
3/31/20064/28/20065.19%1.26%11.04%8.70%
4/28/20065/31/2006-4.31%-3.01%20.24%14.50%
5/31/20066/30/2006-0.21%0.26%22.98%15.07%
6/30/20067/31/20061.50%0.45%18.01%13.04%
7/31/20068/31/20063.28%2.18%9.31%6.82%
8/31/20069/29/20061.44%2.70%12.57%7.53%
9/29/200610/31/20064.31%3.15%10.65%6.09%
10/31/200611/30/20065.29%1.99%10.53%8.84%
11/30/200612/29/20063.46%1.33%7.58%8.18%
12/29/20061/31/20072.94%1.50%13.52%8.01%
1/31/20072/28/2007-2.14%-1.96%25.47%16.14%
2/28/20073/30/20074.86%1.16%23.17%13.79%
3/30/20074/30/20075.33%4.43%12.22%7.71%
4/30/20075/31/20072.00%3.39%13.09%8.03%
5/31/20076/29/2007-1.17%-1.46%18.09%14.69%
6/29/20077/31/2007-0.93%-3.13%20.82%17.19%
7/31/20078/31/2007-0.41%1.28%29.58%22.49%
8/31/20079/28/20077.70%3.87%16.58%14.78%
9/28/200710/31/20076.86%1.36%19.88%13.93%
10/31/200711/30/2007-5.55%-3.87%33.50%26.62%
11/30/200712/31/2007-0.96%-1.13%16.86%17.98%
12/31/20071/31/2008-5.12%-6.05%15.16%22.53%
1/31/20082/29/2008-0.82%-2.58%14.80%18.13%
2/29/20083/31/20080.64%-0.90%10.75%27.82%
3/31/20084/30/2008-1.89%4.77%7.07%17.70%
4/30/20085/30/20080.01%1.51%9.40%14.99%
5/30/20086/30/2008-9.95%-8.35%18.71%18.85%
6/30/20087/31/2008-0.88%-0.90%10.45%21.96%
7/31/20088/29/20082.74%1.55%9.99%19.65%
8/29/20089/30/20081.47%-9.44%23.29%47.98%
9/30/200810/31/2008-1.86%-16.52%16.87%89.80%
10/31/200811/28/200814.34%-6.96%28.07%70.93%
11/28/200812/31/200813.64%0.98%22.68%45.98%
12/31/20081/30/2009-13.07%-8.21%23.92%38.74%
1/30/20092/27/2009-1.54%-10.74%24.14%34.45%
2/27/20093/31/20094.04%8.35%21.89%47.78%
3/31/20094/30/2009-6.95%9.93%15.11%29.47%
4/30/20095/29/20091.96%5.85%19.03%27.58%
5/29/20096/30/2009-1.91%-0.07%26.21%19.89%
6/30/20097/31/200911.11%7.46%22.40%19.78%
7/31/20098/31/20092.74%3.69%21.48%16.40%
8/31/20099/30/20095.90%3.55%19.32%15.14%
9/30/200910/30/2009-4.05%-1.92%31.45%21.20%
10/30/200911/30/20094.92%6.16%21.34%15.26%
11/30/200912/31/20091.38%1.91%12.86%10.43%
12/31/20091/29/2010-5.24%-3.63%20.26%16.70%
1/29/20102/26/20102.36%3.12%20.14%17.49%
2/26/20103/31/20106.77%6.09%9.98%7.54%
3/31/20104/30/2010-0.01%1.55%17.71%15.06%
4/30/20105/28/2010-8.86%-7.95%37.57%32.03%
5/28/20106/30/20101.32%-5.17%11.30%25.52%
6/30/20107/30/20101.66%6.83%8.70%19.70%
7/30/20108/31/2010-0.22%-4.50%14.41%17.56%
8/31/20109/30/20101.95%8.96%10.35%15.69%
9/30/201010/29/20104.14%3.82%16.74%10.88%
10/29/201011/30/2010-3.46%0.00%19.56%14.92%
11/30/201012/31/20106.13%6.68%10.62%8.59%
12/31/20101/31/20110.18%2.33%11.61%10.21%
1/31/20112/28/20113.02%3.47%14.95%11.68%
2/28/20113/31/2011-0.96%0.01%22.68%16.34%
3/31/20114/29/20114.76%2.90%14.61%8.83%
4/29/20115/31/2011-3.53%-1.12%19.64%10.74%
5/31/20116/30/2011-2.26%-1.69%18.79%16.52%
6/30/20117/29/2011-1.03%-2.00%16.49%15.63%
7/29/20118/31/2011-4.91%-5.50%37.01%45.96%
8/31/20119/30/201113.20%-6.94%28.31%29.00%
9/30/201110/31/2011-3.84%10.91%28.22%28.93%
10/31/201111/30/20111.51%-0.41%17.19%30.63%
11/30/201112/30/20113.44%1.04%19.64%18.85%
12/30/20111/31/2012-0.33%4.64%15.02%8.57%
1/31/20122/29/20120.12%4.34%6.36%8.35%
2/29/20123/30/2012-1.01%3.22%11.61%11.41%
3/30/20124/30/2012-2.11%-0.67%20.46%14.41%
4/30/20125/31/2012-9.29%-6.01%15.53%12.96%
5/31/20126/29/2012-0.06%4.06%7.92%20.65%
6/29/20127/31/20121.31%1.18%13.01%14.08%
7/31/20128/31/20121.60%2.51%10.63%8.91%
8/31/20129/28/20121.90%2.54%11.79%11.63%
9/28/201210/31/20120.15%-1.82%14.26%10.70%
10/31/201211/30/20122.44%0.57%16.48%15.26%
11/30/201212/31/20124.03%0.90%7.75%11.57%
12/31/20121/31/20134.25%5.12%11.24%10.01%
1/31/20132/28/2013-2.92%1.28%23.01%13.39%
2/28/20133/28/20132.03%3.80%8.58%7.61%
3/28/20134/30/20133.15%1.92%13.84%14.14%
4/30/20135/31/2013-2.68%2.36%11.01%10.55%
5/31/20136/28/2013-3.63%-1.33%18.29%17.35%
6/28/20137/31/20134.34%5.17%9.27%7.03%
7/31/20138/30/2013-1.73%-3.00%13.78%10.39%
8/30/20139/30/20135.86%3.17%10.22%8.53%
9/30/201310/31/20135.05%4.63%11.75%12.38%
10/31/201311/29/20130.20%2.96%11.00%8.84%
11/29/201312/31/20132.38%2.59%10.93%9.72%
12/31/20131/31/2014-4.12%-3.52%16.66%12.61%
1/31/20142/28/20146.15%4.55%13.60%12.43%
2/28/20143/31/20140.41%0.83%15.26%10.07%
3/31/20144/30/20141.98%0.70%10.17%13.01%
4/30/20145/30/20140.61%2.32%6.37%8.05%
5/30/20146/30/20141.28%2.06%5.59%5.63%
6/30/20147/31/2014-0.63%-1.34%9.88%10.32%
7/31/20148/29/20141.76%3.95%6.56%7.74%
8/29/20149/2/2014-0.16%-0.05%0.00%0.00%

Questions? Thoughts?

 

john_rothe_2Feel free to leave a comment below or you can reach out to me privately here.

– John

PS: If you found this article interesting, please share it. Thanks!

 

Comments are closed.