The Debut, Part II
Last November, The ETF Portfolio Strategist (ETF-PS) debuted in beta form. The original plan was to formally roll it out in Q1:2020. But thanks to a certain health crisis that reordered life as we know it, priorities shifted and, well, here we are in August. No matter -- the case for market intelligence and analytics on ETF-based portfolio strategies is an evergreen topic and so we’re back – delayed but no less committed to crunching the numbers and analyzing the crucial trends for making informed decisions on portfolio design and management via ETFs.
The design has changed a bit from the initial concept. The main difference is that ETF-PS components will be published individually on a semi-regular schedule rather than in one complete issue on a given day. The other big change: the newsletter will appear here: etfps.substack.com
Initially, the articles will be available gratis. At some point, we’ll switch to a subscription-based model, but that’s for a future date. The plan is to ramp up the breadth and frequency of content. But for now, baby steps. Let’s start with one of the basics: four benchmarks comprised of various ETFs:
I’ll go into details in future issues, but for now here are brief definitions:
US.60.40: a US stock/bond portfolio, rebalanced every Dec. 31
GMI: an unmanaged global portfolio that holds the major asset classes in market-value weights
G.B4: A twist on GMI that reduces holdings to four broadly defined ETFs that target global exposure to stocks, bonds, real estate and commodities. Weights: 60% stocks, 30% bonds, 5% real estate and 5% commodities. The portfolio is rebalanced every Dec. 31.
G.B15: An expanded version of G.B4 via 15 ETFs that slice and dice the world’s major asset classes into a more granular portfolio design. The overall allocation still matches G.B4: 60% stocks, 30% bonds, 5% real estate shares and 5% commodities.
The risk metrics on the right side of the table above: 5-year trailing volatility, 5-year trailing Sharpe ratio, 5-year Sortino ratio, maximum drawdown over the past five years, the current drawdown, and a proprietary measure of momentum ranging from 0 (strong downside momentum) to 100 (strong upside momentum).
There’s much more to come in future editions, including proprietary strategies, analysis of individual ETFs, updates on trending behavior, and much, much more. But a thousand-mile journey starts with the first step. Stay tuned in this space for step-two and beyond. Thanks for reading!