Saturday, May 7, 2022

Week 18: Momentum Analytics Portfolio update. Week ending May 6, 2022

The portfolio and indexes weekly return

The momentum portfolio did as intended this week. The following is the weekly total returns for the portfolio compared to the indexes 

  • Dow Jones 30 (DIA) was -0.50%
  • Morningstar US market index -0.57%
  • Momentum Analytics Portfolio: -0.72%
  • SP500 Index (SPY) was -0.76%
  • Total US market for the week (VTI) was -1.19%
  • Nasdaq100 (QQQ) was -2.90%
Thus the portfolio did better than SP500 and total market (US) but Dow30 index did better this week than all other benchmarks

Results by month since start of momentum investing

Here are the monthly results (to date) of the portfolio compared to Morningstar Total US Market index as benchmark

Month             total return                personal return             index return 

Mar                 3.72%                         2.68%                             3.67%

Apr                 0.55%                         -1.85%                            -9.09%

May (to date)    -0.72%                       -0.75%                            -0.57%

I use Morningstar to track my portfolio returns. According to Morningstar,

Total Return Total Return measures the theoretical performance of your holdings for a specified period of time, taking into account the beginning and end values of your investments as well as dividends. 

Personal Return Personal Return calculates the investor's returns, taking into account an additional factor in its calculation: the capital that you added or withdrew from your fund or portfolio throughout the specified period of time. The calculation of Personal Return illustrates how your allocation of capital has affected the performance of your portfolio. 

As seen in the returns comparison, the momentum portfolio has done well compared to the total US market index.

Momentum Portfolio return (Bold green line), Morningstar US Market Index (Light Grey). Courtesy

 Positions and Positions sizes

Positions and their proportion

Buys/Adds this week

HON - Honeywell
TGT - Target
AIG - American International group
CAT - Caterpillar
GD - General Dynamics Corp.
LMT - Lockheed Martin
MMM - 3M Co.
DOW - Dow Chemicals
MA -  Mastercard
DUK - Duke Energy
IBM - International Business Machines


Sells this week

RTX - Raytheon
PG - Proctor and Gamble


Score classification

  • Score 0: Super bearish, no entry
  • Score 1: bearish, no entry
  • Score 2: Hold
  • Score 3: bullish, entry or hold
  • Score 4: bullish, entry or hold.


Momentum Updates of the Stocks in Portfolio.

TICKER/ Score/ Vector/ % Profit/Loss of position
AMT/ 3/ Declining/-7.43%
MA/ 2/ Declining/-4.26%
WMT/ 4/ Ascending/-4.93%
CAT/ 3/ Ascending/-2.56%
PEP/ 2/ Ascending/-2.32%
MMM/ 2/ Ascending/-1.72%
AIG/ 1/ Ascending/-1.53%
HON/ 4/ Ascending/-1.16%
TMUS/ 4/ Descending/-0.71%
KHC/ 4/ Ascending/0.39%
DUK/ 4/ Ascending/1.08%
LMT/ 4/ Ascending/0.95%
IBM/ 4/ Ascending/1.42%
T/ 4/ Ascending/3.72%
TGT/ 3/ Descending/-6.09%
GD/ 3/ Ascending/-0.98%
DOW/ 3/ Descending/-0.97%
CL/ 3/ Ascending/-4.34%
WM/ 3/ Ascending/3.44%

There is one small issue I noticed with my method. As you can see I bought AIG this past week but by Friday the momentum score of AIG was down to 1 which triggers the sell rule. In order to reduce whipsaws, I purposely set the time frame to be medium long of 60 days, which covers 2 months. This got me thinking, of substituting the ADX indicator with RRG momentum indicator ROC. Thus I will pick those stocks whose momentum vector is improving w.r.t other stocks in the group. I am using the SP100 index ETF OEF as control for the group. Hopefully this will reduce the short in-out trades which I do not want to engage in.

Thanks for reading!

Next post will be end of week 19, on or about May 14, 2022. Until then keep tracking the momentum!


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