The method used for portfolio construction/asset selection is a momentum strategy that utilizes the “standard” momentum ranking sheet (available for download on this site) with which Platinum members will be familiar. “Standard” momentum periods of 91 and 182 (calendar) days ( 3 and 6 months) are used but the volatility (mean variance) period is changed from 10 to 63 (trading) days to match the time period of the short-term momentum period (91 calendar days). The relative weightings of the 3 parameters (to determine the “Overall Rank”) are kept “standard” at 50% (ROC1), 30% (ROC2) and 20% (Volatility).
This will be a VERY SIMPLE portfolio in that it will comprise only TWO ETFs (providing they rank higher than SHY; i.e. SHY momentum is used as a Risk Management filter.
In addition, the Asset List for the Rutherford Portfolio is based on the Swensen 6 portfolio that has been the subject of many posts on this site and should be familiar to regular readers.
ETFs used to represent the six “Swensen” asset classes are:
- VTI – Domestic (US) Equities;
- VEA – International, Developed Market Equities;
- VWO – Emerging Market Equities;
- VNQ – US Real Estate;
- TLT – US Treasury Bonds;
- TIP – US Treasury Inflation- Protected Securities.
In order to add more diversification I have added 4 additional ETFs:
- RWX – International Real Estate;
- PCY – Emerging Market Bonds;
- GLD – Gold (inflation hedge);
- DBC – Broad Commodity ETF (Oil & Gas, Agriculture, Metals)