Introducing: The ETF Portfolio Strategist

The depth and breadth of ETF choices offers unprecedented opportunity for asset allocation design and management. The downside is that keeping track of this realm is burdensome—until now. The Capital Spectator is rolling out a new research service to help manage the information overload: The ETF Portfolio Strategist (ETF-PS).

The newsletter is still in development, but you can download today’s debut issue here. Questions and suggestions are welcome (you can find contact info here). Meantime, here’s a short preview of what you’ll find.

The first page is a short review of select market trends that caught your editor’s eye for one reason or another. For example, today’s issue notes the extraordinary rise in SPDR S&P 500 Semiconductor (XSD), one of brightest bull-market stars in the tech constellation.

You’ll also find summaries for a handful of proprietary asset allocation strategies. For additional context, four BlackRock asset allocation ETFs are part of the routine data monitoring, providing ready made benchmarks for surveying various levels of portfolio risk.

An ETF-based view of the major asset classes is also a routine feature, including risk premia estimates.

In addition, ETF-PS tracks more than 100 representative ETFs, carved up into 12 categories on several risk and return metrics. The goal is offering user-friendly summaries of global markets based on the most commonly defined groups.

Overall, the newsletter offers essential market intelligence for staying on top of global trends in the context of managing ETF-based portfolio strategies.

ETF-PS will be published periodically in the weeks ahead – stay tuned for updates at At some point, we’ll move to a regular publishing schedule, offering the newsletter on a subscription-only basis. Meantime, please let me know your thoughts on today’s debut issue.

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By James Picerno

6 thoughts on “Introducing: The ETF Portfolio Strategist


    Interesting Newsletter apparently designed to help the reader pro-actively manage portfolio component weightings by favoring high momentum products and avoiding low momentum products; however, over the sample measuring periods offered, the more frequently traded and sophisticated strategies showcased appear to have significantly underperformed their simpler counterparts while providing nominal draw down reduction (the holy grail: minimum drawdown with maximum return). I wonder how they compare over a full market cycle including a 2008 style downturn? None of the showcased strategies appear to directly utilize the momentum score so prominently highlighted. How sensitive is that score to change and practical use in managing weightings over what time frames? Any comparative data for establishing a rule based process? Thank you!

  2. James Picerno Post author

    The proprietary momentum score, as you note, isn’t used in a strategy, at least not at this time. I can tell you that it’s usefulness varies, depending on the ETF and the time period, which isn’t surprising. Nothing works all the time. That said, I find the momentum score to be useful for comparing a broad range of funds as an initial screen, which is the primary use in the newsletter. Meantime, you’re correct that the “showcased strategies” have delivered mixed results so far, although there have been bursts of impressive results at times and so it’s premature to dismiss the potential value-add. Feel free to email for additional info.

  3. Mike Mickelson

    There is an abundant amount of information but how does one make it actionable unless you adopt a buy/hold approach or come up with your own strategies (rules)? Then I got to the end of the letter where several approaches were detailed with their rules and rebalancing time frames. Are these various tactical strategies going to be available in funds of ETF’s that one can invest in through Vanguard, Fidelity, Schwab, etc.?

  4. James Picerno Post author

    Mike, the strategies (other than the BlackRock funds) aren’t available as funds of ETFs, although it would be straightforward to manage these directly on one of the existing fund platforms or through a wealth manager. Please note that the newsletter is still in development. I plan on adding fund data that will make it easy to manage these strategies directly with current weights for each ETF.

  5. Robert Agranov

    Excellent Newsletter and I would be interested in subscribing to it. Rather than broad indexing the portfolio in a static buy, hold and rebalance manner it would help to construct broad exposure more narrowly by getting more of what’s better and less of what’s not good. It’s better to be approximately more right than exactly or too approximately wrong. Definitely serves a timely and useful purpose for investors. I would add 30 (1 month), 60 (2 month) and 90-day (3 month) performance numbers for another even if blunt momentum instrument which would also give some idea of the environment – whether it is momentum and trending or reversion to the mean. Also, include Gold, US Dollar, and US Stock volatility – VIX as major asset classes. And, include a list of thematic ETFs representing various themes in US – ex. 5G, genomics, robotics, IOT, AI, etc. in US stocks. When do you think you can start publishing this on regular basis, monthly would be a good start for frequency to start publishing it sooner?

  6. James Picerno Post author

    Thanks for the kind words. Good suggestions. Of course, the constraint is that there’s a practical limit to how much is feasible to stuff into one newsletter. But perhaps I could break up issues into two separate publications and incorporate some of your ideas. In any case, I’m still working out some of the finer points. I’ll publish a new update soon and make it available gratis on the web site. At that point I’ll have a better idea re: timing for a formal launch.

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