Testing the 3-ETF Strategy

A subscriber asked for a performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and the following monthly rebalanced allocations to three exchange-traded funds (3-ETF):

• 30% Vanguard Total Stock Market Index Fund (VTI).
• 30% Vanguard Total International Stock Index Fund (VXUS).
• 40% Vanguard Total Bond Market Index Fund (BND).

Using monthly returns for SACEVS-SACEMS 50-50 and month-end dividend-adjusted prices for VTI, VXUS and BND during January 2011 (limited by inception of VXUS) through January 2021, we find that: (more…)