The stock market was closed 9/3 for Labor Day, so my 2.5W fund purchases were delayed until today, 9/4.
My procedure is now to take the first 5 entries in the top 100 chart at etfdb.com - specifically the 52-week non-leveraged performance chart. Then, I take 1 year performance and subtract 4 week performance:
(1) PSCH = 64.50 - 7.61 = +56.89 mtm
(2) ULBR = 58.50 - (-2.34) = +60.84 mtm
(3) OILB = 55.69 - 3.59 = +52.10 mtm
(4) BNO = 54.45 - 5.54 = +48.91 mtm
(5) USO = 52.75 - 3.08 = +49.67 mtm
Based on that, ULBR has the highest momentum. But ULBR is NOT a commission free ETF (it's actually an ETN, an exchange traded note), so I can't use it. The whole reason I'm opening up the fund to purchase from this list is Vanguard's expansion of $0/trade for 1800+ ETFs. So Although ULBR has the highest momentum, it doesn't fit the funds "$0/trade" criteria.
PSCH is "Free" to trade, so I switched the fund's holding from Vanguard Information Technology (VGT) into Invesco S&P SmallCap Health Care ETF (PSCH).
Had the fund kept it's original criteria, it would also have switched now that VDE (Vanguard Energy) has higher momentum than VGT.
Speaking of changes in criteria, it might be worth reviewing the fund's progress over the past 2.5 years and what motivated each change.
Originally the experiment used two kinds of momentum, with assets split 50/50 between them. According to the white paper I read, "52-week highest price" momentum added additional value to "52-week performance" momentum. In practice, it was difficult to implement and hurt performance. Too many funds reach their 52-week highest price at the same time, so that approach tended to get diluted when applied to Vanguard sector funds.
The experiment also started out limited to Vanguard's 11 sector funds. Owing to my limited "index fund" thinking, I thought all investment approaches divided up the market and decided the weight to apply to each slice. But there's no reason to limit the experiment to sector funds - any Vanguard ETF could be used, provided it had the highest momentum.
So the fund lost it's "52-week highest price" momentum, and expanded to all Vanguard ETFs. I expected high turnover, and at first that was an accurate prediction. That's also the reason the fund was limited to Vanguard ETFs: they cost $0/trade. A high turnover fund paying commissions will feel an impact on performance.
Finally, last month, Vanguard announced ~1800 ETFs would be $0/trade at Vanguard. I took advantage of this change by expanding the fund experiment's possible ETFs to anything listed on etfdb.com's top 100 list. That list includes Vanguard ETFs - "VGT" is near the middle of the top 100 list. But now the fund can benefit from other ETFs with even higher momentum, which will hopefully create more exposure to the momentum factor. And hopefully, most of the time, more exposure to momentum translates to higher performance.
By a fun (fund?) co-incidence, the 2.5W fund is now 2.5 years old. Which reminds me of another criteria that changed: originally, the "5W fund" made purchases every 5 weeks. This ensured 35 days elapsed between purchases, while still occurring every week on the same day. The 31+ day criteria was needed to avoid wash sales in a taxable account. Since then I moved the fund to a retirement account, where there's no tax implication of selling at a loss in 30 days. So the fund was able to switch to "2.5 weeks" per update.
The fund is now 100% in small cap health care, PSCH, based on the data on etfdb.com's top 100 charts. Next update on Sept 20th.