Thursday, January 31, 2013


We received a report from Bespoke Investment Group last night alerting us that the Chinese market is approaching a “golden cross” where the 50 day moving average of the Shanghai Composite Index is about to cross above its 200 day moving average.  While this indicator has had generally specious results, Bespoke says it has been an accurate predictor of gains in that market.  Quant agrees as our old leader, the iShares FTSE/Xinhua China 25 Index Fund (FXI) has moved back into the top 10 at 7th place this morning.

This fund had great results for us throughout the fall as it gained even as the Chinese market didn't.  Some Hong Kong exposure and currency effects accounted for the disparity.  It began to rank lower as Quant moved to a US focus near year end.  Even though the Bespoke report shows the Shanghai gaining through that time, FXI stalled and is basically flat year to date.  Quant saw the time out coming as the fund dropped as low as 52nd place on January 2nd.  That provides another example where drops in rank like that are not sell signals as this one looks ready to rock again.  That flat performance over the past month leads to a middling Technical Score of 63.1 although the long term is better at 69.4.  Not surprisingly, its Sentiment Score is better at 83 led by a high 99.5 short interest score.  Its fundamentals look nice with Price/Cash Flow and Price/Book readings of 95.4 and 95.9 leading to a healthy Fundamental Score of 72.8.

If the Shanghai Composite completes that golden cross, it could shake out those shorts and spark the next rally in FXI.  That becomes even more plausible with yesterday’s surprising negative US GDP print.  If the US joins Europe in recession there won’t be too many other developed markets to turn to.  China is becoming a developed market and Quant thinks it is going to develop more so in coming months.  We welcome FXI back into the elite ranks and hope it performs as well for as it did the last time.  We welcome you here every day and hope we perform as well, thanks for reading.

Wednesday, January 30, 2013


You may not want to buy today’s featured fund.  Indeed, we are going out on a limb by writing about the Market Vectors Gold Miners ETF (GDX) even though it is holding Quant’s 2nd place rank today.  Looking at its Dorsey Wright chart doesn’t engender excitement either as the fund looks like it could be breaking down below an uptrend line.  That breakdown sees it down by about 30% since it last ranked well in October making that Quant’s worst call in its young history.

So what does Quant like about this loser this time?  Not its Technical Score of 48.9 which is lower than most funds discussed in this space.  The short term score reflects that breakdown at an even lower 32.1.  But the flip side of technicals in our behavioral analysis is our Sentiment Score which comes in at 83 suggesting Quant thinks this selloff is overdone.  Graham and Dodd thought behavioral analysis applied to children but their traditional fundamental measures actually reflect very well on GDX.  Its 89.6 Fundamental Score is only beaten by 3 other funds that score even lower in our cutting edge behavioral measures.  Nothing exciting in its 55.8 Global Theme Score and its Quality Score of 69.3 is decent but not the reason for its high rank today.  That 2nd place is attributable to those good old fundamentals scoring in the 90s, except for its still good 66.7 yield score.  The market hates these companies but they have been printing money as the elevated gold price may not be rallying but seems to be enough above extraction costs to feed their balance sheets.

Fool us once shame on Quant, fool us twice shame on us.  We are betting that Quant doesn’t blow it twice on this fund and taking some risk in bringing it to you today.  That risk is also shown in the fund’s relatively high Red Diamond Risk Rating of 5.39.  That said, we are confident Quant is once again cutting through our natural human emotion and giving us a pick that we would otherwise shun.  We would understand if you pass on this one as it sure ain’t glittering but Quant sees gold in GDX.  Thank you for reading, we hope this one works this time.

Tuesday, January 29, 2013


It’s not April yet but Quant is getting a little stir crazy with its all US top ranks.  It will be a couple of months until the chestnuts are in blossom but Paris is catching the algorithm’s fancy with today’s 8th place iShares MSCI France Index Fund (EWQ) breaking the US  hold on the top 10.  It’s followed by the iShares funds that track Spain and Switzerland, EWP and EWL, tied at 14th place.

One reason France is scoring better is that EWQ has 73 constituents compared to EWL’s 40 and EWP’s 25 which leads to a higher Quality Score for the France fund even though they all come from the same sponsor.  Fundamentally, Switzerland and Spain beat out France with mid 70s scores to EWQ’s 63.6.  On the technical side we see Switzerland’s EWL winning with a 73.7 Technical Score where Spain and France get mid 60s.  All three are close in their Global Theme Score with Switzerland’s healthier economy getting the edge there.  It’s the Sentiment Score at 89.8 that propels France into today’s top 10 driven by high 90s Put/Call and Short Interest Scores.  While plenty of skepticism has Spain also scoring well in that category, Switzerland’s safe harbor status keeps its Sentiment Score at a lower 61 which is as high as it is thanks to plenty of short interest which got a bump since we highlighted EWL last week.  Maybe the swells didn’t like what they saw in Davos.  We have noticed our Volatility Score works well as a secondary screen and Spain wins that one with an 85.7.

We have also noticed that funds continue to outperform the market even when they drop out of the top ranks.  All three were scoring well through much of the fall but dropped in rank late in the year as Quant turned its affection towards the US.  EWQ got as low as 169th place early this year but has continued to perform well.  We don’t generally give sell suggestions because each user has their own parameters; some will sustain some lagging performance to keep turnover low where some others want to trade into what’s hot.  However, on the buy side, our top ranks have clearly proven to be excellent lists.  If you would like a better perspective on any fund’s historical scores and performance let us know at support@etfg.com and we’d be happy to give you a one on one walk through.  ETFG isn’t the low cost provider but we want to make sure you won’t find a better value anywhere.  Thank you for letting us serve you, au revoir.

Monday, January 28, 2013


Last Thursday we wrote about the large cap iShares Russell 1000 Fund (IWB) catching a wave into Quant’s top 10 as an example of US funds dominating the elite ranks.  Several small cap funds have also been scoring near the top and today we see some mid caps getting their turn in the top 10.

If you take the smallest 800 constituents out of that Russell 1000 fund you get the Russell Midcap Index. The iShares fund that tracks it, IWR, is one of today’s biggest movers jumping 39 positions into 10th place.  Big moves like that often result from big moves in the Sentiment Score and this one went from 49.2 on Friday to 69.1 today, option activity is most responsible there.  Its technical scores are very nice led by an 84.3 short term score as mid caps are showing up on a lot of leader lists.  Like much of the US market, the rally is stretching valuations but these mid caps get support from recent dividends boosting the yield score.  Enjoying similar but slightly better scores across the board is iShares’ other mid cap fund, IJH, this one tracking S&P’s MidCap 400 index.  It has half the number of constituents but twice the AUM at over $14 billion.  The weightings look a little different so take a look at each tear sheet and see which pie charts best align with your other investing themes.  IJH’s higher scores get it up to 6th place which is 17 positions higher than Friday, another nice move attributable to option activity boosting its Sentiment Score.

Those option traders have moved on from the aforementioned IWB.  Despite its better valuation and high short interest, lack of option activity and a low volatility score have knocked it down to 52nd place.  That doesn’t mean it should be sold as those ranks provide plenty of outperformers, it just suggests to wait for an opportunity with better buying characteristics.  Sentiment Scores are Quant’s more volatile ones but through all the noise the US theme remains clear.  Within that, we see energy, technology and materials continuing to score well.  Whatever size or sectors you may be considering, check in with ETFG and Quant will let you know which is just right each day.  Thanks for reading and good luck this week.

Friday, January 25, 2013

We’ve been following Quant’s US focus in this space all month but have also promised a look at the other countries scoring well, so let’s take a tour of Quant’s world this morning.  Most of the international funds come out of iShares so we will conserve time and space and just use tickers.

Bundle up because we begin in the Great White North where Canada’s EWC is at its highest rank all month in 40th place on high sentiment readings.  When it's dark here the sun rises Down Under where Elizabeth is the Queen of Australia, the country occupying Quant’s 16th place with EWA tied as the highest scoring foreign fund, again mostly driven by rising sentiment measures. Australia is also well represented in a couple of Developed Asia funds.  The country comprises almost 64% of 55th place EPP and a lesser 26% of 70th place VPL.  China’s FXI did so well for us throughout the fall and is still scoring well in 35th place.  Just because it dropped out of the top 10 doesn't mean it needs to be sold; as this post suggests, the top 100 have a good record of outperformance even though this one is lagging slightly YTD.  The same could be said for Emerging Markets fund EEM in 59th place today.  While we’re in the neighborhood, Indonesia is the only foreign country with two funds in today’s top 100, EIDO in 52nd place and IDX in 64th. Both of them see fundamental scores driving them into the top decile.  Neighboring Malaysia does even better with EWM in 49th place on strong fundamentals and rising sentiment readings.  Moving up the development chart but down in rank brings us to South Korea where EWY barely makes the cut ranking 98th on a Sentiment Score of 84.5.  That’s a coiled spring that could provide a trading opportunity for you more aggressive readers.  You also need an aggressive investment view to put money in Russia and if that is you, consider RSX in 80th place, also with a high sentiment reading of 82.8.  Mario Draghi is giving Europe a boost with some friendly commentary out of Davos today.  Quant was ahead of him as Europe has been gaining in rank recently.  While 48th place EFA is mostly Europe, 23rd place FEZ and IEV in 88th place are all Europe and the better scoring two get there again on strong sentiment readings.  Looking more specifically at a couple of weak sisters in Spain and France see their respective EWP and EWQ in 30th and 33rd place also on strong Sentiment Scores but Spain sees a good Fundamental Score of 74.2 as well.  Germany’s EWG comes in 38th place today also on bearish sentiment readings that score well in Quant’s contrarian algorithm.  It’s a different story with Switzerland’s EWL which was highlighted Tuesday and still ranks in 16th place, tied with EWA as Quant’s highest ranking foreign fund.  Good old technicals and fundamentals keep it up in those elite ranks.  Some people consider it Europe and readers will remember that Turkey’s TUR was a great performer for us since it began scoring well around Thanksgiving.  It is still outperforming and giving us a good example that  funds ranked as low as this one’s 81st place still tend to outperform the market.

Today’s top 100 also see 8 funds classified as global and mostly focused in the basic materials sector.  The most notable characteristic of today’s group of 100 is that 75 of them are US funds, a number that usually falls closer to 50.  So Quant still likes the US but the high sentiment readings for some of those foreign funds suggest they could be due for a pop.  Thanks for reading and have a nice weekend.

Thursday, January 24, 2013


When world markets were leaving the US in their dust last Fall, Quant made a shift away from those foreign funds that so dominated its upper ranks into the US that at the time was mired in the fiscal cliff “debate”.  It had been a good ride on a wave that was about to crest and readers know Quant has been hanging most of its ten toes over the edge of a US longboard since then.  It’s been another good ride as the US market catches up with those international markets that provided so much outperformance for the model.  We have been saying it’s going to be difficult to keep outperforming the S&P 500 because Quant is currently favoring those same US issues.

A good example is today’s new entry into the top 10, the 6th place iShares Russell 1000 Fund (IWB).  Wedged between its small cap and broad market cousins in 5th and 7th place today, the 1000 represents the large cap slice of the US market and not surprisingly, is tightly correlated with the S&P 500.  Having almost 1000 constituents makes it a little less exposed to any one company but Apple still makes up more than 3% of AUM so it may stall a bit today.  It floats up into the top 10 for the first time since early November with nicely balanced scores in the mid to upper 60s which we like to say is better than if those scores were on your kid’s report card.  Except for its 95 Quality Score which would make any parent proud.   It may have been early in November but the fund has outperformed the MSCI ACWI since it began to score well again in late December.  Within its 69.4 Behavioral Score are very nice Technical Scores led by its Short Term measure of 85.2, this one is tube riding right now.  It doesn't look as sweet fundamentally but its appreciating valuation is supported by a 98 yield score.

In our short history since last July, the ETFG models have proven very adept at dropping in on the sweetest waves.  It’s been a gnarly market since then and Quant has found the sections you wanted to ride and for now that’s still the good ole USA.  So don’t be a kook getting rag dolled by a choppy market.  Check the ETFG rankings each day and hang-loose with the swells.

Wednesday, January 23, 2013


We entered 2013 with Quant heavily weighted towards the US and it has been the right call as the S&P 500 outpaces the MSCI All World Index.  Not wanting to abandon what works, Quant still favors America in an unusually large way; all of today’s top 10 are US funds.

One of those is the iShares S&P 500 Index Fund (IVV) in 10th place, scoring better than its two friends who also track that index but are not getting as high Sentiment Scores today.  All three get decent Technical and Fundamental Scores so Quant likes them.  There are three other US broad market funds in the top 10, the 3rd place iShares Russell 3000 Fund (IWV) seeks to replicate the broadest slice of the US market where their Russell 2000 and Russell 2000 Growth Funds (IWM and IWO) stick with the small caps and rank 5th and 7th today.  Energy is the favorite sector in today’s top 10 with XOP in 1st place, XLE in 4th and PXI in 8th.  All three have been mentioned in this space recently and still rank well as they have performed well.  Quant says it’s not too late to buy energy even though the mild winter is forecast to return to Wall Street next week.  Two of today’s top 10 can be thought of as tech funds where the 6th place Powershares XTF: Dynamic OTC Portfolio ETF (PWO) has 54.3% of AUM in that sector and the 8th place iShares Goldman Sachs Technology Index Fund (IGM) has 94% and the other 6% in internet retail which many consider to be tech.  Rounding out the top 10 in 2nd place today is the SPDR S&P Metals and Mining Fund (XME) which has ranked well all year but has yet to perform accordingly.  We should also mention the Market Vectors Gold Miners Fund (GDX) tied at 10th place today.  It has been in the top 10 for 3 days which is its best run since October when it spent most of the month in those top ranks.  That prior call has been Quant’s worst yet as the fund has lost about 12% since then.  Let’s call it the exception that proves the rule and hope for a better outcome this time.

Nobody’s perfect and neither are most machines, Quant included.  But as our performance pages attest, the ETFG models are uniquely adept at identifying relative outperformance.  Do your own research and see if it conforms to Quant’s view, if not do some more research or wait for Quant to see things your way.  If you want to see how a fund you like has been ranking in recent months send us an email to support@etfg.com and we’ll be happy to research it for you.  At ETFG the customer comes first.

Tuesday, January 22, 2013


Quant hit the slopes over the holiday weekend.  Not Vermont or Colorado or any of those other great American destinations but Switzerland.  And the conditions there are good as the iShares MSCI Switzerland Index Fund (EWL) got some air jumping 44 positions into 16th place.  The fund has been up in these nose bleed ranks before and has always climbed to higher peaks subsequently.

With nicely balanced scores in the mid 60s to mid 70s across the board, its Sentiment Score is responsible for its improvement today boosted by some infrequent option activity rising to meet a consistently elevated Short Interest Score.  Those shorts have been taking faceplants lately as the fund has been sketching a pretty mountain chart since it first scored well in early October.  That explains its high Intermediate and Long Term Technical Scores of 77.4 each, even though the Short Term 57.8 number suggests it may need to catch its breath for a couple of days.   Its 40 constituents are concentrated with almost half of AUM in the top 3 satisfying winter needs such as NestlĂ© hot chocolate, Tamiflu from Roche Holdings and Theraflu from Novartis.   Mountaineers know it’s safety first and they can sleep well holding this one with its low 2.65 Red Diamond Risk Rating which includes Volatility and Deviation measures right around 4 on the scale of 10.

As Old Man Winter makes his presence felt on Wall Street, follow the swells to Davos and the snow covered Swiss Alps.  Like the rest of the market, EWL has had some ups and downs since it first began scoring well in early October but it has outperformed the S&P 500 anytime it has ranked as high as the teens.  So Quant says this one is ready to heat up your portfolios again.  We’re going to pour ourselves some of that NestlĂ© cocoa and hope to not be needing those other mentioned products.   Thanks for reading and stay warm this week.

Friday, January 18, 2013


When you’re done speaking with your colleagues about Manti Te’o, what do you think of Boeing?  Is the Dreamliner viable?  How about Apple and their walled garden strategy?  People are wondering why Intel is planning to expend so much capital when nobody is buying PCs anymore.  Maybe you are wondering why the ETF Global blog is writing about individual equities and the answer to that riddle is that we are about more than just ETFs.

Whether you are bullish or bearish on these or any other companies, check out our Equity Grey Market Report to see all those ETPs that could have exposure to any stock.  Access the report by entering a ticker in the upper right search box or click on an equity constituent from an ETF Tear Sheet.  You will find some basic trading information and our interactive price chart above the summary of that equity’s ETP exposure expressed as dollar values long, short, net and gross, and as percentages of market cap.  Below that, we get more granular showing all those funds that hold the shares in various ways whose columns can be sorted by clicking on the headers.  This is another way we differentiate ourselves from other sources that only show the funds that actually hold the shares.  People differ on the extent to which leveraged and inverse funds that may not actually hold the shares, but track an index that does, can affect a stock’s trading.  That’s why we include those leveraged an inverse funds and show the leverage factors and implied exposures.  Our users know this is important information and it is only available at ETF Global.  We get a lot of clicks on this report during earnings season as users look for funds to play or avoid when a big earnings announcement hits the wires.

We are also getting feedback from equity investors who don’t use ETFs but like to see how Quant is ranking their favorite sectors or regions.  We looked at sectors in yesterday’s post and are seeing some foreign funds bumping up today so maybe we’ll do another international tour of Quant’s top 100 next week.  Until then, enjoy earnings season and don’t forget to take a look at the ETFG Equity Grey Market Report for any company that holds your interest.  Thanks for reading and have a nice weekend.

Thursday, January 17, 2013


We spend a lot of time in this space on Quant’s elite top 10 or 25 ranks but we have found that the top 100 have an excellent record of outperforming the market so let’s take a broader look at today’s rankings.

Regular readers won’t be surprised to hear that Quant’s favorite sector this morning is Information Technology.  Out of 33 funds in our Info Tech index, 10 make it into Quant’s top 100 with 2 in the top 10, IGM and SOXX at 7th and 9th place.  We see some more familiar tickers from the energy sector where 9 out of 44 funds make the cut including today’s 1st and 3rd place XOP and PXI.  Making Ben Bernanke happy with their increasing asset prices, Basic Materials is Quant’s third favorite sector this morning with 5 out of 46 funds among the highest 100 rankers and XME tied for 1st place.  Health Care and Industrials have 27 and 24 constituents in their respective ETFG Sector Indices and each sees 4 of those in today’s top 100.  The highest ranking Health Care fund is the 38th place XLV but Industrials does better seeing XLI in 6th place. Quant isn’t too excited about the consumer with one fund from the Discretionary index and one from the Staples index in the top 100 but none in the top 10. Discretionary constituent XRT gets as high as 17th place this morning but the best Staples fund, XLP, only gets as high as 62nd place.  Only one out of 14 Utility funds makes today’s group where PSCU comes in at 89th place.  So Quant is not thrilled by Utilities but it likes them better than Financials and Telecomms that don’t see any of their index constituents anywhere near the top 100.

We like to take a broader look like this from time to time and we hope you find it useful.  If there are any other aspects of our model or the other offerings on ETFG that you would like to see covered in this space, please send us an email to support@etfg.com.  At ETF Global, we aim to please.

Wednesday, January 16, 2013


Cold rain and snow on Wall Street this morning and when that happens energy stocks usually do well as we all turn up our thermostats.  Quant knew we were going to get our weather back from LA eventually and some of those energy funds we’ve recently highlighted are still in the upper ranks.

In first place again today is the SPDR S&P Oil & Gas Exploration & Production Fund (XOP) with pretty good Fundamental and Technical scores in the low 60s but a better Sentiment Score of 78.1 suggesting some big money thinks the temperature will rise and this fund will fall.  In today’s 4th place position is the Powershares Dynamic Energy Fund (PXI) continuing its streak of top 10 ranks every day of 2013.  We are looking closely at how our model works with these dynamic funds compared to traditional passive ETFs and this one has passed the test so far by outperforming the S&P 500 since achieving its top 10 rank on January 2nd.  Powershares has another dynamic fund scoring well and it too is devoted to the energy sector.  Like today’s #1 fund, their Dynamic Energy E&P ETF (PXE) is devoted to the E&P sector that is keeping so busy fracking for America’s newfound energy bonanza.  Its 11th place rank today is its best since early August when it reached #1.  It too passed our test by outperforming handsomely from that point.  These two dynamic funds get better Fundamental and Technical Scores and lower Sentiment Scores as the smart money doesn’t want to go against a quantitative model that’s working.

Our users know how well our quantitative models are working and if you are new to ETFG check out our performance pages.  Quant still favors US large cap and basic materials issues that are riding the wave of liquidity flowing out of Congress and the Fed.  We’re here to help you get some of that cash too, so check in daily for our latest rankings and you won’t be disappointed. 

If you are in the Northeast this morning, be careful coming down those stairs.  We would be happy to take a loss on these funds if LA would trade back their weather for ours.  In the meantime we thank you for using ETF Global as we dream of going where those chilly winds don’t blow.

Tuesday, January 15, 2013


There is very little change in Quant’s rankings today so let’s take a look at the ETFG Liquidation Watch List.  This is where we try to alert you to funds that have a higher likelihood of closing.  When a fund announces a closure, the Authorized Participants usually stop engaging in their arbitrage activities which can lead to spikes in tracking error, something you don’t want to be around for.

We begin by screening for all funds with assets under management below $5 million which is a level that makes it difficult to generate the fees necessary to operate and market an Exchange Traded Product.  This month’s list shows 253 products meeting that criterion.  Most sponsors will give a new product some time to gather the necessary assets so we screen out all those funds that have been around for 2 years or less which amounts to 1,051 products this month.  Even though Quant will highlight an occasional loser as worth buying, most investors shy away from the biggest loser list and sponsors know that a negative trailing 12 month performance will keep their funds off of those buy lists.  Our final screen this month shows 323 products with negative performance over the past year.  When we Venn diagram the whole thing out we get 38 products that meet all three criteria.

This month’s list, which you can see under the Analytics button, has 9 commodity funds, 4 currency, 2 multi asset and 23 equity based funds which are mostly leveraged or inverse.  No fixed income this month.  If you like to buy Quant’s top rankers, rest easy as the highest Quant score on the list is a lowly 57.1 out of the 4 funds with scores (Quant only scores standard equity ETFs).  If you like to limit your risk exposure, you probably don’t need to worry either as the average Red Diamond Risk Ratings of this month’s list is a high 6.89 with the lowest being 4.56 on a South African currency fund.  That may not seem very high but currency funds tend to have lower Risk Ratings. 

So if you stick with funds that get high Green Diamond Reward Ratings and low Red Diamond Risk Ratings you don’t need to worry.  But if you like to dabble in some of the more esoteric products available across the landscape, make sure you consult the ETFG Liquidation Watch List prior to purchase or to check up on any positions you currently own.  Inclusion on the list doesn’t guarantee closure and exclusion doesn’t guarantee longevity but our users have found it to be an important component in their toolbox.  Thank you for filling your toolbox with ETFG tools, we’ll be back with Quant’s latest rankings tomorrow.

Monday, January 14, 2013


Since early November, we have seen Quant’s elite ranks dominated at various times by emerging markets, Europe, US large cap and US small cap.  Through it all one fund has consistently been scoring in or near the top 10, so we wanted to take a deeper look at the SPDR Industrial Select Sector Fund (XLI).

It finds itself in 5th place today with a high 82.2 Sentiment Score suggesting market skepticism that it can keep its rally going.  Although its short term technical score has weakened down to 46.9, its intermediate and long term technical scores are still close the 70 level that all three have been enjoying recently.  Fundamentally it has seen solid low 70s scores for the past few months which has most accounted for its longevity in the elite ranks.  One of XLI’s more notable attributes is its low 2.75 Red Diamond Risk Rating.  Being a large and liquid US based fund out of State Street helps to keep that risk rating low but the deviation and volatility scores around 5 shouldn't cause you to lose too much sleep either.  A look at its 61 constituents shows a who’s who of large US industrial conglomerates led by General Electric with an 11.77% weighting.

XLI has been consistently scoring well partly because it has been consistently performing well.  Since it first broke into the top 10 on November 2, it is up by 6.14% compared to the S&P500’s 4.09% rise. That weakening short term technical score could signal the end of its run if not for the rising Sentiment Score which could signal the fuel for its next leg up.  Balancing it all out, Quant continues to expect this industrial fund to continue to outperform.  We thank you for continuing to use ETF Global and wish you good luck this week.

Friday, January 11, 2013


In late December we noticed some technology funds creeping up into the mid teen rankings and speculated as to whether they are diamonds in the rough about to make it into Quant’s elite ranks.  Today those elite ranks see 3 technology funds in the top 10.
               
Slightly trailing the market year to date, the iShares Goldman Sachs Technology Index Fund (IGM) is still buyable and has only seen higher ranks since it reached 17th place in that December 28th post, it’s at 6th place today. As was the case a few weeks ago, Fundamentals are still responsible for the strong rank driven by high cash flow and yield scores.  It had an 82.5 Fundamental Score then and it’s at 82 today.  The behavioral side is not as strong with low 60s in the technical and sentiment categories.  The iShares Dow Jones U.S. Technology Index Fund (IYW) wasn't mentioned in that December 28th post but it has risen to 8th place today.  A very high 90.2 Fundamental Score gets it there but the flip side of a cheap fund is that it hasn't been performing well.  We don’t write about too many funds with a Technical Score as low as 27.9 but that has helped it garner a very decent 77 Sentiment Score so maybe this one is due to outperform.  Rounding out our list of three today is the iShares PHLX SOX Semiconductor Sector Index Fund (SOXX) which also didn’t make our December 28th post but is in 10th place today.  Here we see a better balance of scores with a decent 78.2 on the Fundamental side matched by a good 67.2 on the Behavoiral side.  It has been scoring well since early November and its performance since then has justified its high score.

The upper ranks are still dominated by US large cap but we are seeing several small cap funds creeping back up in the rankings.  Some of our familiar foreign funds are also getting near the higher ranks again so maybe we’ll have reason to highlight them in coming posts.  We are keeping our eyes on them and will back next week to keep you apprised.  Until then thanks for reading and have a nice weekend.

Thursday, January 10, 2013


It was on this day in 1901 that mining engineer Anthony Lucas was exploring for oil on a tract of land he leased in Beaumont TX and produced the world’s first gusher.  It was that gusher that is said to have signaled the advent of the American oil industry, an industry that is scoring well in Quant today.

If ETFs had been around back then, we may have seen Lucas’ company in the SPDR S&P Oil & Gas Exploration & Production Fund (XOP) which ranks in 2nd place today.  It has 72 constituents closely weighted with the top position comprising 1.62% of the fund.  No wildcatters and con men among them though, these companies have enough earnings and cash flow to garner a decent 73 Fundamental Score.  Poor trading yesterday dinged the fund’s Technical Score down to 56.6 from the low 60s in the prior few days but that has brought out the bears boosting the contrarian Sentiment Score all the way up to 90.9.

Quant’s 5th place Powershares Dynamic Energy Fund (PXI) has about a quarter of its assets in the E&P space with the rest of its 60 holdings closely weighted among downstream energy positions like services and marketing.  It’s focusing on those new American Jed Clampetts who instead of using their land for shooting food are finding bubbling crude buried deep in the shale formations.  It has an even better 87.2 Fundamental Score but these dynamic funds differ from typical ETFs in that the constituents periodically change; so that score could reflect the sponsor’s model skewing towards lower price issues as much or more than the issues within trading at historically attractive valuations.  That said, the dynamic funds that have scored well in Quant have not disappointed.  This one hasn't disappointed too many holders in recent days, it has been trading well enough to garner a high octane 68.7 Technical Score which has yet to pique the interest of the bears, its Sentiment Score is only 57.2.

Other energy funds are also appearing in the upper ranks recently as are many US basic materials issues.  Ironically, industrial and broad macro funds whose constituents rely on those basic materials are also scoring well.  Is it an inflation signal or an accelerating growth signal?  We report, you decide but Quant says to put some energy in your equity allocation tank.  Our tanks are running low as this first long week in a while winds down, thanks for reading and we’ll be back tomorrow to close it out.

Wednesday, January 9, 2013


In case you missed our December 21 post in the midst of your holiday planning, ETF Global is that rare firm that actually monitors and reports on the performance of our ratings.  One of the reasons is that when your top rated funds perform as well as ours have, you want to shout it from the rooftops.  The performance reports on our Quant model and our Green Diamond Reward Ratings are on the publicly available part of our website and they will be there every month, even if it doesn’t look as good as it does now.

The numbers are good indeed.  Depending on how you want to measure us, we more than double the performance of the S&P 500 on a rolling return basis.  On the Quant side we segregate the top rankers from the top 10 to the top 100. Our top 10 rated funds each day have a average rolling 1 month return of 2.31% since we launched on July 2 compared to the S&P 500 which has an average of 0.95%, for 3 months those averages are 3.67% compared to 1.36%.  If ten names is too small a universe, you will find that our top 25, 50 and 100 funds also beat the market consistently. While Quant is primarily an institutional product, advisers and self directed investors are finding our Green Diamond Reward Ratings have similarly stellar performance.  Each day, one fund gets all 10 Green Diamonds and that fund has an average rolling 1 month return of 2.49% since July 2 compared to the S&P 500’s 0.95%.  We also break out the numbers by all 9, 8 and 7 Diamond funds and even the 7s beat the market.  You can see their 1 month average is 1.56% and the three month beats even more handily at 3.32% compared to 1.97% for the S&P 500.  Our Red Diamond Risk Ratings are not predictive so we do not calculate how they perform.

Quantitative models are becoming more important to the investment process and ETF Global has revolutionized the investment decision support industry by bringing such tools to you.  Our models are good enough to make you think it’s OK to take on 30 times leverage but of course we don’t recommend that.  We remind you that the models predict relative performance not absolute return, so if the market drops you should expect our top rated funds to also drop, hopefully by a lesser amount.  As you know, past performance is not necessarily indicative of future returns but more managers are finding that ETF Global gives them the edge they need in today’s difficult investing environment.  So if you haven’t yet, sign up for a trial subscription and send us an email to support@etfg.com, we’ll be happy to call you for a personal walk through the site.  Today’s Quant output is available under the ETFG Quant button, basic materials and energy are still scoring well and some small caps bumped back up in the rankings.  We will cover the ranks more fully tomorrow, thanks for reading today and please take a look at our performance reports.

Tuesday, January 8, 2013


That’s all right Notre Dame, you had a Cinderella season but it was good rocking last night for the University of Alabama, one of college football’s large cap names.  It feels so right that a number of US large cap basic materials funds are slipping into Quant’s blue suede shoes, two SPDR S&P kissing cousins lead the ranks today.

The 1st place SPDR S&P Metals and Mining Fund (XMEhasn't treated us too nicely since it was in these upper ranks in late October but the fund is finally showing positive performance since then.  It gets Quant’s top spot for the second day in a row on strong fundamentals and a high Sentiment Score reflecting market skepticism towards these economically sensitive industrial metals companies.  It is similar suspicious minds that get the SPDR S&P Oil & Gas Exploration & Production Fund (XOP) in 2nd place for the 2nd day in a row.  It gets an even better Sentiment Score but with lower Technical and Fundamental Scores.  Rounding out an American trilogy of large cap basic materials funds is today’s 4th place iShares Dow Jones U.S. Basic Materials Index Fund (IYM) again scoring well in the sentiment measures but with a better balance of Technical and Fundamental Scores in the low 70s.  The market may think these are hound dogs but Quant sees them as big hunks of love.

Quant’s small cap fever is cooling off a bit but we still see the upper ranks dominated by US funds.  Average risk remains on the low side exemplified by the SPDR Industrial Select Sector Fund (XLI) maintaining a top ten ranking in 5th place with a low Red Diamond Risk Rating of 2.55.  So Quant says America's beautiful large caps will bring peace to your valley and keep you out of the Heartbreak Hotel.  Congratulations to the Crimson Tide and happy birthday to the King of Rock & Roll, wherever you are.

Monday, January 7, 2013


Congratulations to the owners, players and fans of the NHL, there will be a hockey season after all!  It will be a small one but small is not so bad.  We have seen small cap funds scoring well where the iShares Russell 2000 Fund (IWM) has backed off a couple of days at 1st place but is still in 3rd today. The growth and value versions, IWO and IWN, are at 13th and 27th place respectively, no thin ice in those solid rankings.  This morning we see another small cap player checking into the elite ranks.

The Vanguard Small-Cap Fund (VB) has been languishing in the minor leagues for most of the recent months but it came into 2013 in the top 50 and has made the top 10 today at 5th place.  It gets there with an assist from a spiking Sentiment Score but its Technical Score has been grinding higher over recent weeks to this morning’s all star level of 72.1.  The difference has been its Fundamental Score which saw a late December breakaway into the mid 60s when the fund paid a distribution of $1.485 per share, up significantly from last year’s 94¢.

The higher risk with small caps can get you in the penalty box and their increasing presence in the top ranks is bringing up the average Red Diamond Risk Rating of those ranks which had been dropping sharply.  The top 10 have an average Risk Rating of 4.27 today, higher than the top decile’s average of 4.17 which is up from Friday’s very low levels but still lower than usual.  So keep an eye on risk but let that other eye wander to the small caps facing off in today’s lineup.  We are happy to not have to go through the rest of the winter without goals and remind you to get this blog in your inbox each day and follow us on Twitter.  It will keep your portfolios lighting the lamp.

Friday, January 4, 2013


Two seemingly different additions to today’s top 10 may be more alike when we look beyond their names. The iShares S&P 500 Value Index Fund (IVE) rose 19 positions into 3rd place, its highest rank since 1st place on Christmas Eve, and the Powershares XTF: Dynamic OTC Portfolio Fund (PWO) rose 12 spots into 7th place, its highest rank yet.  Value funds don’t usually appear on the same lists as OTC funds so let’s look at what Quant sees in them.

Both get decent Behavioral Scores in the mid 60s with IVE winning the long term technicals and PWO the short term.  On the Fundamental side, the value fund has more value than usual exemplified by its 81.5 Fundamental Score but PWO scores an even better 90.5.  Its 13.24 P/E is a tad higher than IVE’s 12.88 but that disparity has usually been greater.  The constituents in each fund do not look the same where IVE sees half its assets in financial, energy and industrial stocks while more than half of PWO’s assets are not surprisingly in info tech.   Overall, IVE scores a 74.3 while PWO gets 73.6 but PWO actually does better in the Green Diamonds earning today’s 10 Green Diamond top ranking.  It’s on the risk side where we see more similarity.

Both funds have lower than average risk with IVE getting 3.63 Red Diamonds, a little better than PWO’s 3.95.  Each scoring below 4 provides a message.  Today’s top decile of Quant rankers have an unusually low average risk score of 3.97 and the top 10 average is even lower at 3.91, both are down about 20 basis points in a couple of days which is a large move.  We like to remind you that Quant does not predict market direction, just relative performance so it could be a warning sign when the lower risk names are poised to outperform.  That said, the ranks are still weighted towards the US but a few foreign funds are creeping up.  So Quant still sees the US outperforming but it could outperform in a downturn.  Thanks for reading and have a nice weekend.

Thursday, January 3, 2013


Too much too fast?  We expected some movement in the rankings away from the US after the past couple of big days but we got the opposite instead.  Quant likes the action and wants more, all of today’s top ten are US funds led by iShares’ Russell 2000 and 3000 Funds (IWM and IWV) in 1st and 2nd place respectively.

The former is their small cap fund and the latter is their broad market fund.  Readers know the 2000 has been scoring better recently as have other small and mid cap funds.  It is followed in 5th place today by the iShares Russell 2000 Growth Fund (IWO), another small cap fund devoted to the growth sector which is also scoring better.  It’s not that Quant doesn’t like value, we can still see a few of those in the top 25 which is also almost entirely US funds, except for China’s FXI in 21st place.  Regarding sectors, we still see technology, energy and industrials scoring well.  The iShares Goldman Sachs Technology Index Fund (IGM) and the Powershares Dynamic Energy Fund (PXI) remain in the top 5 at 3rd and 4th place today, and the SPDR Industrial Select Sector Fund (XLI) stays in the top 10 at 9th place.  Today’s most notable mover is the SPDR S&P Metals and Mining Fund (XME) jumping 137 positions into 8th place.  Our readers know this is not a bomb shelter gold fund but more of an industrial metal fund suggesting Washington has found the magic growth formula to drive the US economy forward, or at least the stock market anyway.

Isn’t it great the way our politicians solve our problems?  Until the media can come up with a new Armageddon date to count down in the lower right of our TV screens, Quant remains on the US bandwagon.  Will it be the next level of the fiscal cliff?  The date that Secretary Geithner runs out of shell games to rejigger our debt?  Who knows and who cares?  Don’t worry be happy, and buy the US market, Quant says it will outperform until then.

Wednesday, January 2, 2013


You rubes got all caught up in that fiscal cliff hysteria?  Quant apparently knew the politicians would vote for lower taxes and more spending, that’s about the safest bet around these days.  Our top ranked funds were well positioned for Monday’s rally and the one that’s taking shape today.  The US still rules the ranks and we see two of them tied for 1st place this morning.

New to the top 10, the Powershares Dynamic Energy Fund (PXI) is one of several energy sector funds scoring better.  A very strong Fundamental Score of 88.2 gets a boost from a dividend rise and its decent 65.1 Behavioral Score gets a boosts from a high Implied Volatility Score.  Other high ranking energy funds are seeing similarly strong Sentiment Scores suggesting a bullish turn could be in store for this group.  Tied with that in 1st place today is the iShares Russell 2000 Growth Fund (IWO), which has spent much of the past month in the top 10.  The 1,124 small cap growth stocks in this fund aren't cheap compared to the market but in their own historical context they are cheap enough to get a 71.5 Fundamental Score.  Behaviorally they look even better with an 85.5 Sentiment Score suggesting too much pessimism in this group too.  Indeed, Quant’s biggest gainer list today sees a large number of small and mid cap funds, many due to better behavioral scores.

So cheer up investors!  Keynesianism is alive and well and we’re all on easy street for the foreseeable future, as long as Uncle Ben keeps his helicopter flying.  Quant wants to stick with the country that’s so promiscuous about printing its own money, at least for now.