With new record levels now set by the equity markets, perhaps these heights will begin to separate various security selection methods. One example of that may be to see just how smart is smart beta.
Our own smart beta indices conducted their monthly rebalance last week and now head out into their 17th month of existence. ETFG currently publishes two Dynamic Indexes, the ETFG Quant Equity 10 (Symbol: ETFGQE10) and the ETFG Quant Equity 12 – The Golden Dozen (Symbol: ETFGQE12) - let’s take a closer look at the performance and composition of the ETFG Golden Dozen.
By way of background, the ETFG Golden Dozen is comprised of the top 12 equity ETFs as ranked by the ETF Global (Index Sponsor) Quant model that also meet the liquidity requirement. The selection pool includes all U.S. listed, equity ETFs, excluding levered and inverse funds, as well as, those funds with average daily trading value of less than 5M USD. The ETFG Quant model assigns a daily ranking to all relevant products using proprietary algorithms and employing dozens of industry metrics to gauge how likely an equity ETF will outperform the market in the foreseeable future. Selection is performed prior to trading on the third Friday of each month. The portfolio is equally weighted and reconstitutes monthly on the second trading day following selection.
Here is the most recent performance of the ETFG Golden Dozen: Since its inception in July of 2012, the ETFG Golden Dozen has returned 36.65% vs. 30.837% for ACWI and 33.18% for SPY. For the last 12 months, the ETFG Golden Dozen has returned 27.58% vs. 21.74% for ACWI and 29.01% for SPY. Finally, in the last 6 month period, the ETFG Golden Dozen has returned 8.83% vs. 5.18% for ACWI and 8.43% for SPY.
For more detail, information and statistics on this Index and other ETFG Indices, please go to ETFG Indices. We will look deeper into these indices’ composition in future posts.
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