Friday, September 28, 2012

September 28:
Little change in Quant’s top 10 today.  The SPDR DJ Euro STOXX 50 fund (FEZ) is back in the group at 6th place along with another S&P 500 fund, Vanguard’s (VOO) at 8th place 2 behind the bigger SPDR S&P 500 Fund (SPY).  Also moving into the top 10 overnight were the iShares MSCI EAFE Index Fund (EFA) and the SPDR Technology Select Sector Fund (XLK) tied at 9th place to round out the top 10.  Another notable mover was the iShares MSCI Germany Index Fund (EWG) gaining 136 positions onto the ETFG 100 list at number 93 showing Quant’s continued fondness for developed Europe. 

Quiet days provide us an opportunity to highlight new features on ETFG such as our new Red Diamond Risk Rating page, under the Research button, where you can see any fund’s Risk Rating broken down into 6 categories.  Each category score, on a scale of 10, results from a proprietary compilation of industry standard metrics.  Not surprisingly, the highest risk scores tend to be distributed among the leveraged population that tend to have the highest volatility and deviation rankings. Country ranks result from a compilation of national economic statistics and a fund’s exposure to each country at the constituent level.  Structure risk analyses a given product’s internal structure, such as its diversification and use of derivatives and also includes Quant’s Firm rating where the larger more established firms get lower risk values. Liquidity Risk looks at a product’s trading attributes such as volume and bid/ask spread and includes ETFG’s proprietary Liquidation Watch which highlights those products that may be at risk of closing.  Finally, the Efficiency score analyses tracking errors and expense ratios.  

Our Risk Ratings are assigned to all products across all asset classes and reflect historical attributes in those areas mentioned above.  Our Reward Ratings, driven by Quant and limited to equity funds, are predictive of future relative performance.  Many new features and functionality are in the pipeline so please check each day.

Thursday, September 27, 2012

September 27:
Quant has proven adept at identifying relative performance of equity ETFs over the intermediate term, but not Catalonian riots.  Those disturbances that provided such compelling CNBC content yesterday drove Spain’s benchmark stock market index down almost 4% and the iShares MSCI Spain Index Fund (EWP) down a little more than 3%.  The fund lost 34 positions in its Quant rank to a still respectable 40th place.  Not surprisingly, deteriorating technical scores were the culprit as all three technical categories lost ground.  The selloff did boost the fund’s sentiment scores which are scaled on a contrarian basis.  In case you are wondering, the other site of anti austerity riots, Greece, saw its dedicated ETF, the Global X FTSE Greece 20 fund (GREK), fall 190 positions into 579th place; so Quant doesn’t like all of Europe.  The 4 new entrants on the top 10 list today are all iShares MSCI international funds.  Their France Index Fund (EWQ) rose 19 spots into 3rd place, Emerging Index Fund (EEM) 7 positions into 5th place, South Korea Index Fund (EWY) jumped 41 places into 7th, and their Chile Index Fund (ECH) rose 6 places to rank at number 9, go penguins!  The broader European selloff did knock yesterday’s leader, the SPDR DJ Euro STOXX 50 fund (FEZ), out of the top 10 into 11th place but it’s sentiment score actually fell  suggesting traders are looking at yesterday’s selloff opportunistically.  The fund scores an impressive 9.37 Reward Rating and 5.17 Risk Rating, each rating results from dozens of daily quantitative measures.  Following up on yesterday’s post, the R in BRIC now has a representative in Quant’s top 100 as the Market Vectors Russia Fund (RSX) gained 166 positions into 82nd place.  Quant’s message today is to still look towards the liquid alternatives to the US dollar and that developed Europe has more reward than risk.

Wednesday, September 26, 2012

September 26:
Renewed fears out of Europe and skeptical comments from a Fed member about the prospects of QE3 were enough to send the major average down about 1% percent yesterday.  Philly Fed president Charles Plosser says the new bond buying program is unlikely to boost growth and Quant still favors the more liquid and inflation sensitive areas of the stock market.  Notable movers after yesterday’s action included the iShares Dow Jones U.S. Basic Materials Index Fund (IYM) gaining 99 spots to number 16 and the Guggenheim BRIC ETF (EEB) which went from 223rd place all the way up to 52nd.  Yesterday we looked at sectors represented in Quant’s top 100, today we look at countries.  That BRIC fund is one of 2 and Brazil has another (BKF and EWZ).  Nothing above 166 for Russia but India has 2 (INDY and EPI) and China has 4 (FXI, GXC, YAO and PGJ) with the first two in the top 5.  Europe has 9 (FEZ in first place today, FEU, ESR, EWQ, EWG, EWI, EWP, EWL, and EWU) the first two being pan-European and the others country specific.  Rounding out the list we see Australia (EWA), Canada (CNDA), Chile (ECH), Hong Kong (EWH), Indonesia (EIDO), Japan (EWJ), Mexico (EWW), South Africa (EZA), South Korea (EWY), and 53 funds devoted to the good old USA, down from 60 the day before.  If you are looking to invest in something other than Bernanke’s depreciating dollar that should give you plenty of ideas to consider.  Check out our Tear Sheets for each one and if you want to see deeper into our ratings, look under the Research button where the ETFG Quant screen will expand on the Reward Ratings and the Red Diamond Risk Rating screen will expand on that.  If you have any questions or need a walk through our offerings feel free to contact us at and we’ll be happy to help.

Tuesday, September 25, 2012

September 25:
Quant’s message is a consistent one lately as the top ranked funds continue to represent liquid markets and ones that should benefit from easy Fed money.  A couple of Vanguard funds, their Information Technology and Energy Sector funds (VGT and VDE) had double digit moves into the top 10 at 2nd and 6th place respectively.  With volatility so low, puts are cheap and someone was buying a bunch of them on those two funds.  A notable mover in Quant’s equity ranks yesterday was the iShares Dow Jones U.S. Oil & Gas Exploration & Production Index Fund (IEO) jumping 104 positions into 14th place.  Put buying played a role again but so did an improving intermediate technical rank.  All 15 Quant categories can be seen on our ETFG Quant page under the Research tab, each category is a compilation of proprietary metrics that have proven to identify relative performance, both positive and negative.  Looking at the sectors represented in Quant’s top 100 we see 11 Energy funds, 8 Basic Materials, and 7 in the Info Tech sector.  Health Care, Industrials and Financials have 3, 2 and 1 fund in the top 100 respectively and the other 6 sectors are not represented in this top slice of 812 equity funds.  This is basically how it has looked all month as markets position for Bernanke’s monetary expansion.  Quant agrees with the old maxim, don’t fight the Fed.

Monday, September 24, 2012

September 24:
Not much to see from Friday’s trading.  Most markets were little changed, as was Quant.  The downward bias spared the ETF Global Fixed Income and Commodities Indices, the only asset classes to manage a slight gain.  Geographically, Europe was the only to stay green as markets expected Spain to ask for a bailout.  It’s the strongest ETF Global Geographic Index year to date as Quant predicted when we turned the key earlier this year, your humble correspondent can’t figure it out but Quant did.  The ETF Global Telecomm Services Index was the strongest Sector Index on Friday, playing catch up to the Consumer Discretionary Index which is leading its pack year to date.  Within the equity funds that Quant ranks, a notable mover Friday was the iShares MSCI France Index Fund (EWQ) jumping 24 positions into the top 10 at 7th place.  Technology funds are showing up in the upper ranks a little more, an example is the SPDR Technology Select Sector Fund (XLK) lucky enough to gain 38 positions into 13th place.  The biggest mover of note after Friday’s trading was the iShares S&P SmallCap 600 Values Index Fund (IJS) moving up 138 places to rank at number 16.  Quant likes its improving short term technicals and heavy put buying. As we wait for the markets’ next move, check out some of our new pages like the full Risk Ratings categories and the Equity Grey Market report outlining any equity’s exposure to the world of Exchange Traded Products, both leveraged and not; just enter an equity ticker in the upper right search box.  Just two more examples of the sophisticated analytics you can only get at ETF Global.

Friday, September 21, 2012

September 21:
Another quiet day on Wall Street and in Quant.  Our top 10 are still populated by liquid selections like the S&P 500, China, metals and energy.  But today it’s Vanguard’s S&P 500 ETF (VOO) taking spot number 2 as the bigger SPY dropped 15 positions to 19th place.  Option activity is the reason as VOO saw heavy put buying driving this contrarian measure higher.  The top 10 did broaden out a bit with the iShares MSCI Emerging, EAFE, and Chile Index funds (EEM, EFA and ECH) all climbing into that group.  Another new member of the top 10 is Vanguard’s Growth ETF (VUG) in 7th place.  The broadening can also be seen in the average Risk Rating of the top quintile of Quant scores rising slightly from 4.48 to 4.54 and in the Sector Indices where the weakest year to date tended to be the strongest yesterday.  While Quant is suggesting a little more risk, the moves were modest and should be viewed over coming days to see if a true message is being sent.  Monday morning will tell us what Quant sees in today’s trading.  Until then, enjoy all that ETFG offers and have a good weekend!

Thursday, September 20, 2012

September 20:
Good housing data yesterday, but it was August data and the SPDR Homebuilders Fund (XHB) already had its move in anticipation, it was up yesterday but failed to take out its recent high from last week.  Quant actually knocked the fund down a few places to an unimpressive 654th place out of 812 equity ETFs.  No clear message from Quant regarding yesterday’s activity as the big movers up and down were spread across various sectors and market caps.  Today’s sector with the best average Quant rank is the Industrials with an average rank of 333.6, but only 3 funds on the ETFG 100 list.  Sporting a worse average rank of 347.14, the Technology sector is second best but has 8 funds in the top 100.  The Vanguard Information Technology Sector Fund (VGT) jumped 27 positions to 5th place, ahead of the SPDR Technology Select Sector Fund (XLK) which maintained its position at 6th place.  Technology is the only sector with two representatives in the top 10.  There are 11 Energy funds in the top 100 giving it the 5th place on Quant’s average sector ranking.  Basic Materials and Health Care are the 3rd and 4th sectors on the best average Quant score list but each have only two funds in the top 100.  The iShares Dow Jones U.S. Medical Devices Index Fund (IHI) made the top 10 at number 7.  Click on any of our indices on the home page to see the funds in those groups and then click on any of the funds to see their detailed Tear Sheets with full Quant scores, constituent info, and much more.  We love to get your feedback on anything else you might want to see at  Thanks for taking a look.

Wednesday, September 19, 2012

September 19:
Turbulent seas surrounded Wall Street yesterday but when trading was done things looked pretty much the same.  The question is are we at a point of reversal or simply seeing some profit taking ahead of a further move up.  Quant doesn’t make directional bets, rather relative rankings based on metrics addressing valuation and behavioral finance, among others.  The market’s behavior continues to navigate towards the more liquid and somewhat lower risk areas still with a heading towards dollar debasement.  Today’s top ten list has two broad based China funds, GXC and FXI in 2nd and 3rd place; two S&P 500 funds, VOO and SPY in 4th and 5th; two mining funds, GDX and XME in 1st and 8th (tied), and two energy funds, VDE and XLE in 7th and 8th (Check out each ticker on our ETFG Tear Sheets).  The top 10 are rounded out by the SPDR Technology Select Sector Fund (XLK) maintaining its place at number 6 and the iShares MSCI Emerging and France Index funds tied at 10th place.  The top decile of Quant rankers has the lowest average Risk Rating at 4.35 and the bottom decile has the highest average Risk Rating at 5.42 (Risk Ratings are independent of Quant scores). While the correlation is not linear it is pretty close, suggesting a risk aversion in the market which is confirmed by the highest rankers tending to represent the more liquid markets.  Our Risk Ratings are reflective of a given fund’s historical trading activity and its structure as opposed to our Reward Ratings which are predictive of a fund’s future relative performance.  Seas are calm this morning but earnings season awaits and Quant awaits the messages the market sends.

Tuesday, September 18, 2012

September 18:
A day of churn and digestion yesterday that saw the Fixed Income index alone in the green by a scant 0.04%.  Commodities were the weakest asset class index falling 1.19%, undoubtedly influenced by the mysterious afternoon oil price drop.  Financials were the weakest sector and Asia-Pacific the weakest geographic index.  Some notable Quant movers were the iShares MSCI EAFE and Spain Index Funds (EFA and EWP) rising onto the top ten list at 9 and 10 respectively.  The oil price drop and its effect on the energy sector pushed the Vanguard Energy Sector ETF (VDE) off the top ten list to position 33.  A new entry on the ETFG 100 list is the Market Vectors RVE Hard Assets Producers ETF (HAP) rising 112 places on higher technical scores to rank in 45th place.  Also rising strongly onto that list is the Market Vectors Rare Earth/Strategic Metals ETF (REMX) rising 174 places into position 76 driven by heavy put buying which scores positively on this contrarian cross ranking. Both new members on that list suggest the equity market continues to position for QE3.

Monday, September 17, 2012

September 17:
QE3 is boarding and Friday’s Quant leaders have been joined by the SPDR S&P Metals and Mining ETF (XME) jumping 73 positions into the top 5 and Vanguard’s Energy Sector ETF (VDE) rising from position 36 to 8.  Europe and Asia-Pacific were the strongest ETF Global Geographic Indices Friday and a notable gainer in Quant was the WisdomTree Asia Pacific ex-Japan Total Dividend ETF (AXJL) rising 176 spots onto the ETFG 100 Portfolio at 66th place.  Losing its place on that Portfolio was the iShares Russell 2000 Growth ETF (IWO) which began the week at 25th place and finished at 106 on the Quant ranking.  All Sector Indices gained on Friday led by the ETF Global Materials Index rising 2.13% and the Energy Index gaining 1.48%, Health Care was the laggard but still managed to stay in the green by 0.02%.  Fixed Income was the only negative Asset Class index on Friday, dropping 0.19%.  The posh seats on QE3 look to be equities where the ETF Global Equity Index led the pack rising 0.79% on Friday and 19.75% for the year, second only to the Real Estate Index at 41.05% year to date.  Wrapping it up, the ETF Global 1000 Index, the world’s only benchmark that crosses geographies and asset classes rose 0.55% on Friday and is up 18.92% so far this year.

Friday, September 14, 2012

September 14:
The kinetic energy from Bernanke’s bazooka lifted most sectors yesterday.  Quant’s highest ranked funds today are SPY and GXC, SPDR’s S&P 500 and China funds respectively. Not surprisingly, the energy sector represented by XLE and the gold miners in GDX came in at number 3 and 4 respectively.  The biggest gainer in rank yesterday was the Vanguard Pacific ETF (VPL) jumping 196 places to rank at 123rd driven by jumps in all three technical categories.  However, the biggest loser list was heavily weighted by international funds suggesting investors should look towards the more liquid markets like the US and China.  Vanguard’s FTSE All-World ex-US ETF (VEU) was Quant’s biggest loser yesterday, dropping in rank from 127 to 382.  The weakest sector in yesterday’s market trading was the Utilities who’s SPDR Select sector fund, XLU, jumped 125 places in Quant to rank at position 151 as most of its brethren became overbought.  While much attention is being focused on the banks who will receive all that Fed money, Quant is unimpressed as many bank funds still rank closer to the bottom of the pack not withstanding modest gains in their rankings yesterday.