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.

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