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.

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