Wednesday, October 17, 2012

In an interview with a British newspaper on the eve of another European summit, French President Hollande said "we are near, very near, to an end to the eurozone crisis.”  Quant still likes selected European funds such as the iShares MSCI France and Spain Index Funds (EWQ and EWP) tied at 8th place but the pan European SPDR DJ EURO STOXX 50 Fund (FEZ) dropped 52 positions into 60th place.  Maybe President Hollande is whistling past the graveyard or maybe he’s right and an end to that crisis will be good for the USA because the noticeable movers in Quant today are three S&P 500 funds. That index is the only one tracked by three ETFs and they are all in today’s top 10. The iShares (IVV), SPDR (SPY) and Vanguard (VOO) funds rank in 3rd, 7th and 8th place respectively.  All three from large established sponsors have solid Quality Scores in the 90s and middling Global Theme scores.  Slight differences appear in the Fundamental Scores which are attributable to the different lifetimes of each as Quant analyses these metrics with a long term context.  The big differences come in the Sentiment category where Vanguard’s VOO has lower Short Interest and Put/Call scores.  All three do an excellent job of tracking their index so take these different Sentiment scores with a grain of salt, tight tracking will likely outweigh any short covering among the three.  The three cousins moved into the upper ranks driven by improving Technical scores, in the low 70s across the board, with differences again attributable to different lifespans.  As the weakest US earnings season since the Great Recession unfolds it will be interesting to see if the gains can hold.  The group has been ranking highly recently so it may be that the bad earnings are priced in and the market is looking towards improvement in coming quarters.  Or it could be that the S&P 500 is made up of those large US multinationals that benefit from a weak dollar, one of Quant’s consistent messages since the QE3 announcement.  We simply report the data and will let the debate unfold without moderation, please don’t fight about it.

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