Thursday, October 4, 2012

China holds the top 2 spots today with the familiar GXC and FXI in 1st and 2nd place and three new funds enter the top 10 all tied at 6th place.  The Vanguard S&P 500 Fund (VOO) has been lingering near the top for a while and its improving technical scores have put it back in the top 10.  Vanguard’s Growth Fund (VUG) also credits its improving technical scores for its 6th place position.  The third new entrant tied at 6th place is the iShares MSCI EAFE Index Fund (EFA) gaining 11 positions on an improving price/book value score.  Also joining the top 10 today is the iShares MSCI Emerging Index Fund (EEM) gaining 14 positions into 4th place and the first party to today’s Quant debate.  The other half of that debate will be the Market Vectors Gold Miners Fund (GDX) which lost 5 positions into 13th place.
Both funds have failed to take out recent highs and have middling short term Technical scores but EEM’s is a bit better at 57.4 vs GDX’s 46.3. GDX has better intermediate and long term Technical scores however.  EEM has higher implied volatility and put/call ratio (compared to its historical average) leading to better scores on that contrarian metric.  Combining the Technical and Sentiment scores gives GDX the edge on the overall Behavioral Score at 70 vs. EEM’s 67.65.  On the Fundamental side GDX has a better PE score of 96.5 vs. EEM’s 62.8 which means the former has a lower PE compared to its historical average quantified in our proprietary method. The price/book value scores (calculated in a similar fashion) are flipped where EEM’s 95.3 beats GDX’s 69.8. The overall Fundamental Score again favors GDX slightly at 79.5 vs. 77.9.  The overall Behavioral and Fundamental Scores each get a 40% weighting in the total Quant Score with Global Themes and Quality each getting a 10% weighting.  On those the Global Theme is very close at 56.5 vs. 56 with GDX on the winning side again as it has better sector scores vs. EEM’s better country scores (based on the location of each constituent’s corporate headquarters).  So far our debate is closer than last night’s presidential one (according to Bill Maher anyway) and it comes down to the Quality Score where both have excellent liquidity ranks at EEM’s 99.8 vs. GDX’s 99.3.  The firm rank favors iShares over Market Vectors by 98.4 vs. 90.4, advantage EEM.  The deciding factor is the diversification score where EEM’s 92.8 is no comparison to GDX’s 17.7.  Putting those together gives an overall Quality Score of 97 for EEM vs. 69.1 for GDX and leads to EEM winning the higher Quant Score of 73.5 vs. GDX’s 72.4. 

Quant has many moving parts with dozens of daily quantitative measures synthesizing to give the overall score which has a proven ability to identify relative performance.  All the scores mentioned are available on the ETFG Quant screen under the Research tab on We hope you enjoy exploring it, feel free to contact us with any questions at

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