Friday, November 30, 2012

Two S&P 500 funds have been occupying the top 25 for most of this month as Quant correctly foresaw the current rally in the US market.  Not too many of us were ready to see that as the post election correction was gathering steam, showing the advantage of a non emotional quantitative model to help in your investment selections.  Today, one of those funds has garnered Quant’s top rank.  However, it is not the SPDR S&P 500 Fund (SPY) with its more than $109 billion in AUM but the lesser owned iShares S&P 500 Value Index Fund (IVE) that sits atop today’s rankings.  It only has $4.57 billion in AUM but that still makes it the 57th largest fund in our database so don’t call it small.  It gets 9.62 Green Reward Diamonds today while carrying a Red Diamond Risk Rating of 3.74, comparing  favorably to SPY’s 8.80 Reward Rating and 4.07 Risk Rating, which still gives SPY a respectable 23rd place rank today.  Several notable differences account for those ratings and the most noticeable may be that Apple Inc. comprises 4.38% of SPY but is not held in IVE whose biggest position is a 3.85% weighting in General Electric.  That Apple position is a component of SPY’s biggest sector exposure in Information Technology at 19.3% of the fund.  IVE’s largest sector exposure is to Financials with its 4th, 5th and 6th highest weighted positions being Berkshire Hathaway, Wells Fargo and JP Morgan Chase, along with Bank of America and Citigroup at 8th and 9th.  It is not because Quant now likes Financials as most of those sector funds still rank poorly as does the Consumer Discretionary Sector that makes up IVE’s second largest sector exposure.  SPY seems to have Quant’s preferred sectors in its higher weights but all of its Fundamental scores come in below IVE’s which gets an 81.1 total Fundamental Score to SPY’s 66.4.  Their Behavioral Scores are very close at 69.9 for SPY slightly beating IVE’s 69.6 showing how the market is turning to lower risk names.  We see this theme again when sorting by Quant’s top Behavioral Scores which produces an even lower average risk score among the top 10 and first decile.  We continue to hear this lower risk message out of Quant while also recommending more US focused funds.  Whether this foretells a continued US market rally or just better relative performance remains to be seen. Think about what you expect over the weekend and we’ll all see what Quant has to tell us Monday morning.  Until then, thank you for reading and have a nice weekend.

Thursday, November 29, 2012

If you are reading this, you probably didn't win Powerball last night, better luck next time.  Lottery tickets are low risk and high reward but their low probability of returns doesn't qualify them as investments.  Quant’s top rankers have a high probability of outperforming the S&P 500 and Vanguard sees some of its funds in those top ranks today getting more than 9 Green Reward Diamonds and less than 4 Red Risk Diamonds.  But like earlier this week, we need to ask ourselves if it is the risk side or reward side driving the better rankings.  We may be seeing further evidence of Quant getting more cautious rather than getting enthusiastic about the US market; or the additional US funds in the top ranks could suggest the correction in our markets has run its course.  That question will be answered with hindsight but let’s take a look at those Vanguard Funds scoring well today.  The Vanguard Growth Fund (VUG) has had a good couple of weeks driving its Behavioral Score higher but its Fundamental Score lower, both register in the respectable mid 70s today giving that fund its 2nd place ranking.  If you like to buy at lower valuations, you may prefer the Vanguard Value Fund (VTV) in 7th place today.  That fund is not up as much as its growth counterpart in recent weeks so its Behavioral Score is a middling 63.4 but its Fundamental Score is a high 85.  If you don’t want to decide between growth and income, consider today’s 8th place Vanguard Total Stock Market Fund (VTI).  It refers to the total US stock market and is notable for its 3,267 constituents.  An improving chart has boosted its Behavioral Score to 72.8 while its Fundamental Score has maintained the mid 70s level.  Not making the top 10 but still scoring well is the Vanguard Information Technology Sector Fund (VGT) in 12th place today.  A good couple of weeks has benefited its Behavioral Score but from such a deep hole that it is still in the low 60s, the flip side of its correction is a very good 83.4 Fundamental Score.   One more to consider is the Vanguard S&P Mid-Cap 400 Fund (IVOO) in 16th place today.  Its long term chart looks better than many but it is struggling with a short term downtrend that is keeping its Behavioral Score in the mid 60s.  Trading close to its all time high hasn't hurt the Fundamental Score at 82.3 but a short 2 year life limits the context on that.  As mentioned, all 5 funds have a Red Diamond Risk Rating below 4 which has driven the average risk rating for today’s top 10 down to a low 4.14 which is a message to heed.  The US market has been whipped around by politics recently and Santa seems to like the happy talk, but it remains to be seen if Washington's girls and boys are ready to share their toys.  So make your list and click on Quant to check it twice, you will avoid the naughty and identify the nice.

Wednesday, November 28, 2012

We were surprised this morning to read about the Chinese market breaking down to fresh four year lows.  The Wall Street Journal reports that the Shanghai Composite Index lost 1.3% on Tuesday to its lowest level since early 2009.  Quant’s two high scoring China funds, FXI and GXC, track different indices and are still close to their fourth quarter highs, what gives?  A couple factors explain the discrepancy.  The Chinese stock market has two classes of stock, one for citizens and a separate one for foreigners.  ETF Global hasn’t made it through China’s internet firewall yet so if you are reading this you can invest in the latter class, the news reports refer to the former.  The Journal article does mention that the Hong Kong Hang Seng Index, which caters more to foreigners, is up 18.5% this year.  Ranking in 2nd place today, the aforementioned iShares FTSE/Xinhua China 25 Index Fund (FXI) has 24.3% of its assets in Hong Kong domiciled companies and the 5th place SPDR S&P China Fund (GXC) has 20.3% of its assets there.  However, one would expect that different classes of stock representing similar underlying investments would eventually track each other so something else must also be at play.  The answer to that riddle can be found in CYB, CNY and FXCH.  Those are currency funds that track the Chinese Renminbi or Yuan and are trading near their recent highs, offsetting the decline in the local currency share prices.  Quant only ranks equity funds but those currency funds have earned low Red Diamond Risk Ratings although FXCH carries higher risk than the other two.  Delving into the depths of Quant, we do sense a warning on the Chinese market.  Several other China funds make the biggest drop list in Quant’s rankings with the Guggenheim China Real Estate Fund (TAO) the biggest loser dropping from 254th place all the way down to 602nd today, other tickers on that list include CQQQ, YAO, CHIQ, and HAO.  Investing in foreign lands, especially those in controlled economies, can be tricky so pay attention to any fund’s ETF Global rankings and ratings, they have an ability to keep you in the right names as proven by FXI and GXC which are still up nicely in this negative fourth quarter.

Tuesday, November 27, 2012

In scanning the globe this morning we see that Greece has gotten another aid package, congratulations.  Maybe that’s why the Global X FTSE Greece 20 Fund (GREK) is up more than 47% over the last 3 months, although the Greek market is seeing some selling on the news today.  Quant did not get on board that rally as the fund has ranked near the bottom with an overall score of 51.3 today giving it a rank of 564 out of more than 800 equity funds. We found that performance data using the enhanced functionality on our ETF Global Scanner.  Under the Filter button near the upper right we begin with the “Display Fields” function where we selected 1 and 3 month performance and made sure that Risk, Reward and Quant were also checked.  Under “Category” we checked all four Equity selections then hit the “X” in the upper right corner to bring us to the output that shows the first 20 of 943 selections.  Notwithstanding how many we choose to show, we can sort the entire output by any column, ascending or descending.  We can then select as many funds as we want to compare by checking the box to the right of each selection and then the orange Compare button next to Filter.  That narrows the list to just those funds we checked where we can see their data side by side and sort by whichever columns we wish.  If you are not sure what you are looking for, play around with the Filter choices and then sort the columns and see what jumps out at you depending on your own preferences.  There is a huge world of Exchange Traded Products out there and the ETF Global Scanner is but one tool to help you sort through all the choices.  We have added functionality based on what we hear from our users so please keep the suggestions coming; if there is something you want to see others probably do too so we appreciate your feedback.  Just send us an email to or call your sales rep or internal liaison.                                         

Monday, November 26, 2012

That was quite a Santa Claus rally that saw the ETF Global Equity Index rise 1.37% and the benchmark all region and all asset class ETF Global1000 Index rise by 1.09% in Friday’s shortened session.  The US based Russell Funds we wrote about Friday morning all participated but lagged the one day equity returns.  Today’s new entrants into the top 10 suggest something else may be at play. The iShares MSCI Australia Index Fund (EWA) and the iShares S&P North American Natural Resources Index Fund (IGE) both jump into that group today at 5th and 7th place respectively and what they share is a lower than average Red Diamond Risk Rating.  They share that attribute with those Russell funds bringing the average Risk Rating for the top 10 down to 4.43, lower than the average for the first decile of 4.51 and the all equity fund average of 4.94 Red Diamonds.  We often remind you that Quant does not predict gains or losses but relative performance of equity ETFs over the intermediate term.    Quant’s behavioral scores pick up movement of the smart money into the bomb shelters as they perform better than the higher risk names.  So when the model ranks low risk funds more highly it could suggest trouble for the broader equity market.  Indeed, it was big gains in the behavioral scores that drove EWA and IGE into today’s top 10 as it was those same categories that drove the Russell funds into that group on Friday morning.  We hate to take any bounce out of Santa’s step as we enter the strongest season for equities but the question for the remainder of the fourth quarter will be whether Santa’s sleigh can scale the fiscal cliff.  Only time will tell if the next month becomes the most wonderful time of 2012, Quant suggests we keep one eye on risk and one on reward.

Friday, November 23, 2012

And there off!  As campers awake to their 20% off flat screens and Justin Bieber DVDs, Quant is feeling the American spirit too.  Four broad US based Russell funds make the top ranks today led by the iShares Russell 2000 Growth Fund (IWO) in 5th place.  The fund has been scoring better recently and its price has participated in the rebound along with the general market over the last week.  That has helped its Technical Score rise into the low 60s from the low 50s a week earlier when its Fundamental Score reached the low 80s.  Four straight positive days have brought that Fundamental Score down to a still respectable 73.  The fund uses a replication strategy but it still has over 1000 constituents in the small cap growth sector of the market.  The iShares Russell 1000 Value Fund (IWD) on the other hand replicates the index tracking the large cap value sector of the market and that too finds itself in the top 10 today in 9th place.  It has seen similar scores to IWO recently with most slightly higher except for IWO’s higher Sentiment Score suggesting some market skepticism towards those small growth stocks.  If you are not sure which makes more sense for you, consider the iShares Russell 3000 Fund (IWV) in 10th place today.  That fund’s 1,121 constituents replicate the broad Russell Index that seeks to capture the entire US equity market.  Where its brethren have been creeping up in the ranks recently, this one jumps into the top ranks today partly on higher technical scores but mainly as a result of higher sentiment scores which readers know are more volatile than Quant’s other measures.  If that’s not enough for you, just missing the top 10 today is the iShares Russell 2000 Fund (IWM) in 12th place.  Its only score above the 60s is its Sentiment Score at 80.2 today which has actually been stable in the low 80s for a few weeks.  It uses a representative sampling strategy that buys almost all 2000 names in the small cap index that covers both growth and value.  We thought Santa looked especially jolly closing out the Macy’s parade yesterday, maybe he’s getting ready to give us a good old fashioned Santa Claus rally to close out this otherwise dour fourth quarter.

Wednesday, November 21, 2012

Our favorite holiday is upon us.  No need to make a list and check it twice or wrapping presents late at night, this time we just go to Granny’s and eat, drink and be merry with our loved ones.  We have much to be thankful for this year beginning with you, our users.  Thank you for the time you spend with us, we hope it is well spent.  We are also thankful for the heart of ETF Global and the ultimate reason you come here, our Quant engine.  It is an algorithm that has been telling us to buy China despite the empty cities we can see on YouTube and the political process determined by seven old men behind closed doors.  But somehow Quant knew that China would be the place to allocate your equity investments this autumn and it has been spectacularly correct.  FXI and GXC are up nicely during this otherwise awful 4th quarter for the equity markets.  Europe has also been a frequent subject in this space despite anti austerity riots and politicians that can’t seem to agree on their shared destiny.  The European names that Quant has been suggesting the most this fall have been EWQ of France, EWP of Spain and the pan European FEZ, all three are still positive for the quarter.  When the US gets a cold the emerging markets usually get the flu but as we hear sniffles across our economy and stock market, the emerging markets are humming along just fine.  EEM has been a top Quant ranker all fall and its uptrend from the summer lows is still intact, as is its high ranking at 11th place today.  Indeed, Quant likes to stick with its winners and all the other names mentioned above are currently occupying the top 10 ranks so it’s not too late to get on board.  Whenever you are ready to allocate your equity investments make sure to check the daily Quant rankings, through good markets and bad they have proven to keep you in the best areas of the equity ETF market.  We are also thankful for a day off tomorrow but we’ll be back Friday morning to share Quant’s latest wisdom with you all.  If you have any questions or feedback about anything you see on ETF Global please let us know at, or call your sales rep, we are here to help.  Thank you again for being part of the ETF Global community and have a very happy Thanksgiving!

Tuesday, November 20, 2012

Big rally yesterday as the market is getting in the holiday spirit and hoping Washington’s politicians do too, we’ll see.  The strongest ETF Global Sector Index was the Materials rising 2.71% on the day which put it in the green for the year at 2.45%.  Quant has 7 funds devoted to the sector in the top 100 today with three in the top 25 led by the iShares Dow Jones U.S. Basic Materials Index Fund (IYM) in 11th place.  Information Technology has been stronger year to date with its index up by 13.21% in 2012 after rising 2.52% yesterday.  Out of 45 Technology funds, 5 are in today’s top 100 with the highest, VGT, ranking at 35th place.  Energy funds are well represented in the top 100 with 8 out of 49 funds on the list and 4 of them in the top 25.  The highest ranking is the SPDR S&P Oil & Gas Exploration & Production Fund (XOP) in 8th place.  The Energy Index was also a leader in yesterday’s rally with a 2.24% rise on the day to bring its YTD gain to 2.89%.  Industrials have been scoring well recently and its index rose 2.06% yesterday bringing it YTD gain to 7.89%.  Five funds in this sector make the top 100 today with one, IYT, in the top 25 but yesterday it and another were in the top 10 so use caution with this group.  Rounding out the 2% gainers yesterday brings us to the consumers where the ETF Global Consumer Discretionary Index rose 2.04% on the day to pad its leading YTD gain at 51.35%.  Quant thinks that’s enough and has none of these funds in the top 100 today.  The Consumer Staples Index was up 2.16% yesterday and is up 6.33% YTD; out of 15 funds devoted to this sector, only 1 makes the top 100 at 87th place.  Quant seems skeptical about the upcoming holiday shopping season.  The Financials Index barely missed a 2% day rising 1.96% to bring its YTD gain to 30.66%.  Their fundamentals will have to get a lot better before Quant shines its love on them, none of the 49 funds in this group make the top 100 and the highest only gets up to 272nd out of 808 equity funds in today’s rankings.  Telecom is another out of favor group where yesterday’s 1.84% gain puts that index in the YTD green by 1.82% but none of its 10 funds makes the top 100 today and it’s best ranking only gets to 362nd place.  The ETFG Health Care Index was up 1.34% yesterday and 25.25% YTD.  Two of its 32 funds make the top 100 at 91st and 97th place today.  Bringing up the rear most of this year is the forlorn Utilities Index, the only red in the YTD column of the Sector Index page down by 14.69% so far this year despite yesterday’s meager 0.2% gain.  None of its 15 funds make today’s top 100 and its highest ranking only gets to 289th place.  If you are looking for some sector exposure for the rest of the year, Quant likes the Materials and Energy sectors the best.

Monday, November 19, 2012

It’s Thanksgiving week and we have Turkey on our mind.  Not the kind our first grader won at Bingo night this weekend but the iShares MSCI Turkey Investable Market Index Fund (TUR); we’re going to beat the stuffing out of the pun anyway.  We mentioned the fund’s little plastic thermometer popping up a week ago as things were heating up in the Middle East.  Its rank popped up to 8th place that day and has held that ground to 7th place today.  Rockets and missiles flying around the neighborhood hasn't hurt performance too much, the fund was down in line with most world markets last week but is still near its year to date highs.  Financial funds have not been on Quant’s top menus lately but this one feasts on the sector representing more than 55% of AUM.  The Consumer Staples so necessary for all the fixings make up about 12% and the Telcomms that help us share it all with Granny make up more than 8%.  Most of the other sectors are represented in weights as small as nuts, berries and other sweets.  TUR has been methodically gobbling up Quant ranks recently, it made it into the top 100 in early October and the top 20 early this month, the kind of steady improvement we like to see.  It’s only down by about 3% since its high on November 5th but it has historically had higher risk.  High Deviation and Volatility scores remind us that it lives in a hot part of the world and contribute to its 5.67 Red Diamond Risk Rating, higher than most unleveraged funds.   Beauty is in the eye of the beholder and Quant beholds a 9.72 Green Diamond Reward Rating for this old bird today, driven by strong scores on both the Behavioral and Fundamental side.  It doesn't get much tastier than that.  

Friday, November 16, 2012

Yesterday we took a deep dive into how Quant analyses two high ranking China funds, today we want to take a deep dive into other parts of ETF Global.  Our most popular offering has been our tear sheets, enter any ticker in the upper right search box and you will get a concise document that you can print or email as a PDF.  Check with your compliance department before sending to clients but it’s fine with us, we appreciate getting our name out there.  All products get a Red Diamond Risk Rating based on dozens of daily measures regarding the product’s composition, historical trading history and quality.  All equity ETFs also get a Green Diamond Reward Rating based on our Quant model that has proven adept at identifying relative outperformance.  Both ratings are on a scale of 10 and like any investment you want high reward and low risk.  Or maybe you think the market is about to rally and you want a high risk product that is likely to move by a higher magnitude.  In that case make sure to check out the Red Diamond Risk Rating page under the Research button.  You can search by a particular fund or ticker and sort by any of the columns to make it easier to see which have high volatility or deviation and low risk in the other structural categories.  One risk to consider when building a position is the durability of the product, tracking error can spike when a product announces a closure so it’s best to avoid that.  Under the Risk Analytics button you will find our Liquidation Watch List which is compiled monthly by screening all products by three measures which are explained on the report.  Appearing on the list does not guarantee closure nor does absence from the list ensure a fund will stick around, but checking for inclusion is a good step in any advisor’s diligence process.  For your individual equities, you will want to check any stock’s exposure to the world of exchange traded products.  Our Grey Market report is accessed by entering a stock ticker in that same upper right search box.  You will not only see all the funds that own the shares, but also all those leveraged and inverse products that track an index which includes the stock and its implied exposure based on their particular leverage ratio.   You won’t find this kind of data anywhere else.  We continue to add functionality to our ETF Scanner so if you are looking for a product with certain characteristics play around with all the choices you have available.  If you wish to screen by something not available please let us know, your feedback is helping to constantly enhance our offerings.

This brings us to the heart of ETF Global, Quant.  The algorithm measures dozens of daily data points on every equity fund using cutting edge behavioral finance and traditional fundamental analysis.   Our top rankers have an excellent record of outperformance exemplified by the two China funds, FXI and GXC that have been leading the pack for months and hold 1st and 2nd place today.  They have seen some selling over the past couple of weeks but are still above their September levels which few other funds can say.  The pan European SPDR DJ EURO STOXX 50 Fund (FEZ) has been scoring well and today it has risen 21 positions back into the top 5 at 4th place.  Other European funds are also scoring well today as they have recently so look over recent blog posts for those ideas or look at the whole list under the ETFG Quant button.  A quiet riser that we haven’t highlighted yet is the Powershares Dynamic MagniQuant Fund (PIQ), a quant fund that tracks the Dynamic MagniQuant Intellidex Index, it holds 14th place today.  The fund is down like the rest of the market so its Behavioral Score is a middling 51.4 but the selloff has driven its Fundamental Score up to a very impressive 97.1 meaning it’s about as cheap as it’s ever been.  Better price action would drive its Behavioral Score higher so we will keep our eye on this one.  Please keep your eyes on all that ETF Global has to offer and feel free to contact your sales rep or for more help.  Please keep the feedback coming, we are here to serve you.

Thursday, November 15, 2012

Congratulations to Xi Jinping, China’s new Communist Party leader.  Many analysts say China is now more capitalist than the USA and readers of this space know that Quant has been very fond of the big two China ETFs, so fond that we thought a deeper dive into these funds is called for.  The iShares FTSE/Xinhua China 25 Index Fund (FXI) leads the pack in 1st place again; it knocked out the SPDR S&P China Fund (GXC) which dropped 2 places into 3rd today.  Both have been bouncing around those top positions since early September.  That’s about the time the US market peaked but these two kept on rising from multi month lows established in the summer.  Its name tells us that FXI has 25 constituents so it is concentrated by nature.  The top three positions account for almost 30% of the fund that has 75.8% exposure to China and the remaining 24.2% to Hong Kong.  GXC is more diversified with 211 constituents and the same top three as FXI, but here they account for about 20% of the fund.  GXC is also more geographically diversified with a 45.9% China weighting, 19.9% in Hong Kong and 17.5% in other countries, so FXI is more of a China pure play.  Although both have the same top three constituents, there are some differences beyond that.  GXC has 22.1% in banks to FXI’s 40.4%, Energy is GXC’s second largest weight at 12.2% to FXI’s 15% and third largest; and Telecomm accounts for 10% of GXC and 16.5% of FXI.  All this information is easily readable on each fund’s tear sheet. 

Looking at their charts we see that each one has been coming down in the worldwide selloff since the US election.  That selloff has seen the S&P500 lose 5.1% since a minor top on November 6th, both funds saw a top on that same day and have come down by 5.6% for GXC and 6.2% for FXI.  We often say that Quant has a proven ability to identify intermediate term outperformers but not necessarily short term trades.  Since these funds first appeared in the top ranks in early September their intermediate term performance has been stellar.  Both saw a minor top on September 14th when the S&P 500 made its last top and even though they got sucked into the recent correction they are still positive since that date with GXC up by 2.2%, FXI up by 1.6% and the S&P 500 down by -7.5%. So you can see what we mean about intermediate term outperformance.  Quant says these two funds should continue to outperform which is why they get such strong Diamond ratings.   FXI gets all 10 Green Diamonds and carries a Risk Rating of 4.24 Red Diamonds, GXC’s split suggests slightly less reward with more risk at 9.7/5.66.  GXC’s better performance since the recent tops accounts for its higher Technical Score but FXI wins the Sentiment Score and the combined Behavioral Score.  GXC also beats FXI on the Fundamental Score but its geographic distribution is in countries ranked lower than China, advantage FXI again.  FXI’s 25 constituents can’t compare to GXC’s 211 so the latter gets the higher Quality Score despite its lower liquidity rank.  All the dozens of daily measurements that go into these scores and ratings give a slight advantage to FXI today but suggest both funds are still among the best places to allocate your equity exposure.  Quant has been right so far and our congratulations go out to China on its strong stock market as well as its new leader.

Wednesday, November 14, 2012

Quant has a clear message today, avoid the USA.  Nine of today’s top 10 are foreign funds and the sole US name is the iShares Dow Jones Transportation Average Index Fund (IYT) in 3rd place.  Those transports will apparently benefit from delivering all that money in planes, trains and trucks to the foreign markets.  The further you can get from home the better. Europe still has a few names in the upper echelon with France (EWQ), Turkey (TUR), and Spain (EWP) coming in 7th, 9th and 10th place.  China gets the familiar 1st and 2nd place ranks with GXC and FXI respectively.  The iShares MSCI EAFE Index Fund (EFA) ties the transports for 3rd place with about half its assets in the UK, Japan and Australia; and the iShares MSCI Australia Index Fund (EWA) comes in 6th place.  EWA has more than a third of its assets in banks suggesting a destination for all those transports carrying our money overseas. Some of that money looks to be going into Hong Kong real estate which comprises almost 30% of the iShares MSCI Hong Kong Index Fund (EWH) which is tied with France at 7th place today.  Rounding out the top 10 in 5th place is the iShares MSCI Emerging Index Fund (EEM) which has been in that group for most of the past couple of months.  Like most investments, it’s down since its September 14 high but only by 3.8% which is about a third less than the S&P 500’s 6.2% correction, another example of Quant delivering outperformance for your investment dollars.  Despite America’s meager representation in the top 10 today, Quant does have a hopeful message for Washington, the next ten positions in the ranks are mostly US funds.

Tuesday, November 13, 2012

Futures show a rough open today with the S&P 500 looking at another post election low as our beloved politicians return to Washington DC where they will work to avert the fiscal cliff, in theory.  Greece is hitting a fiscal wall as a bond refunding didn't go well and their European brethren are getting tired of cutting checks.  The Global X FTSE Greece 20 Fund (GREK) dropped 40 positions in Quant’s lower ranks to 502nd place, probably not on many buy lists this morning.  The rest of Europe did better in Quant’s overnight equity rankings as many funds have gained positions.  The pan European SPDR DJ EURO STOXX 50 Fund (FEZ) gained 37 places into the top 10 at 9th place.  Higher sentiment scores reflect the market’s concern about the region’s fiscal imbalances but higher technical scores suggest the smart money is taking advantage of a possible bottom in many of the EU countries.  Looking at some of iShares’ individual country funds we see France (EWQ) leading the pack in 2nd place this morning driven by the same contrarian sentiment scores and improving technical scores.  Coming down the rankings we see Spain’s EWP in 21st place with middling technical scores, better fundamental scores, and rising sentiment scores.  Italy is next where EWI comes in 34th place again on higher sentiment but very weak technical scores.  The stronger European economies see their dedicated funds lower in rank but also picking up positions.  Switzerland’s EWL picked up one spot to 29th place and its alpine neighbor Austria saw EWO gain 20 positions to 50th place.  The Netherlands have their fiscal house in order and EWN gained 24 places to 42nd.  Two of Europe’s strongest economies have seen their funds excluded from Quant’s upper ranks in recent months but today Germany and Sweden see their respective EWG and EWD in 69th and 93rd place on higher behavioral scores in both the technical and sentiment categories.  While the weaker members of the EU look better in Quant’s ranks, Data Miner has learned to be cautious of high scores driven by the more volatile sentiment measures.  Today’s lackluster bond auction could be a catalyst to boost the funds of those stronger economies that are more quietly rising in Quant’s ranks where slow and steady ultimately wins the race.  Maybe Europe is finding a fiscal equilibrium or maybe it’s just the cleanest dirty shirt, Quant doesn't necessarily predict gains but it does predict outperformance for these funds over the intermediate term.

Monday, November 12, 2012

Happy Veterans Day to all those who have served, your country salutes you.  We thought we would use the occasion to highlight two funds devoted to the defense industry, the iShares Dow Jones U.S. Aerospace & Defense Index Fund (ITA) and the SPDR S&P Aerospace & Defense Fund (XAR).  Both have had a tough few days since the election but XAR has held up a little better and is still above its 200 day moving average giving it a 69.1 Technical Score to ITA’s 65.9, both good scores but significantly lower than a week ago.  If you are looking to buy in quantity, ITA is the more liquid choice as XAR has quite a few zero volume days, that gives ITA a higher Quality Score.  Volume may not be too important if you put in small trades so maybe consider that XAR’s 35 positions are more evenly weighted with the largest, Precision Castparts Corp. at 4.85% of AUM, where ITA has almost 9% in United Technologies.  Fundamentally, XAR edges slightly higher than ITA at 66.1 vs 65.7 but ITA has a slightly better Sentiment Score of 56.4 vs 56.1 for XAR.  Not surprisingly, these two funds are also very closely ranked in Quant today at 122nd for ITA and 128th for XAR.  Again, not bad ranks but they have been moving down which you don’t want to see.  The lower ranked XAR actually gets a higher Green Diamond Reward Rating of 8.09 to ITA’s 7.99 but it comes with a higher Red Diamond Risk Rating of 4.36 to ITA’s 3.78.  Whether or not you think the companies in these funds will be thrown over the fiscal cliff may determine your prerogative on them, we just wanted to show some props to those who have served our country.

If you are looking for ideas, Quant’s higher ranks are a better place to search.  China rules those ranks as the county chooses its new ruler, FXI and GXC are back in 1st and 2nd today.  Things are heating up in the Middle East and the little plastic thermometer is popping out of the iShares MSCI Turkey Investable Market Index Fund (TUR), it has a low Global Theme Score of 51.9 but that’s offset by the rest of the measures averaging in the respectable 70’s.  It’s been ranking well recently but not as well as today’s 8th place.  Another climber is the WisdomTree Emerging Markets High-Yielding Fund (DEM) rising 53 positions on higher Behavioral Scores to 11th place.  The move confirms other emerging markets funds scoring well such as iShares’ EEM remaining in the top ranks at 5th place today.  That one broke into the top 10 after Bernanke announced QE3 and has stayed there almost the entire time since.  While the market has lost about 5.5% since then, EEM is only down by 2.1%, another example of Quant’s ability to keep you in the right names through good times and bad.  We’ll save some other new high rankers for tomorrow, until then thanks for reading us and thank you to all those who have served our country, especially those fighting today to preserve our freedom.

Friday, November 9, 2012

Data Miner is seeing a dichotomy in Quant’s upper ranks today.  Some of the names are ones that have held up very nicely through the recent correction and some are ones that have taken it on the chin.  A fund doesn't rank highly simply because it has been strong or because it is cheap.  Quant’s is a complex algorithm whose output moves in mysterious ways.  That said, we thought it a good idea to do an international survey of the top 100 rankings.   First we notice 6 Developed Markets funds and 3 Emerging Markets.  The former are non US and have a weighting towards Europe.  The highest ranking of them is the SPDR DJ EURO STOXX 50 Fund (FEZ) which we have seen in and out of the top ranks for a couple of months, it’s at 11th place today driven by high Sentiment and decent Fundamental Scores.  Setting our sites across Europe we see France’s EWQ back up at 21st place, and 7 other country specific funds: UK (EWU) and Turkey (TUR) tied at 34th place, Switzerland (EWL) and Spain (EWP) tied at 45th, Netherlands (EWN) at 70th, Italy (EWI) at 75th and Norway (NORW) at 90th.   Following the Silk Road to Asia, we see our familiar China funds, FXI and GXC in 1st and 8th place respectively joined by two other China funds, HAO and FCHI in 60th and 69th place.  Those two unfamiliar tickers get in the top 100 with strong Fundamental Scores even though they are still trading near their highs.  Low Behavioral Scores on both suggest they may be due for a correction.  Hong Kong appears in 18th place with EWH, South Korea’s EWY comes in 90th and Indonesia’s EIDO in 31st place.  Africa isn't on most investors’ minds but the iShares MSCI South Africa Index Fund (EZA) rose 37 positions last night into 72nd place.  Taking to the sea we come to Australia where the iShares MSCI Australia Index Fund (EWA) has gotten up to 3rd place, its highest in months, joined by WisdomTree’s AUSE in 90th place.  South America has some constituents in the top 100 led by the iShares MSCI Chile Index Fund (ECH) in 4th place.  That fund has lost a little over 1% since we highlighted it a month ago when it got as high as 6th place, pretty good performance over a miserable month.  Peru’s EPU comes in at 42nd place and Brazil gets 27th place with EWZ.  There are also a couple of BRIC funds around 50th place, EEB and BKF, but none devoted exclusively to India or Russia.  Crossing the Isthmus on our way back to North America, Mexico is not represented in the top 100 this time but Canada gets 11th place with EWC, almost as high as the 9th place when we highlighted it on October 5th.  It’s down almost 4% since then which is less than 70% of the S&P 500’s 5.74% drop.  Coming home, we see a higher than usual 57 US funds in Quant’s top 100 with 5 in the top 10 and another 9 in the top 25.  That group is led by the Vanguard Information Technology Sector Fund (VGT) in 5th place with more than 20% of its assets in Apple Inc.  Wherever you wish to send your investments, we hope those provide some ideas.  If you have any others, make sure to take a look at their ETFG Tear Sheets to fully understand what you are buying.  If you have any questions on Quant’s mysterious movements or anything else you see on ETF Global, send us an e-mail to, we are here to help.

Thursday, November 8, 2012

Was it the election or the weakening German economy?  Whatever the cause, stormy weather returned to Wall Street yesterday as all asset classes took hits.  Our benchmark ETF Global 1000 Index lost 1.3% on the day that every Asset Class, Geographic and Sector index lost value in the worldwide selloff.  While the S&P 500 lost 2.37%, Quant’s top 25 from the day before had an average one day decline of a lesser 2.07%.  The familiar top 2 rankers, iShares’ FTSE/Xinhua China 25 Index Fund (FXI) and the SPDR S&P China Fund (GXC) were not immune from the day’s foul weather but each have gained about 6% since the S&P 500 began its current correction of about -5% thus far. Both funds remained in the top ten for almost the entire 2 months of selling and still occupy 1st and 2nd place.  Despite its 5% loss, the S&P 500 is still up 9.11% from its June 1st low, although down from its 14.69% peak.  Quant’s top 25 from June 1st included FXI (GXC made the top 50) and have an average return of 13.13% as of last night and they got as high as 19.68% at the peak.  Outperforming a rallying and correcting market by 34% and 44% respectively is what sophisticated institutions look for in their models, so take a look at Quant and all the other ETF Global offerings if that’s what you’re looking for too.

As for how the selloff affected Quant’s equity ETF rankings, today we see more US based funds gaining the top ranks on higher Sentiment and Fundamental scores.  Vanguard provides three examples of such funds joining the top 10.  Their Information Technology Sector Fund (VGT), Growth Fund (VUG) and S&P Mid-Cap 400 Growth Fund (IVOG) find themselves in 4th, 5th and 7th place this morning after each one gained more than 25 positions.  The funds that moved aside for them tend to populate the international markets that Quant has been favoring over recent weeks.  Regarding our candidate proxies, Obama’s XLV was only down 1.7% on the day where Romney’s KOL lost 5.5%, both saw their Quant ranks drop a little bit, but KOL still ranks higher at 37th place compared to XLV's 80th.  With US funds ranking higher today, maybe Quant is saying our politicians will come to their senses and avert the fiscal cliff, or maybe Quant doesn't know US politics.  Time will tell but as the prior paragraph attests, Quant’s message deserves any equity investor’s attention.  The weather looks better today so enjoy the snow if you are in the NY metro area.  As long as you still have a warm home awaiting your return.

Wednesday, November 7, 2012

No hanging chads with Thanksgiving dinner this year as America has clearly chosen four more years.  Quant’s rankings today reflect yesterday’s trading so the market’s reaction to the election will not affect the ranks until tomorrow’s run.  If the algorithm had any foresight it was perhaps shown in foreign funds gaining and some domestic ones dropping.  The iShares MSCI EAFE Index Fund (EFA) gained 16 positions into 3rd place and their France Index Fund (EWQ) rose 4 spots into 7th place.  On the downside, the Vanguard Energy Sector Fund (VDE) fell 93 positions into 103rd place, out of the top 25 where it has been for much of the past month.  Also dropping 93 positions was the iShares S&P MidCap 400 Index Fund (IJH) now at 119th place, close to where it has been for the past month except for a few recent days.  Today’s trading will reflect the market’s view of the election results and we’ll see what Quant has to say tomorrow.  Status quo in Washington DC keeps us on a forward path to the fiscal cliff and we’ll be particularly interested in what Quant has to tell us about that. Health care and defense are slated for large spending sequesters as tax increases will hit the macro economy.  Maybe that’s why the two China funds are still in 1st and 2nd place.   China chooses their new leader later this week but that outcome is already known.  Check in daily with ETF Global to see Quant’s view of how our politicians decide to deal with the pressing economic issues facing our great nation.

Tuesday, November 6, 2012

Election Day!  Tomorrow we can go back to enjoying commercials for beer, cars and Sandals resorts.  Or maybe not, the early result out of Dixville Notch NH is a tie, 5 votes for each candidate, let’s hope we know the winner before we mine tomorrow’s data.  Both camps express confidence in their victory and we won’t say whose posters adorn the walls of the data mine.  However, we have highlighted two funds over recent weeks as proxies for each candidate.  Mitt Romney is barnstorming through coal country and the Market Vectors Coal Fund (KOL) finds itself in 24th place today, down 4 positions from Friday’s close but near the highs it reached after the Republican expressed his fondness for coal in the first debate.  The polls have tightened since Hurricane Sandy hit but this fund has risen in Quant’s ranking since its 32nd place on the Friday before the storm. It has a very strong 8.9 Reward Rating but that comes with a higher than average 6.63 Risk Rating. Regardless of the election results, President Obama will forever be associated with health care and the fund we have used as his proxy, the SPDR Health Care Select Sector Fund (XLV), finds itself in 55th place today, up 79 places since Friday’s closing results.  Getting his arms around NJ Gov. Chris Christie has apparently helped but that fund ranked at 24th place before the storm. It's Reward Rating is close on the heels of KOL at 8.54 but carries a much lower Risk Rating of only 1.44 red diamonds.  Quant doesn't do politics and these rankings reflect not only the way the market is behaving but also the historical fundamental underpinnings of each fund.  One reason for KOL’s higher rank is its better fundamental metrics compared to where they have been historically.  When looking at only the behavioral side of Quant, XLV has the better momentum.  We can’t say for sure who Quant thinks will win but we can ask you all to go out and vote today with hope that the results from Dixville Notch will not be reflective of the electorate at large.

Monday, November 5, 2012

We got all the salt out of the data mine and are fully back to work, many thanks to our Allegheny County spelunkers for keeping the ETFG ore flowing from our western mine. While Hurricane Sandy upended the New York metropolitan area, Quant’s outlook is little changed with the two China funds still sitting atop the rankings.  The iShares Dow Jones Transportation Average Index Fund (IYT) is tied at 10th place but the SPDR Dow Jones Industrial Average Fund (DIA) has fallen to 145th so we’ll see how this Dow Theory premise plays out.  We were not surprised to see our local Home Depot sold out of generators and D size batteries after the storm but were surprised when the kind old man told us the next truck isn't coming until next week, so those transport companies weren't delivering there.  A look at the ETFG Grey Market functionality can help to keep us out of any funds with large holdings in a company that neglects to see such a ripe business opportunity, we were ready willing and able to be gouged on Halloween.  Later that night our kids were cheering the kind line workers in the MasTec buckets trucks who enabled them to see all their treats when we got home, yea bucket trucks!  Unfortunately it’s so small that no ETF has more than a 1% weighting in this opportunistic company. To check any company's exposure to the world of Exchange Traded Products, simply enter its ticker in the upper right search box and then sort the output by the Equity Weight column. As markets await tomorrow’s US elections, Quant continues to look for the best opportunities which we will deliver to you.  We are now fully functional but as the rest of the tri-state region struggles to recover, our thoughts and prayers go out to all our neighbors who lost so much in the storm.

Friday, November 2, 2012

Digging into the top twenty funds in Quant, data miner sees a broad range of sector and country funds.  Quant still seems to favor Asia in general and ranks FXI and GXC in the top 3 positions.  Domestic large cap funds are making a good showing with products in the number 2,5, and 15 ranks (VOOIWB, and SPY).  As far as sectors go, both Technology and Energy continue to score high.

Anyone who has been watching the ETP spaces knows that there has been a lot of closures this year just by reading all the headlines, but has it been unusually high or is it in a normal trend?  Here are some historical numbers to put it into perspective:

Year: Number of Closures
2012: 91
2011: 30
2010: 49
2009: 56
2008: 58

As you can see, this year is definitely a breakout year in turns of closures.  The most notable one would have to be Russell shutting down all but one of their products.  To help keep an eye on this, don't forget to check out our Liquidation Watch.

Thursday, November 1, 2012

Quant was a happy algorithm last night with the markets open once again. There seems to be something brewing in the technology space.  Vanguard's Information Tech ETF VGT was ranked at #3 before the market closed and is ranked at #12 now.  VGT has about 27% weighting in Apple and Microsoft combined.  Compare this to PowerShares QQQ ETF QQQ, which went from #11 before the closure to #10 this morning.  The QQQs also has 27% combined in Apple and Microsoft.

While the VGT scores slightly better on the Behavioral factors, QQQ is showing better a better Fundamental score.  This goes to show that just because two products are focused on a similar sector, they are not always equal.