Tuesday, January 29, 2013

It’s not April yet but Quant is getting a little stir crazy with its all US top ranks.  It will be a couple of months until the chestnuts are in blossom but Paris is catching the algorithm’s fancy with today’s 8th place iShares MSCI France Index Fund (EWQ) breaking the US  hold on the top 10.  It’s followed by the iShares funds that track Spain and Switzerland, EWP and EWL, tied at 14th place.

One reason France is scoring better is that EWQ has 73 constituents compared to EWL’s 40 and EWP’s 25 which leads to a higher Quality Score for the France fund even though they all come from the same sponsor.  Fundamentally, Switzerland and Spain beat out France with mid 70s scores to EWQ’s 63.6.  On the technical side we see Switzerland’s EWL winning with a 73.7 Technical Score where Spain and France get mid 60s.  All three are close in their Global Theme Score with Switzerland’s healthier economy getting the edge there.  It’s the Sentiment Score at 89.8 that propels France into today’s top 10 driven by high 90s Put/Call and Short Interest Scores.  While plenty of skepticism has Spain also scoring well in that category, Switzerland’s safe harbor status keeps its Sentiment Score at a lower 61 which is as high as it is thanks to plenty of short interest which got a bump since we highlighted EWL last week.  Maybe the swells didn’t like what they saw in Davos.  We have noticed our Volatility Score works well as a secondary screen and Spain wins that one with an 85.7.

We have also noticed that funds continue to outperform the market even when they drop out of the top ranks.  All three were scoring well through much of the fall but dropped in rank late in the year as Quant turned its affection towards the US.  EWQ got as low as 169th place early this year but has continued to perform well.  We don’t generally give sell suggestions because each user has their own parameters; some will sustain some lagging performance to keep turnover low where some others want to trade into what’s hot.  However, on the buy side, our top ranks have clearly proven to be excellent lists.  If you would like a better perspective on any fund’s historical scores and performance let us know at support@etfg.com and we’d be happy to give you a one on one walk through.  ETFG isn’t the low cost provider but we want to make sure you won’t find a better value anywhere.  Thank you for letting us serve you, au revoir.

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