Monday, February 25, 2013

Last week we looked at the sectors represented in Quant’s top 100 equity ETFs, today we are taking a look at the countries in that group.  Regular readers know that Quant has had a US focus since late December and that remains the case this morning.  We typically see US focused funds comprising about half of the top 100, today it’s 85.  It seems only fitting that 1st place is occupied by the SPDR S&P 500 Fund (SPY).

The other 15 span the globe but we’ll begin in the east where the algorithm has been highlighting more names lately.  The iShares MSCI Australia Index Fund (EWA) has been ranking well recently and it’s at 7th place on high sentiment scores.  Indonesia is nearby and the Market Vectors Indonesia Index Fund (IDX) is in 40th place with a strong Fundamental Score of 80.5.  You won’t find many Indonesian companies in the Vanguard MSCI Pacific Fund (VPL) which sticks to the more developed countries in the region.  It has 58% of AUM in Japan and gets 8 Green Reward Diamonds and 67th place in Quant’s rankings today.  If you like developed Asia but not Japan you might like the iShares MSCI Pacific Ex-Japan Index Fund (EPP) also getting 8 Green Diamonds at 55th place.   Down the development chain and closing out the top 100 are two emerging markets funds tied at 99th place. SPDR’s S&P Emerging Asia Pacific Fund (GMF) and iShares’ MSCI Emerging Index Fund (EEM) are both struggling to stay in the top 100 after scoring better in recent months.

Developed markets are certainly finding the sweet spot lately and the iShares MSCI EAFE Index Fund (EFA) invests in all of them except the US.  Scoring better on the Behavioral side than the Fundamental, it gets 8 Green Diamonds at 51st place.  It has a heavy weighting in some European countries also seeing their dedicated funds score well.  The iShares MSCI Spain, France and Germany Index Funds (EWP, EWQ, and EWG) rank in 23rd, 31st, and 46th place with high sentiment scores.  Also members of the large iShares MSCI family, Switzerland’s EWL scores better fundamentally at 58th place while Sweden’s EWD comes in at 82nd place on a strong technical score.  If you don’t want to choose between European countries, the SPDR DJ Euro STOXX 50 Fund (FEZ) finds itself up at 9th place today on high sentiment scores. Coming back to the Americas, the Market Vectors Brazil Small-Cap Fund (BRF) jumped into the upper ranks last week and is holding on at 29th place today on a high 86.4 Fundamental Score.  To our north, the iShares MSCI Canada Index Fund (EWC) has fallen in the rankings along with its price but has bounced back into the top 100 at 72nd place.

That sounds like a lot but is slimmer international pickings than usual.  While the US theme is Quant’s clearest currently we see the international names leaning towards developed countries.  We also see an average Red Diamond Risk Rating among this group of 4.49 which is higher than the top 100 average of 3.94 but lower than the international average of 5.24.  With that review out of the way, tomorrow we are going to tell you about the new ETFGsm indices that appear on our home page and your Bloomberg screens, thanks for checking in.

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