Friday, April 12, 2013

Very little change in the models today, the SPDR S&P 500 Fund (SPY) swapped yesterday’s 1st place for today’s 2nd with the Powershares: Dynamic OTC Portfolio  (PWO) which has held the daily 10 Green Diamond distinction for 8 straight days.  Quant’s top 10 is almost all US except for Canada’s EWC and Switzerland’s EWL in 4th and 8th place. Sound familiar?  What’s remarkable is that after calculating dozens of quantitative measurements for each fund every day, in an international equity market as diverse as ETFs cover, these same funds are consistently scoring best.  The good news is they are consistently performing best too.

Underneath those scores and ranks, the component scores are constantly changing and sometimes in interesting ways.  PWO and SPY have similar looking charts over the last month but PWO’s technical score has declined slightly in the past two weeks as its short term has come down while SPY’s has improved.  On the sentiment side of our Behavioral Score SPY’s 64.4 is about where it was a month ago but down over recent weeks as its put/call score has declined with the bullish fever.  PWO’s 59.6 sentiment score is about 9 points better than a month ago but more than 20 point better than two weeks ago as its implied volatility score has correctly called the wiggles.  As both funds have performed so well we would expect their Fundamental Scores to come down but the opposite has occurred over the last month.  PWO’s has increased from 89.9 to 98.2 on an improving PE score and SPY’s has increased from 74.4 to 82 on a bump up in its cash flow score.  So the companies within each fund have reported results that justify the bullish moves.  Our risk model also shows some interesting movement in the two hot funds where SPY’s 3.81 is trending down slightly as PWO’s 4.26 is trending higher.  Their constituents, structures and sponsors haven’t changed so it has to be the way their trading has affected the models.  Our Red Diamond Risk Ratings are not predictive but reflective of those characteristics of a given fund. 

Through all the daily changes, Quant and its sister Green Diamond Reward model have consistently identified top performing funds for the intermediate term.  With global markets as volatile as today’s you need ratings that respond to that volatility and you can be sure that ETF Global’s are not decided by a committee several months ago.  Our vigorous quantitative models are updated daily and free of human bias and we will publish their monthly performance reports next week.  If you have any questions on a fund you are following, ask us at Thanks for reading and have a nice weekend.

No comments:

Post a Comment

Note: Only a member of this blog may post a comment.