Friday, May 10, 2013

As the ETFGsm Risk and Reward Ratings become more popular with the advisory community, our Quant model has been gaining popularity among institutional asset managers.  Integrating modern academic research in behavioral finance with traditional fundamental analysis, the quantitative approach takes advantage of today’s big data to identify those areas of the global equity ETF markets that are most likely to outperform the rest.  Our clients do not need to be told how well the model has worked but we feel our performance disclosures set us apart from competitors and further our acceptance in the marketplace.  Yesterday we covered the Green Diamond Reward Ratings so today we will cover Quant (the Red Diamond Risk Ratings are not predictive).

The timeframes are the same, July 2, 2012 through April 1, 2013, the last selection day for which we have 1 month performance as of April 30, 2013, but the groupings are different.  You can find the May performance report under the ETFGsm Quant button where we look at the rolling average returns for the top 10, 25, 50 and 100 ranked funds each day over 1, 2, and 3 months.  Readers know the model has been favoring US broad market funds since late last year which accounts for almost half of our total timeframe.  That makes our outperformance versus the S&P 500 all the more remarkable even as none of our competitors choose to remark on their performance.  The four groupings over the three timeframes produce 1,980 data sets of which the ETFGsm selection group outperformed the S&P 500 1,189 times or slightly more than 60% of the time.   That’s not easy to do especially when the SPDR S&P 500 Fund (SPY) has been in the top 10 more than half of the days and other similar funds have ranked almost as well.

Until earlier this week, SPY had not been out of the top 10 since a couple of days in March.  Today’s 12th place is the third consecutive day out of that top grouping but still a very good rank and its iShares competitor, IVV, tracking the same index is in 6th place.  The iShares funds tracking the Russell 2000, IWO, and 3000, IWV hold 9th and 12th (tied) place showing Quant still likes the US broad market.  Some energy and tech funds rank better and international funds are beginning to score better recently although not yet to a great enough extent to call a turn.  We not only keep you posted on how well the models perform but also on their daily messages, so check in each day to see what ETF Globalsm has to say.  Thanks for reading and have a nice weekend.

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