Thursday, August 15, 2013

Quant Beats the Market

It is that time of the month where ETF Global® does what nobody else does, we report on the performance of our scores and ratings.  We will cover Quant today and you can follow along on the August performance report found under the ETFG Quant button.  We segregate the top 10, 25, 50 and 100 ranked funds each day and measure their average performance over the forthcoming 1, 2 and 3 months.  Most advisors benchmark against the S&P 500 so we then compare those average performance numbers to the corresponding benchmark performance over the same rolling time periods.

If you have been with us for the last year, you know our numbers came down from the stratosphere early this year as the model moved from an international weighting in late 2012 to US broad market funds like those tracking the S&P 500 for most of 2013.  It is hard to beat the index when you are weighted towards it but we are happy to have kept our users in those safe harbors as the rest of the world was suffering bear markets.  It wasn’t all safe though as the gold miners in GDX ranked very well through much of the winter and crashed in the spring. Some of that still affects our 3 month numbers but they are getting better.  Our 2 month numbers weakened in this report mostly due to some European selections in early May that were at lows after the late June swoon.  Those have generally outperformed since then as the market cheers the end of the European recession.  Our 1 month numbers picked up nicely as selections made in mid to late June have once again begun to provide positive separation from the benchmark.  Recent emerging markets selections are continuing the outperformance and even GDX is outperforming since getting back to the top 10 in July.  That will be covered next month however.

Quant’s recent shift to the emerging markets has been almost as pronounced as its previous one towards the US late last year.  Like its other shifts, the model has made the correct moves despite their contrarian nature.  That is the beauty of the quantitative method.  The first couple of times could be considered lucky but it has become a trend over our first year serving you.  We will cover our Green Diamond Reward Ratings tomorrow, thanks for checking in to ETF Global® today. 

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