Wednesday, September 18, 2013

ETFG Quant Outperforms Again

It is that time of the month again when we do what nobody else does, report on the performance of our scores and ratings.  We will cover Quant today.  The report can be found under the ETFG Quant button with all the prior months and this one shows further improvement versus the S&P 500 that emerged in the summer.  It was impossible to beat the benchmark in the first half being weighted towards US broad market funds but those were leading the world so that is all that matters.

That was not the case to begin 2013 as you can see on January’s report reflecting the model’s European and emerging markets stance last fall.  Those markets rallied as ours was mired in Washington DC nonsense and had Quant outperforming by triple digits.  But Quant began to turn its focus to the US in December and was heavily weighted to those US broad market funds into May.  That brought the outperformance down which was helped along by the gold miners in GDX.  May began to see a shift towards emerging markets and other non US funds like Canada’s EWC and Australia’s EWA.  Those latter 2 did not help and some of the emerging markets funds generated negative 3 month relative performance in this report but have rallied strongly so far in September.  GXC made it back into the mix in May, was negative as of August 30th, but is now outperforming strongly with many of the other emerging markets selections.

We segregate the top 10, 25, 50 and 100 ranked funds each day and compare their 1, 2 and 3 month performance to the S&P 500.  Quant has beaten the benchmark 57.77% of the time even though the benchmark has dominated the rankings for about that same amount of time.  The groupings have outperformed by more than 20% on average one month from selection and September is off to a great start.  1st place XOP has always been solid even if lagging slightly.  It is outperforming recently as is the aforementioned 2nd place GXC.  The industrial miners in 3rd place XME have also been outperforming.  4th place VGT has bounced in and out of the top 10 but has also outperformed and tied at 4th is the Netherlands’ EWN outperforming since scoring well in the last couple of weeks.  Thanks for checking into ETFGsm, we will cover the Green Diamonds tomorrow.

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