The ETFG Golden Dozen
As the end of the third
quarter approaches next week, many eyes are on performance as Chief Investment
Officers and Portfolio Managers wrap up their 3rd quarter and look
towards year end. This was certainly
some of the chatter we heard around the ETFG Forum last Friday in NYC as
Institutional Investors and Financial Professionals from many different vantage
points talked about wrapping this quarter on a strong note.
As we touched on in
yesterday’s note, the ETFG Golden Dozen conducted its monthly rebalance
yesterday and now heads out into its 15th month of existence. Given the performance discussions that arose at
the forum on Friday, we thought this would be an opportune time to take a look
at the performance of our lead Index, the ETFG Golden Dozen.
By way of background, the ETFG Golden Dozen is comprised
of the top 12 equity ETFs as ranked by the ETF Global (Index Sponsor) Quant
model that also meet the liquidity requirement. The selection pool includes all U.S. listed,
equity ETFs, excluding levered and inverse funds, as well as, those funds with
average daily trading value of less than 5M USD. The ETFG Quant model assigns a
daily ranking to all relevant products using proprietary algorithms and
employing dozens of industry metrics to gauge how likely an equity ETF will
outperform the market in the foreseeable future. Selection is performed prior to trading on the
third Friday of each month. The
portfolio is equally weighted and reconstitutes monthly on the second trading
day following selection.
Now let’s take a look at the performance of the ETFG
Golden Dozen: Since its inception in
July of 2012, the ETFG Golden Dozen has returned 33.52% vs. 26.81% for ACWI and
25.79% for SPY. For the last 12 months,
the ETFG Golden Dozen has returned 20.94% vs. 15.01% for ACWI and 16.67% for
SPY. Finally, in the last 6 month
period, the ETFG Golden Dozen has returned 11.03% vs. 7.79% for ACWI and 9.21%
for SPY.
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