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.