Wednesday, October 23, 2013

Dynamic Indices

First, we would like to thank the wonderful folks from the New York City chapter of QWAFAFEW (Quantitative Work Alliance for Applied, Finance, Education and Wisdom - for hosting us at their event last night.  The event, which revolved around ETFs, featured two great segments:  A presentation entitled “Can Alpha Be Captured by Risk Premia?” by Dr. Jennifer Bender, Vice President, MSCI and an expert panel discussing “ETF Trading Efficiencies and Inefficiencies.”  We also hear rumblings that one of our own research folks at ETFG may be starting up the Pittsburgh Chapter of QWAFAFEW.

We mentioned in yesterday’s note that the ETFG Dynamic Indices conducted their monthly rebalance yesterday and now head out into their 16th month of existence.  ETFG currently publishes two Dynamic Indexes, the ETFG Quant Equity 10 (Symbol: ETFGQE10) and the ETFG Quant Equity 12 – The Golden Dozen (Symbol: ETFGQE12) - let’s take a closer look at the performance and composition of 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.

Here is the most recent performance of the ETFG Golden Dozen:  Since its inception in July of 2012, the ETFG Golden Dozen has returned 38.93% vs. 30.37% for ACWI and 29.10% for SPY.  For the last 12 months, the ETFG Golden Dozen has returned 24.40% vs. 18.69% for ACWI and 21.61% for SPY.  Finally, in the last 6 month period, the ETFG Golden Dozen has returned 18.45% vs. 10.85% for ACWI and 11.67% for SPY.

Congratulations to the ETFG Golden Dozen on its performance and for more detail, information and statistics on this Index and other ETFG Indices, please go to ETFG Indices.

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