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 - www.qwafafew.org) 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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