With new record levels now set by the equity markets, perhaps
these heights will begin to separate various security selection methods. One example of that may be to see just how
smart is smart beta.
Our own smart beta indices conducted their monthly
rebalance last week and now head out into their 17th 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
36.65% vs. 30.837% for ACWI and 33.18% for SPY.
For the last 12 months, the ETFG Golden Dozen has returned 27.58% vs. 21.74%
for ACWI and 29.01% for SPY. Finally, in
the last 6 month period, the ETFG Golden Dozen has returned 8.83% vs. 5.18% for
ACWI and 8.43% for SPY.
For more detail, information and statistics on this Index
and other ETFG Indices, please go to ETFG Indices. We will look deeper into these indices’
composition in future posts.
Thank you for reading ETFG Daily Perspectives.