Tuesday, January 14, 2014

ETFG Smart Beta Indices

We continue to see growing interest in many facets of the Index business ranging from passive to smart beta indexes. Yesterday, Reuters reported both S&P as well as NASDAQ OMX intend to expand their respective index businesses this year.

As part of the Index discussion, we wanted to provide an update on our own Dynamic Indexes.  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 - Monthly Index Report - December 2013.

Here is the most recent performance of the ETFG Golden Dozen as of year-end 2013:

Since its inception in July of 2012, the ETFG Golden Dozen has returned 38.06% vs. 31.78% for ACWI and 35.12% for SPY.  For the last 1 year period, the ETFG Golden Dozen has returned 22.25% vs. 18.60% for ACWI and 28.23% for SPY.  Finally, in the last 6 month period, the ETFG Golden Dozen has returned 16.25% vs. 13.77% for ACWI and 15.11% for SPY.

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.

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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