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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