September 28:

Little change in Quant’s top 10 today.  The SPDR DJ Euro STOXX 50 fund (FEZ) is back in the group at 6^th place along with another S&P 500 fund, Vanguard’s (VOO) at 8^th place 2 behind the bigger SPDR S&P 500 Fund (SPY).  Also moving into the top 10 overnight were the iShares MSCI EAFE Index Fund (EFA) and the SPDR Technology Select Sector Fund (XLK) tied at 9^th place to round out the top 10.  Another notable mover was the iShares MSCI Germany Index Fund (EWG) gaining 136 positions onto the ETFG 100 list at number 93 showing Quant’s continued fondness for developed Europe. 

Quiet days provide us an opportunity to highlight new features on ETFG such as our new Red Diamond Risk Rating page, under the Research button, where you can see any fund’s Risk Rating broken down into 6 categories.  Each category score, on a scale of 10, results from a proprietary compilation of industry standard metrics.  Not surprisingly, the highest risk scores tend to be distributed among the leveraged population that tend to have the highest volatility and deviation rankings. Country ranks result from a compilation of national economic statistics and a fund’s exposure to each country at the constituent level.  Structure risk analyses a given product’s internal structure, such as its diversification and use of derivatives and also includes Quant’s Firm rating where the larger more established firms get lower risk values. Liquidity Risk looks at a product’s trading attributes such as volume and bid/ask spread and includes ETFG’s proprietary Liquidation Watch which highlights those products that may be at risk of closing.  Finally, the Efficiency score analyses tracking errors and expense ratios.  

Our Risk Ratings are assigned to all products across all asset classes and reflect historical attributes in those areas mentioned above.  Our Reward Ratings, driven by Quant and limited to equity funds, are predictive of future relative performance.  Many new features and functionality are in the pipeline so please check www.etfg.com each day.

September 27:

Quant has proven adept at identifying relative performance of equity ETFs over the intermediate term, but not Catalonian riots.  Those disturbances that provided such compelling CNBC content yesterday drove Spain’s benchmark stock market index down almost 4% and the iShares MSCI Spain Index Fund (EWP) down a little more than 3%.  The fund lost 34 positions in its Quant rank to a still respectable 40^th place.  Not surprisingly, deteriorating technical scores were the culprit as all three technical categories lost ground.  The selloff did boost the fund’s sentiment scores which are scaled on a contrarian basis.  In case you are wondering, the other site of anti austerity riots, Greece, saw its dedicated ETF, the Global X FTSE Greece 20 fund (GREK), fall 190 positions into 579^th place; so Quant doesn’t like all of Europe.  The 4 new entrants on the top 10 list today are all iShares MSCI international funds.  Their France Index Fund (EWQ) rose 19 spots into 3^rd place, Emerging Index Fund (EEM) 7 positions into 5^th place, South Korea Index Fund (EWY) jumped 41 places into 7^th, and their Chile Index Fund (ECH) rose 6 places to rank at number 9, go penguins!  The broader European selloff did knock yesterday’s leader, the SPDR DJ Euro STOXX 50 fund (FEZ), out of the top 10 into 11^th place but it’s sentiment score actually fell  suggesting traders are looking at yesterday’s selloff opportunistically.  The fund scores an impressive 9.37 Reward Rating and 5.17 Risk Rating, each rating results from dozens of daily quantitative measures.  Following up on yesterday’s post, the R in BRIC now has a representative in Quant’s top 100 as the Market Vectors Russia Fund (RSX) gained 166 positions into 82^nd place.  Quant’s message today is to still look towards the liquid alternatives to the US dollar and that developed Europe has more reward than risk.

September 26:

Renewed fears out of Europe and skeptical comments from a Fed member about the prospects of QE3 were enough to send the major average down about 1% percent yesterday.  Philly Fed president Charles Plosser says the new bond buying program is unlikely to boost growth and Quant still favors the more liquid and inflation sensitive areas of the stock market.  Notable movers after yesterday’s action included the iShares Dow Jones U.S. Basic Materials Index Fund (IYM) gaining 99 spots to number 16 and the Guggenheim BRIC ETF (EEB) which went from 223^rd place all the way up to 52^nd.  Yesterday we looked at sectors represented in Quant’s top 100, today we look at countries.  That BRIC fund is one of 2 and Brazil has another (BKF and EWZ).  Nothing above 166 for Russia but India has 2 (INDY and EPI) and China has 4 (FXI, GXC, YAO and PGJ) with the first two in the top 5.  Europe has 9 (FEZ in first place today, FEU, ESR, EWQ, EWG, EWI, EWP, EWL, and EWU) the first two being pan-European and the others country specific.  Rounding out the list we see Australia (EWA), Canada (CNDA), Chile (ECH), Hong Kong (EWH), Indonesia (EIDO), Japan (EWJ), Mexico (EWW), South Africa (EZA), South Korea (EWY), and 53 funds devoted to the good old USA, down from 60 the day before.  If you are looking to invest in something other than Bernanke’s depreciating dollar that should give you plenty of ideas to consider.  Check out our Tear Sheets for each one and if you want to see deeper into our ratings, look under the Research button where the ETFG Quant screen will expand on the Reward Ratings and the Red Diamond Risk Rating screen will expand on that.  If you have any questions or need a walk through our offerings feel free to contact us at support@etfg.com and we’ll be happy to help.

September 25:

Quant’s message is a consistent one lately as the top ranked funds continue to represent liquid markets and ones that should benefit from easy Fed money.  A couple of Vanguard funds, their Information Technology and Energy Sector funds (VGT and VDE) had double digit moves into the top 10 at 2^nd and 6^th place respectively.  With volatility so low, puts are cheap and someone was buying a bunch of them on those two funds.  A notable mover in Quant’s equity ranks yesterday was the iShares Dow Jones U.S. Oil & Gas Exploration & Production Index Fund (IEO) jumping 104 positions into 14^th place.  Put buying played a role again but so did an improving intermediate technical rank.  All 15 Quant categories can be seen on our ETFG Quant page under the Research tab, each category is a compilation of proprietary metrics that have proven to identify relative performance, both positive and negative.  Looking at the sectors represented in Quant’s top 100 we see 11 Energy funds, 8 Basic Materials, and 7 in the Info Tech sector.  Health Care, Industrials and Financials have 3, 2 and 1 fund in the top 100 respectively and the other 6 sectors are not represented in this top slice of 812 equity funds.  This is basically how it has looked all month as markets position for Bernanke’s monetary expansion.  Quant agrees with the old maxim, don’t fight the Fed.

September 24:

Not much to see from Friday’s trading.  Most markets were little changed, as was Quant.  The downward bias spared the ETF Global Fixed Income and Commodities Indices, the only asset classes to manage a slight gain.  Geographically, Europe was the only to stay green as markets expected Spain to ask for a bailout.  It’s the strongest ETF Global Geographic Index year to date as Quant predicted when we turned the key earlier this year, your humble correspondent can’t figure it out but Quant did.  The ETF Global Telecomm Services Index was the strongest Sector Index on Friday, playing catch up to the Consumer Discretionary Index which is leading its pack year to date.  Within the equity funds that Quant ranks, a notable mover Friday was the iShares MSCI France Index Fund (EWQ) jumping 24 positions into the top 10 at 7^th place.  Technology funds are showing up in the upper ranks a little more, an example is the SPDR Technology Select Sector Fund (XLK) lucky enough to gain 38 positions into 13^th place.  The biggest mover of note after Friday’s trading was the iShares S&P SmallCap 600 Values Index Fund (IJS) moving up 138 places to rank at number 16.  Quant likes its improving short term technicals and heavy put buying. As we wait for the markets’ next move, check out some of our new pages like the full Risk Ratings categories and the Equity Grey Market report outlining any equity’s exposure to the world of Exchange Traded Products, both leveraged and not; just enter an equity ticker in the upper right search box.  Just two more examples of the sophisticated analytics you can only get at ETF Global.

September 21:

Another quiet day on Wall Street and in Quant.  Our top 10 are still populated by liquid selections like the S&P 500, China, metals and energy.  But today it’s Vanguard’s S&P 500 ETF (VOO) taking spot number 2 as the bigger SPY dropped 15 positions to 19^th place.  Option activity is the reason as VOO saw heavy put buying driving this contrarian measure higher.  The top 10 did broaden out a bit with the iShares MSCI Emerging, EAFE, and Chile Index funds (EEM, EFA and ECH) all climbing into that group.  Another new member of the top 10 is Vanguard’s Growth ETF (VUG) in 7^th place.  The broadening can also be seen in the average Risk Rating of the top quintile of Quant scores rising slightly from 4.48 to 4.54 and in the Sector Indices where the weakest year to date tended to be the strongest yesterday.  While Quant is suggesting a little more risk, the moves were modest and should be viewed over coming days to see if a true message is being sent.  Monday morning will tell us what Quant sees in today’s trading.  Until then, enjoy all that ETFG offers and have a good weekend!

September 20:

Good housing data yesterday, but it was August data and the SPDR Homebuilders Fund (XHB) already had its move in anticipation, it was up yesterday but failed to take out its recent high from last week.  Quant actually knocked the fund down a few places to an unimpressive 654^th place out of 812 equity ETFs.  No clear message from Quant regarding yesterday’s activity as the big movers up and down were spread across various sectors and market caps.  Today’s sector with the best average Quant rank is the Industrials with an average rank of 333.6, but only 3 funds on the ETFG 100 list.  Sporting a worse average rank of 347.14, the Technology sector is second best but has 8 funds in the top 100.  The Vanguard Information Technology Sector Fund (VGT) jumped 27 positions to 5^th place, ahead of the SPDR Technology Select Sector Fund (XLK) which maintained its position at 6^th place.  Technology is the only sector with two representatives in the top 10.  There are 11 Energy funds in the top 100 giving it the 5^th place on Quant’s average sector ranking.  Basic Materials and Health Care are the 3^rd and 4^th sectors on the best average Quant score list but each have only two funds in the top 100.  The iShares Dow Jones U.S. Medical Devices Index Fund (IHI) made the top 10 at number 7.  Click on any of our indices on the home page to see the funds in those groups and then click on any of the funds to see their detailed Tear Sheets with full Quant scores, constituent info, and much more.  We love to get your feedback on anything else you might want to see at  support@etfg.com.  Thanks for taking a look.