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Which Quant ETFs are Outperforming?

November 18, 2019

One of the challenges of investing in today’s environment is that there are so many investment products that it is hard to keep track. Our recently launched site Investor IQ is designed to help better organize investors and provide them with the analytics required to make better decisions. The biggest risk to chasing performance is if you aren’t on top of what is happening now and instead are chasing the last 3-year or 5-year winning fund (which are likely to mean-revert). Our relative strength rating tracks momentum at shorter intervals in order to better capture future outperformance. Here is a current snapshot of our “Quant ETFs” category under US ETF Digest which makes it easy to see which quant styles are outperforming right now:

As you can see the market is currently favoring stocks that are either undervalued (Value Screen/QVAL and Shareholder Yield/SYD) or exhibit growth at a reasonable price (GARP) which are ranked at the top by relative strength or “RS Score”. This reflects a significant shift away from growth (FFTY) and momentum (QMOM) which are ranked in last place. In fact the signal- which an ensemble of trend and momentum signals- shows that their trends are in a caution or “Hold” position while all other factors remain in a “Buy” signal. The OB/OS oscillator in the far right column is an ensemble of mean-reversion indicators that ranges from 0 to 100 (least to most overbought). Currently all of the ETFs in the list are neutral in terms of timing but nearing overbought territory (>80) where new purchases should either be avoided or existing positions should be trimmed.

The goal of this list was to capture many of the factors that quants use to produce alpha versus the broad index in a long-only format. We deliberately omitted strategies that had the ability to raise cash since I would consider that a separate genre of tactical strategies. If you have suggestions for additional quant ETFs that are not redundant to the members of this current list feel free to leave them in the comments section and I will seek to add them over time pending review.

5 Comments leave one →
  1. Diego permalink
    November 18, 2019 11:11 pm

    NTSX WisdomTree 90/60 U.S. Balanced Fund

  2. November 24, 2019 3:23 am

    How often do you update the quant screens?

    • david varadi permalink*
      November 24, 2019 10:04 pm

      Hi Dario, currenty we update weekly but in the next month or so it will be daily updating. best regards,

  3. Diego permalink
    December 5, 2019 1:46 pm

    Ideally, SIGNAL = BUY (GREEN) and OB / OS oscillator less than 50?

  4. david varadi permalink*
    December 7, 2019 10:53 am

    Diego, I think it depends on the time frame you are trading- if you are trading with a monthly time frame and can tolerate more swings then yes that is correct. If you are trading with a shorter time frame and have less tolerance for swings than the trend signal is less important than the oscillator signal. In this case you would wait for more extreme readings (<20 etc) and average down on your trades and exit on a cross above 50. If the trend is up, then you need less extreme readings than when the trend is down (in a "Sell" signal). In that case you probably want to wait for readings <10.
    best regards,

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