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THE GOAL OF INVESTING IS NOT TO MAXIMIZE EXPECTED VALUE.
Imagine you have only two investment choices: (a) to keep all your money in cash (e.g. you end up with the same amount that you started with, no more, no less), or (b) to invest ALL your money at once into an investment that has a 90% chance of a 2x return, and a 10% chance of losing all of your money. (b) clearly has a higher expected value than (a). Yet you can see that if you chose (b) over and over again, eventually you would lose all of your money.
The goal of investing is to maximize your net worth at an arbitrarily distant point in the future (actually, even that's not true, because your lifetime is finite, but it's closer to the truth than maximizing expected value). You might say that this is the same as maximizing expected value, but only if you maximize the expected value of ITERATING your investment choice rather than choosing it only once.
Now imagine that we have a choice that is almost exactly like (b), except for an insignificantly amount of money: you invest 99.999% of your money in a similar manner to (b), above, and leave the other 0.001% in cash. This is a bad idea for similar reasons as (b); although all of your money won't be lost, almost all of it will be, and then you will take the remaining money and reinvest almost all it in the same manner, compounding your mistake, leading to an ever-decreasing amount of money in the long run (we assert this without proof, but below we provide pointers to the math needed to demonstrate this sort of thing, todo). So, it's not just that a choice that, when iterated, loses all your money is bad; in addition, a choice that, when iterated, loses almost all your money is almost as bad.
We have shown that investing all or almost all of your money in an investment of the form given above is a bad idea. Is it a good idea to invest any money at all in this sort of scheme? Yes, it is. Consider investing only 0.001% of your money into this sort of scheme. At this level, most of your money stays put, and the small amount invested grows with a rate approximately equal to the expected return (2*.90 + 0*.10 = 1.8x).
So it is good to invest a small proportion into this sort of investment, but it is bad to invest too large a proportion into it. We have just demonstrated that there is a point beyond which concentration of position is irrational. How do we calculate how much concentration is rational? One suggestion is the half-Kelly criterion. todo
todo: portfolios: now imagine that you have access to many different investments of the above form, each statistically independent of each other (e.g. the numerical probability of winning a certain return is the same for all of them, but they do not tend to succeed or fail at the same time). Is it optimal to invest a larger total proportion of your money into the sum of many different investments like this, as long as not very much money is in any single one of them? Yes, in fact, it is.
todo: in fact, it is theoretically optimal to invest the smallest amount possible into each individual investment. In practice, due to fees, and minimal investment size requirements, the time it takes you to initiate, monitor, and account for many investments, and the finite number of possible investments of a given type, there is a minimal size.
todo: the intution behind the fact that risky investments are good in small amounts but bad when they take up too large a portion of your portfolio is that each time you make or lose money, you have that much more or less to invest in the future. In the extreme, if you invest all your money and lose all of it, you can't make it back because you don't have any more money to invest in the future. Similarly, if you invest not all, but almost all of your money in a high-risk, high-return investment, then those times when you lose, in the next round you end up having so much less to invest that even with the high return of the investment you won't make it back to what you started with. Mathematically, this is expressed as the higher-order terms todo.
DISCLOSURE: THESE ARE MY PERSONAL NOTES! I MAY OR MAY NOT HOLD SOME OR ALL OF THESE INVESTMENTS. THIS IS NOT INVESTMENT ADVICE. I AM NOT RECOMMENDING THESE AND MOST ARE LISTED FOR PERSONAL INTEREST NOT BECAUSE THEY ARE GOOD INVESTMENTS.
If it's hard for you not to sell during/after a crash, here's some inspiring words:
"I do not feel that selling at very low prices is a remedy for having failed to sell at high ones.... I feel no shame at being found owning a share when the bottom of the market comes. I do not think it is the business, far less the duty, of an institutional or any other serious investor to be constantly considering whether he should cut and run on a failing market, or feel himself to blame if shares depreciate on his hands. I would go much further than that. I would say that it is from time to time the duty of the serious investor to accept the depreciation of his holdings with equanimity and without reproaching himself...(italics mine) An investor is aiming, or should be aiming, primarily at long term results, and should be solely judged by these. The fact of holding shares which have fallen in a general decline of the market proves nothing and should not be a subject of reproach." -- John Maynard Keynes
the first two chapters of this book are good, and perhaps to rest is too:
http://www.efficientfrontier.com/BOOK/title.shtml http://www.efficientfrontier.com/BOOK/foreword.htm http://www.efficientfrontier.com/BOOK/chapter1.htm
http://www.efficientfrontier.com/BOOK/chapter2.htm
a summary table in chapter 2 of that book reads:
Asset Expected Inflation-Adjusted Return Worst Bear Market Loss
T-bills 0-3% None All other high quality bonds 3% None(Short duration), 10%(Long duration) Large company stocks, US and foreign 4% 40-50% REITS, Small company stocks, US and foreign, emerging markets stocks 6% 50-60% Precious Metals Stocks 0-4% (???) 50-60%
equity prices tend to go up slowly and to go down quickly
market-making as holding things until the real buyer comes along
initial stockholders as market-makers for later stockholders who will get dividends
commodities investors as market-makers for the commodities (pseudo-financiers for the commodity companies)
schb, vwo
Exp. Ratio SCHB Schwab Broad Market ETF 30% 0.06% VWO Emerging Markets Index Fund 15% 0.27% VEA Europe Pacific ETF 15% 0.16% AGG Barclays Capital Aggregate Bond ETF 30% 0.24% DBC PowerShares DB Commodity Index 5% 0.75% RWO Global Real Estate ETF 5% 0.50%
holes: canadian, frontier, junk bonds, international bonds, small cap international stocks,
actually an argument against Sortino and in favor of Sharpe: when you are thinking about what stock to buy, you are unhappy if: (a) the stock is transiently down when you want to sell (b) the stock is transiently up when you want to buy
both are equally important -- unless BOTH OF: (i) your sell urgency is shorter than your buy urgency and (ii) you can detect what is a "transient up" and postpone the buy. I am skeptical of (ii). Therefore Sharpe is still important.
this web page begs to differ, however: " The Sharpe Ratio uses standard deviation which is non directional meaning it does not differentiate between upside volatility or downside volatility. For example, a fund with monthly returns of -3% and +3% will have the same volatility as another fund that is flat one month and +6% the next. In this example, the Sharpe Ratio in effect punishes the second fund for better performance, even though most investors would obviously prefer the second fund over the first fund. " -- http://www.greenwichai.com/index.php/hedge-fund-essentials/performance-measures
is that correct? std([0 6]) == std([-3 3]), yes; but wouldn't a reasonable alternative behave similarly? e.g. in the [0 6] case the mean is still 3 so we still have [-3 3] relative to the mean.
Apparently according to http://en.wikipedia.org/wiki/Sortino_ratio we compare to the baseline asset, not to the mean.
hmm i guess there's some logic in this. you wouldn't be too unhappy with buying after the 6% jump, you are only unhappy with that if it's followed by a drop (then you wish you had a 30-day price guarantee!). otoh if you ASSUME a model in which a higher stddev means a higher change of being caught in a scale-free bubble (transient up) then Sharpe is important.
incidentally the retail investor may like some hedging; e.g. a simple control panel where you say "i'm willing to give up any chance of my portfolio going up more than X% if you are willing to take on the risk of it falling more than Y%".
good quick simple explanation of beta, sharpe, sortino, treynor: www.greenwichai.com/index.php/hedge-fund-essentials/performance-measures (the alpha description neglects to inform you of the idiosyncratic risk compontent of alpha)
even better explanation (except treynor and sortino which are better in the previous): http://help.yahoo.com/kb/index?page=content&y=PROD_FIN&locale=en_US&id=SLN2303
quick capm explanation: http://www.moneychimp.com/articles/risk/regression.htm
longer: http://en.wikipedia.org/wiki/Capital_asset_pricing_model
problems with the Sharpe ratio (mainly, black swan-ish situations where there are infreqeuent big losses that havent hit yet): http://www.investopedia.com/articles/07/SharpeRatio.asp
a small ETF portfolio with holes: Exp. Ratio SCHB Schwab Broad Market ETF 30% 0.06% VWO Emerging Markets Index Fund 15% 0.27% VEA Europe Pacific ETF 15% 0.16% AGG Barclays Capital Aggregate Bond ETF 30% 0.24% DBC PowerShares? DB Commodity Index 5% 0.75% RWO Global Real Estate ETF 5% 0.50%
holes:
canada equity ETFs ETF Options: For investors looking to add exposure to Canadian equities, there are two primary ETF options. The iShares MSCI Canada Index Fund (EWC) focuses primarily on large cap stocks, while the IQ Canada Small Cap ETF (CNDA) invests in small cap Canadian companies. While both of these companies offer exposure to the same economy, the composition of the two is quite different. EWC is tilted towards banks, a common bias in cap-weighted international funds. CNDA, on the other hand, has major allocations to the materials sector, potentially making it a better on the resource rich Canadian economy.
frontier equity ETFs: ETF Options: In the world of frontier markets, there are two primary ETF options available. The Guggenheim Frontier Markets ETF (FRN) tracks markets that classified as frontier based on GDP growth, per capita income growth, inflation rates, privatization of infrastructure, and social inequalities. FRN tends to focus its assets on the financial sectors of these up and coming markets. There is also the PowerShares? MENA Frontier Countries Portfolio (PMNA), which seeks to invest in specific frontier economies like Egypt, Lebanon, Qatar, and United Arab Emirates.
junk bonds: ETF Options: In the world of junk bond ETFs, there are a handful of options available to investors. The largest fund by total assets is the iShares iBoxx $ HY Corp Bond Fund (HYG), while the SPDR Barclays Capital High Yield Bond ETF (JNK) is also a popular choice. An alternative to funds linked to market value-weighted benchmarks is the Fundamental High Yield Corporate Bond Portfolio (PHB) from PowerShares?. This ETF replicates the RAFI High Yield Bond Index, which is constructed using a methodology that considers fundamental measures of firm size, not just the amount of debt outstanding [see PHB: A Different Kind Of Junk Bond ETF].
international bonds: ETF Options: There are several options for investors looking to add a little geographic diversity to their fixed income portfolios. The International Government Bonds ETFdb Category, which includes four different funds, includes primarily debt issued by governments in developed markets. The Emerging Markets Bonds ETFdb Category also includes four ETFs, all of which obviously target debt from issuers in emerging markets. This group includes both funds that invest in dollar-denominated debt and those that focus on issuances denominated in the local currency of the issuer.
small cap international stocks: The SPDR S&P Emerging Markets Small Cap ETF (EWX) tracks an index that offers exposure to a number of small firms based in emerging markets, while the iShares MSCI EAFE Small Cap (SCZ) measures the performance of small cap stocks in European, Australasian, and Far Eastern markets. EWX can be thought of as a complement to EEM or VWO, rounding out emerging markets exposure. Likewise, SCZ can be used in conjunction with EFA or VEA to ensure that investors have more complete access to developed markets outside the U.S.
equity & commodities & junk bonds vs. treasuries & investment grade bonds & gold
most ppl: bullish on equities: 70/30% bearish is: 60/40%
us: bullish: 85%/15% bearish: 15%/85%
but: to be conservative:
33%/66% when older:
50%/50%
http://etfdb.com/2010/etf-alternatives-to-the-worlds-largest-mutual-funds/
for bonds: LAG
low expense ETFs ("over" means lower expenses): SCHB over IWV for Russel 3000 VEA over EFA for EAFE VWO over EEM for emergin markets LAG over AGG for bonds
note: even though arbitrage tends to keep passive ETFs close to NAV, use limit orders!
S&P SmallCap? Information Technology Portfolio (XLKS)
international government bonds:
biggest: BWX SPDR Lehman International Treasury Bond Fund $1.47 billion IGOV iShares S&P/Citigroup International Treasury Bond Fund $277.86 million BWZ SPDR Barclays Capital Short Term International Treasury Bond ETF $246.97 million
emerging markets bonds: http://etfdb.com/etfdb-category/emerging-markets-bonds/
http://etfdb.com/etf/EMLC/holdings/ both sovereign and other in top 10 (and sov are nice countries like Chile)
biggest (all three sovereign): Ticker ETF Market Cap EMB iShares JP Morgan USD Emerging Markets Bond Fund $3.02 billion sovereign PCY PowerShares? Emerging Markets Sovereign Debt ETF $1.22 billion ELD Wisdom Tree Emerging Markets Local Debt Fund $1.08 billion sovereign
MSCI U.S. Broad Market Index, VTI
MSCI All Country World ex-U.S. Index iShares MSCI ACWI ex US Index Fund (ACWX): Expense ratio of 0.35% SPDR MSCI ACWI ex-US ETF (CWI): Expense ratio of 0.34%
MSCI All Country World Index Fund (ACWI) and SPDR MSCI ACWI ex-US ETF (CWI).
todo: etfdb
EEG
" Nevertheless, many emerging market funds offer huge levels of exposure to these two quasi-developed economies. The SPDR S&P Emerging Markets Small Cap ETF (EWX), for example, allocates 27% of its assets to Taiwan alone, one of many funds to make a significant allocation to the island economy. The same goes for South Korea, which is one of the largest individual country allocations in many emerging markets funds. The two most popular emerging markets ETFs, EEM and the Vanguard Emerging Markets ETF (VWO), both track the performance of the MSCI Emerging Markets Index. South Korea and Taiwan combine to make up about 25% of that index, meaning that the two most popular emerging markets ETFs -- EEM and VWO together make up about 10% of total ETF assets -- maintain significant exposure to economies that many investors and institutions consider to be developed.
Besides BRIC ETFs -- which obviously focus only on emerging markets -- the EGShares Emerging Market Fund (EEG) is an intriguing option; that BRIC Plus ETF avoids South Korea and Taiwan while also offering exposure to South Africa, Mexico, Indonesia, Malaysia, Chile, and other emerging markets [see The Ticking Time Bomb Under EEM]. "
SPDR S&P Emerging Markets Small Cap ETF (EWX) WisdomTree? Emerging Market SmallCap? Fund (DGS) Latin America Small-Cap Index ETF (LATM)
Market Vectors Brazil Small-Cap ETF (BRF)
Guggenheim China Small Cap Index ETF (HAO)
India Small Cap ETF (SCIN)
IQ South Korea Small Cap ETF (SKOR)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
WisdomTree Emerging Market SmallCap Fund (DGS)
Latin America Small-Cap Index ETF (LATM)china ETFs: http://etfdb.com/2010/seven-things-every-investor-needs-to-know-about-emerging-market-etf-investing/ Disclosure: Eric is long EWM, EWZ, EZA, PCY, and VWO. Photo is courtesy of Agnieszka Bojczuk.
Currently, two products -- the iShares JPMorgan USD Emerging Market Bond ETF (EMB) and the PowerShares? Emerging Markets Sovereign Debt Fund (PCY) -- offer exposure to bonds denominated in U.S. dollars, while another two -- the WisdomTree? Emerging Markets Local Debt ETF (ELD) and the Market Vectors Emerging Market Local Currency Bond Fund (EMLC) -- target bonds denominated in local currencies.
Currency ETFs
Much like in the emerging market bond category, a variety of choices exist for investors seeking emerging market currency exposure. One of the most popular choices for investors seeking diversified access is the WisdomTree? Dreyfus Emerging Currency Fund (CEW). The fund has over $250 million in assets under management and offers investors exposure to currencies in three key emerging regions of the world: Latin America, Asia, and Europe, the Middle East and Africa. A basket of 8 to 12 currencies is selected on an annual basis. The selected currencies are equal weighted in terms of U.S. dollar value following the annual review and rebalanced each subsequent quarter thereafter. Given its short-term focus and lower risk nature, investors might be surprised to learn that the fund has gained over 8% in the past two quarters [see Inside The Not-So-Simple Currency ETFs].
When considering exposure to emerging markets currencies, it's important to keep in mind exactly what investors are getting. While the idea of a currency ETF may conjure up notions of highly leveraged bets on exchange rates, the WisdomTree? currency products actually seek to deliver total returns reflective of both movements in exchange rates and money market returns available to foreign investors. So it may be more appropriate to think of these funds as short-term fixed income securities that layer on exposure to foreign currencies.
In addition to the broad-based CEW, there are a number of products that target individual emerging market currencies:
WisdomTree Dreyfus Chinese Yuan (CYB)
WisdomTree Dreyfus Brazilian Real Trust (BZF)
Market Vectors Chinese Renminbi/USD ETN (CNY)
CurrencyShares Mexican Peso Trust (FXM)
WisdomTree Dreyfus Indian Rupee (ICN)
WisdomTree Dreyfus South African Rand (SZR)
CurrencyShares Russian Ruble Trust (XRU)
Market Vectors Indian Rupee/USD ETN (INR)" -- etfdb.com/2010/seven-things-every-investor-needs-to-know-about-emerging-market-etf-investing/" 6. Take Advantage of Free ETF Trading
When discussing the advantages of ETFs, there is a pretty good chance that the issue of expenses is going to come up. And when it does, the discussion will likely focus on expense ratios, the annual management fees charged by the fund manager. But in reality, expense ratios are only one component of the total cost equation, and cost-conscious investors can do a lot more to enhance their bottom line than simply minimizing management fees.
For high turnover investors, trading commissions incurred when buying and selling can add up quickly, and can end up making a significant contribution to total expenses. Fortunately for ETF investors, online brokers are desperate to attract ETF investors, and have begun offering competitive commission-free trading programs to entice them. Schwab and Vanguard both offer commission free trading on their ETFs, while iShares has partnered with Fidelity on a platform that includes free trades on 25 of the largest iShares funds.
In our opinion, the commission-free ETF platform offered by TD Ameritrade is by far the most robust. More than 100 exchange-traded products from multiple issuers were selected by the ETF team at Morningstar, giving investors access to a wide variety of asset classes and investment strategies (though we wish a physical gold ETF such as IAU would have been included). But for investors who are paying up to $10 for each ETF trade they execute, embracing any of these commission-free programs is an easy way to reduce expenses and enhance returns in the new year [see Commission-Free ETF Platforms: Sorting Through Four Options]. "
The ETFdb Mutual Fund To ETF Converter currently includes nearly 20,000 mutual funds, offering up ETF alternatives for each that are generally more cost efficient. In addition to best fit ETF options, this free tool also directs investors to ETFs included in the same ETFdb Category as the mutual fund's benchmark.
market neutral guys: http://seekingalpha.com/article/303645-5-etfs-to-smooth-volatility
http://www.marketfolly.com/2009/06/wisdomtree-creates-hedge-fund-etfs.html
http://finance.yahoo.com/news/QuantShares-Debuts-Market-etfdatabase-3906136430.html
"short inverse leveraged ETF strategy" this looks like a good idea provided you keep it to a very tiny amount of your total portfolio --- and in that case i'm not sure if it's worth the effort -- also any series of investments with finite upside and infinite downside has a black swan problem in the long term so would be better to isolate the liability within another vehicle -- so mb better to buy one of those "hedge fund ETFs": http://www.darwinsfinance.com/short-etf-inverse-leveraged-direxion-3x/
http://www.indexiq.com/indexes/hedge-fund-replication-beta-indexes/iniqhmktneutralbeta.html http://etfdb.com/2011/credit-suisse-rolls-out-market-neutral-etn/ https://www.google.com/search?client=ubuntu&channel=fs&q=market+neutral+etf&ie=utf-8&oe=utf-8#q=market+neutral+etf&hl=en&client=ubuntu&hs=cNP&channel=fs&prmd=imvns&ei=zc_fTqS4H-bs0gGGmJnDBw&start=20&sa=N&fp=1&biw=1200&bih=1674&bav=on.2,or.r_gc.r_pw.r_cp.,cf.osb&cad=b
http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD does very well over time -- i guess you can't just make an ETF out of this though b/c its performance is based on a diversity of wacky strategies
these guys have a list of hedge fund ETFs: http://www.greenwichai.com/index.php/gai-hf-etf-index-overview http://www.greenwichai.com/index.php/returns-gai-hf-etf-indices shows returns comparable to SPY; with 1% less gain, about 1/4 the std, but about 10x capital-at-risk ("CAR" i guess) conclusion: worth a small part of one's portfolio. they'll do slightly less well than stock markets but mb are somewhat less volatile.
http://www.hedgefund-index.com/s_equitymn.asp#Are_%E2%80%9CMarket_Neutral%E2%80%9D_Hedge_Funds_Really_Market_Neutral http://www.eurekahedge.com/news/06_nov_Stephen_Foerster_Equity_Market_Neutral_HF_Return_Drivers.asp argues that a market neutral long-short strategy picking "value stocks" defined as low P/E ratio works and has low beta but has only insignificant alpha compared to simple value investing. the paper discusses other strategies as well. http://en.wikipedia.org/wiki/Market_neutral
http://www.macroaxis.com/invest/menu/mainInfo/tour
PXSV: small cap value RAFI http://seekingalpha.com/article/275344-powershares-launches-9-rafi-style-etfs
Intellidex linked Dynamic Large Cap Value Portfolio (PWV) RAFI emerging markets (PXH) RAFI long-short market-neutral (RALS)
RSP: equal weight S&P500 Rydex Emerging Markets Equal Weight ETF (EWEM): WisdomTree? Emerging Market Equity Income Fund (DEM) RevenueShares? offers a suite of ETF products that determine individual security weightings based on top-line revenue
YTD Performance ETF Weighting Return SPY Market Cap 1.98% RWL Revenue 2.64% EPS Earnings 3.40% DLN Dividend 4.30% PRF RAFI 4.51% RSP Equal 5.24% EQL Equal Sector 2.03%
RWL still above SPY but it goes deeper when SPY has a major dip RSP went way above but is now slightly below RSP superior to PRF EQL still slightly above but tracks fairly close DLN does worse
out of these, RSP looks best (is it just a higher beta?) -- but: its beta is 1.17-1.18 on both 3 and 5 yr timescales its Sharpe ratio is .96 on 3 yr timescale and .1 on 5 yr(!) according to Yahoo finance but Sortino is over 1
Sortino ratio is like Sharpe but over 1 choice: RSP
Broad U.S. Market ETF (SCHB) EAFE ETF (VEA) Emerging Markets ETF (VWO) BarCap? Aggregate Bond ETF (LAG)
market neutral ETPs: http://www.indexuniverse.com/sections/news/9834-quantshares-launches-4-market-neutral-etfs.html http://etfdb.com/2011/credit-suisse-rolls-out-market-neutral-etn/ http://etfdb.com/etf/RALS/ about RAFI: "Eugene Fama, a professor of finance at the University of Chicago s Booth School of Business who helped develop the efficient market hypothesis, said Arnott s indexes represent a triumph of marketing rather than an innovation in investing."
" First, Morningstar is able to predict low-performing funds. Generally speaking, funds with less than 3 stars generally have much worse future performance than other groups of funds. This result is relatively robust over different samples, ages of funds, styles of funds, out-of-sample performance measures, and whether load or non-load adjusted returns are used for the out-of- sample returns. Second, there is only weak statistical evidence that the 5-star (highest rated) funds out-perform the 4- and 3-star funds (next-to-highest and median-rated funds). Again, these results are robust over different samples, ages, out-of-sample performance measures, load assumptions, and styles. Third, the Morningstar ratings, at best, do only slight better, than alternative predictors in terms of predicting future fund performance. "
" On Wednesday, Oct. 5, Russell Investments rolled out four more exchange-traded funds that are small-cap versions of investment discipline ETFs that the firm had launched in May. All of the new ETFs are based on specific fundamental screens. The ETFs track Russell-managed indexes that pick stocks from the broad Russell 2500 Index that generate performance similar to a professional investment manager who follows that specific discipline. As such, the new ETFs continue in Russell's model of differentiating its ETF product line by giving its funds what is known as "intelligent beta." Russell Small Cap Consistent Growth ETF tracks an index that pulls small-cap companies with above-average earnings expectations over the long run and consistent historical EPS growth. The index includes firms with average to high consensus forecasted earnings and consistent earnings as measured by low EPS volatility over the past five years. The index excludes companies with low growth prospects as shown by low price/book ratios, low price/cash flow ratios, and low price/sales ratios.Russell Small Cap Aggressive Growth ETF tracks an index that seeks companies with average to high consensus forecasted earnings and average to high one-year historical sales growth, while excluding firms with low price/book ratios and low earnings retention in the form of high dividend yields over the past year. Russell Small Cap Low P/E ETF follows an index that includes companies that fall below their historical or industry averages when it comes to ratios like forward price/earnings, trailing price/earnings, price/cash flow, price/book, and price/sales. The index excludes firms with high prices to cash flow and sales relative to their industry. Finally,Russell Small Cap Contrarian ETF tracks an index that includes companies with low price/sales and price/book and price/cash flow multiples while shunning firms whose cumulative total return over the past one to three years has outperformed the market. All four ETFs charge 0.45%. "
bulletshares, HYS hold bonds to maturity, giving slightly better risk-adjusted returns (http://seekingalpha.com/article/312852-the-pernicious-impact-of-index-minimum-maturity-rules-on-bond-etf-performance)
EWEM Rydex MSCI Emerging Markets Equal Weight ETF
http://www.rydex-sgi.com/products/etfs/home/etf_profiles.rails#eqWeight
EWAC Rydex MSCI All Country World (ACWI) Equal Weight ETF
WisdomTree? Emerging Markets Local Debt Fund (ELD)
5. EG Shares Emerging Markets Consumer ETF (ECON)
Guggenheim Corporate Bond BulletShares? 2012 BSJC junk Guggenheim BulletShares? 2012 Corporate Bond ETF BSCC
SPDR S&P Emerging Markets Small Cap ETF (EWX)
Schwab U.S. Broad Market ETF (SCHB)
SPDR Barclays Aggregate Bond ETF (LAG)
equal weighting: rydex and state street
First Trust NASDAQ-100 Equal Weighted QQEW
First Trust NASDAQ 100 Technology Sector Index Fund (QTEC)
Region Large Cap Small Cap Emerging Markets (EEM, EWX) 16.5% 23.5% Developed Markets (VEA, SCZ) 8.3% 21.5% China (FXI, HAO) 3.5% 14.2% Brazil (EWZ, BRF) 4.2% 24.1% Japan (EWJ, SCJ) 13.6% 19.1%
" QuantShares?, a family of seven market-neutral exchange-traded funds based on specific factors -- momentum, quality, size, value and beta -- is being introduced by FFCM LLC.
The Momentum, Anti-Momentum, Quality and Size ETFs were launched today. FFCM expects the Value, Beta and Anti-Beta Funds will be available within a week.
....
The funds launched today are
QuantShares U.S. Market Neutral Momentum Fund (MOM) -- Buys high-momentum stocks; shorts low momentum stocks, based on total return over a year.
QuantShares U.S. Market Neutral Anti-Momentum Fund (NOMO) -- Buys low-momentum stocks; shorts high-momentum stocks, based on total return over a year.
QuantShares U.S. Market Neutral Size Fund (SIZ) -- Buys smallest market-capitalization stocks in the index; shorts the largest stocks in the index.
QuantShares U.S. Market Neutral Quality Fund (QLT) -- Securities are selected by combining equally the ranks of return on equity (highest to lowest) and debt-to-equity (lowest to highest). Buys highest-quality stocks; shorts lowest-quality stocks.The Funds expected to be available next week are
QuantShares U.S. Market Neutral Beta Fund (BTAH) -- Buys high-beta stocks; shorts low-beta stocks.
QuantShares U.S. Market Neutral Anti-Beta Fund (BTAL) -- Buys low-beta stocks; shorts high-beta stocks.
QuantShares U.S. Market Neutral Value Fund (CHEP) -- Buys stocks ranked least expensive (undervalued) according to standard valuation measures; shorts the most expensive stocks (overvalued)." " The press release (pdf) claims QuantShares? are the first ETFs that isolate factor returns. That claim appears to only be true if you somehow manage to exclude the 10-fund suite of Russell Factor ETFs, the entire FactorShares? lineup, and an assortment of other funds from various sponsors. " --- http://seekingalpha.com/article/293576-new-suite-of-long-short-quantshares-long-on-expenses-short-on-expectations" Russell 2000 Low Beta ETF (SLBT) -- the underlying Russell-Axioma U.S. Small Cap Low Beta Index attempts to track stocks from the Russell 2000 with low predicted beta, a measure of the sensitivity of a stock's price to changes in the base index. The fund currently holds 354 stocks with the largest allocation to Unisource Energy (UNS) at 1.8% (SLBT overview and top holdings). "
http://investwithanedge.com/russell-launches-suite-of-investment-discipline-index-etfs http://investwithanedge.com/second-wave-of-russell-etfs-comes-ashore
New Name: Powershares Fundamental Pure Small Value Portfolio (NYSE: PXSV)
might be interesting just to buy each of the http://investwithanedge.com/second-wave-of-russell-etfs-comes-ashore , under the assumption that at various times, various quantish traders will be buying similar stocks
there was an article http://etfdb.com/2011/for-etf-investors-the-details-matter/ that showed that over the same time period, BOTH pure style value AND pure style growth ETFs outperformed impure styles of the same! perhaps there are so many style investors that ANY style has a premium.
EQIN Russell Equity Income ETF LWPE Russell Low P/E ETF SCLP Russell Small Cap Low P/E ETF XLBT Russell Developed ex-U.S. Low Beta ETF SPDR S&P Dividend ETF (SDY) DEF Dividend History & Description Guggenheim Defensive Equity ETF Sabrient Defensive Equity Index ETF Dividends iShares Dow Jones Select Dividend Index (NYSE: DVY)
For instance, investors now have access to a wide variety of dividend-paying, high-yielding asset classes. Two funds that fit this bill are the Guggenheim Multi-Asset Income ETF (NYSE: CVY), and its global cousin, the Guggenheim International Multi-Asset Income ETF (NYSE: HGI).
" The CVY may be the ETF with the most eclectic mix of dividend-producing assets. This fund holds common stocks, American depositary receipts, REITs, master limited partnerships (MLPs), closed-end funds, Canadian royalty trusts and even preferred stocks. Top holdings in the fund include oil giant ConocoPhillips? (NYSE: COP), natural gas and oil MLP Linn Energy (NYSE: LINE) and REIT Annaly Capital Management (NYSE: NLY).
CVY's diversity makes it a great place to collect dividends and high yield (CVY boasts an annual yield of 4.52%), and it's also great for conservative investors. That's because if one segment of its eclectic asset mix falters, you have numerous others to help smooth out any bumps on the road.
Similar to CVY is HGI, essentially a global version of the eclectic mix of dividend producers. The international arm of Guggenheim's dividend-equity mixture has more than 90% of its assets outside of the U.S., with the biggest country exposure concentrated in the United Kingdom, Canada and France.
Top sectors in the fund include traditional dividend-producing companies in the telecommunication services, financials and energy arena. Given its global focus, HGI is a bit more aggressive than CVY; however, its diversity still makes a great choice for conservative income seekers. The fund's 4% current yield also makes it a very attractive place for yield-seeking income players. "
http://www.investorplace.com/2011/06/powershares-etf-funds-etfs-fundamental/
Rydex S&P Equal Weight Technology RYT
MSCI Emerging Markets FTSE RAFI Emerging Markets PXH
in rydex: " Those Russell-linked equal weight products take a slightly different approach. Each sector of the economy (e.g., financials, energy, etc.) is assigned an equal weight within the portfolio, and within each sector component securities are assigned an equivalent allocation."
morningstar.com gives morningstar rating and sortino ratings
vangard REIT VNQ
conclusions:
iau or gld for gold, unless you can afford $1000/yr in accounting fees, then phys or cef and file 8621 annually slv for silver usci for commodities basket http://etfdb.com/2011/one-year-later-usci-an-attractive-commodity-etf/ phb for high-grade junk bonds lqd for non-junk bonds vwo EWX ECON EEM GSR is big in emerging markets frn for frontier also afk, ffd, hlmox tramx tfmax vmdix (bad perf) http://www.kiplinger.com/columns/fundwatch/archive/3-funds-for-investing-in-frontier-markets.html http://frontiermarketfund.com/html/new_frontier_market_investment.html http://seekingalpha.com/article/291862-choose-frontier-market-funds-carefully SPY for S&P 500 index iShares MSCI All World (ACWI)
http://etfdb.com/etfdb-category/emerging-markets-bonds/ http://seekingalpha.com/article/300199-micro-cap-etfs-time-to-think-small
alt weightings: Weighting YTD Gain S&P Equal Weight ETF (RSP) Equal 21.0% FTSE RAFI U.S. 1000 (PRF) RAFI 19.0% RevenueShares? Large Cap ETF (RWL) Revenue 16.2% WisdomTree? Large Cap Dividend (DLN) Dividend 14.3% S&P 500 SPDR (SPY) RSP 14.1% WisdomTree? Earnings 500 Fund (EPS) Earnings 12.7%
etfdb http://etfdb.com/type/size/micro-cap/
microcap etfs:
IWC iShares Russell Microcap Index Fund $44.26 +5.68% $364,704 100,827 -11.67% PZI PowerShares? Zacks Micro Cap Portfolio $10.10 +6.09% $34,675 16,902 -15.90% WMCR $15.84 +4.14% $16,765 29,897 -17.24%
http://www.investopedia.com/ask/answers/05/nanomicrocapindex.asp#axzz1fFtFzfhn
RSP, PRF
note: bnd, bsv have treasuries
LAG is cheaper than AGG blv is anti-bsv i guess http://www.fool.com/retirement/general/2011/03/03/dont-fear-this-market-bubble.aspx http://www.benzinga.com/markets/company-news/10/06/308814/3-fixed-income-etfs-for-the-conservative-investor-agg-bnd-bsv-ciu- http://etfdailynews.com/2011/06/02/top-ten-corporate-bond-etfs-for-investors-lqd-csj-ciu-t-wfc-jpm-c-bac-ms-ge-gs/XBB canadian, TIPS-like inflation hedge http://www.benzinga.com/markets/company-news/10/06/308814/3-fixed-income-etfs-for-the-conservative-investor-agg-bnd-bsv-ciu-
TIP for TIPS
NOTE: (all) BONDS VULNERABLE TO INFLATION!
lazy man's portfolio http://www.fool.com/investing/etf/2011/07/20/the-lazy-mans-portfolio.aspx
vti, vxus (International stock), bnd vti, iShares S&P 600 Small Cap ETF (NYSE: IJR), Schwab International Equity ETF (NYSE: SCHF, vwo, Vanguard FTSE All-World Ex-US Small Cap ETF (NYSE: VSS , bnd
above, plus vanguard Value ETF (NYSE: VTV ) Vanguard Growth ETF (NYSE: VUG ) Vanguard Dividend Appreciation ETF (NYSE: VIG ) iShares S&P 400 Mid Cap ETF (NYSE: IJH )
agriculture ETFs? http://commodityhq.com/2011/agriculture-etf-showdown-crop-vs-moo/
http://etfdb.com/2010/etfs-for-the-forgotten-asset-classes/
real estate (rwo) http://seekingalpha.com/article/263005-look-to-global-reit-etfs-for-additional-portfolio-diversification?source=TheMotleyFool
RWO real estate
gld gdx phys <-- tax headache http://blog.taxesforexpats.com/2011/08/29/time-required-to-prepare-form-8621/ cef <-- tax headache http://blog.taxesforexpats.com/2011/08/29/time-required-to-prepare-form-8621/ sgol
slv
RICI gsci dbc usci IAU
http://seekingalpha.com/article/302276-gold-vs-broad-basket-commodity-exposure-timeframe-is-key
"The PHYS is classified by the IRS as a Passive Foreign Investment Company (PFIC), and as such the company informs investors that they may be well-advised to file form 8621 to make a "QEF election." Provided such election is properly made, [long-term] capital gains from the sale of PHYS units would then ostensibly be taxed at the rate of just 15%."
dbp
GTAA holdings:
Vanguard Total Bond Market ETF N/A 11.94 VBTLX Vanguard Short-Term Bond ETF N/A 11.89 iShares Barclays 1-3 Year Treasury Bond N/A 11.83 iShares Barclays 3-7 Year Treasury Bond N/A 11.69 Invesco Gov't & Agency N/A 4.06 Utilities Select Sector SPDR N/A 1.99 Consumer Staples Select Sector SPDR
junk bonds: http://etfdb.com/mutualfund/PHIYX/ http://etfdb.com/2010/phb-different-kind-of-junk-bond-etf/ PHB 60% are BB- or higher
Emerging Markets (U.S. Dollar Denominated) (ELD)
Emerging Markets (Local Currency Denominated) (EMB)
Developed Market Corporate Bonds (IBND, PICB)
Inflation-Protected Bonds (WIP)Fundamental Weighting: Now In Fixed Income Wrapper
Market cap weighting has long been the traditional strategy for not only ETFs, but almost all basket funds. But as the ETF industry expanded, many have realized the benefits of alternative weighting strategies as a number of them outdid their cap-weighted counterparts. More recently these strategies have waded into fixed income territory and yielded several interesting bond ETF products [see also Better-Than-AGG Total Bond Market ETFdb Portfolio]:
SPDR Barclays Capital Issuer Scored Corporate Bond ETF (CBND) - This ETF uses three fundamental factors to determine the weight given to each debt it holds: return on assets, interest coverage, and current ratio.
Fundamental High Yield Corporate Bond Portfolio (PHB) - This product uses the RAFI approach to selecting its holdings using four factors: book value of assets, gross sales, gross dividends, and cash flow -- each based on five-year averages. Note that PHB is classified in the high yield or junk bond category.
Fundamental Investment Grade Corporate Bond (PFIG) - PFIG also uses the RAFI weighting methodology, but instead applies it to investment grade corporate bonds.
JP Morgan Emerging Market Debt (PCY) -0.50% 19.48% PowerShares?