ETF Report_ Weekly December 3, 2015

Transcription

1 ETF Report_ Weekly December 3, 2015

2 Dec 3, 2015 INTRODUCTION TO TRENDRATING Forecasting trends is nearly impossible. Following trends is possible and lucrative. Trendrating was developed to provide better tools to maximize investment performance and improve risk control. We bring additional intelligence and measurable value to your existing decision making processes. Superior performance and financial success come from discipline and a systematic reality check of assumptions. Bias, emotions, market noise and overconfidence may severely limit a manger's ability to perform. Over 100 asset managers globally incorporate our industry leading momentum analytics. The value of our service is not hidden behind theories and hypothesis; it is reflected every day in the P&L of our clients. THE INCREASING IMPORTANCE OF INCLUDING THE MOMENTUM FACTOR Momentum factor analytics can enhance the decision process. A momentum overlay is an effective addition to most investment strategies. Extensive academic research supports momentum as a strong and persistent factor, proven to add value to fundamental strategies. Analyzing momentum however is extremely difficult - noise and bias are everywhere. Momentum exists in many cases and goes unnoticed due to the lack of proper tools to measure it. Speed of analysis is crucial to promptly adjust index components. Trendrating was developed to quickly identify medium-to-long term trends while also filtering out the noise. OUR MOMENTUM RATINGS The complexity behind our model is boiled down to a simplistic rating scale (A, B, C, D). We believe that this approach supports an actionable decision making process and comparative analysis across markets and sectors. Trendrating s Smart Momentum Model was conceived to support long portfolios. The ratings A and B identify positive momentum phases, while C and D signal negative trends. HOW FUND MANAGERS USE TRENDRATING Quickly screen the entire market to identify new opportunities and validate existing ideas Run a systematic sanity check on all your portfolios to spot early negative momentum Create and test a tactical overlay to your existing strategy with momentum alpha Add a momentum smart beta element to your portfolios Page 2 of 6

3 ETF Momentum Distribution and Performance ETF Report Weekly Dec 3, 2015 Significant Performance for Ratings issued in the last 3 months Upgrades Downgrades Ticker Name Co Rating Performance Ticker Name Co Rating Performance SNGA ETFS Daily Short Natural Gas GB A 35.19% UNG United States Natural Gas Fund Lp US D % SUGA ETFS Sugar GB A 8.28% NGAS ETFS Natural Gas GB D % JESC JPMorgan European Smaller Companies Trust Plc GB A 7.32% VNM Market Vectors Vietnam ETF US D -9.98% XGD ishares S&P/TSX Global Gold Index ETF CA B 5.10% HOGS ETFS Lean Hogs GB C -9.67% GDX Market Vectors Gold Miners ETF Fund US B 4.75% AFS Lyxor South Africa FTSE JSE Top 40 UCITS ETF FR D -7.80% Currently about 44% of the ETF universe we cover is positively rated. A rated Securities have an average performance (Since rated) of about 14%. Below, we will now explore some of the alerts issued over the past week. Upgrades are securities moving into positive momentum while downgrades are securities moving into negative momentum. We also provide a list of high momentum ETFs with relatively young trends in the Potential Investment Candidates Section Page 3 of 6

4 ALERTS over the last week ETF Report Weekly Dec 3, 2015 Upgrades to Downgrade = 79: 26 Sample of Alerts over the last week. Ticker Upgrades Name Countr y Ratin g Ticker Downgrades VCR Vanguard Consumer Discretionary ETF US A RSE Riverstone Energy Ltd GB D RXI ishares Global Consumer Discretionary ETF US A STX40 Satrix Indexco 40 ZA C MXUS Source MSCI USA UCITS ETF GB A NAFTRACISHR S ishares Naftrac (Series -ishrs-) MX C MVEU ishares MSCI Europe Minimum Volatility UCITS ETF GB A P2P P2P Global Investments Plc GB D JETI JPMorgan European Investment Trust Plc GB A ASI Lyxor China Enterprise HSCEI UCITS ETF FR D EXHA ishares Eb.rexx Government Germany UCITS ETF DE DE A BNDX Vanguard Total International Bond Index ETF US C IVPU Invesco Perpetual Select Trust Plc GB A DXSP db x-trackers EURO STOXX 50 Short Daily UCITS ETF 1C DE D SPXS Source S&P 500 UCITS ETF GB A FXD First Trust Consumer Discretionary Alphadex Fund US D XSPU db x-trackers S&P 500 UCITS ETF 1C GB A IGLT ishares Core UK Gilts UCITS ETF GB C IPRP ishares European Property Yield UCITS ETF GB A INXG ishares GBP Index-Linked Gilts UCITS ETF GB D Name Countr y Ratin g Page 4 of 6

5 ETF Report Weekly Dec 3, 2015 Potential Investment Candidates A selection of high momentum ETFs with young trends Ticker Name Country Rating DBXA db x-trackers MSCI Europe Index UCITS ETF DR 1C DE A EXSA ishares Stoxx Europe 600 UCITS ETF DE DE A IEAG ishares Euro Aggregate Bond UCITS ETF GB A IMEU ishares MSCI Europe UCITS ETF (dist) FR A EMUEUA UBS ETF-MSCI EMU UCITS ETF CH A XLY SPDR Fund Consumer Discretionary Select Sector US A EDIN Edinburgh Investment Trust Plc GB A XY4P db x-trackers II iboxx Sovereigns Eurozone Yield Plus UCITS ETF 1C DE A SPLV PowerShares S&P 500 Low Volatility Portfolio US A EWJ ishares MSCI Japan ETF US A VCR Vanguard Consumer Discretionary ETF US A ATST Alliance Trust Plc GB A SPXS Source S&P 500 UCITS ETF GB A XLK SPDR Fund Technology Select Sector US A VGT Vanguard Information Technology ETF US A IWF ishares Russell 1000 Growth ETF US A QQQ PowerShares Qqq Trust Series I US A VUG Vanguard Growth ETF US A Page 5 of 6

6 ETF Report Weekly Dec 3, 2015 To learn more about how the Trendrating Momentum Model can help portfolio managers spot market reversals and participate in positive trends longer, please contact us at The evaluations, rankings and information provided by Trendrating (the "Services") are provided solely for the use of finance professionals (the "Users") who, by nature of their status as investment professions understand, or are expected to understand, the complexity of finance products, the functioning of the markets and the risks inherent in them. The Services are not offered for use by persons not employed or actively working as professionals in the finance and investment industry. The Services are to be used entirely at the risk of the Users. Included in the Services are forward-looking statements that are based on observations, assumptions and calculations that reflect Trendrating's expectations. Forward-looking statements are subject to numerous risks and uncertainties that could cause actual results to materially differ from those expectations. The Services are not intended to constitute a recommendation of any specific security or financial product and are to be implemented solely in conjunction with or as part of a complete investment evaluation conducted by the Users. Under no circumstances shall Trendrating, its officers, directors, employees or agents be liable for any damages, lost profits or investment losses that result in any way from use of the Services. Trendrating S.A All rights reserved. Page 6 of 6