ETF / What ETFs - October 2017
*BETA*

ETF Selection October 2017

The ETF selection below is based on the historical data, in 3 month period (01 July 2017 - 29 Sep 2017).

How this stuff works >>

Yield or Risk provides monthly analysis of major ETF, to assist investors in selecting the best ones, for their portfolio.
Combining the cutting edge technology with institutional-level investment experience.

Learn more about the proprietary filtering, benchmarking and ranking algorithm

Best performers: positive yield (%)

Selection criteria:

  • ETF have existed at least two years, and has minimum 50M in AUM
  • Non-leveraged, maximum yield and minimal volatility (specific threshold/range)
  • Least aligned to each other
YoR ETF filter C1
symbolnamesectorregionvolatilityyield
MCHIiShares MSCI ChinaN/AEmerging Asia Pacific, China24.929.78
FNIFirst Trust ISE Chindia ETFN/AEmerging Asia Pacific, Chindia19.587.33
FXIiShares China Large-CapN/AEmerging Asia Pacific, China11.956.48
RYUGuggenheim S&P; 500 Eq Wt Utilities ETFUtilities, BroadNorth America, U.S.26.535.7
GMFSPDR S&P; Emerging Asia Pacific ETFN/AEmerging Asia Pacific, Broad28.95.63
JXIiShares Global UtilitiesUtilities, BroadGlobal, Broad11.755.57
XLUUtilities Select Sector SPDR ETFUtilities, BroadNorth America, U.S.18.65.51
ERUSiShares MSCI Russia CappedN/AEmerging Europe, Russia12.044.5
HAOGuggenheim China Small Cap ETFN/AEmerging Asia Pacific, China8.964.4
DFEWisdomTree Europe SmallCap Dividend ETFN/ADeveloped Europe, Broad14.224.23
PEKMarket Vectors ChinaAMC A-Share ETFN/AEmerging Asia Pacific, China8.484.12
VNQIVanguard Global ex-US Real Estate ETFReal Estate, BroadGlobal ex-U.S., Broad9.233.99
WIPSPDR DB Intl Govt Inflation-Prot Bd ETFN/AGlobal ex-U.S., Broad11.182.69
EMBiShares JPMorgan USD Emerg Markets BondN/AEmerging Markets, Broad12.61.59
RXIiShares Globl Consumer DiscretionaryConsumer Discretionaries, BroadGlobal, Broad21.591.46
TLHiShares 10-20 Year Treasury BondN/ANorth America, U.S.20.431.1
YoR ETF filter C2
RYUGuggenheim S&P; 500 Eq Wt Utilities ETFUtilities, BroadNorth America, U.S.26.535.7
GMFSPDR S&P; Emerging Asia Pacific ETFN/AEmerging Asia Pacific, Broad28.95.63
JXIiShares Global UtilitiesUtilities, BroadGlobal, Broad11.755.57
XLUUtilities Select Sector SPDR ETFUtilities, BroadNorth America, U.S.18.65.51
VNQIVanguard Global ex-US Real Estate ETFReal Estate, BroadGlobal ex-U.S., Broad9.233.99
WIPSPDR DB Intl Govt Inflation-Prot Bd ETFN/AGlobal ex-U.S., Broad11.182.69
RXIiShares Globl Consumer DiscretionaryConsumer Discretionaries, BroadGlobal, Broad21.591.46
TLHiShares 10-20 Year Treasury BondN/ANorth America, U.S.20.431.1
YoR ETF filter C3
RYUGuggenheim S&P; 500 Eq Wt Utilities ETFUtilities, BroadNorth America, U.S.26.535.7
GMFSPDR S&P; Emerging Asia Pacific ETFN/AEmerging Asia Pacific, Broad28.95.63
JXIiShares Global UtilitiesUtilities, BroadGlobal, Broad11.755.57
XLUUtilities Select Sector SPDR ETFUtilities, BroadNorth America, U.S.18.65.51
VNQIVanguard Global ex-US Real Estate ETFReal Estate, BroadGlobal ex-U.S., Broad9.233.99
WIPSPDR DB Intl Govt Inflation-Prot Bd ETFN/AGlobal ex-U.S., Broad11.182.69
RXIiShares Globl Consumer DiscretionaryConsumer Discretionaries, BroadGlobal, Broad21.591.46
TLHiShares 10-20 Year Treasury BondN/ANorth America, U.S.20.431.1

P.S.: in this case, subject to beta maturity and general disclaimer, most cost effective ETFs ended up being the same as the least aligned ones.


Analysis summary

Raw selection

ETF filter - total corr

data file: redfilter_totalcorr_l.xlsx

Criteria selector

optimization/selector - total corr

data file: selectorengine_corr_pn.xlsx

optimization/selector - total corr

chart: etf selecor engine sliding corr

Analysis reports / details >>

Intermediate data - sub sector selections

APAC Bonds Consumer Discretionary EU ETF Financials REIT Utilities

APAC ETFs

APAC ETF Oct - 2017
PGJPowerShares Golden Dragon China ETF12.4
MCHIiShares MSCI China9.8
GXCSPDR S&P; China ETF8.6
FNIFirst Trust ISE Chindia ETF7.3
FXIiShares China Large-Cap6.5
GMFSPDR S&P; Emerging Asia Pacific ETF5.6
HAOGuggenheim China Small Cap ETF4.4
PEKMarket Vectors ChinaAMC A-Share ETF4.1

data file: etf_apac.xlsx

Bonds

BONDS ETF Oct - 2017
WIPSPDR DB Intl Govt Inflation-Prot Bd ETF2.7
ZROZPIMCO 25+ Year Zero Coupon US Trs ETF1.9
EMBiShares JPMorgan USD Emerg Markets Bond1.6
EDVVanguard Extended Duration Treasury ETF1.6
TLHiShares 10-20 Year Treasury Bond1.1
TLTiShares 20+ Year Treasury Bond1

data file: etf_bonds.xlsx

Consumer Discretionary

RXIiShares Globl Consumer Discretionary1.5
RHSGuggenheim S&P; 500 Eq Wt Cons Stapl ETF1.9
VDCVanguard Consumer Staples ETF1.4

EU ETF

DFEWisdomTree Europe SmallCap Dividend ETF4.2
FEEUBarclays ETN+ FI Enhanced Europe 501.9
FIEUCredit Suisse FI Enhanced Europe50 ETN1.2

data file: etf_eu.xlsx

Financials

KIESPDR S&P; Insurance ETF2.2

data file: etf_financials.xlsx

Real Estate (REIT)

VNQIVanguard Global ex-US Real Estate ETF4

data file: etf_realestate.xlsx

Utilities

RYUGuggenheim S&P; 500 Eq Wt Utilities ETF5.7
JXIiShares Global Utilities5.6
XLUUtilities Select Sector SPDR ETF5.5
IDUiShares US Utilities5.4
VPUVanguard Utilities ETF5.4

data file: etf_utilities.xlsx


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