ETF Selection October 2017
The ETF selection below is based on the historical data, in 3 month period (01 July 2017 - 29 Sep 2017).
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
| symbol | name | sector | region | volatility | yield |
| MCHI | iShares MSCI China | N/A | Emerging Asia Pacific, China | 24.92 | 9.78 |
| FNI | First Trust ISE Chindia ETF | N/A | Emerging Asia Pacific, Chindia | 19.58 | 7.33 |
| FXI | iShares China Large-Cap | N/A | Emerging Asia Pacific, China | 11.95 | 6.48 |
| RYU | Guggenheim S&P; 500 Eq Wt Utilities ETF | Utilities, Broad | North America, U.S. | 26.53 | 5.7 |
| GMF | SPDR S&P; Emerging Asia Pacific ETF | N/A | Emerging Asia Pacific, Broad | 28.9 | 5.63 |
| JXI | iShares Global Utilities | Utilities, Broad | Global, Broad | 11.75 | 5.57 |
| XLU | Utilities Select Sector SPDR ETF | Utilities, Broad | North America, U.S. | 18.6 | 5.51 |
| ERUS | iShares MSCI Russia Capped | N/A | Emerging Europe, Russia | 12.04 | 4.5 |
| HAO | Guggenheim China Small Cap ETF | N/A | Emerging Asia Pacific, China | 8.96 | 4.4 |
| DFE | WisdomTree Europe SmallCap Dividend ETF | N/A | Developed Europe, Broad | 14.22 | 4.23 |
| PEK | Market Vectors ChinaAMC A-Share ETF | N/A | Emerging Asia Pacific, China | 8.48 | 4.12 |
| VNQI | Vanguard Global ex-US Real Estate ETF | Real Estate, Broad | Global ex-U.S., Broad | 9.23 | 3.99 |
| WIP | SPDR DB Intl Govt Inflation-Prot Bd ETF | N/A | Global ex-U.S., Broad | 11.18 | 2.69 |
| EMB | iShares JPMorgan USD Emerg Markets Bond | N/A | Emerging Markets, Broad | 12.6 | 1.59 |
| RXI | iShares Globl Consumer Discretionary | Consumer Discretionaries, Broad | Global, Broad | 21.59 | 1.46 |
| TLH | iShares 10-20 Year Treasury Bond | N/A | North America, U.S. | 20.43 | 1.1 |
| RYU | Guggenheim S&P; 500 Eq Wt Utilities ETF | Utilities, Broad | North America, U.S. | 26.53 | 5.7 |
| GMF | SPDR S&P; Emerging Asia Pacific ETF | N/A | Emerging Asia Pacific, Broad | 28.9 | 5.63 |
| JXI | iShares Global Utilities | Utilities, Broad | Global, Broad | 11.75 | 5.57 |
| XLU | Utilities Select Sector SPDR ETF | Utilities, Broad | North America, U.S. | 18.6 | 5.51 |
| VNQI | Vanguard Global ex-US Real Estate ETF | Real Estate, Broad | Global ex-U.S., Broad | 9.23 | 3.99 |
| WIP | SPDR DB Intl Govt Inflation-Prot Bd ETF | N/A | Global ex-U.S., Broad | 11.18 | 2.69 |
| RXI | iShares Globl Consumer Discretionary | Consumer Discretionaries, Broad | Global, Broad | 21.59 | 1.46 |
| TLH | iShares 10-20 Year Treasury Bond | N/A | North America, U.S. | 20.43 | 1.1 |
| RYU | Guggenheim S&P; 500 Eq Wt Utilities ETF | Utilities, Broad | North America, U.S. | 26.53 | 5.7 |
| GMF | SPDR S&P; Emerging Asia Pacific ETF | N/A | Emerging Asia Pacific, Broad | 28.9 | 5.63 |
| JXI | iShares Global Utilities | Utilities, Broad | Global, Broad | 11.75 | 5.57 |
| XLU | Utilities Select Sector SPDR ETF | Utilities, Broad | North America, U.S. | 18.6 | 5.51 |
| VNQI | Vanguard Global ex-US Real Estate ETF | Real Estate, Broad | Global ex-U.S., Broad | 9.23 | 3.99 |
| WIP | SPDR DB Intl Govt Inflation-Prot Bd ETF | N/A | Global ex-U.S., Broad | 11.18 | 2.69 |
| RXI | iShares Globl Consumer Discretionary | Consumer Discretionaries, Broad | Global, Broad | 21.59 | 1.46 |
| TLH | iShares 10-20 Year Treasury Bond | N/A | North America, U.S. | 20.43 | 1.1 |
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
data file: redfilter_totalcorr_l.xlsx
Criteria selector
data file: selectorengine_corr_pn.xlsx
chart: etf selecor engine sliding corr
Intermediate data - sub sector selections
APAC Bonds Consumer Discretionary EU ETF Financials REIT Utilities
APAC ETFs
| PGJ | PowerShares Golden Dragon China ETF | 12.4 |
| MCHI | iShares MSCI China | 9.8 |
| GXC | SPDR S&P; China ETF | 8.6 |
| FNI | First Trust ISE Chindia ETF | 7.3 |
| FXI | iShares China Large-Cap | 6.5 |
| GMF | SPDR S&P; Emerging Asia Pacific ETF | 5.6 |
| HAO | Guggenheim China Small Cap ETF | 4.4 |
| PEK | Market Vectors ChinaAMC A-Share ETF | 4.1 |
Bonds
| WIP | SPDR DB Intl Govt Inflation-Prot Bd ETF | 2.7 |
| ZROZ | PIMCO 25+ Year Zero Coupon US Trs ETF | 1.9 |
| EMB | iShares JPMorgan USD Emerg Markets Bond | 1.6 |
| EDV | Vanguard Extended Duration Treasury ETF | 1.6 |
| TLH | iShares 10-20 Year Treasury Bond | 1.1 |
| TLT | iShares 20+ Year Treasury Bond | 1 |
Consumer Discretionary
| RXI | iShares Globl Consumer Discretionary | 1.5 |
| RHS | Guggenheim S&P; 500 Eq Wt Cons Stapl ETF | 1.9 |
| VDC | Vanguard Consumer Staples ETF | 1.4 |
EU ETF
| DFE | WisdomTree Europe SmallCap Dividend ETF | 4.2 |
| FEEU | Barclays ETN+ FI Enhanced Europe 50 | 1.9 |
| FIEU | Credit Suisse FI Enhanced Europe50 ETN | 1.2 |
Financials
| KIE | SPDR S&P; Insurance ETF | 2.2 |
data file: etf_financials.xlsx
Real Estate (REIT)
| VNQI | Vanguard Global ex-US Real Estate ETF | 4 |
data file: etf_realestate.xlsx
Utilities
| RYU | Guggenheim S&P; 500 Eq Wt Utilities ETF | 5.7 |
| JXI | iShares Global Utilities | 5.6 |
| XLU | Utilities Select Sector SPDR ETF | 5.5 |
| IDU | iShares US Utilities | 5.4 |
| VPU | Vanguard Utilities ETF | 5.4 |
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