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Portfolio123 » List all forums » Forum: General Comments » Thread: Bringing ETFs to Portfolio123 |
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Total posts in this thread: 9 |
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mgerstein
Advanced Member
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Many of you asked at various times that ETFs be addressed in Portfolio123. We have started working on this. ETF models would have to be separate from stock models because the latter often depend so heavily corporate fundamentals and estimates data that are not relevant to ETFs. For ETFs, we would be limited to technical factors and functions. We will also be creating a comprehensive classification scheme for the ETFs. Here are some examples: http://bespokeinvest.typepad.com/BespokeETFCheatSheet1.pdf http://bespokeinvest.typepad.com/BespokeETFCheatSheetGlobal.pdf As we progress, we'd like to hear from you about what kinds of ETF strategies you now pursue or would like to pursue. Here are samples we have already received from users: 1. Simulate based on ranking of past price performance 2. Use industry momentum factors to rotate into the 5 best sector ETFs Using these examples as a starting point, feel free to share with us what you would like to be able to do with a Portfolio123 ETF offering. ---------------------------------------- [Edit 2 times, last edit by portfolio123 at Oct 2, 2008 12:50:06 AM] |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Marc, Excellent! I would like an ETF capability to have access to use all the Factors and Functions that are current available for the INDUSTRY FACTORS in Ranking Systems, Sims, Ports, and the Screener. I currently use them to help evaluate what ETFs to switch into. (As of this post, the Feature Request doesn't work) Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein ---------------------------------------- [Edit 1 times, last edit by DennyHalwes at Oct 1, 2008 4:35:01 PM] |
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z8735
Advanced Member
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Marc, this will be very useful. As a minimum - have access to price and volume for technical analysis (how would dividends be used, will the price be adjusted for distributions?). Having access also to industry factors, where available - as Denney suggests - would be great, of course, but if that will cause significant delay than I would be in favor of making price and volume data available first, for use with TA based ranking systems, then proceed with advanced capabilities. BTW voting on the feature seems to be disabled. Thanks, Z. |
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crakes
Advanced Member
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All the price/volume/float data/functionality is needed including technical analysis, comparison to benchmark, stops, etc... Most ETF trading systems seem to be rank based, or TA based. Would be nice to have both Price and Dividend Adjusted Price to choose from for calcs, as the ex-div can affect ETF trading systems. Include dividend history, info. Analyst info if available. Agree with need to know industry, and have industry benchmark for price. For ETFs not in an industry, such as country funds, or style funds, I suppose we could use "other" unless you can purchase related indices and use them as the industry bench, and create a name for the indice. Sometimes fundamentals are available for ETFs - these should be available as well. Could be problematic in that fundamentals not available for all. Should include ETFs for commodites, bonds, other asset classes, not just equities. For bond funds need to know underlying portfolio yield (if diff from dividend yield) if available. This would allow tracking the quality spread btween junk and govt and corporates. Would be nice to have NAV to as sometimes mispricing is significant , over 100 bps, and can a) cause slippage and b) be used to generate a signal. Need to ETF as a category/universe so that not commingled with stocks. And as long as ETFs are in the pot, add Closed Ends, and mark them as their own universe, providing NAV. Would lead to some interesting price/nav systems. And ETF/CE trades to go long/short. Include ETNs as well. And other ETxx products as they become available. Agree with earlier post to get what you can out the door and then iterate through the rest. Thx, Carl ---------------------------------------- [Edit 2 times, last edit by crakes at Oct 2, 2008 7:48:02 AM] |
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Tomyani
Advanced Member
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Hi, I am one of the members who has requested this. At a minimum, need to be able to sort by: 1. Trailing return for specified time period 2. Percent above or below SMA of specified period (i.e. 200 day SMA) 3. Price Trend analysis on ETF 4. Volume of ETF, don't want to be locked into Small ETF or ETF that is about to go out of business 5. Underlying Index tracked (some type of MaXCorrelation function). 6. Price above or below net asset value 7. Current Price versus 5 year trailing average price (to try to get at fundamental price analysis) Tom ---------------------------------------- 
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strader1
Advanced Member
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Hi All, My Req. are: Prices (OHLC) and volume, and I need all the TA functions. I'd like to nominate this as a Min. Req. set to get out the door ASAP. Thanx for listening. Bill |
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BJS
Advanced Member
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Just having the ETFs in the database so we can track them in portfolios would be a good first step. On top of that, I'd like to be able to use all technical and price functions. Thanks! |
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grokkalot
Advanced Member
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I'd like an option to automatically associate individual stocks with an ETF based on a choice of formulas (e.g. max rank order correlation of daily returns over the trailing 200 days), and then have access to the associated ETF in buy/sell rules - perhaps it could be called something like SIMETF and be accessible with a set of functions similar to the way BENCH is used now in buy/sell rules. |
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bl82
Advanced Member UNITED STATES Joined: Apr 18, 2004 Posts: 97 Status: Offline |
Great to hear ETFs are coming into the fold, Marc. I'd like to see a lot of TA-related tools that can be applied to price and also to volume. I trade a lot off of measures of trend, momentum, volume changes, and volatility data. For volatility, various measures of historical volatility are important, but what I would absolutely love to see here for ETFs and stocks, would be some implied volatility data. ---------------------------------------- http://vixandmore.blogspot.com/ "Your one stop VIX-centric view of the universe..." |
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Re: Bringing ETFs to Portfolio123
