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Portfolio123 » List all forums » Forum: Exchange Traded Funds (ETF) discussions » Thread: Factors/rules that aggregate performance across ETF categories? |
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kbellare
Advanced Member
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How do i write rules that help determine things like which ETF Asset Class or ETF Sector has performed best in the last 6 months? (This is analogous to Industry/Sector factors for stocks) Ideally, would like to use such rules in ranking systems to determine which ETF categories are attractive to invest in at any given time. (Can't represent these in static Universes because the factors/rules would determine this and this changes over time, in a simulation) thanks Kiran |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1530 Status: Offline |
Kiran, That’s a good idea. It would be good to be able to write rules like: Sector(0) / Sector(30) > 1.0 Pr4W%ChgSector > 5 (+ the other timeframes) Pr4WRel%ChgSector > 1 (+ the other timeframes) That would work for stocks and ETFs All it would take is creating the Sectors price histories from similar indices histories. 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 |
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kbellare
Advanced Member
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Thanks Denny, I don't believe the Sector factors can be applied to filter non-domestic stock ETFs (commodities, foreign asset classes, currency, bond ETFs), can they? The advantage of ETF portfolios/sims (based on simple technical strategies like pullback and momentum) is it's agnostic to strong bear markets as the non-stock asset classes perform well in downturns. However, need to iderntify asset classes that perform in each cycle, hence need to average factors across asset classes [ commodities, bonds, long-stocks, short-stocks, currency, foreign stocks by country] (Also, the Sector() factor seems to return the sector of the stock, not the average performance - SecAvg is the one) thanks Kiran Challenge is identifying these ETF asset classes in such markets strong bear markets - |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1530 Status: Offline |
Kiran, What I meant was that since all of the ETFs are based on an index (some of them are quite contrived) there is an index history for all of the sectors, styles, commodities, foreign asset classes, currency, and bonds. All we need is to add these to the data and then we can use the functions I mentioned above (If Marco adds them to the available functions) 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 |
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Re: Factors/rules that aggregate performance across ETF categories?
