New Benchmark

Announcements
1

A new benchmark has been added to settings. It’s the Guggenheim Equal Weight S&P 500 ETF (RSP). We’ve had an S&P Equal wt. benchmark available for a while, but the new one is better because like your models, it’s performance includes the impact of dividends. It can therefore provide a better indicator of the effectiveness of a strategy than SPY, which is market-cap weighted and therefore inflated or deflated (depending on what’s happening in the markets) by the large-cap effect (or, rather, the absence of the small-cap effect).

2

Nice addition. The inception date for RSP looks like 4/24/03. How should be regard the benchmark generated for earlier dates?

Thanks,
Walter

3

Prior to the inception date we just extended it based on the S&P 500 Eq Weight index. It does not, therefore, include dividends.

My advice would be twofold: Start your testing on 4/24/03 when using RSP. (Or at least be aware of the limitation.)

And use the heck out of RSP for anything and (nearly) everything thereafter. It is not only a for-real alternate investment, it’s the most pertinent benchmark for Portfolio123’s methodology.

4

Paul - is there an issue displaying the most recent day with this benchmark? In particular, for ports and SA Models. I thought there was a problem establishing dividends paid or something like that.

Steve

5

I don’t see one. Can you post a link to the portfolio?

6

I think Steve is referring to the current restrictions on Russell 2K/3K w/ dividends as benchmarks. The system will reject such a setup for SA models.

Walter

7

The Russell X000 w/div error message states that it’s because of the update schedule. I just tried, and the RSP benchmark doesn’t throw an error. (Nor would I really expect it to.)

8

It was a long time ago, and I can’t remember if it was with the ETF or index, but the SA model would always be one day behind what it should be.
Steve

9

I’m happy to inform you that RSP benchmark does include dividends: it was extended using S&P500 Equal Weighted Total Return Index, with daily data since 31/12/1994

http://us.spindices.com/indices/equity/sp-500-equal-weighted

10

Link points to S&P500 Equal Weighted price return index. So like Paul said, the extension doesn’t not include dividends.

Walter

11

This is great. How about adding EWRS, the Guggenheim Russell 2000 Equal Weight ETF, too? Or some equivalent benchmark? Or best of all, allow us to create custom benchmarks so that we get the best possible risk and correlation stats?

12

Unfortunately on the S&P website there is no comprehensive page about the TR index, so I posted the standard index page to give you an idea on where you can find factsheet and methodology.
Our RSP benchmark includes dividends.

We are working to give you a complete set of equal weighted benchmarks, using different universes based on indices (like russel, s&p, etc…) and factors (value, mom, etc… ).
For customizability, you’ll have to wait a bit longer.

13

In simulations/General/Benchmark menu, I can’t find the Guggenheim Equal Weight S&P 500 ETF (RSP). ?

Matthias

14

I think it is just called SP500 Eq Weight. Not RSP.

15

It was labeled something like gug … but it’s missing now!

Walter

16

Thanks for notifying us. It’s back now.

17

Aaron, what is the difference between the Gug and the SP500 Eq Weight benchmarks? Gug ETF includes dividends and the SP500 Eq Weight does not?

18

Correct.

19

thanks

20

Can you please add RSP as an hedge option?