WE HAVE NEW BENCHMARKS!

Folks, take a look at the benchmarks menu in settings. We’ve got lots of new ones.

The ones we added are all ETFs, which means prices are adjusted for dividends so they are all apples-to-apples with the performance of you models. We added major sectors and styles.

This gives you much better visibility into the effectiveness of you model design. For example, a value model may look all well and good against the S&P 500, but before you put up live money, you can double check to make sure you’re also outperforming what you could get with a one-shot trade using a major value ETF.

We’re not 100% of the way there yet. Your models are typically equally weighted whole most (but not all) ETFs are cap weighted. But as you know, our efforts in formula weighting are advanced enough to have gone into open beta. So we’re still working to progress one “half life” at a time closer to ideal.

Thank you very much P123!

The only thing I would add for ETF model developers is either:

Blended benchmarks between SPY/BND (80% equity, 60% equity, 40% etc.) or perhaps extend the IShares risk-based ETFs which include foreign exposure too:

AOA = 82% equity
AOR = 65% equity
AOM = 45% equity

I saw that and it is amazing, thanks a lot for the good work!

Regarding International Equity we now have:

All Developed International Stocks - VEA
FTSE Developed Index Ex USA

Could you also add:
All Country International Stocks - ACWX
MSCI All Country World Index Ex USA

It is a bit broader. Would you need the daily Total Return data? I have it at least since 1999 and can send to you for extension.

Thanks!

I second Miro’s blended benchmark request. (But in looking around, I don’t see an obvious one to use).

Overall, thank you P123!

Thanks, great job.
I am third on the list for blended benchmarks. In fact I would just need a 60/40 one, but more would be appreciated.
Another idea is to look if it is possible to get the main (“global”) HFRX indices series for free, but honestly I don’t need them.

Custom blended benchmarks would also be cool. Or custom benchmarks that you can create and use, much like universes.

Thanks. Yes blended benchmarks please! 60/40 is essential.

We’ve identified an issue with the handling of splits and dividends for a hedge position.
Attached is a list with the ETFs affected by this issue with their most recent split and/or dividend.

UPDATE: Disregard. It seems to only affect XIC:CN. Until then, XIC:CN shouldn’t be used as a hedge. We’re going to extend QQQ prices as well.

Great additions! I’d also suggest including the following to the style indexes:

QUAL
VLUE
SIZE
LRGF

So now that this is done, they can focus on getting international stocks in the database?

Changing the benchmark on a model portfolio changes the results of the recommendations.

Do any of your ranking factors or buy and sell rules refer to the benchmark? E.g. BenchClose?

yep i fixed it