Quality Data for Investing Strategies
We’re constantly adding and removing new tickers to the database we get user requests, but once a quarter we do a total refresh of the stocks database and families.
We’re now including many large cap international companies from the OTC markets and all stocks listed on the NASDAQ and NYSE.
For FT Cloud users, use the family button on the Spreadsheet tab to filter with the new families.
FT4web users will have new “all” families shortly. Most OTC tickers are included in Stocks 2 database.
If your printing charts, doing a presentation, or just want to mix things up, changing the color of the chart tickers is easy.
We’re highlighting smart beta and actively managed ETFs again this week. While still a small portion of the overall market (see the attached article), increased market volatility and rising interest rates are bringing investor interest back to active.
For now, mostly in bond products, but re: the attached article, international and emerging market products are picking up, with $239 billion in fund flows last year vs $692 billion flowing into passively managed funds
Here’s how you would use FT Cloud to investigate the investment prospects of the active high yield funds highlighted in the article.
https://www.cnbc.com/2018/03/19/seeking-downside-protection-investors-check-actively-managed-etfs.html
We get lots of questions about indexes, specifically what are the appropriate indexes to use on the spreadsheet benchmark field. The short answer is… for US Equities use an US equity benchmark (SP-DA – S&P 500 div adjusted) and bonds use a bond benchmark (AGG-X – Barclays Aggregate Bond Ix) .
But, if you’re doing a more specific analysis, use a more specific index. For example:
High Yield: MLHY- Merrill Lynch US HY Master II H0A0 Index
Financial Equities: IYF-X ETFINDEX Financial Index
Preferreds: PFF-X ETFINDEX S&P US Preferred Stock Ix
Semiconductors: SCY-X ETFINDEX Semiconductor Index
BioTech – DJ-BT Indexfam DJ US Biotechnology Index
Global STocks – DJW-X Indexfam DJ Global Index
China – DJ-CB Indexfam DJ China Broad Market Index
FastTrack’s got an index family that lists all indexes in the database. Today we have over 400 and are adding more as they appear. Also, in FT Cloud you can click the “search” link at the top of every page to open the search window. There are you can ticker and key word search all indexes (as well as the rest of the database.)
While we’re on the topic of indexes, here’s an interesting article on the makeup of the popular AGG Aggregate bond index. Below is a great quote from the article. Like many traditional indexes, AGG is a market cap weighted index. While we all can understand this in equities (larger the value of combined equity the larger the weighting). For bonds though, it’s the larger the total outstanding debt, the larger the weighting. So… more debt (and sometimes leverage), the higher the weighting. Its not quite the same math.
“If you think about the construction of traditional indices, a market-cap weighting structure. It makes more sense in equities. On the bond side, it gets a lot harder. A market-cap weighting system where you give the highest weight to the most indebted issuers is not ideal,” ….
https://www.marketwatch.com/story/are-investors-getting-more-risk-with-passive-bond-funds-than-they-bargained-for-bis-asks-2018-03-14
Smart beta is getting a lot of attention from the financial press and new products are coming to market daily. FastTrack is adding 20-30 a month. A great quote from the linked article speaks to the scale: “Investors handed $184 billion to smart beta ETFs from 2015 to 2017 while pulling $308 billion from equity mutual funds…”
What is smart beta? Essentially, a fund/ETF that tracks an alternative index vs a traditional market cap weighted index. The alternative index emphasizes capturing investment factors or market inefficiencies in a rules-based and transparent way. Some more popular alternative index factors are equal weight, momentum, volatility, P/E, and combinations of them all.
Typically these indexes are re-calculated monthly or quarterly, with the security investments doing the same.
FastTracker’s have been there from the beginning, one of the first products launched was SPLV – powershares low volatility S&P 500 ETF launched in 2011. (If you’re a long time FastTracker, this should sound pretty familiar. Think… Sharpe ratio momentum model.)
What makes the Vanguard funds different and worth mentioning? Essentially its the trading frequency. Instead of re-balancing or re-allocating once a quarter, these securities take a more active approach and trade holding daily if necessary. This way as factors change, the holdings update immediately vs waiting for the end of the quarter. Per Vanguard, this should give a more effective factor exposure.
We’ve added the new securities to our database and I’m interested in a comparative analysis vs what’s on the market now. A great exercise for FT Cloud+ users is running a daily rebalanced portfolio vs a monthly or even a yearly rebalance momentum model. You’ll see trading more frequently rarely adds to return. I’m interested in seeing if these deliver something different.
VFVA – U.S. Value Factor ETF
VFLQ – U.S. Liquidity Factor ETF
VFMO – U.S. Momentum Factor ETF
VFQY – U.S. Quality Factor ETF
VFMF – U.S. Multifactor ETF
VFMV – U.S. Minimum Volatility ETF
VFMFX – U.S. Multifactor Fund Admiral
VMNVX – Vanguard Global Min Volatility Admr
https://www.bloomberg.com/gadfly/articles/2018-03-09/vanguard-crushed-active-investing-now-it-could-save-it