Snapshot of Current Environment

Jan 19, 2012

Bill Luby at did a post the other day showing how there hasn't been a lot of difference between the Staples ETF (XLP) -- which has been around since mid-1990's --- and the S&P Low Volatility ETF -- which was the top asset gatherer of all the new ETFs launched in 2011.

The chart below shows the industry ETF which has best tracked the S&P High-Beta ETF.    



The Low-Volatility (SPLV) and High-Beta (SPHB) ETFs were launched in tandem by PowerShares and ETF investors now have over $1 billion in SPLV, over 30x the assets of SPHB.   Now the interesting twist, the Year-To-Date 2012 performance is a significant recovery from the large underperformance of high-beta during the second half of 2011:




This is somewhat reminiscent of the growth vs value performance divergence that crops up from time to time.   We don't think growth vs value or low-vol vs high-beta are particularly interesting strategies  -- mostly because we believe in testing and quantitative research --- and we don't know of methods that lead to good strategies with these types of things.    The great thing about the markets is that there are lots of ways to skin a cat and you only need to find your method. If you don't test your ideas, then of course it will take a lot longer to discover what works for you. On a somewhat related note to finding a technique that works for you, the equity value of our allocations board portfolios have all hit repeated new all-time highs this month.



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Comments (2) -

Jan 24, 2012 16:16 #

You wrote, "...the equity value of our allocations board portfolios have all hit repeated new all-time highs this month."  Where could I find those?  Thanks.

Stephen Harlin United States

Jan 24, 2012 19:18 #

Hi Stephen,

Those are easily found within the member section of the site.

Email me if you would like to see something non-member related as we participate on a few public boards that you would be able to see  -- the track records are similar and those too have hit repeated new equity highs this month, including another one today.

Chris United States

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