Multi-Asset ETF Portfolio 100

May 02, 2013 in ETF Multi-Asset 100

Updating the Multi-Asset ETF 100 Portfolio performance which serves as an index of real money ETF investor holdings. The portfolio represents well over $1 trillion in real-money assets. This is a benchmark that makes as few assumptions as possible and can serve as something of a proxy for a 'market portfolio' --- we do not compare this to a single asset-class benchmark like the S&P 500. The S&P 500 is just US large cap stocks -- US stocks make up a material percentage of this index --- but the ETF portfolio is multi-asset and the S&P 500 is not.

This month saw a sharp selloff and recovery. Gold, Silver and Gold Mining ETFs have been hit hard this year. Excluding broader Materials or commodity ETFs, the Multi-Asset 100 began with roughly 9.9% weight (the sum of GLD, IAU, GDX, GDXJ as % of top 100). This is a large weighting and perhaps was warning in and of itself. The group has shown extremely poor relative strength over the past 18+ months and was quite easy to avoid.

ETF investors have made +$59.2 billion in the first 4 months of the year vs start value, much of that coming from US equities.


The index became dramatically more volatile in April. Nevertheless, just as in March the index closed at its high for the year on the last day of the month.


As can be seen in the second chart, the primary HEDGE FUND index has lagged, despite the Gold rout hitting the ETF portfolio hard. Our view is that the hedge fund index is most likely to outperform only when US equities go down.  The 27 basis point (0.27%) expense ratio of the ETF index has a huge fee advantage over hedge fund compensation.  

As a sidenote, on the worst day of the gold drop (April 15th), the Hedge Fund index had its worst day in 18 months, showing that there was some decent gold exposure even in the massively diversified global HF index.

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