ETFreplay.com is a research, analysis and backtesting website for Exchange Traded
Funds.

ETFreplay’s tools are designed to allow investors to find, test and pursue a robust
and repeatable process for gaining exposure to up-trends while avoiding large drawdowns.

An investment process is a set of well-defined steps undertaken in a consistent
manner to create and maintain an appropriate portfolio designed to meet your investment
goals. A good process balances the need for a level of return with the risk of loss
(drawdowns).

ETFreplay covers more than 98% of all U.S. ETP (Exchange Traded Product) assets
and we routinely add new ETFs.

However, before adding new funds we require that they have approximately $100 million
in assets or at least sufficient asset momentum that $100 million will be reached
in the near future.

This requirement is necessary because if an ETF doesn't trade volume then the closing
price will not accurately reflect the underlying index, which in turn will compromise
any backtest results.

See:

Tracking Error Nuances

Latest ETFs added to ETFreplay

We generally assume that investors have their own ideas on which asset classes,
sectors, countries, regions or industries they want to monitor.

However, if you are agnostic about the universe of ETFs, portfolios with a good
broad mix of asset classes, such as the well known Permanent Portfolio, Ivy Portfolio or our own Sample portfolio
provide a good starting point.

Once this defined universe is in place, the tools on ETFreplay can be used to find,
test and pursue a robust and repeatable process for gaining exposure to up-trends
while avoiding large drawdowns.

Yes, all returns and calculations (including moving averages) on ETFreplay are Total
Return, which accounts for the receipt and reinvestment of dividends and distributions.

See Total Returns vs. Price
Return

We only use trading days and start with the convention of 252 trading days per year,
therefore:

6-months is 252/2 = 126 trading days

3-months is 252/4 = 63 trading days etc.

This means that when, for instance, 3-month returns are chosen on the Screener,
the calculation will always count back 63 trading days, making comparisons over
time consistent.

The ETF Screener is a statistical model loosely based
on the Sharpe Ratio, which measures reward per unit of risk. The Screener takes
this concept and decomposes it into three separate factors:

- Higher timeframe total return (ReturnA)
- Lower timeframe total return (ReturnB)
- Volatility

From these three factors, and the weights you assign to them, the overall rank is
calculated.

Both the lookback periods and the weight of each factor can be changed. For example,
if you want to rank the ETFs in a list by only 6-month total return, then:

- Set ReturnA to '6-Months' and set its weight to 100%
- Set the weights of ReturnB and Volatility to zero
- Click 'Run Model'

The full process employed by the Screener to rank ETFs is explained in How The ETF Screener Works (*subscribers only*)

There is an entire field of study devoted to behavioral finance. All people suffer from various biases
that can range from overconfidence to fear. Adding a quantitative component to your
overall process helps by offering an objective view. This does not mean you MUST
follow your model --- backtesting and models in general should be used as key inputs
to your overall research process. Good judgment will always be a part of balancing
reward and risk.

Volatility is the annualized standard deviation of daily returns.

i.e. 20-day Volatility is the standard deviation of the past 20 1-day returns multiplied
by sqrt(252) (annualized).

Volatility is a measure of risk. Risk is uncertainty and the larger the range of
possible outcomes, the higher the volatility will be and therefore the greater the
risk. This tends to be borne out when it comes to drawdowns, with higher volatility
securities typically experiencing larger drawdowns than lower volatility ETFs.

ETFreplay has several tools to help investors visualize risk, including:

- Monthly Returns

*View what sort of monthly return is to be expected for the ETFs in your portfolio
and what constitutes an outlier*
- Down Day Stats

*See how the ETFs in your portfolio have performed when the broader market has had
a bad day*
- Return vs. Volatility

*Evaluate the risk / return performance of the ETFs in your portfolios over any time
period *
- ETF Volatility

*Compare the rolling realized volatility of up to five ETFs*

See also Volatility
blog posts