What Was Range of Available ETF Returns in 2011?

Jan 09, 2012 in Total Return

In this post, we have taken the largest 150 exchange trade products (assets) and grouped the returns into an overall distribution to summarize what was a range of generally available returns in 2011 (all are total return).   We wanted to see how we could summarize the year using a reasonably wide cross-section of widely-owned ETFs.    There are many different kinds of ETFs in the list – from bonds to stocks to MLPs, REITs, Preferreds, small cap, mid cap, country funds, regional funds, developed markets, emerging markets, cash, muni bonds, high-yield, mortgage bonds,  etc etc...  We thought this was an interesting way to do it since these are all liquid securities available to anyone.   While there are a number of useful ETFs that fall below the top 150 – this is a manageable high-level look: 

The median for the top 150 in 2011 was….  0.0%.   Yes,  Zero Point Zero.    So the distribution is easy enough to summarize, it is centered around zero where one-half were up and one-half were down.  
On the one hand, if you weren’t focused on a small set of niche ETFs -- longer-duration treasuries and/or U.S. utility stocks, there wasn’t a lot of opportunity to do better than the +10 to +15% range.   On the other hand, many of the more mainstream investor themes dropped more than -15% (emerging markets, gold miners, US financials, developed market international equities).

For a point of comparison, let's look at the 2010 distribution using the same scale:  

Note that for 2010, the median of this same group of 150 ETFs had a total return of +15.1% (the median ETF in 2010 was actually the S&P 500).   So the entire distribution shifts up very significantly --- note that many ETFs rose in excess of +20% in 2010 and only UNG lost more than -5%  (UNG was also the worst of the lot in 2011).   So this was a very positive year and there were plenty of places to achieve a fairly robust return without any real areas to lose money, everything essentailly went up with many rising a lot.

2011 was a year mostly to just stay out of trouble.    It wasn't an outright bad year, there just weren't that many places to really drive an entire portfolio strongly up.  While we all want to generate high absolute returns --- the fact is that we live in a world where you need to put it all in the context of what was actually available.    

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Comments (4) -

Jan 09, 2012 09:31 #

Nice observation. I have not seen any posts like this. It really helps.

Keep up the good work.


Sumughan Aravindan United States

Jan 12, 2012 19:42 #

And yet, momentum portfolios had a good year. The basic 5-asset class momentum portfolio  (DBC, ICF, IEF, SPY, EFA) where one stayed invested in the top ranked fund each month using the ETF Replay defaults to do the ranking, turned in at 25.4%, following similar returns over the prior five years. Or how about investing in the top 2 ETFs out of all the 48 Vanguard ETFs each month? This would have returned a nice 18.3%, also following similar returns over the previous five years.

Jim United States

Jan 14, 2012 08:37 #

My model returned 40%+ with no leverage and no shorts!

widespread panic United States

Jan 14, 2012 10:27 #

If you reacted poorly to the Tsunami, the debt downgrade, the gold climax etc...  or if you thought bonds don't go up when absolute yields are low -- or if you shorted after a sell-off,  you probably did poorly.   if you stuck to a well thought-out investment process, you likely did well.    our strategies on the allocations board this week hit repeatedly 'new equity highs' this week.     it's never easy at the time --- but if you stick to a well thought-out plan, over time it will work-out.

Chris United States

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