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Index ETF Comparison Over the Past 6 Years: Moment and Omega Rankings

Posted September 24th, 2007 by Michael J Bomma...

    I've taken some of the most commonly referenced indexes and calculated a general comparison of their respective tracking ETFs' behavior over the past 1600 sessions.  All numbers are calculated on daily adjusted log-returns.  Once these first four moments and the Omega measure are calculated, I rank them as optimally desired - increasing mean, decreasing standard deviation, increasing skewness, decreasing kurtosis, and increasing Omega ratio.  Finally, the indexes are sorted by their average rank as shown in the last column.

  • DIA: DIAMONDS Dow 30
  • IJH: iShares S&P MidCap 400 Index Fund
  • IJR: iShares S&P SmallCap 600 Index Fund
  • IWB: iShares Russell 1000
  • IWM: iShares Russell 2000
  • IWV: iShares Russell 3000
  • SPY: SPDR S&P 500

Index Ranking

Symbol Mean Mean Rank Std Std Rank Skew Skew Rank Kurtosis Kurtosis Rank Omega-0 Omega Rank Average Rank
IJR 0.000436 1 0.011801 6 -0.103411 5 3.658493 2 0.09909 1 3
IJH 0.00037 2 0.010882 5 -0.074565 4 4.353437 3 0.093879 2 3.2
IWV 0.000208 5 0.01019 2 0.04291 2 5.533655 4 0.058005 5 3.6
IWM 0.000363 3 0.012586 7 -0.138926 7 3.621339 1 0.076342 3 4.2
DIA 0.000224 4 0.010107 1 -0.119824 6 8.476901 7 0.065157 4 4.4
IWB 0.000198 6 0.010206 3 0.139539 1 5.970214 6 0.055567 6 4.4
SPY 0.000182 7 0.010301 4 -0.013627 3 5.963255 5 0.050558 7 5.2

    The results are somewhat surprising and likely due to the equal-weighting of rankings.  Other than the Dow 30 Diamonds, the iShares ETFs seem to take the cake as a whole, with the S&P 600, S&P 400, and Russell 3000 taking the top three spots.