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Looking for Consensus and Quality: An Open Calculation of Monthly ETF/CEF Performance

Posted May 13th, 2007 by Michael J Bomma...

    I've read a number of people either citing or themselves calculating monthly ETF sector returns in the last few days.  Not only do I not always agree with them, but moreover, no one seems to agree with anyone else.  Though the IBD article is for the month of April and not the last 4 weeks of 5 sessions, my rankings still don't agree when I adjust the dates - that means that the actual order of performance is different, not just a few decimal places difference in return.

    So here's what I've done.  First, I've published a page with the ETFs/CEFs that comprise each of my categories.  I've tried to get a good range of ETFs/CEFs from competing providers for each of these groups, and in almost all cases possible, completely minimized any overlap between categories.  If you have any corrections or suggestions for this list, please do comment either here or on that page.

    Next, I will state explicitly what return I'm calculating - classical return (not log) over the past 20 trading sessions on adjusted close (CRSP), which gives from Friday, April 13th to Friday, May 11th for numbers I post between last Friday and tomorrow.  My results are in the following table.

Symbol 1D Return 1D Category Return STD Week Return Week Return Category STD Month Return Month Return Category STD Category Corr To SPY
Russia 1.15% 0.67% -1.07% 1.22% -6.48% 2.69% 87.51%
Short -1.47% 0.98% -0.09% 1.24% -5.13% 3.63% -81.71%
Retail -0.01% 0.31% -0.49% 0.30% -1.14% 2.13% 51.53%
Commodities & Resources 1.15% 0.60% -1.04% 1.48% -0.72% 3.78% 61.81%
Europe 1.41% 0.91% -1.56% 1.61% -0.36% 4.23% 82.00%
Japan 1.20% 0.41% 0.22% 0.38% -0.16% 0.48% 83.79%
Call/Write -0.45% 0.70% 0.05% 0.66% 0.61% 1.60% -11.14%
Currency 0.18% 0.29% 0.25% 1.09% 0.62% 1.01% 32.69%
Convertible 0.16% 0.30% -0.05% 0.70% 0.96% 1.23% 21.21%
Consumer Goods and Services 0.15% 0.85% -0.80% 0.68% 0.99% 0.83% 67.98%
Real Estate 0.59% 0.69% 0.22% 1.00% 1.36% 3.48% 32.68%
Biotech 1.11% 0.60% -1.97% 1.50% 1.54% 1.83% 82.76%
Small Cap 0.94% 0.68% -0.19% 0.66% 1.69% 1.38% 76.19%
Healthcare 0.56% 0.67% -0.66% 0.61% 2.08% 1.23% 68.68%
Utilities 0.68% 0.57% 0.15% 0.91% 2.14% 2.75% 58.21%
Transports 0.24% 0.00% -0.29% 0.00% 2.46% 0.00% 55.37%
MSCI 2.01% 0.69% 0.07% 1.17% 2.48% 1.72% 80.67%
Emerging Markets 1.13% 1.23% 0.41% 1.34% 2.59% 2.45% 39.35%
Asia 1.61% 0.55% 0.81% 0.73% 2.74% 3.09% 63.76%
Energy 1.40% 0.83% 0.39% 1.10% 2.85% 2.95% 64.65%
Dividend 0.93% 0.61% 0.19% 0.56% 2.90% 0.74% 77.64%
Large Cap 0.79% 0.46% 0.02% 0.47% 3.28% 1.13% 81.06%
Mid Cap 0.69% 0.47% 0.23% 0.44% 3.49% 1.28% 69.10%
China 4.69% 1.54% 2.61% 2.09% 3.58% 3.12% 61.96%
Infrastructure 1.07% 0.28% 0.76% 1.08% 4.22% 2.62% 48.97%
Latin America 1.76% 0.17% 0.83% 0.46% 4.52% 1.58% 63.17%