Measuring the achievable long-only excess return of styles and factors using baskets ETFs.
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Newfound Research makes no guarantee as to the accuracy, timeliness, completeness, or fitness for any particular purpose of or for any index values, either historical or back-tested. Nothing contained herein should be construed as investment advice, either on behalf of a particular security or an overall investment strategy. The model performance is not based on live results produced by an investor’s investment and trading, and fees, expenses, transaction costs, commissions, penalties or taxes have not been netted from the gross performance results except as is otherwise described. The performance results include reinvestment of dividends, capital gains and other earnings.
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Year-to-Date returns are computed by assuming an equal-weight allocation to representative long-only ETFs for each style. Returns are net of underlying ETF expense ratios. Returns are calculated in excess of the SPDR S&P 500 ETF (“SPY”).
The ETFs used for each style are (in alphabetical order):
- Value: FVAL, IWD, JVAL, OVLU, QVAL, RPV, VLU, VLUE
- Size: IJR, IWM, OSIZ
- Momentum: FDMO, JMOM, MMTM, MTUM, OMOM, PDP, QMOM, SPMO
- Low Volatility: FDLO, JMIN, LGLV, OVOL, SPLV, SPMV, USLB, USMV
- Quality; FQAL, JQUA, OQAL, QUAL, SPHQ
- Yield: DVY, FDVV, JDIV, OYLD, SYLD, VYM
- Growth: CACG, IWF, QGRO, RPG, SCHG, SPGP, SPYG
- Trend: BEMO, FVC, LFEQ, PTLC
Newfound may hold positions in any of the above securities.