Strategy-in-a-Box ETFs: Digging Deeper

I was sufficiently pleased by the response to my strategy-in-a-box ETFs post that it seems appropriate to launch a follow-up post to address several questions raised or implied by readers.

The biggest issues seem to revolve around the history, performance and holdings of these ETFs. It is also important to understand the nature of the index and/or strategy that the ETF seeks to replicate, as well as the timing and methodology used to rebalance the ETFs. For each of the six aforementioned strategy-in-a-box ETFs, I have therefore also included links to a profile/summary page; the prospectus; a current list of holdings; the Morningstar performance data; and the StockCharts gallery chart:

• Elements S&P CTI ETN (LSC) – launched 6/10/2008; rebalanced monthly. More information: profile; prospectus; holdings; performance; chart.
• Claymore/Sabrient Insider ETF (NFO) – launched 9/21/2006; rebalanced quarterly. More information: profile; prospectus; holdings; performance; chart.
• PowerShares DWA Technical Leaders (PDP) – launched 3/1/2007; rebalanced quarterly. More information: profile; prospectus; holdings; performance; chart.
• PowerShares Value Line Industry Rotation (PYH) – launched 12/1/2006; rebalanced quarterly. More information: profile; prospectus; holdings; performance; chart.
• PowerShares Value Line Timeliness Select (PIV) – launched 12/6/2005; rebalanced quarterly. More information: profile; prospectus; holdings; performance; chart.
• Claymore/Zacks Country Rotation (CRO) – launched 7/11/2007; rebalanced semiannually. More information: profile; prospectus; holdings; performance; chart.

As noted on Sunday, all but LSC have at least two years worth of track record. Normally I would not consider this to be a long time, but given that it covers both strong bull and bear markets, I believe it is an appropriate time period from which to draw some conclusions. Perhaps more interesting is the rebalance period, where quarterly rebalancing seems to be the norm. I have spent a fair amount of time playing with various rebalancing methods and at least in my experience, I find it difficult to gain a meaningful edge with quarterly rebalancing.

Comments

[Steve in TN:]

I think only one of the stock oriented ETFs is worthy of purchase: NFO.
The others are either substantial underperformers to the broad market or in the case of the foreign oriented CRO, it has slightly worse 2 yr performance compared to EFA (Europe, Asia, Far East Index) and has double the expense ratio
PDP does outperform the SP500, but lags RSP, the equal weighted SP500 and PDP has a higher expense ratio.

Oct 20 11:50 AM

[granger:]

PDP is a great why to and an uncorrelated asset to a portfolio and gain diversification by holding & strategy

just my opinion

Oct 21 08:49 AM

[granger:]

almost forgot, thank you for the article, good stuff as always

Oct 21 08:52 AM