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Below is a table that shows the performance of a large number of ETFs across all asset classes over the last month, quarter and year to date. Over the last month, every ETF shown was down except for 4 fixed income ETFs. Silver (SLV) was down the most of all ETFs with a decline of 28.53%, while Materials (XLB) was down more than any other sector at -16.94%. Outside of the US, Russia (RSX) actually fell the most in September with a decline of 24.25%, while Japan (EWJ) held up the best with a decline of 3.96%. You know it was a bad month when a decline of 3.96% was the BEST performance number. Even gold (GLD) was down more than 10% in September.

For the third quarter, Europe took the trophy for the most miserable performance numbers. Russia (RSX) was down the most at -34.35%, followed by Italy (EWI) at -32.54%, Germany (EWG) at -32.06%, and France (EWQ) at -31.08%. These were the only ETFs across all asset classes that fell more than 30% during the quarter.

In the US, the Nasdaq 100 ETF (QQQ) held up the best among the index ETFs in Q3 with a decline of 7.99%. The Russell 2000 (IWM) was the worst performing US index ETF in Q3 with a decline of 22.34%. The S&P Midcap 400 (IJH) and S&P Smallcap 600 (IJR) weren't far behind, though, with declines of 20.17% and 20.16% respectively. Surprisingly, the S&P 500 Growth ETF (IVW) outperformed the S&P 500 Value ETF (IVE) in the third quarter by about 500 basis points.

Four sectors here in the US fell more than 20% in the third quarter -- Energy (XLE), Financials (XLF), Materials (XLB), and Industrials (XLI). On the other hand, Utilities (XLU) actually gained in the third quarter!

In terms of commodities and currencies, the yen (FXY) and gold (GLD) both gained during the third quarter, while everything else highlighted fell. The euro (FXE) fell 7.62% during the quarter, oil (USO) and natural gas (UNG) were both down 18%, and silver (SLV) was down 14.57%.

As noted earlier, the one asset class that has done extremely well in 2011 is fixed income. And the best performing fixed income ETF has been the 20-Year+ Treasury ETF (TLT). As shown below, it was up 12.87% in September, 28.37% in the third quarter, and it's up 28.35% year to date.

click to enlarge

Source: A Disastrous Quarter