Moment and Omega Rankings of Index ETFs

 |  Includes: DIA, IJH, IJR, IWB, IWM, IWV, SPY
by: Michael Bommarito

I've taken some of the most commonly referenced indexes and calculated a general comparison of their respective tracking ETFs' behavior over the past 1,600 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.

• 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

click to enlarge

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.