Two exchange-traded funds that track Sabrient quantitative indexes passed their 3-year anniversaries in late 2009 and received prestigious 4-STAR Morningstar ratings.
The Claymore/Sabrient Insider ETF (NYSE Arca: NFO) and the Claymore/Sabrient Defensive Equity ETF (NYSE Arca: DEF) track the Sabrient Insider Sentiment Index (SBRIN) and Sabrient Defensive Equity Index (SBRDE), respectively.
Here is a performance snapshot of each:
The Sabrient Insider Sentiment Index (“Follow the Insiders”) identifies stocks that reflect positive sentiment among those closest to the company’s financials and business prospects, in particular senior management, directors, large institutional holders, and the Wall Street research analysts who follow the company. SBRIN tracks the number and magnitude of insider open market purchases (from SEC Form 4 filings) and Wall Street analyst upward revisions to arrive at a basket of 100 top-ranked stocks across all market caps, equally weighted and reanalyzed/rebalanced quarterly. It is categorized as Mid Cap Blend.
The Sabrient Defensive Equity Index (“Downside Protection, Upside Capture”) identifies stocks that recently have been treated as something of a relative safe haven among investors during key periods of general market weakness, according to a proprietary quantitative algorithm. SBRDE selects from the 1,000 largest U.S.-traded stocks by market cap. It also considers a firm’s accounting practices, free cash flow, and dividend yield in the final scoring to arrive at a basket of 100 top-ranked stocks, equally weighted and reanalyzed/rebalanced quarterly. It is categorized as Large Cap Value.
Sabrient’s quant models and specialty ranks have proven to be effective for indexing, portfolio weighting, pairs trades, hedging, or absolute-return long/short portfolio strategies, and they’ve proven quite useful for creating alpha-oriented indexes for ETFs, as well.