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ETF Signals

Select Region :

Global

Country Ticker Switch Average Volatility  Sharpe Max Min Cumulative    Drawdown    Profit/Loss  
  IEV ON 0.06 0.18 0.33 0.02 -0.04 0.01 0.09 0.67
  EZU ON 0.11 0.2 0.56 0.03 -0.04 0.01 0.09 0.67
  EFA ON 0.08 0.18 0.43 0.02 -0.04 0.01 0.09 0.72
  EPP ON 0.08 0.16 0.48 0.02 -0.03 0.01 0.09 0.58
  ILF ON 0.94 0.27 3.46 0.05 -0.04 0.15 0.1 0.77
  EEM ON 0.34 0.24 1.41 0.03 -0.04 0.05 0.12 0.79
  VGK ON 0.09 0.19 0.49 0.02 -0.04 0.01 0.09 0.53
  VWO ON 0.35 0.22 1.63 0.02 -0.03 0.05 0.12 0.79
  VPL ON 0.09 0.18 0.51 0.02 -0.04 0.01 0.1 0.59
  VEU ON 0.13 0.18 0.69 0.02 -0.04 0.02 0.1 0.55
  VEA ON 0.07 0.18 0.37 0.02 -0.04 0.01 0.09 0.64
  BKF ON 0.45 0.24 1.88 0.03 -0.03 0.07 0.13 0.9
  AAXJ ON 0.2 0.23 0.9 0.03 -0.03 0.03 0.12 0.77
  EDZ ON -1.01 0.71 -1.42 0.11 -0.09 -0.18 0.29 1.26

What is quantf research ETF Signals all about?

The quantf research ETF Signals is a product of quantf research website. It provides a quick and informative view of the markets around the world. The map is divided in four regions (North America, South America, Europe, Asia, Australia-Africa-Eurasia) with extra groups of interest being considered (Global Region, FOREX, US Sectors, Bonds, Commodities). Each region/group consists of the most representative and liquid (high volume) ETFs. Regions/groups with green signal suggest a positive development in the underlying market whereas regions/groups with red signal indicate a negative one. This product of the quantf research is the new version of the Global View, a product of the previous version of the quantf website.

Why are quantf research ETF Signals important?

The main purpose of the quantf research ETF Signals product is to offer the interested reader easy monitoring of the global markets (including FOREX, Commodities and Bonds markets). A region/group with a green signal indicates that the underlying model for that region/group market is (on average) positive and the market is expected to remain stable. Similarly, a region/group with a red signal indicates that the underlying model for the market is critical and the market is (on average) expected to be volatile. ETFs could still be monitored individually; however, these signals are more useful for monitoring the location of investment opportunities in the global heat map rather than individual, signal-based trading. It is therefore recommended that you use the visuals provided by the tables and the heat map to find the area which is more probable to provide viable investment opportunities. 

How do I “read” (interpret) the quantf research ETF Signals?

The quantf research ETF Signals are indicators of local volatility and persistence for the returns of the respective ETF. A region/group that consists of ETFs with lots of green signals indicates that the corresponding ETFs are evolving in a smooth way and that the market (on average) is expected to remain stable in the short-run. A region/group that consists of ETFs with lots of red signals indicates increased volatility and decreased persistence (higher fluctuations) and that the market (on average) is expected to be trendless in the short-run. 

What does a quantf research ETF Signal mean?

A green signal suggests that the “switch” is ON for the respective ETF and its returns exhibited positive performance over recent periods and it is, therefore, more suitable for trading. Note that an ON signal does not give an indication about the direction of a local trend, whether it’s positive or negative. This is determined by other factors in the trading algorithm. On the other hand, when the “switch” is OFF, a red signal indicates more erratic behaviour and sudden changes in direction and, therefore, higher uncertainty about the corresponding asset; this is not recommended for positions trading. A critical decision from the investor is required regarding the entry or not in the relevant market.

Should I invest in one or more quantf research ETF Signals?

It depends: if you are willing to monitor the individual ETFs and their related signals you can certainly create your own trading strategy. However, these signals are much more useful for monitoring the location of investment opportunities in the global heat map rather than individual, signal-based trading. It is therefore recommended that you use the visuals provided by the tables and the heat map to find the area which is more probable to provide viable investment opportunities. 

Should I invest in one or more quantf research ETF Signal regions?

It depends: this would require the investor to hold a portfolio that consists of the ETFs of one or more regions, something not analysed with our current methods as presented in the website. However the correct use of the information provided here could result in profitable strategies. 

How are the quantf research ETF Signals produced?

The methodology behind the quantf research ETF Signals comes from research produced by Fotis Papailias and Dimitrios Thomakos. Market  timing  and  rotation  strategies  have  always  been  popular  approaches  for systematic  trading  and  there  are  many  different  methods  for  implementing  such strategies.  Here  we  follow  a  coherent  methodology  that  differs  from  what  we  have already seen in the academic literature and in various places that discuss market timing approaches. Using the existing literature in technical trading along with parts of the methodology in Papailias and Thomakos (2011a, 2011b, 2012, 2013a, 2013b), the gist of the method is to rank the ETFs based on a particular characteristic of their past eleven (11) daily returns and from  this  ranking  to  produce  “on”/”off”  signals.

Why are the last 11 periods used?

 A fixed rolling window period of 11 past observations is used for two reasons: first, an extensive backtesting indicates that this number is a reasonable one in terms of robustness to alternatives and overall performance and risk management; second, it is meant to account for short-term changes in asset behaviour in a time frame that is consistent with trading strategies suggested elsewhere on quantf research website. One would, of course, get different results from the use of another rolling window.

How often are new quantf research ETF Signals produced?

New signals are provided on a daily basis (US holidays and all other dates whenNYSE market is closed are excluded).

What is the source of the data used?

In all computations the data is collected from Yahoo! Finance (finance.yahoo.com). quantf research is not responsible for the accuracy of the data. quantf research does not redistribute the data which are used exclusively for research and information purposes.

What do all the statistics mean?

  • Country: available on all region selections except Global.
  • Ticker: the ETF ticker.
  • Switch: the ON and OFF signal. Actively traded ETFs have their switch to ON.
  • Average: the annualised arithmetic mean return of the respective ETF . The typical investor wishes for large Average values.
  • Volatility: the annualized standard deviation of the respective ETF . The typical investor wishes for small Volatility values.
  • Sharpe: the ratio of Average over Volatility. The typical investor wishes for large Sharpe Ratio values.
  • Max: the maximum daily return of the respective ETF .
  • Min: the minimum daily return of the respective ETF .
  • Cumulative: the cumulative return of the respective ETF . The typical investor wishes for large Cumulative values.
  • Drawdown: the maximum drawdown of the respective ETF . The maximum drawdown could be simply interpreted as the largest decline in ETF value in percent from a historical peak. The typical investor wishes for small Drawdown values.
  • Profit/Loss: the ratio of the arithmetic mean of positive returns over the (absolute value) of the arithmetic mean of negative returns. The typical investor wishes for large Profit/Loss values.

 

What are the ETFs used in each region/group?

Here follows a table of all the ETFs used in the quantf research ETF Signals product. All descriptions and details are taken from the ETF Database website.

 

Global

  • IEV: This ETF tracks the index that measures the performance of stocks in continental Europe and the United Kingdom. Issued by iShares.
  • EZU: This ETF tracks the index that measures the performance of equity markets of the EMU member countries: those members of the European Union who have adopted the Euro as its currency. Issued by iShares.
  • EFA: This ETF tracks the index that measures the performance of equity markets in European, Australasian, and Far Eastern markets. Issued by iShares.
  • EPP: This ETF tracks the index that measures the performance of the Australian, Hong Kong, New Zealand, and Singapore equity markets. Issued by iShares.
  • ILF: This ETF tracks the index that measures the performance of four Latin American equity markets: Mexico, Brazil, Argentina, and Chile. Issued by iShares.
  • EEM: This ETF tracks the index that measures the performance of the emerging market stocks. Issued by iShares.
  • VGK: This ETF tracks the index that is made up of approximately 511 common stocks of companies located in 17 European countries. Issued by Vanguard.
  • VWO: This ETF tracks the index that represents components of the FTSE Emerging Index and South Korean stock exposure. FTSE Emerging Markets ETF is an exchange-traded share class of Vanguard Emerging Markets Stock Index Fund. The fund invests substantially all (normally about 95%) of its assets in the common stocks of the index, while employing a form of sampling to reduce risk. The FTSE Emerging Transition Index will gradually reduce South Korean equity exposure over about six months while proportionately adding exposure to stocks of companies located in other countries based on their weightings in the destination index, the FTSE Emerging Index. Issued by Vanguard.
  • VPL: This ETF tracks the index that consists of approximately 836 common stocks of companies located in Japan, Australia, South Korea, Hong Kong, Singapore, and New Zealand. Issued by Vanguard.
  • VEU: This ETF tracks the index that includes approximately 2,200 stocks of companies in 46 countries, from both developed and emerging markets around the world. Issued by Vanguard.
  • VEA: This ETF tracks the index that measures the performance of equity markets in European, Australasian, and Far Eastern markets. Issued by Vanguard.
  • BKF: This ETF tracks the index that measures the combined equity market performance in Brazil, Russia, India, and China. Issued by iShares.
  • AAXJ: This ETF tracks the index that measures the performance of 11 developed and emerging equity markets. Issued by iShares.
  • EDZ: This ETF tracks the index the MSCI Emerging Markets Index. This index is a free float-adjusted market capitalisation index that is designed to measure equity market performance in the global emerging markets. As of September 30, 2007, the MSCI Emerging Markets index consisted of the following 21 emerging market country indices: Argentina, Brazil, Chile, China, Czech Republic, Egypt, Hong Kong, Hungary, India, Indonesia, Israel, Malaysia, Mexico, Peru, Philippines, Russia, South Africa, South Korea, Taiwan, Thailand and Turkey. Issued by Direxion.


North America

USA

  • SPY: This ETF tracks the index that measures the performance of the large capitalisation sector of the U.S. equity market. Issued by State Street SPDR.
  • DIA: This ETF tracks the index the Dow Jones Industrial Average Index. The Dow Jones Industrial Average is a price-weighted index of 30 "blue-chip" U.S. stocks. It is the oldest continuing U.S. market index. Issued by State Street SPDR.
  • XLF: This ETF tracks the index that includes companies from the following industries: diversified financial services; insurance; commercial banks; capital markets; real estate investment trusts; thrift & mortgage finance; consumer finance; and real estate management & development. Issued by State Street SPDR.
  • QQQ: This ETF tracks the index that includes 100 of the largest domestic and international nonfinancial companies listed on the Nasdaq Stock Market based on market capitalisation. Issued by Invesco PowerShares.
  • IWM: This ETF tracks the Russell 2000 index. This index measures the performance of the small-cap segment of the U.S. equity universe and is comprised of the smallest 2000 companies in the Russell 3000 Index, representing approximately 10% of the total market capitalisation of that Index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. Issued by iShares.
  • VTI: This ETF tracks the index which represents 99.5% or more of the total market capitalisation of all of the U.S. common stocks regularly traded on the New York and American Stock Exchanges and the Nasdaq over-the-counter market. Issued by Vanguard.
  • SDS: This ETF tracks seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P500 Index. Issued by ProShares.
  • TZA: The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe and is comprised of the smallest 2000 companies in the Russell 3000 Index, representing approximately 10% of the total market capitalisation of that Index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. This is a bearish ETF. Issued by Direxion.
  • TNA: The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe and is comprised of the smallest 2000 companies in the Russell 3000 Index, representing approximately 10% of the total market capitalisation of that Index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. This is a bullish ETF. Issued by Direxion.
  • FAS: The Russell 1000 Financial Services Index is a capitalization-weighted index of companies that provide financial services. This is a bullish ETF. Issued by Direxion.
  • FAZ: The Russell 1000 Financial Services Index is a capitalization-weighted index of companies that provide financial services. This is a bearish ETF. Issued by Direxion.
  • VXX: This ETF tracks the index which offers exposure to a daily rolling long position in the first and second month VIX futures contracts and reflects the implied volatility of the S&P 500 Index at various points along the volatility forward curve. The index futures roll continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract. Issued by Barclays iPath.
  • XIV: This ETF tracks an index that is designed to reflect the returns that are potentially available through an unleveraged investment in short-term futures contracts on the CBOE Volatility Index. Issued by VelocityShares.

Canada

  • EWC: This ETF tracks the index that measures the performance of the Canadian equity market. Issued by iShares.

Mexico

  • EWW: This ETF tracks the index that measures the performance of the Mexican equity market. Issued by iShares.

South America

  • EWZ: This ETF tracks an index which is designed to measure broad based equity market performance in Brazil. A capping methodology is applied that limits the weight of any single component to a maximum of 25% of the MSCI Brazil 25/50 Index. Additionally, the sum of the components that individually constitute more than 5% of the weight of the MSCI Brazil 25/50 Index cannot exceed a maximum of 50% of the weight of the MSCI Brazil 25/50 index in the aggregate. The index consists of stocks traded primarily on the stock exchanges in Brazil. Issued by iShares.
  • ECH: This ETF tracks the index that measures the performance of the Chilean equity market. Issued by iShares.

Europe

  • EWD: This ETF tracks the index that measures the performance of the Swedish equity market. Issued by iShares.
  • EWG: This ETF tracks the index that measures the performance of the German equity market. Issued by iShares.
  • EWI: This ETF tracks the index that measures the performance of the Italian equity market (issued by iShares).
  • EWL: This ETF tracks the index that measures the performance of the Swiss equity. Issued by iShares.
  • EWN: This ETF tracks the index that measures the performance of the Dutch equity market. Issued by iShares.
  • EWP: This ETF tracks the index that measures the performance of the Spanish equity market. Issued by iShares.
  • EWQ: This ETF tracks the index that measures the performance of the French equity market. Issued by iShares.
  • EWU: This ETF tracks the index that measures the performance of the British equity market. Issued by iShares.

 

Asia

Japan

  • EWJ: This ETF tracks the index that measures the performance of the Japanese equity market. Issued by iShares.

China

  • FXI: This ETF tracks the index that measures the performance of the largest companies in the China equity market. Issued by iShares.
  • FXP: This ETF seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the FTSE/Xinhua China 25 Index. Issued by ProShares.

India

  • EPI: This ETF tracks the WisdomTree India Earnings Index. This is a fundamentally weighted index that measures the performance of companies incorporated and traded in India that are profitable and that are eligible to be purchased by foreign investors as of the index measurement date. Issued by WisdomTree.
  • PIN: This ETF tracks the index that is designed to replicate the Indian equity markets as a whole, through a group of 50 Indian stocks selected from a universe of the largest companies listed on two major Indian exchanges. The India Index has 50 constituents, spread among the following sectors: Information Technology, Health Services, Financial Services, Heavy Industry, Consumer Products and other. Issued by Invesco PowerShares.

Rest

  • EWH: This ETF tracks the index that measures the performance of the Hong Kong equity market. Issued by iShares.
  • EWM: This ETF tracks the index that measures the performance of the Malaysian equity market. Issued by iShares.
  • EWS: This ETF tracks the index that measures the performance of the Singaporean equity market. Issued by iShares.
  • EWY: This ETF tracks the index that measures the performance of the South Korean equity market. Issued by iShares.
  • EWT: The index measures the performance of the Taiwanese equity market. Issued by iShares.
  • THD: This ETF tracks the index that measures the performance of the Thai equity market. Issued by iShares.
  • IDX: This ETF tracks the index that provides exposure to publicly traded companies that are domiciled and primarily listed in Indonesia, or that generate at least 50% of their revenues in Indonesia. Issued by Van Eck.
  • EIDO: This ETF tracks an index that is a free-float adjusted market capitalisation weighted index designed to measure the performance of equity securities in the top 99% by market capitalisation of equity securities listed on stock exchanges in Indonesia. Issued by iShares.

Australia, Africa, Eurasia

  • EWA: This ETF tracks the index that measures the performance of the Australian equity market. Issued by iShares.
  • EZA: This ETF tracks the index that measures the performance of the South African equity market. Issued by iShares.
  • RSX: This benchmark is a rules-based, modified market capitalization-weighted, float-adjusted index intended to give investors exposure to Russia. Issued by Van Eck.
  • TUR: This ETF tracks the index measures the performance of the Turkish equity market. Issued by iShares.
  • ERUS: This ETF tracks an index is a free-float adjusted market capitalisation weighted index designed to measure the performance of equity securities in the top 85% of market capitalisation of equity securities listed on stock exchanges in Russia. Issued by iShares.

 

Currencies (FOREX)

  • FXE: This ETF tracks the EUR/USD FOREX. The EUR/USD exchange rate is a foreign exchange spot rate that measures the relative values of two currencies, the euro and the U.S. dollar. Issued by Guggenheim.
  • FXA: This ETF tracks the AUD/USD FOREX. The fund is designed to track the price of the Australian dollar relative to the U.S. dollar. Issued by Guggenheim.
  • FXF: This ETF tracks the USD/CHF FOREX. The fund is designed to track the price of the Swiss franc relative to the U.S. dollar. Issued by Guggenheim.
  • FXY: This ETF tracks the USD/JPY FOREX. The U.S. dollar/Japanese yen exchange rate is a foreign exchange spot rate that measures the relative values of two currencies, the Japanese yen and the U.S. dollar. Issued by Guggenheim.
  • UUP: This ETF tracks a rules-based index composed solely of long USDX futures contracts. The USDX futures contract is designed to replicate the performance of being long the US Dollar against the following currencies: Euro, Japanese Yen, British Pound, Canadian Dollar, Swedish Krona and Swiss Franc. Issued by Invesco PowerShares.
  • CYB: This ETF tracks the Dreyfus Chinese Yuan Fund. Issued by WisdomTree.
  • EUO: This ETF seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the U.S. Dollar price of the Euro. Issued by ProShares.
  • YCS: This ETF seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the U.S. Dollar price of the Yen. Issued by ProShares.
  • CEW: This ETF tracks the Dreyfus Emerging Currency Fund. Issued by WisdomTree.

 

Sectors

  • XLY: This ETF tracks the Consumer Discretionary Select Sector Index. This index includes companies from the following industries: retail (specialty, multi-line, internet and catalog); media; hotels, restaurants & leisure; household durables; textiles, apparel & luxury goods; automobiles, auto components and distributors; leisure equipment & products; and diversified consumer services. Issued by State Street SPDR.
  • XLP: This ETF tracks the Consumer Staples Select Sector Index. This index includes companies from the following industries: food & staples retailing; household products; food products; beverages; tobacco; and personal products. Issued by State Street SPDR.
  • XLE: This ETF tracks the Energy Select Sector Index includes companies from the following industries: oil, gas & consumable fuels and energy equipment & services. Issued by State Street SPDR.
  • XLV: This ETF tracks the Health Care Select Sector Index. This index includes companies from the following industries: pharmaceuticals; health care providers & services; health care equipment & supplies; biotechnology; life sciences tools & services; and health care technology. Issued by State Street SPDR.
  • XLI: This ETF tracks the Industrial Select Sector Index. This index includes companies from the following industries: industrial conglomerates; aerospace & defense; machinery; air freight & logistics; road & rail; commercial services & supplies; electrical equipment; construction & engineering; building products; airlines; and trading companies & distributors. Issued by State Street SPDR.
  • XLB: This ETF tracks the Materials Select Sector Index. This index includes companies from the following industries: chemicals; metals & mining; paper & forest products; containers & packaging; and construction materials. Issued by State Street SPDR.
  • XLK: This ETF tracks the Technology Select Sector Index. This includes companies from the following industries: computers & peripherals; software; diversified telecommunication services; communications equipment; semiconductor & semiconductor equipment; internet software & services; IT services; wireless telecommunication services; electronic equipment & instruments; and office electronics. Issued by State Street SPDR.
  • XLU: This ETF tracks the Utilities Select Sector Index. This index includes companies from the following industries: electric utilities; multi-utilities; independent power producers & energy traders; and gas utilities. Issued by State Street SPDR.
  • IYR: This ETF tracks an index measures the performance of the real estate industry of the U.S. equity market. Issued by State Street SPDR.
  • XHB: This ETF tracks the S&P Homebuilders Select Industry Index. This index represents the homebuilding sub-industry portion of the S&P Total Markets Index. The S&P TMI tracks all the U.S. common stocks listed on the NYSE, AMEX, NASDAQ National Market and NASDAQ Small Cap exchanges. The Homebuilders Index is an equal weighted market cap index. Issued by State Street SPDR.
  • GDX: This ETF tracks an index that provides exposure to publicly traded companies worldwide involved primarily in the mining for gold, representing a diversified blend of small-, mid- and large- capitalization stocks. Issued by Van Eck.
  • XRT: This ETF tracks the S&P Retail Select Industry Index. This index represents the retail sub-industry portion of the S&P TMI. The S&P TMI tracks all the U.S. common stocks listed on the NYSE, AMEX, NASDAQ National Market and NASDAQ Small Cap exchanges. The Retail Index is an equal weighted market cap index. Issued by State Street SPDR.
  • XOP: This ETF tracks the S&P Oil & Gas Exploration & Production Select Industry Index. This index represents the oil and gas exploration and production sub-industry portion of the S&P Total Markets Index. The S&P TMI tracks all the U.S. common stocks listed on the NYSE, AMEX, NASDAQ National Market and NASDAQ Small Cap exchanges. The Oil & Gas Exploration Index is an equal weighted market cap index. Issued by State Street SPDR.
  • ERY: This ETF tracks the Energy Select Sector Index. This index includes companies from the following industries: oil, gas & consumable fuels and energy equipment & services. This is a bearish index. Issued by Direxion.
  • ERX: This ETF tracks the Energy Select Sector Index. This index includes companies from the following industries: oil, gas & consumable fuels and energy equipment & services. This is a bullish index. Issued by Direxion.
  • AMLP: This ETF tracks an index that is designed to give investors exposure to the infrastructure component of the Master Limited Partnership asset class. Constituents each earn at least 50% of EBITDA from assets that are not directly exposed to changes in commodity prices. The index is disseminated by the New York Stock Exchange and is a composite of 25 energy infrastructure MLPs. Issued by ALPS.

 

Bonds

  • SHY: This ETF tracks the index that measures the performance of U.S. Treasury securities that have a remaining maturity of at least one year and less than three years. Issued by iShares.
  • TLT: This ETF tracks the index that measures the performance of U.S. Treasury securities that have a remaining maturity of at least 20 years. Issued by iShares.
  • BND: This ETF tracks the index that measures the performance of the U.S. investment grade bond market. Issued by Vanguard.
  • HYG: This ETF tracks an index that is designed to provide a broad representation of the U.S. dollar-denominated high yield liquid corporate bond market. Issued by iShares.
  • BIL: This ETF tracks the Barclays Capital 1-3 Month U.S. Treasury Bill Index. This index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and non convertible. Issued by State Street SPDR.
  • JNK: This ETF tracks the Barclays Capital High Yield Very Liquid Index. This index includes publicly issued U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bonds that have a remaining maturity of at least one year, regardless of optionality, are rated high-yield (Ba1/BB+/BB+ or below) using the middle rating of Moody's, S&P, and Fitch, respectively (before July 1, 2005, the lower of Moody's and S&P was used), and have $600 million or more of outstanding face value. Issued by State Street SPDR.
  • TBT: This ETF tracks the index that measures the performance of U.S. Treasury securities that have a remaining maturity of at least 20 years. Issued by ProShares.

 

Commodities

  • GLD: This ETF is designed to track the spot price of gold bullion. Issued by State Street SPDR.
  • IAU: This ETF is designed to track the spot price of gold bullion. Issued by iShares.
  • DBC: This ETF tracks a rules-based index composed of futures contracts on 14 of the most heavily-traded and important physical commodities in the world. Issued by Invesco PowerShares.
  • SLV: This ETF is designed to track the spot price of silver bullion. Issued by iShares.
  • USO: This ETF tracks changes in the price of light, sweet crude oil, as measured by the changes in price of the futures contract on light, sweet crude oil traded on the New York Mercantile Exchange. Issued by US Commodity Funds.
  • DBA: This ETF tracks the DBIQ Diversified Agriculture Index Excess Return. This index is a rules-based index composed of futures contracts on some of the most liquid and widely traded agricultural commodities. The Index is intended to reflect the performance of the agricultural sector. Issued by Invesco PowerShares.
  • DZZ: This ETF tracks an index that is designed to reflect the performance of certain gold futures contracts plus the returns from investing in 3 month United States Treasury Bills. Issued by Invesco PowerShares.
  • UCO: This ETF tracks an index that consists of futures contracts on crude oil. Issued by ProShares.
  • SCO: This ETF seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of The Dow Jones-UBS Crude Oil Sub-Index. Issued by ProShares.
  • ZSL: This ETF seeks daily investment results, before fees and expenses, which correspond to twice (200%) the inverse (opposite) of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. Issued by ProShares.
  • AGQ: This ETF seeks daily investment results, before fees and expenses, which correspond to twice (200%) the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. Issued by ProShares.
  • GLL: This ETF seeks daily investment results, before fees and expenses, which correspond to twice (200%) the inverse (opposite) of the daily performance of gold bullion as measured by the U.S. Dollar fixing price for delivery in London. Issued by ProShares.

References

Papailias, F., Thomakos, D. D. (2011a). An Improved Moving Average Technical Trading Rule. quantf research working paper series.

Papailias, F., Thomakos, D. D.. (2011b). An Improved Moving Average Technical Trading Rule II: Short Sales Allowed. quantf research working paper series.

Papailias, F., Thomakos, D. D. (2012). Improved Moving Average (IMA) Strategies. STA Market Technician, The Journal of the Society for Technical Analysis (UK), 72, 12-17.

Papailias, F., Thomakos, D. D. (2013a). Trading Energy ETFs with an Improved Moving Average Strategy. International Journal of Energy and Statistics, 1-1, 31-43.

Thomakos, D. D., Papailias, F. (2013b). Covariance Averaging for Improved Estimation and Portfolio Allocation. quantf research working paper series.

  
F. Papailias - D. Thomakos, (c) 2014
 
 
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