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« Will Rogers and the Yield Curve | Main | Getting it Right about Greenspan »

September 27, 2007


houston auto glass

The TCA-ETF series is very rich source of information. It provides leads to describe the challenges in system development and testing, including dealing with the inevitable losing streaks.


it happens, it ll not be the first, even not the last...

Bill aka NO DooDahs!

Most liquid ETFs are excellent trackers over time, the errors are mostly of a day to day sort. An exception would be the leveraged and leveraged inverse ETFs, which are very good on a day to day basis during average days, but are horrid over time, and horrific during extreme days, as any holder during the recent correction can attest.

!! The five ETFs you list all track different indices. !!

If you're ever in doubt, visit the sponsoring site ( or visit Yahoo! or Google Finance, use the ETF ticker, and view either "profile" or "holdings" to see what's behind the scenes.

Bryan Wendon

Hi Jeff,

Sorry to post a comment on this topic so late.

What struck me about the list created by your model was that in some cases similar ETFs produced different scores. For example, the Cohen and Steers REITs (ICF) was ranked 11th while the DJ US home construction ETF (ITB) was down at 43rd, more in line with recent sector performance. It also appears paradoxical that the DJ Financial Sector ETF and S&P global financial ETF (IXG) ranked highly at 7th and 12th yet the regional banking (IAT) and broker dealer (IAI) ETFs are at 40th and 38th.

Do these model scores reflect the fact that some ETFs don't track their indexes partcularly well? I had always assumed that ETFs were good trackers, but perhaps I have spent too much time looking at the more liquid end of the market e.g., SPY, QQQQQ?

It would be very interesting to hear your take on this. Thank you for providing such an excellent blog.


Tim -

Thanks for the link to some good advice. Developing a system means using variables, measures, and techniques that others have not found. If/when the world catches up, you need to move on. One of our points in this series is describing the process.

Thanks for taking the time to comment.



Again, too much good stuff in one post. I really like your sector ETF trading approach. Look forward to how it does, esp. in various market conditions.

Unfortunately in the commission driven brokerage world, they need their customers to trade. Customer profitability is not a high priority. Besides this post by T at Investing from the Right says it all about trading systems:

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