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TPA’S ETF LABORATORY 

Given the widespread use of ETFs, TPA has created a series of reports it calls the ETF Laboratory.  The Laboratory examines ETFs from the perspective of trying to find extremes that could be turning points.  The Laboratory reports point subscribers toward areas of the market which have potential upside and away from more vulnerable areas of the market. The reports only include liquid ETFs so clients can put their strategies to work and are sorted by how the categories are paired.

 

The ETF Laboratory will be published every 2 weeks and available to subscribers on TPA’s website. 

 

The ETFs in the laboratory cover a wide swath of the global markets, including:

  • U.S. Broad (ex. large, mid, smallcap, growth, value…)

  • U.S. Sectors

  • U.S. Subsectors

  • Countries

  • Global Broad

  • Commodities

  • Fixed Income

 

Clients can not only use the reports to buy and sell ETFs at turning points, the reports paint a vivid picture of widespread market trends and patterns so that clients can get ahead of changes.  The ETF Laboratory also includes TPA’s brief synopsis [ETF Lab Results] to highlight critical investment themes. 

 

ETFs UNDER A RELATIVE MICROSCOPE (1. Big Picture, 2. Testing Positive or Negative, 3. Drilling Down)

This is the most important Lab report.  86 liquid ETFs are each paired against each other over a 15-month period to find outliers.  A pair is just the simplest way to simultaneously look at one part of the market versus another part of the market.  Some ETF Lab users will want to establish long-short pairs, but the vast majority of clients will use ETFs Under a Microscope to find RELATIVELY more attractive areas in the market.  Clients can use the pairs to determine optimal weightings for each category of the market.

 

METHOD: TPA uses performance of each part of the ETF pair versus the other to monitor for statistical extremes.  Standard Deviations away from the mean are calculated and a percent move for the pair needed to get back to the 15 month average is calculated.  This is the potential upside or downside.  86 ETFs paired would create 4045 pairs, but not all of these pairs make sense.  The number of pairs has been reduced to 1306 “logical pairs”.   Caveat - not all logical pairs will seem "logical" to all investors.  Finally, TPA sorts the pairs by potential upside and highlights these extreme pairs in the report.  

 

For the extremely inquisitive, TPA also provides a separate report that displays all 1306 logical pairs. 

 

Other reports.....

PERFORMANCE BY PERIOD                         

Look for ETFs that have significantly outperformed or underperformed in each timeframe.  The timeframes are 1, 3, 6 months and 1, 2, 3, and 4 years. Depending on oversold or overbought conditions and how long they have been outliers, these ETFs may be at opportunistic levels.  TPA has highlighted ETFs that rank in the bottom and top 10% of performance for each period.    

 

CURRENT POSITION IN PERIOD RANGE 

TPA calculates the low and high for each ETF over timeframes.  The timeframes are 6 months and 1, 2, 3 and 4 years. The current level is then placed within the range in percentage terms.  ETFs at the extreme lower part of the period range may present an opportunity to buy, while ETFs near the top of the range, may be vulnerable.         

Turning Point Analytics, LLC & Disclaimer

Turning Point Analytics (TPA) is only one of many tools that an investment manager should use to make a final investment decision.  TPA is an overlay on top of a client’s good fundamental analysis.  TPA does not create or provide fundamental analysis. The information in this communication may include technical analysis.  Technical analysis is a discipline that studies the past trading history of a security while trying to forecast future price action.  Technical analysis does not consider the underlying fundamentals of the security in question and it does not provide information reasonably sufficient upon which to base an investment decision.  Investors should not rely on technical analysis alone while making an investment decision.  Before making an investment decision, investors should consider reviewing all publicly available information regarding the security in question, including, but not limited to, the underlying fundamentals of the security and other information which is available in filings with the Securities and Exchange Commission.  The information and analysis contained in reports provided by TPA are copyrighted and may not be duplicated or redistributed for any reason without the express written consent of TPA. The information in this communication is for institutional investors only.  By accepting this communication, the recipient agrees not to forward, and/or copy the information to any other person, except as permitted, or required by law. TPA does not guarantee accuracy or completeness. TPA is a publisher of technical research and has no investment banking or advisory relationship with any company mentioned in any report.  Reports are neither a solicitation to buy nor an offer to sell securities. Past performance is in no way indicative of future results. Opinions expressed are subject to change without notice.  TPA will provide, upon request, the details of any past recommendations. TPA’s analysis and recommendations should not be used as the sole reason to buy or sell any security. TPA may compensate brokers and intermediaries for sales and marketing services. You understand and acknowledge that there is a very high degree of risk involved in trading securities and/or currencies. The Company, the authors, the publisher, and all affiliates of Company assume no responsibility or liability for your trading and investment results.  It should not be assumed that the methods, techniques, or indicators presented will be profitable or that they will not result in losses. Statements, data, and analysis made by TPA or in its publications, are made as of the date stated and are subject to change without notice. TPA and/or its officers and employees may, from time to time acquire, hold, or sell a position in the securities mentioned herein. Upon request, TPA will furnish specific information in this regard. TPA will not be held liable for losses caused by conditions and/or events that are beyond TPA’s control including, but not limited to war, strikes, natural disasters, new government restrictions, market fluctuations, and communications disruptions.