‘Smart Beta’ 5: No Alpha Here

May 02, 2014

 

1-Year Returns Analysis For Headline Smart-Beta Funds
Ticker Fund Total Return Goodness of Fit Beta Alpha (95% Probability of Significance in black, 90% in gray) Sharpe Ratio Probability that the Sharpe Ratio is Statistically Different From the Benchmark
SPHB PowerShares S&P 500 High Beta 33.4% 0.86 1.40 -- 0.10 54%
FEX First Trust Large Cap Core AlphaDEX 25.2% 0.95 1.10 -- 0.11 50%
EWRI Guggenheim Russell 1000 Equal Weight 25.1% 0.92 1.06 -- 0.11 52%
RSP Guggenheim S&P 500 Equal Weight 25.0% 0.96 1.07 -- 0.11 52%
CSM ProShares Large Cap Core Plus 24.8% 0.98 1.01 -- 0.12 58%
RWL RevenueShares Large Cap 23.8% 0.97 1.00 -- 0.11 55%
PRF PowerShares FTSE RAFI US 1000 23.3% 0.98 1.04 -- 0.11 52%
EPS WisdomTree Earnings 500 22.8% 0.99 0.99 -- 0.11 54%
SPHQ PowerShares S&P 500 High Quality 21.5% 0.94 0.95 -- 0.11 51%
BENCHMARK MSCI USA Large Cap Index 21.5%       0.11  
DLN WisdomTree LargeCap Dividend 18.0% 0.97 0.92 -- 0.10 56%
SPLV PowerShares S&P 500 Low Volatility 12.7% 0.81 0.84 -- 0.07 72%

 

3-Year Returns Analysis For Headline Smart-Beta Funds
Ticker Fund Total Return Goodness of Fit Beta Alpha (95% Probability of Significance in black, 90% in gray) Sharpe Ratio Probability that the Sharpe Ratio is Statistically Different From the Benchmark
SPHB PowerShares S&P 500 High Beta * 0.92 1.62 -11.1% 0.02 78%
SPHQ PowerShares S&P 500 High Quality 16.3% 0.96 0.91 3.0% 0.06 62%
RWL RevenueShares Large Cap 15.9% 0.98 1.04 -- 0.05 52%
DLN WisdomTree LargeCap Dividend 15.5% 0.98 0.87 2.8% 0.06 62%
RSP Guggenheim S&P 500 Equal Weight 15.3% 0.97 1.12 -- 0.05 54%
PRF PowerShares FTSE RAFI US 1000 15.3% 0.99 1.05 -- 0.05 50%
EPS WisdomTree Earnings 500 15.3% 1.00 1.00 -- 0.05 54%
CSM ProShares Large Cap Core Plus 15.2% 0.99 1.03 -- 0.05 51%
EWRI Guggenheim Russell 1000 Equal Weight 15.0% 0.95 1.11 -- 0.05 55%
FEX First Trust Large Cap Core AlphaDEX 14.4% 0.97 1.10 -- 0.05 56%
BENCHMARK MSCI USA Large Cap Index 14.3%       0.05  
SPLV PowerShares S&P 500 Low Volatility * 0.85 0.70 -- 0.07 70%

*SPLV and SPHB launched in May 2011. Their statistics are based on 35 months of performance, not 36. All returns and alphas are annualized.

 

5-Year Returns Analysis For Headline Smart-Beta Funds
Ticker Fund Total Return Goodness of Fit Beta Alpha (95% Probability of Significance in black, 90% in gray) Sharpe Ratio Probability that the Sharpe Ratio is Statistically Different From the Benchmark
RSP Guggenheim S&P 500 Equal Weight 24.5% 0.96 1.17 -- 0.07 58%
PRF PowerShares FTSE RAFI US 1000 24.3% 0.94 1.16 -- 0.07 57%
FEX First Trust Large Cap Core AlphaDEX 22.9% 0.96 1.12 -- 0.07 55%
RWL RevenueShares Large Cap 21.9% 0.98 1.07 -- 0.07 57%
DLN WisdomTree LargeCap Dividend 20.0% 0.97 0.92 2.5% 0.08 63%
EPS WisdomTree Earnings 500 19.9% 0.99 1.00 -- 0.07 56%
BENCHMARK MSCI USA Large Cap Index 18.7%       0.07  

All returns and alphas are annualized. All data as of March 31, 2014.

 

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