How To Compare Single Factor ETFs

May 22, 2018

Health care as a sector did well in 2017, with most health care ETFs up strong, but Eplett says the momentum factor in PTH helped it outperform other popular health care ETFs.


All charts were provided by YCharts and show total return 2017 performance


Low Volatility

Low-volatility funds are becoming more popular, but still remain a smaller part of the factor universe, with 27 funds featuring this strategy. One of the best single-factor fund performers in 2017 was the PowerShares S&P Emerging Markets Low Volatility Portfolio (EELV), which was up 17.3%.

This fund looks at including the 200 stocks that had the lowest volatility last year, using a trailing volatility since it rebalances quarterly, Kalivas says. While it’s not an equal-weight fund, it appears to be one, because the index chooses the holdings with the least volatility, he notes.

Although EELV did well last year with the low-volatility stock environment, Kalivas says that when volatility is rising and accelerating is when low volatility tends to shine.

“The rate of change is a more important driver, meaning that when volatility is really accelerating a lot, that's when it's going to shine more than when it's falling a lot, because it tends to lag behind,” he said.


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