Content provided by Rui Wang, CLS Research Analyst
2013 was a great year for equity market in general, with the price return of the S&P 500 up 29 percent and the Russell 2000 up 36 percent. However, the MSCI ACWI ex-US index only rose 12 percent. Compared to the broad market indices, there was a great amount of variations within the ETF space, with the best performing ETF beating the worst performing ETF by over 180 percent!
Since CLS is a risk-budgeting ETF shop, let us summarize the top 15 and bottom 15 ETFs by their risk adjusted returns under CLS’s proprietary risk measure. Shown by the table below, clean energy ETFs, healthcare ETFs, and some financial ETFs were among the best performing ETFs during 2013. On the other hand, miner ETFs, metal ETFs, and emerging country ETFs are among the worst performers.
If we rated the ETFs by the size of increased risk under CLS’s proprietary risk measure, as shown by the table below, emerging country ETFs, long-term bond ETFs, and utilities ETFs are among the ETFs with the greatest amount of increased risk during 2013. On the contrary, European country ETFs, VIX ETFs, and the interest rate inverse ETFs are among ETFs with the greatest amount of risk decrease so far this year.