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.

rui chart 1

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.

rui chart 2
The S&P 500® Index is an unmanaged composite of 500-large capitalization companies.  This index is widely used by professional investors as a performance benchmark for large-cap stocks.  The Russell 2000® is an index comprised of the 2,000 smallest companies on the Russell 3000 list and offers investors access to small‐cap companies. It is a widely recognized indicator of small capitalization company performance.  The MSCI All-Countries World Index, excluding U.S. (ACWI ex US) is an index considered representative of stock markets of developed and emerging markets, excluding those of the US.  An index is an unmanaged group of stocks considered to be representative of different segments of the stock market in general.  You cannot invest directly in an index.
An ETF is a type of investment company whose investment objective is to achieve the same return as a particular market index. An ETF is similar to an index fund in that it will primarily invest in the securities of companies that are included in a selected market index. An ETF will invest in either all of the securities or a representative sample of the securities included in the index.