• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Quant ETFs

Joined
2/18/16
Messages
47
Points
18
This post is a request for recommendations on trading-model designs that have been incorporated into ETFs.

Does anyone have suggestions on quantitative ETF model designs that are based on solid research, design, and testing?

These two are interesting to me:

1.) HTUS, which is based on this paper:

A Practitioner's Defense of Return Predictability by Blair Hull, Xiao Qiao :: SSRN

The equity curve of HTUS seems very smooth to me. Click to see plot HERE.

2.) GMOM, which is based on this paper (see GTAA Aggressive, page 50):

A Quantitative Approach to Tactical Asset Allocation by Meb Faber :: SSRN

Any other quantitative ETFs worth looking at? All quantitative trading approaches are of equal interest, here -- quantitative value, momentum, quantitative market-timing (also sometimes dubiously phrased as "dynamic risk-management").
 
Last edited:
Back
Top