Greetings!
Below please find the ETF Spotlight newsletter containing highlights of the research and data on www.etfresearchcenter.com as well as a recap of the past week's action in the ETF market. Feel free to share it with anyone who may be interested.
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In this week's issue
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 Reducing volatility
- Chart of the week: 2012E Yield for low-volatility factor funds
- Fund Focus: Russell 1000 Low Volatility (LVOL)
- Revisions, asset flows & short interest
- 2012 EPS estimates, annual change, and P/E multiples for major ETFs
- Market monitor - movers & categories
To download the full newsletter click here.
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| Chart of the week |
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Reducing Volatility
With the stock market on a roller coaster ride again, investors may consider low volatility "factor funds" to help reduce overall portfolio volatility. Besides their defensive sector allocations, the funds owe their relative price stability to their higher dividend yields as compared to their benchmarks (chart). Further, the ALTAR Scores for low-volatility versions of both the Russell 1000 (LVOL) and 2000 (SLVY) suggests little to no reduction in upside potential despite the reduction in risk.
Download the full newsletter here.
Figure 1: 2012E Yield for low-volatility factor funds vs. benchmarks
Source: AltaVista Research
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| Fund Focus |
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Russell 1000 Low Volatility ETF (LVOL) 
LVOL derives its expected reduction in volatility versus the Russell 1000 from its defensive sector tilt and higher dividend yields. Given the relative stability of margins and ROE the fund may also be a decent place to hide if in fact we're on the edge of a double-dip. However, this stability comes with modest premiums on most valuation metrics resulting in a slightly lower ALTAR Score than for the Russell 1000 as a whole. To download the full newsletter, click here. |
