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When developing a system holding multiple ETFs (for diversification and stability, most likely) you often find that among the top ETFs in each selection there are few that are nearly identical. For example you can do a system holding 6 funds and create a nice equity curve but when you look at the results of each rebalancing there are often 2 or 3 ETFs of the same kind, such as gold ETFs or financial ETFs etc. This is not surprising ? clearly most similar ETFs will rank similarly during a rebalancing. But that also circumvents our goal when using multiple ETFs.

Proposal: group the ETFs into categories of ?like funds?, either manually or semi automatically (using correlation). Then support a command like SecWeightETF <20 to ensure that a 5 etfs system will not have more than one member from each ?sector?.

Supporting MaxCorrel may also achieve that goal, we can call it MaxCorrelETF.

BTW the new ETF screener is very cool, thanks Marco and team.
Z.
Results: Total score: 16 , # of Votes: 4 , Average: 4.0
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Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: z8735
On date: 03/02/09
Category: Factors and Functions

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