Since I started producing the following graphic for the ETF Internal Analytics product, I found the weekly return bin information compelling. I became curious about whether there was an opportunity to be exploited in the distribution patterns. I distilled all the questions I had into two:
- Does the percentage of ETF component stocks at various return levels provide actionable information?
- Can a long-short market-neutral strategy be constructed by analyzing the relative return dispersion of each ETF's stock components?
To answer these questions I used a combination of tools/data sources including State Street's SPDR Holdings data, the Yahoo Finance API, and Python.Read More