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JejeBelfort
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Posts: 9
Joined: December 7th, 2016, 3:02 pm

ETF Ranking/Selection algorithm

May 13th, 2020, 2:27 am

Hi there,
I have gathered the following information over some ETFs (in csv format as I can't seem to be able to insert tables):

ETF,avg_ret,volatility,avg_daily_volume,max_dd,YTD_ret,SR_1Y,SR_3Y,alpha,beta,beta_week,pct_52w_last,Net Assets,Expense Ratio (net)
BAR,10.10%,13.15%,"230,321",-13.46%,12.44%,1.72,0.77,0,0.02,0.19,93.67%,"866,714,240",0.17%
DFND,12.18%,16.97%,"2,332",-21.79%,5.31%,0.64,0.66,0,0.48,0.42,64.50%,"22,581,580",1.44%
GDX,21.59%,36.89%,"48,763,928",-38.81%,19.06%,1.25,0.58,0,0.15,0.79,98.94%,"13,260,997,632",0.53%
GLD,11.94%,12.44%,"8,525,360",-13.76%,12.26%,1.72,0.88,0,0.01,0.19,93.23%,"57,820,135,424",0.40%

where SR stands for Sharpe Ration, beta is the beta computed against the SP500 daily returns vs the ETF daily returns, beta_week is the same but on weekly returns, and pct_52w_last is essentially how far away are we compared to the 52w high and low (e.g. on the first row, the last closing price is just 93.67% away from the 52-week historical maximum.

My question is, can I come up with an algorithm to rank or classify those ETF from best to worst, given that I want to maximize, say:

- avg_ret, 
- avg_daily_volume
- SR

and minimize, say :

- volatility
- beta
- max_dd
- expense ratio
 
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Alan
Posts: 2958
Joined: December 19th, 2001, 4:01 am
Location: California
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Re: ETF Ranking/Selection algorithm

May 14th, 2020, 2:39 pm

Well, there is a thing called multi-objective optimization. Personally, have not tried it, although I ran across it recently on a project where I had a main (nominal) objective and a secondary objective.