Exchange Traded Funds (ETF) are key to any passive, cost-efficiant and succesfull investments. My investment universe consists of  fourteen ETFs that cover more than 80 countries and over 13’000 different assets. The application of six academic priciples to this universe results in my Portfolio.

Market MapTrendRangeIssuerLiquidity

Daily percentage change of stock indices worldwide. Be aware that all indices are dollar denominated. Hence, the daily change reflects the change in the equity indices and the change in local currency.

Trend vs Oscillator

Split of the asset universe into four quadrants. The trendiness increases from left to right. Assets at the top are overbought while assets at the botton are oversold. The size of the bubble reflects the allocation in the portfolio, the color the trendiness.

Graph: trend = distance of current price to the 200 days average in standard devitions (z-score). oscillator = difference current pice to 20 day average measured in standard deviations (z-score).  alloaction = allocation within ePortfolio.

Relative position of each asset compared within its 52-week trading range. Green candles indicate a positive, red candles a negative tendency.

Graph: Assets with higher current price than past price appear as green candles. Assets with lower current than past price appear as red candles.

Exchange traded funds (ETF’s) are normally not subject to issuer risk. Positions are held in segregated accounts and are either physically held or secured by collaterals. However there is a structural risk that might lead to a partial loss of the investment.

Legal form
Graph: Issuer = Portfolio assets issued by issuer in %.   Legal form = Legal form of porfrolio assets in %.

Prime performance killer are not only management fees, but also liquidity. The most liquid ETFs are listed at the New York Stock Exchange (NYSE). All above mentioned ETFs have a tighter bid-ask spread than the most liquid Swiss blue chips.

Graph: Bid-ask spread over the last 12 months in % of the asset price. In comparison the most liquid Swiss stocks Nestle and Novartis trade at an average bid-ask spread of 0.07%.