Return Model

We have our own proprietary return model to forecast ETF expected returns based upon:

  • Sensitivities to theĀ four basic risk indexes (S&P 500, 10Y Treasury, US Dollar and Oil) and the expected returns of those risk indexes
  • Yield – cash yield or commodity roll yield
  • Value – cumulative residual return mean reversion, and for equity ETFs, factors using aggregate earnings, book values, and sales
  • Momentum – various short-term and intermediate-term momentum factors, and for equity ETFs, aggregate earnings estimate revision