Here’s a graphical recap of the relative performance histories for each of the major asset classes for the past 250 trading days via the ETF proxies. The chart below shows the performance records through Mar. 24, 2015, with all the ETFs rebased to a starting-value of 100. REITs are clearly in the lead by this measure (dark blue line at top of chart below) vs. the rest of the field.
Now let’s review an ETF-based version of an unmanaged, market-value-weighted mix of all the major asset classes — the Global Market Index Fund, or GMI.F, which holds all the ETFs in the table above. Here’s how GMI.F stacks up for the past 250 trading days through Mar. 24, 2015. This investable strategy is ahead by a moderate 6.1% over that span — well below the performance for US stocks (VTI) while incrementally higher than the return for US bonds (BND) at the moment.
Comparing the median dispersion for 250-day returns for the major asset classes via ETFs suggests that the general rebalancing opportunity has increased sharply for GMI.F vs. recent history. Analyzing the components of GMI.F with a rolling median absolute deviation via one-year returns for the ETFs — the GMI.F Rebalancing Opportunity Index, as it’s labeled on these pages — suggests that there’s enhanced potential for adding value by reweighting this portfolio in comparison with the past year. Keep in mind that the opportunity for productive rebalancing will vary depending on the choice of holdings and historical time window. Also, don’t overlook the possibility that any given pair of ETFs may present a substantially greater or lesser degree of rebalancing opportunity vs. analyzing GMI.F’s components collectively, which is the methodology that’s reflected in the chart below. Note that the chart focuses on looking backward. If you’re confident in your forecast for risk and return, the ex ante view of rebalancing opportunity may paint a distinctly different outlook vs. an ex post analysis.
Finally, let’s compare the rolling one-year returns for the ETFs in GMI.F via boxplots for a revealing comparison of price momentum. The gray boxes in the chart below reflect the middle range of historical 250-day returns for each ETF — the 25th to 75th return percentiles. The red dots show the current return (through Mar. 24) vs. the 250-day return from 30 trading days earlier (blue dots, which may be hiding behind the red dots in some cases). For instance, the chart shows that REITs (VNQ) continue to hold the lead, as shown by the elevated level of the ETF’s red dot.