There are a lot of ETFs on the stock market, which often duplicate each other from different providers - Vanguard or Blackrock. Maybe it makes sense to narrow the ETF universe?
There are a lot of ETFs on the stock market, which often duplicate each other from different providers - Vanguard or Blackrock. Maybe it makes sense to narrow the ETF universe?
There are a lot of ETFs on the stock market, which often duplicate each other from different providers - Vanguard or Blackrock. Maybe it makes sense to narrow the ETF universe?
This is a great point. I have in my backlog an algo idea to test based on what you are saying.
It's an algorithm to iteratively build a universe of tradable ETFs. The idea would be something like this:
- Loop through all ETFs above a certain liquidity threshold, sorted by mkt cap descending
- Add the ETF to the universe iff its correlation is below a given threshold, in comparison to all other ETFs already added to the universe