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Follow-up on another thread
https://boards.fool.com/alices-adventures-in-factorland-thre...

When screening for WWL ETF's.
The following pre-filter criteria applied are without backtest just a few years of actual experience. Seems reasonable?


After some trial and error a better result was to expand "Net Assets" and "Volume(90dAvg)" to GT median values. Added some other options also.

These are applied to an on going WWL(select 25 of 100) RS screen.

                     AS OF 07/17/2021                AS OF 08/01/2021                           AS OF 08/01/2021                      AS OF 08/03/2021

Criteria: ETP Type ETP Type ETP Type ETP Type
Values: ETFs ETFs ETFs ETFs
Matches: 2488 2502 2502 2500

Criteria: Leveraged / Inverse Leveraged / Inverse Leveraged / Inverse Leveraged / Inverse
Values: Not Leveraged or Inverse Not Leveraged or Inverse Not Leveraged or Inverse Not Leveraged or Inverse
Matches: 2313 100% 2326 100% 2326 100% 2324 100%

Filters(Assets) high and very high > Market Median > Market Median > Market Median
Criteria: Net Assets Net Assets Net Assets Net Assets
Values: $239.77M and Above $130.00M-$999.00B $130.00M-$999.00B $130.00M-$999.00B
Matches: 972 42% 1199 52% 1199 52% 1198 52%

Filters(Vol90d) high and very high > Market Median > Market Median > Market Median
Criteria: Volume (90 Day Avg) Volume (90 Day Avg) Volume (90 Day Avg) Volume (90 Day Avg)
Values: 46.07K and Above 25.00K-100.00M 25.00K-100.00M 25.00K-100.00M
Matches: 773 33% 977 42% 977 42% 980 42%

Filters(NER) low and very low low and very low low and very low low and very low
Criteria: Net Expense Ratio Net Expense Ratio Net Expense Ratio Net Expense Ratio
Values: 0.64% and Below 0.64% and Below 0.64% and Below 0.64% and Below
Matches: 664 29% 823 35% 823 35% 822 35%

Filters(optional) not very High not very High very low Oldest, Older & Intermediate
Criteria: Tracking Error Standard Deviation (Month-End 3 Yr) Median Bid/Ask Spread (30 Day) Inception Date
Values: 0.00-21.18 0.00-29.56 0.00%-0.28% 29 – 3 Years
Matches: 612 26% 682 29% 751 32% 754 32%


GD_
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