Major categories of tradable securities and the ETF's that track them?

Question

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so on and have no clue what they are (have to google them each time). I'm hoping to compile a list (or be pointed to a list) of all major categories of tradable securities and the ETF's that track them, and how they are calculated, so that I know what's out there and start to understand other people's trading strategies.

Is there a good place to start? What's the best way to learn about all of these indexes/securities? Does such a list exist?

Sorry if this is off-topic, I'm just hoping to get some pointers from experienced quants on getting started. Thanks all.

Answer 1

A good place to find a list of categories would be Morningstar.com, as they were early creators and promoters of assigning securities to the asset class categories most quoted today. Even signing up for the free access option should give one the ability to group funds by asset class categories and then rank them by some some metric. Here is a link to a page displaying their broad mutual fund categories:

http://news.morningstar.com/fund-category-returns/

If a fund contains equities with high valuations which are among the top 70% of the capitalization of the U.S. equity market, and if regressing this fund against a benchmark (say the Russell 1000 index) produces an R^2 above some threshold, the fund may be categorized as Large Cap Growth. If one looks around the Morningstar site, they should find "some" documentation of their methodology.

While I think this answers your question and then some, most commercial sites will probably help one better understanding how quantitative finance strategies are packaged and consumed, rather than containing pointers on getting started in actually doing the work.

Good luck hope that helps,

Justin

Answer 2

This question is very broad and subjective. There are many ways to look at ETFs (for short term trading, for long term holding, ...). What is useful to one person is ridiculous to another. Many people who work with ETF's keep (and update) their own list of ETFs that are relevant to them. You may want to do the same.

Here is one person's list, emphasizing broad coverage of major asset classes. It excludes 2x and 3x funds, individual country funds (of which there are dozens) and smart beta funds. Apologies for any mistakes or omissions.

ETFs for Major Asset Classes

Broad categories of world stocks

VTI   ITOT        US Stocks (US Tot Stk Mkt Index)
VEA               Developed non-US mkts (FTSE dev ex-northAm)
VWO   SCHE  EEM   Emerging Mkt Stocks
FM    FRN         Frontier Mkts

Stock styles within US

RSP               Guggenheim S&P 500 EW
RPV               Guggenheim  S&P500 Pure Value
IWB   VONE        iShares Russell 1000
IWF               iShares Russell 1000 Growth
IWD               iShares Russell 1000 Value
SCHV              Schwab Large Cap Value
IUSV              iShares Core S&P Value
VTV               V CRSP Large Cap Value
EQAL              Russell 1000 EW
IWM   VTWO        iShares Russell 2000
IWO               iShares Russell 2000 Growth
IWN               iShares Russell 2000 Value
SPLV              Sp500 Low Volatility
USMV              iShares MSCI USA Minimum Volatility
LGLV              Russell 1000 Low Volatility
USLB              Russell 1000 Low Beta EW
VBR               Small Cap Value (CRSP US sm cap val)
VBK               Small Cap Growth (CRSP US sm cap gr)
VB                Small Cap (CRSP US sm cap)
MDY               S&P Midcap 400
VOE               CRSP Mid Cap Value
IJR               S&P Smallcap 600
EWSC              S&P Smallcap 600 EW
SLYV              S&P Smallcap 600 value
SLYG              S&P Smallcap 600 growth
EES               Wisdomtree Small Cap Earn
VYM               High Dividend Yield

Industry sectors within US

XLF   VFH         Financial Sector
XLK   VGT         Technology Sector
XLV   VHT         Health Care Sector
XLP   VDC         Consumer Staples Sector
XLY   VCR         Consumer Discretionary Sector
XLE   VDE         Energy Sector
XLB   VAW         Materials Sector
XLI   VIS         Industrial Sector
XLU   VPU         Utiltites Sector
RWR   VNQ         REITs

Specific industries within US

XME               Metals and Mining
XBI               Biotech
XPH               Pharmaceutical
XAR               Aerospace and defense
XTL               Telecom
XHB               Homebuiders
XRT               Retail
KIE               Insurance


Stock styles international (outside US)

EFA               iShares MSCI EAFE
EFG               iShares MSCI EAFE Growth
EFV               iShares MSCI EAFE Value
SCHF              Schwab FTSE dev ex US
VSS               V FTSE AW ex US Small Cap
SCZ               iShares MSCI EAFE Small Cap
GWX               SPDR International Small Cap


Bonds

(1) US Treasuries by Maturity
BIL               SPDR Bbg Barclays 1-3 Month T-Bill
SHY   VGSH        USTR Sh Term bd (1-3 years)
IEI   VGIT        US 3-7 year treasury
IEF               US 7-10 year treasury
TLH               US 10-20 year treasury
TLT               US 20+ year treasury
EDV               US Extended Duration (24 yr)
VTIP  SCHP  TIP   Treas Inflation Prot Securities

(2) Bond portfolios including some non-USTR bonds
BND   AGG   SCHZ  Total Bond Mkt (Aggr bnd index, us inv grade)
BLV               Lg Term bond (global)
BSV               Sh Term bond (global)
BNDX  IAGG        V International Bond (Aggr exUS, hedged)
CSJ   VCSH        1-3 year credit (us inv grade)
LQD   VCIT        US inv grade corp
CLY   VCLT        10+ yr credit (us inv grade)
JNK   HYG         High yield bond
BWX               Intl treas ex US
HYXU              Dev Mkts ex US high yield
PCY               Em Mkts Sovereign USD Debt
VWOB  EMB         Em Mkts Govt Bond
CEMB              Em Mkts Corp Bond
EMLB              Em Mkts lcl currency Bond
EMLC              Em Mkts lcl currency Bond
VTEB              US Municipal Bond
BKLN              Senior Loan (lev loan)

Real Estate Investment Trusts

VNQ   SCHH        US REITs
VNQI              REITs ex US
REM               Mortgage REITs

Global Infrastructure

IGF               iShares Global Infrastructure

Preferred Stock/Convertibles

PFF   PSK         Preferred Stock
CWB               SPDR Bbg Convertible
ICVT              iShares Conv Bond

Commodities & Resources

GLD               Gold
RING              Gold Mining Stocks
USO               Crude Oil
COMB  BCI         BBG Commod index
BCD               BBG Commod index 4-6 mo.
COMG              GSCI Commod Index
SLV               Silver
PPLT              Platinum
PALL              Palladium
CPER              Copper
WOOD              Ishares Global Timber & Forest
FIW               First Trust Water

Master Limited Partnerships

AMLP  AMJ         Alerian MLP index
TPYP              Tortoise NA Pipeline MLP

Foreign Exchange

UUP               US dollar (bullish Usd vs 6 major currencies)
UDN               US dollar (bearish Usd vs 6 major crrencies)
FXE               Long the Euro
FXY               Japanese Yen
CYB               Chinese Yuan
DBV               DB G10 Carry Trade

Option Based, Volatility Based

PUTW              Wisdomtree CBOE S&P 500 PutWrite (PUT)
PBP               PowerShares S&P 500 BuyWriteCall (BXM)
VXX               Volatility
XIV               Volatility Inverse