Quant ETFs

NumeroUno

Member
This post is a request for recommendations on trading-model designs that have been incorporated into ETFs.

Does anyone have suggestions on quantitative ETF model designs that are based on solid research, design, and testing?

These two are interesting to me:

1.) HTUS, which is based on this paper:

A Practitioner's Defense of Return Predictability by Blair Hull, Xiao Qiao :: SSRN

The equity curve of HTUS seems very smooth to me. Click to see plot HERE.

2.) GMOM, which is based on this paper (see GTAA Aggressive, page 50):

A Quantitative Approach to Tactical Asset Allocation by Meb Faber :: SSRN

Any other quantitative ETFs worth looking at? All quantitative trading approaches are of equal interest, here -- quantitative value, momentum, quantitative market-timing (also sometimes dubiously phrased as "dynamic risk-management").
 
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