Testing IFED ETNs

“Invest with the Fed?” finds that indexes based on the Invest With the Fed (IFED) stock selection strategy beat reasonable benchmarks. How does that finding translate to investable assets? To investigate, we look at performances since inception of two exchange-traded note (ETN) offerings:

1. ETRACS IFED Invest with the Fed TR Index ETN (IFED), with SPDR S&P 500 ETF Trust (SPY) as a benchmark.
2. ETRACS 2X Leveraged IFED Invest with the Fed TR Index ETN (FEDL), with ProShares Ultra S&P500 (SSO) as a benchmark.

We focus on average monthly return, standard deviation of monthly returns, monthly reward/risk (average return divided by standard deviation), compound annual growth rate (CAGR) and maximum drawdown (MaxDD) as key performance metrics. Using monthly dividend-adjusted returns for IFED, SPY, FEDL and SSO during September 2021 through April 2024, we find that: (more…)