Great work James. Just as an FYI, looks like Wisdom Tree just released two quant-driven long-short ETFs. Excerpted from seekingalpha.com:
" DYLS tracks the WisdomTree Dynamic Long/Short U.S. Equity Index, which consists of long positions in approximately 100 U.S. large- and mid-cap stocks that meet eligibility requirements and have the best combined score based on fundamental growth and value signals, and short positions in the largest 500 U.S. companies. The long positions are weighted according to their volatility characteristics, while the short positions are weighted by market cap and designed to hedge against market risk. The long-portfolio will be 100% invested at all times, while the short portfolio will vary between 0% and 100% exposure based on "a quantitative rules-based market indicator that scores growth and value market signals."
DYB tracks the WisdomTree Dynamic Bearish U.S. Equity Index, which switches between long positions in the same stocks as DYLS and U.S. Treasurys. DYB's short portfolio is the same as DYLS's. The long equity portfolio can range from 0% to 100% while employing a "variable monthly hedge ratio" from 75% to 100% in the short portfolio. During times when the market indicator shows unattractive readings on valuation and growth characteristics, DYB can move to 100% exposure to U.S. Treasurys."
QuantShares U.S. Market Neutral Momentum ( MOM ) was the best-performing alternative ETF in 2015, delivering a return of 23.5%. MOM tracks the Down Jones U.S. Thematic Market Neutral Momentum Index, which is a long-short index that tracks momentum and is dollar neutral.