How to Build an ETF Screen in Large Cap Equity

Example 1: How to Build an ETF Screen in Equity Large Cap

Let’s now look at a couple of examples to deepen our understanding of the ETF screeners. In our first example, we will look for ETFs in Equity Large Cap that have low tracking differences with a high Sharpe ratio.

We will begin with filtering our universe. 

As we see 55 ETFs are shortlisted. Next, we will filter the ETFs with low tracking differences. We will select a 1-year tracking difference and choose the bottom 30%.

Smaller tracking differences indicate a more accurate replication of the benchmark's performance. As we can see, we are now left with 16 ETFs. 

Finally, we will select ETFs with a high Sharpe ratio. We will select the Sharpe ratio metric and choose the Top 10%.

We now have our finalized list of ETFs. We hope this example helped cement your understanding of how to build an ETF screen more.

Let’s now look at another example.