ETF 20/20 : Exchange Traded Fund Monthly Report. Published: October 2016 Report Scope: Global

Transcription

1 ETF 20/20 : Exchange Traded Fund Monthly Report Published: October 2016 Report Scope: Global 1

2 Key Highlights Our monthly ETF 20/20 report briefly summarizes recent Exchange Traded Fund (ETF) trends globally. It uses data from the First Bridge ETF database that includes all global ETPs. Assets for ETPs globally grew in September 2016 to end the month at $3.45T. Blackrock cut fees on 15 Core ishares ETFs in the US. Schwab responded by cutting fees on five of their ETFs. Janus, a sponsor of 8 ETPs in the US, announced on October 3 rd that it would be acquired by UK based Henderson. This merger was likely driven by outflows in Janus primary long- only active management business. September 2016 was a blockbuster month for ETF activity, with over 135 new listings globally (including cross- listings & share class variants). Gold was the worst performing of 6 ETFs representing the major asset classes, in the trailing 1 month ending October 10, This correction has been driven by a stronger dollar and expectations of a rate increase by the US Federal Reserve in December. About Us First Bridge provides ETF data and analytics to reputed institutional clients. Our ETF data sets include daily ETF holdings, global ETF product & smart beta classifications, historical distributions and risk metrics. Our clients include asset managers, financial software providers and research firms that use ETF data as a critical input into their systems & workflow. We often provide high touch services to our clients in the form of ETF data sets customized to their needs with related support. The First Bridge team combines deep expertise in the Indexing & ETF domain with skills in statistical programming and data visualization. support@firstbridgedata.com Phone: (650) Web: 2

3 Global ETPs: Landscape Snapshot Assets for ETPs globally grew in September 2016 to end the month at $3.449T, continuing a secular trend in ETF asset growth. For more granular data & analytics on global ETFs: ETF / ETP Type Assets ($M) - Sep '16 Assets ($M) - Aug '16 1. Bonds 1.1 Broad Market 192, , Corporate 201, , Municipal 24,684 24, Treasury / Sovereign 147, , Inflation Protected 40,904 40, Specialty / Other 52,830 53, Commodities & Metals 2.1 Diversified Commodities 13,102 13, Agricultural 2,239 2, Energy 9,522 8, Gold & Metals 110, , Other US Equity Exposure 3.1 Broad Market & Size 713, , Dividend & Fundamental 87,776 87, Factor & Thematic 48,071 47, Sector & Industry 265, , Growth / Value 233, , Quant Strategy & Other 7,684 7, Global/Ex- US Equity Exposure * 4.1 Broad Market & Regional 517, , Country Specific 404, , Dividend & Fundamental 76,561 76, Factor & Thematic 67,764 66, Sector & Industry 68,932 66, Quant Strategy & Other 1,808 1, Multi- Asset & Other 64,546 64, Inverse / Leveraged 66,315 65, ETP Listed in Israel ** 29,699 30,099 All Globally Listed ETPs 3,448,676 3,418,111 Source: First Bridge Data and individual ETF Sponsors; ETF data as of Sep 30, 2016 * The Global Equities category includes both International (ex- US) and Global (US + International) ** Asset breakdown by exposure type not available for ETFs listed in Israel 3

4 Key Developments Impacting ETF Investors & Providers 1. Fee reductions in the US for core asset classes. Blackrock, the world s largest ETF provider, cut fees on 15 Core ishares ETFs in the US. The impacted ETFs included IVV, Blackrock s largest ETF by assets. Schwab responded by cutting fees on five of their ETFs representing major asset classes. Direxion reduced fees on 3 of their ETFs in September. The race to lower fees benefits investors, and is likely to provide a further boost to index- linked investing. ETF fund sponsors will be banking on increased net inflows offsetting their lower fees. Table: Expense ratio fee reduction for US listed ETPs (Sep 1 Oct 7, 2016) Sponsor Fee Reduction Action Impacted Tickers Blackrock Reduction (ranging from 0.03% %) in net expense ratios for 15 Core ETFs spanning US & global equities and bonds. Schwab Reduction of 0.01% in net expense ratios for 5 ETFs representing US small and mid caps, ex- US equities and bonds. Direxion Reduction of 0.2% in net expense ratios for 3 ETFs representing inverse bond exposure. Source: First Bridge Data; October 11, Janus acquired by Henderson. IVV, IJH, IJR, HDV, DGRO, IXUS, IEFA, IEUR, IPAC, IEMG, IUSB, AGG, ISTB, ILTB, IAGG SCHA, SCHM, SCHF, SCHE, SCHZ TYNS, TYBS, SAGG Janus, a US asset manager, announced on October 3 rd that it would be acquired by UK based Henderson. Janus is already a sponsor in the ETP space through its prior acquisition of Velocity Shares and at the time of the announcement had 8 ETPs listed in the US. This merger is likely driven by outflows in Janus primary long- only active management business and the different geo footprints of these two businesses. 3. Potential impact of US DoJ settlement on Deutsche Bank. There is concern that Deutsche Bank s potential mortgage security related settlement with the US Department of Justice (not finalized as of this report being published) could significantly weaken its capital position. This has an impact on DB ETPs in 2 ways: In Europe, Deutsche Bank acts as a swap counterparty for the ETFs issued by its asset management arm, many of which use swap- based replication. In addition, DB issues ETNs (18 in the US) where theoretically investors would lose their money if DB defaults on these debt instruments. These ETPs have already been hampered by suspensions in new share creations. Though DB is presumably too big to fail and will be able to raise additional capital if required, these are risks that ETP investors would need to monitor. 4

5 September 2016 ETF Launches US September 2016 was a blockbuster month in the US for ETF activity, with 41 new launches. The new listings are summarized below. A complete regularly updated ETF list can be accessed here: Table: September 2016 ETF Launches in the US Type of Exposure Sponsor Tickers Expense Ratios (in bps) US Equities Large & Mid Cap - Dividend FDVV:US Dividend Equities Correlated Fidelity 29 FDRR:US to Rising Interest Rates Dividend - ETF of ETFs Amplify Investments PFV:US 49 U.S. Small Cap Low Volatility Blackrock SMMV:US 20 U.S. Large & Mid Cap Low Volatility FDLO:US U.S. Equities Momentum Based Fidelity FDMO:US 29 U.S. Equities Quality Factor FQAL:US U.S. Equities Value Factor FVAL:US U.S. Small Cap Multi Factor Principal Financial PSC:US 38 U.S. Banking Multi Factor FTXO:US U.S. Food & Beverage Multi Factor FTXG:US U.S. Oil & Gas Multi Factor FTXN:US U.S. Pharma Multi Factor FTXH:US First Trust U.S. Retail Multi Factor FTXD:US 60 U.S. Semiconductor Multi Factor FTXL:US U.S. Transportation Multi Factor FTXR:US Earnings Fundamentals Active Advisor Shares CWS:US 75 Global Macro Risk Optimized Recon Capital USMR:US 30 Float Shrink & Free Cash Flow TrimTabs Asset Factors - Active Management TTAC:US 59 U.S. Low Volatility - Active Franklin Templeton FLLV:US 50 Global or Ex- US Equities Korea Growth - Active Advisor Shares KOR:US 99 Developed Markets Fintech FINX:US Developed Markets Internet of Global X 68 SNSR:US Things Theme 5

6 Type of Exposure Sponsor Tickers Expense Ratios (in bps) Developed Markets Robotics & Automation Theme BOTZ:US Silver Mining 2X Inverse Direxion DULL:US Silver Mining 2X Leveraged Shares SHNY:US 80 Bonds Investment Grade Enhanced Yield U.S. Bond Investment Grade Variable Interest Rate U.S. Bond - Active U.S. Investment Grade Corporate Bond Maturity 2026 U.S. High Yield Corporate Bond Maturity 2024 USD denominated High Yield Corporate Bond - Active U.S. Investment Grade Corporate Bond Maturity 2026 U.S. National Tax Free Municipal Bond (Intermediate) U.S. National Tax Free Municipal Bond (Long Term) U.S. National Tax Free Municipal Bond (Exposure through CEF) - Active U.S. Treasury Bond Short Term (0-1 years) Commodities & Metals Momentum Based Global Commodity Rotation - Active Factor Weighted Global Commodity Active Crude Oil Futures (K- 1 Free) - Active Multi- Asset / Other Diversified Alternatives Multi Strategy Multi Asset (Exposure through CEF) - Active Nuveen NUAG:US 20 Invesco Powershares Guggenheim JPMorgan Chase Blackrock (ishares) Van Eck Associates Corporation VRIG:US 30 BSCQ:US 24 BSJO:US 42 JPHY:US 40 IBDR:US 10 ITMS:US ITML:US 24 First Trust MCEF:US 191 Goldman Sachs GBIL:US 14 Elkhorn Investments DWAC:US 99 RCOM:US 75 ProShares OILK:US 65 JPMorgan Chase JPHF:US 85 First Trust FCEF:US 250 ETF List: Data as of Sep 30,

7 September 2016 Ex- US ETP Notable Launches There were over 95 new ETF listings (including cross- listings) outside the US in September Below we summarize the notable new ETP listings outside the US in the month. The table below is summarized from First Bridge s ETF data sets for institutional clients. Table: September 2016 ETF Launches outside the US Type of Exposure Sponsor Tickers Expense Ratios (in bps) US Equities U.S. Equities Broad Market UBS USAUSW:SW USAUK:SW 14 U.S. Large Cap CAD Hedged Horizons HSH:CN 10 U.S. Equities CAD Hedged, FCY:CN, First Asset Unhedged FCY/B:CN 70 U.S. Equities ESG (Hedged to EUR) UBS USSRF:IM 43 U.S. Equities ESG BNP Paribas EKLD:GR 31 U.S. Equities Buyback Strategy First Asset FBU:CN 60 U.S. Equities Low Volatility Strategy BNP Paribas VLUS:GR 42 U.S. Equities Sector Rotation CAD Hedged First Trust FSR:CN 30 U.S. Equities Low Volatility Strategy Source Holdings RUQR:LN 48 Global or Ex- US Equities China Equities Large Cap Wisdom Tree CHIC:LN 75 Europe Equities Quality Factor QCEU:IM Europe Equities Momentum Amundi 23 MCEU:IM Based Emerging Markets ESG BNP Paribas EMSR:FP 46 Developed Markets Exposure to Diversified Stocks MWD:CN Developed Markets ex North Mackenzie America Exposure to Investments Diversified Stocks MXU:CN 60 Developed Markets Europe Exposure to Diversified Stocks Global Demographic Change (Ageing Population) Equities USD, GBP, EUR Global Automation & Robotics Equities USD, GBP, EUR Blackrock (ishares) 7 MEU:CN AGED:LN, AGES:LN, 2B77:GR, AGED:SW 40 RBOT:LN, RBTX:LN, 2B76:GR,

8 Type of Exposure Sponsor Tickers Expense Ratios (in bps) RBOT:SW Global Healthcare Innovation Equities USD, GBP, EUR Global Digitalization Equities USD, GBP, EUR HEAL:LN, DRDR:LN, 2B78:GR, HEAL:SW DGTL:LN, DGIT:LN, 2B79:GR, DGTL:SW MSRUSA:IM 53 Emerging Markets ESG Japan Equities ESG Hedged to EUR UBS JPSRE:IM 50 Japan Equities ESG JPSR:IM 40 Canada Equities Buyback Strategy First Asset FBE:CN 60 Europe Equities Low Volatility VLEU:GR Europe Equities Momentum Based MOEU:GR 42 Europe Equities Quality Factor QUEU:GR Europe Equities Value Factor VALU:GR 42 Emerging Markets Ex EMKX:GR 51 Eurozone Equities Ex EMUX:GR Europe Equities Ex EEUX:GR Europe ex UK Equities Ex BNP Paribas EEXU:GR 31 Europe Small Cap Equities Ex EESM:GR Japan Equities Ex Controversial Weapons EJAP:GR 41 North America Equities Ex ENOA:GR 31 Pacific ex Japan Equities Ex PAC:GR 41 U.K. Equities Ex Controversial Weapons EMUK:GR 31 Global Equities Ex EWRD:GR 46 Japan Equities CHF Hedged DBX Strategic Advisors XMCJ:SW 60 Japan Equities Broad Market Source Holdings N400:IM 20 Global Equities Infrastructure RBC RIG:CN, RIG/U:CN 55 8

9 Type of Exposure Sponsor Tickers Expense Ratios (in bps) India Large & Mid Cap Equities USD, GBP, EUR Canada Equities Broad Market / Multi- Cap U.K. Large Cap Equities Korea Equities Broad Market / Multi- Cap Leveraged / Inverse ZyFin Funds INDM:LN, MIND:LN, INDM:GR 89 First Asset FCE:CN 70 Blackrock (ishares) IUSZ:GR 07 Yuanta 00667:TT 73 U.S. Large Cap Equities 2X Leveraged U.S. Large Cap Equities 1X Inverse Multi- Asset / Other China Asset Management 7261:HK 7331:HK 99 Canada Preferred Stock RBC RPF:CN 53 Bonds Emerging Markets USD Sovereign Bond Eurozone Sovereign Bond(EUR) Europe High Yield Corporate Bond U.S. Euro Hedged Investment Grade Corporate Bond U.S. Corporate Bond Downgraded to High Yield (USD, GBP, EUR) DBX Strategic Advisors Invesco Powershares 9 XQUA:IM 50 XESQ:IM 20 XDEP:IM XDGE:IM HYFA:LN, FAHY:LN, HYFA:IM, HYFA:FP, HYFA:SW, FAHY:GR Global Investment Grade Corporate Bond USD DBX Strategic XDGU:SW Global Investment Grade Advisors Corporate Bond EUR Hedged XDGE:SW 20 U.S. 1-3 Years Treasury Bond US1:IM U.S. 3-7 Years Treasury Bond Amundi US3:IM 14 U.S Years Treasury Bond US7:IM U.S. Corporate Bond Hedged to EUR UBS CBSUSE:IM 25 Asia Ex- Japan USD Corporate DBX Strategic ALQD:GR, Bond (EUR, USD) Advisors ALQD:LN 30 U.S Years Treasury Bond Horizons HTH:CN

10 Type of Exposure Sponsor Tickers Expense Ratios (in bps) CAD Hedged U.S. Corporate Bond Maturity RQJ:CN 2022 RBC U.S. Corporate Bond Maturity RQK:CN U.S. Corporate Bond Low Duration Source Holdings LDCU:IM 39 U.S. Corporate Bond UBS CBUSD0:IM 23 US Corporate Bond ESG (hedged to EUR) UBS CBSUSE:IM 25 Commodities & Metals Commodities Brent Oil Commodities Gasoline Commodities GAS OIL Commodities Heating Oil Commodities Natural Gas Commodities WTI Crude Oil BNP Paribas BNQC:GR, BNQC:TH BNQG:GR, BNQG:TH BNQF:GR, BNQF:TH BNQH:GR, BNQH:TH BNQE:GR, BNQE:TH BNQD:GR, BNQD:TH 100 ETF Data Source: As of Sep 30,

11 Performance of Key Asset Classes & Strategies Gold was the worst performing of the 6 ETFs representing the major asset classes, in the trailing 1 month ending October 10, This is a correction after gold appreciated through the year, particularly post- Brexit. Gold prices have been impacted by a stronger dollar and expectations of a rate increase by the US Federal Reserve in December. Major Asset Classes - Trailing 1 Month Total Returns 4% 3% 2% 1% 0% - 1% - 2% Emerging Equity (EEM) US Small Cap US Large Cap (IWM) (SPY) US Bonds (AGG) Developed Gold (GLD) Equity (EFA) - 3% - 4% - 5% - 6% Low volatility was the worst performing of the popular US equity strategies in the trailing 1- month ending October 10, % US Equity Strategies - Trailing 1 Month Total Returns 1% 0% - 1% - 1% S&P 500 Pure Value (RPV) S&P 500 Pure Growth (RPG) S&P 500 (SPY) S&P 500 Equal Weight (RSP) Large Cap Dividend (DLN) Low Volatility (SPLV) - 2% - 2% Data source: First Bridge Data ( Data as of October 10,

12 More First Bridge ETF Resources ETF Book - ETF Investment Strategies (McGraw- Hill): ETF Analytics Dashboard: ETF Daily Holdings: First Bridge maintains granular data sets for all globally listed ETFs, with key metrics. For more information, support@firstbridgedata.com 12

13 Important Disclaimers First Bridge Data LLC does not intend this guide to provide investment advice, and the information provided in this guide is not and should not be considered investment advice. First Bridge Data LLC shall not be liable for any actions or decisions made based on the information provided in this document, and the reader assumes all risk associated with any investment decision made based on information contained in this document. First Bridge Data LLC is not a registered investment advisor or broker, and does not recommend specific securities, funds, or investment strategies, nor does it advocate the purchase or sale of any individual investment vehicle. Discussion or references to specific securities or investment products in this book should not be considered endorsements or offers to buy or sell those products. The past performance of a mutual fund or exchange- traded fund (ETF), security, or investment strategy cannot guarantee its future performance. First Bridge Data LLC has no obligation to update this document or to correct any errors or omissions that might be contained in this document. First Bridge Data LLC disclaims all warranties of any kind, expressed or implied, and hereby disclaim and negate all other warranties, including without limitation implied warranties or conditions of merchantability, fitness for a particular purpose, or non- infringement of intellectual property or other violation of rights. First Bridge Data LLC does not guarantee the completeness, accuracy, or timeliness of any data in this document, including any data sourced through third- party content providers. Neither First Bridge Data LLC nor its employees, third- party content providers, nor any person through whom the First Bridge Data LLC makes this document available, shall be liable for any direct, indirect, incidental, punitive, special, or consequential damages (including, without limitation, attorneys fees), whether in an action of contract, negligence, or other tortious action, that result from the use of this book. Neither First Bridge Data LLC nor its content providers shall be liable for any punitive, special, indirect, or consequential damages arising from or relating to the foregoing, whether in contract or tort or otherwise, even if First Bridge Data LLC has been advised of the possibility of such damages. 13