ETF 20/20 : Exchange Traded Fund Monthly Report. Published: July 2017 Report Scope: Global

Transcription

1 ETF 20/20 : Exchange Traded Fund Monthly Report Published: July 2017 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. Global ETF assets were $4.208T at the end of June 2017, a 17.3% increase from year- end MSCI announced that beginning in June 2018, it would include China A Shares in its widely followed Emerging Markets and All Country World Indices. The decision was driven by the increased accessibility of A shares to international investors. Russell conducted its annual rebalance in June, with the newly reconstituted indices taking effect after close of trading on June 23. Guggenheim reduced the fees on the popular S&P 500 Equal Weight ETF ( RSP ) from 0.4% to 0.2%. There were 25 new ETP listings in the US and over 130 outside the US in June Emerging market equities ( EEM ) was the best performing of 6 ETFs representing the major asset classes in the trailing 1 month through July 19, 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 Global ETF assets grew to $4.208T at the end of June Total assets grew by 17.3% in the first half of 2017 and by 1.8% in June. The table below provides a detailed breakdown by ETF category, and is a summary from the First Bridge ETF data and analytics platform. ETF / ETP Type Assets ($M) - Jun '17 Assets ($M) - May '17 1. Bonds 1.1 Broad Market 220, , Corporate 239, , Municipal 27,605 27, Treasury / Sovereign 163, , Inflation Protected 50,017 49, Specialty / Other 40,295 39, Commodities & Metals 2.1 Diversified Commodities 13,845 14, Agricultural 2,116 2, Energy 10,284 8, Gold & Metals 103, , Other US Equity Exposure 3.1 Broad Market & Size 914, , Dividend & Fundamental 102, , Factor & Thematic 57,691 55, Sector & Industry 318, , Growth / Value 294, , Quant Strategy & Other 8,643 8, Global/Ex- US Equity Exposure 4.1 Broad Market & Regional 715, , Country Specific 501, , Dividend & Fundamental 90,963 90, Factor & Thematic 88,565 86, Sector & Industry 76,921 77, Quant Strategy & Other 2,144 2, Multi- Asset & Other 72,396 70, Inverse / Leveraged 62,804 62, ETP Listed in Israel* 31,163 31,078 All Globally Listed ETPs 4,208,343 4,132,489 Source: First Bridge Data and individual ETF Sponsors; ETF data as of Jun 30, 2017 * 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 ETF Related Developments in June 2017 The middle of the calendar year is always a significant period for index linked ETF investing due to the annual index review and reconstitutions by MSCI and Russell. Changes to index rules and constituents have significant implications for ETFs that track these indices. 1. MSCI to add China A shares to its emerging markets and all world indices. MSCI announced that beginning in June 2018, it would include China A Shares in its widely followed Emerging Markets and All Country World Indices. The decision was driven by the increased accessibility of A shares to international investors via the Stock Connect program. It is expected that 222 Large Cap stocks will be added to the MSCI Emerging Market index, which will represent approximately 0.73% of the index weight at a 5% partial inclusion factor. MSCI announced it would follow a 2- step inclusion process, starting with a May 2018 semi- annual review and a second step in their August 2018 quarterly review. The inclusion factor for these shares could be increased in the future, depending on the resilience of the Stock Connect program and the accessibility of these shares to international investors. ETFs that track these indices will correspondingly adjust their holdings, and MSCI estimates new inflows of $18B into mainland stocks due to this change. 2. Russell conducts annual index rebalance. Russell conducted its annual rebalance in June and the newly reconstituted indices went into effect after the close of trading on June 23. The Russell rebalance date is typically one of the busiest trading days of the year, as ETF and index fund managers trade constituents to match the index changes. In a sign of the shifting economy, this was the first time that four of the five largest firms in the Russell 1000 were technology firms. The breakpoint between large and small cap companies increased by 17% from $2.9B to $3.4B in 2017, reflecting the growth in the overall US market. 3. Guggenheim cuts fees on the S&P 500 Equal Weight ETF ( RSP ) The S&P 500 Equal weight ETF (RSP), launched in 2003, was the first widely adopted smart beta ETF i.e. it departed from the traditional market cap weighting methodology. Guggenheim reduced the net expense ratio for the ETF from 0.4% to 0.2% effective as of June 30, Data Source: First Bridge Data; June 30,

5 June 2017 ETF Launches US There were 25 new listings in the US in June The new listings are summarized below (this is a subset of our complete regularly updated ETF list). Table: June 2017 ETF Launches in the US Type of Exposure Sponsor Tickers Expense Ratios (in bps) US Equities Equities Hedged with Treasuries - Active Formula Folio FFHG:US 115 Master Limited Partnerships JPMorgan (MLP) Chase PPLN:US 95 Undervalued Brands ETF Managers Group BVAL:US 65 Small Cap High Free Cash Flow Pacer Financial CALF:US 59 US Large Cap Dividend RNLC:US 60 US Mid Cap Dividend RNMC:US 60 First Trust US Small Cap Dividend RNSC:US 60 US Equity Dividend RNDV:US 50 US Multi- Factor Large Cap Guggenheim GMFL:US 25 US Multi- Factor Low Volatility VictoryShares VSMV:US 35 Short US Equity - Active Virtus ETF Solutions VESH:US 55 US Multi- Factor Wisdom Tree USMF:US 28 US Small Cap Multi- Factor Goldman Sachs GSSC:US 20 Global or Ex- US Equities Ex- North America Developed - ESG NUDM:US 40 Emerging Markets - ESG Nuveen NUEM:US 45 Ex- US - High Free Cash Flow Pacer Financial ICOW:US 65 Developed Ex- US Low Volatility RNDM:US 65 First Trust Emerging Markets Low Volatility RNEM:US 77 Global Precious Metal Mining Ex- US High Free Cash- Flow - Active Multi- Asset / Other U.S. Global Investors GOAU:US 60 TrimTabs TTAI:US 59 5

6 Type of Exposure Sponsor Tickers Expense Ratios Oil Price Hedged MLP - Active Amplify Investments AMLX:US 85 ClearShares OCIO ETF Exchange Traded OCIO:US 67 Concepts Bonds Broad Market Bonds - Active FormulaFolio Investments FFTI:US 100 Investment Grade Corporate Bond Goldman Sachs GIGB:US 14 California Municipal - Active First Trust FCAL:US 50 ETF List: Data as of June 30,

7 June 2017 Ex- US ETP Notable Launches There were over 136 new ETF listings (including cross- listings and currency hedged share classes) outside the US in June Below we summarize the notable new ETP listings outside the US. The table below is extracted from First Bridge s ETF data sets for institutional clients. Table: June 2017 ETF Launches outside the US US Equities Type of Exposure Sponsor Tickers 7 Expense Ratios (in bps) US Low Volatility Amundi MIVU:NA 18 US Quality Dividend Blackrock XDU:CN 14 US Quality Dividend (CAD- Hedged) (ishares) XDUH:CN 14 US Large Cap ESD:SW 20 US Large Cap - EUR Hedge ESEH:SW 20 US Low Volatility BNP Paribas EVOU:IM 30 US Large Cap - USD ESDD:SW 20 US Large Cap - EUR ESE:SW 20 US Large Cap - Active Franklin Templeton FLUS:CN 25 US Large Cap HSBC HSPD:IM 09 US Large Cap - Multi Factor PQVM:IM 35 Invesco US Large Cap - Multi Factor QVMP:GR 35 Powershares US Large Cap - Multi Factor PQVM:SW 35 US Quality Low Volatility Dividend BUCK:LN 19 Lyxor US Quality Low Volatility Dividend DIVU:LN 19 CAPE Based Sector Rotation - EUR Hedged OSSIAM ETF CAPH:SW 65 US Wide Moat Van Eck MOGB:LN 49 Global or Ex- US Equities Japan Quality Market Access M9SQ:GR 50 Emerging Market Equity HMEM:IM 40 Europe Large Cap H50E:IM 05 HSBC Global Equities HMWD:IM 15 Japan Equities HMJD:IM 19 Cyber security ISPY:NA 75 ETF Securities Global Robotics and Automation ROBO:NA 95 Canadian Quality Dividend XDIV:CN 10 Global Quality Dividend Blackrock XDG:CN 20 Global Quality Dividend (CAD- Hedged) (ishares) XDGH:CN 20 World Low Volatility (EUR Hedged) SXR0:SW 30

8 Type of Exposure Sponsor Tickers Expense Ratios World Multifactor (EUR Hedged) IS07:SW 50 EMU - EUR CEUDIS:SW 33 World Quality Dividend WQDS:LN 38 World Quality Dividend WQDV:LN 38 Europe Quality Dividend EQDS:LN 28 Europe Quality Dividend EQDV:LN 28 Developed Europe ex- UK Source Holdings MXUK:GR 20 Gold Miners GDGB:LN 53 Van Eck Small Cap Gold Miners GJGB:LN 55 Indonesia Large Cap Pinnacle XPLC:IJ 25 Indonesia - Core High Dividend Investments XPDV:IJ 25 Developed Europe Broad Market ETZ:SW 30 Developed Europe Broad Market ETZD:SW 30 Global Infrastructure EENG:IM 87 Pacific ex Japan ex Controversial Weapons EPEJ:IM 26 North America ex Controversial Weapons ENAM:IM 26 Japan ex Controversial Weapons EJAH:IM 26 Europe ex Controversial Weapons EEUE:IM 26 EMU ex Controversial Weapons EEMU:IM 26 Emerging Markets ex Controversial Weapons BNP Paribas EEMK:IM 35 Eurozone Real Estate EEA:IM 51 Europe Value EVAE:IM 30 Europe Quality EQUA:IM 30 Europe Momentum EMOM:IM 30 Europe Low Volatility EVOE:IM 30 Europe Large Cap ETCC:SW 25 Europe Large Cap ETDD:SW 25 Europe Large Cap ETBB:SW 25 Brazil LYRIO:SW 65 Taiwan LYTWN:SW 65 Russia LYRUS:SW 65 Lyxor Europe Broad Market LYMEU:SW 25 UK Quality Low Volatility Dividend DOSH:LN 19 Latin America LYLTM:SW 65 Emerging Market Equity XMME:GR 20 DBX Strategic Emerging Market Equity XMME:LN 20 Advisors Japan XMUJ:SW 40 Europe - EUR Hedged UBS UIMF:GR 30 8

9 Type of Exposure Sponsor Tickers Expense Ratios Europe - EUR Hedged EUEUA:SW 30 Europe - USD Hedged EUUSA:SW 30 Europe - GBP Hedged EUGBA:SW 30 Europe - CHF Hedged EURCHA:SW 30 Europe - GBP Hedged UBEU:LN 30 Sustainable Japan Equity IQJP:FP 35 Sustainable EMU Equity Index IQ IQMU:FP 30 Sustainable Europe Equity IQEE:FP 30 Asian REIT Nikko AM 1495:JP 70 Global Infrastructure GINF:NA 55 North America NRAM:LN 15 Amundi Global Equity MWRD:LN 18 Europe Real Estate EPRA:LN 24 Korea KB AM :KS 18 North America Tech HTA:CN 85 North America Tech Harvest FM HAT/U:CN 85 Global Real Estate HGR:CN 85 Marijuana Life Sciences Horizons HMMJ/U:CN 75 Ex- US Multi- Factor Franklin Templeton FLDM:CN 40 Bonds Global Government GGOV:LN 20 Global Investment Grade (>$500M) GAGG:LN 20 Amundi Floating Rate USD Corporate EUR Hedge AFLE:SW 20 Floating Rate Corporate AFLT:SW 18 Australian Bank Senior Floating Rate Bond Beta Shares ETF QPON:AU 22 Core Cash BILL:AU 07 Enhanced Cash ISEC:AU 12 USD Corporate Bond LQDA:SW 20 USD High Yield Corporate Bond IHYA:SW 50 Blackrock USD Short Duration Corporate Bond (ishares) SDIA:SW 20 USD Treasury Bond 1-3 years IBTA:SW 20 USD Emerging Markets Bond JPEA:SW 45 US Aggregate Bond IUAA:SW 25 US Mortgage Backed Securities IMBA:SW 28 EMU Bonds JBEM:FP 18 BNP Paribas EMU Bonds JBEM:GR 18 Eurozone Inflation Linked Govt. Bond DBX Strategic XEIN:SW 20 9

10 Type of Exposure Sponsor Tickers Expense Ratios Short Euro Sovereigns Advisors XSGL:SW 15 Global Inflation Linked Govt Bond (USD hedged) XG7U:SW 25 Global Government Bond (USD Hedged) XGSI:SW Years US Treasury 00694B:TT Years US Treasury Fubon AM 00695B:TT Years US Treasury Bond 00696B:TT 40 Sustainable Sovereign Euro Bond IQEG:FP 30 Index IQ Sustainable Corporate Euro Bond IQEC:FP 35 Korea Short Term Debt :KS 07 KB AM Korea Mid term Debt :KS 07 Korea Treasury & Agency Bonds Korea Invt Trust :KS 08 10Y Inflation Breakeven - USD INFU:SW 25 Lyxor EUR 2-10Y Inflation Breakeven INFL:SW 25 Korea Money Market - Active Mirae Asset :KS 08 Short Duration Tactical Bond Purpose SBND:CN 25 Korea Total Bond Market - Active :KS 07 Samsung Korea FRN Bank 1Y - Active :KS 15 EM Local Currency Bond - GBP Van Eck EMGB:LN 44 Yield Enhanced Canada Short- Term Aggregate Bond Wisdom Tree CAGS:CN 18 Yield Enhanced Canada Aggregate Bond CAGG:CN 18 US Treasury 7-10 Year Bond 00697B:TT 57 Daily US Treasury 7-10 Year Bond Bull 2X Yuanta 00698L:TT 96 Daily US Treasury 7-10 Year Bond Bear 1X 00699R:TT 88 Commodities & Metals Diversified Commodity Futures - USD DBX Strategic XBCU:SW 55 Diversified Commodity Futures - GBP Advisors XDBG:SW 55 ETFS Physical Swiss Gold ETF Securities SGBS:NA 29 Core Commodity Ex- Agriculture - USD CRAU:SW 35 Core Commodity Lyxor CRB:SW 35 Core Commodity Ex- Energy - EUR LYCRN:SW 35 WTI Crude Oil Futures Inverse :KS 35 Samsung Grains Futures :KS 55 Diversified Commodity Futures BCFU:GR 37 Diversified Commodity Futures UBS BCFE:GR 37 Diversified Commodity Futures BCCU:LN 37 ETF Data Source: As of June 30,

11 Performance of Key Asset Classes & Strategies Emerging market equities ( EEM ) was the best performing of 6 ETFs representing the major asset classes in the trailing 1 month through July 19, Key Asset Classes - 1 Month Total Return 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% - 1.0% Emerging Equity (EEM) US Small Cap (IWM) Developed Equity (EFA) US Large Cap (SPY) US Bonds (AGG) Gold (GLD) In the US large cap equity space, growth continued to outperform traditional cap weighting and value in the trailing 1 month through July 19, US Equity Strategies - 1 Month Total Return 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% - 0.5% - 1.0% - 1.5% S&P 500 Pure Growth (RPG) S&P 500 Pure Value (RPV) S&P 500 (SPY) S&P 500 Equal Weight (RSP) Large Cap Dividend (DLN) Low Volatility (SPLV) Data source: First Bridge Data ( Data as of July 19,

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

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