ETF 20/20 : Exchange Traded Fund Monthly Report. Published: December 2016 Report Scope: Global
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1 ETF 20/20 : Exchange Traded Fund Monthly Report Published: December 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. Global ETP assets were $3.49T at the end of November. US equity ETPs saw significant asset growth due to a post- election bounce and rotation into US equities. The US Fed raised the federal- funds target rate by a quarter percentage point. Large ETFs representing asset classes traditionally considered rate sensitive (Utilities, Dividends, REITs) have seen positive returns but negative flows since the election. It appears the Trump administration may challenge prevailing US orthodoxy on trade and political partnerships. Russia (RSX) is up 12.3% while Mexico (EWW) and China A/B Shares (GXC) are down 8% and 5.1% respectively since the US elections. There were over 75 new ETPs listed globally across multiple markets. Gold has seen significant declines in the trailing 1 month as yields have gone up, though the asset class could generate renewed interest if inflation increases. Value significantly outperformed growth in the US equity space over the trailing 1- month. 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 ETP assets were $3.49T at the end of November. US equity ETPs saw significant asset growth driven by a post- election bounce and a rotation into US equities. More granular data & analytics on global ETFs can be accessed here: ETF / ETP Type Assets ($M) - Nov '16 Assets ($M) - Oct '16 1. Bonds 1.1 Broad Market 189, , Corporate 195, , Municipal 23,409 24, Treasury / Sovereign 134, , Inflation Protected 43,759 41, Specialty / Other 54,376 55, Commodities & Metals 2.1 Diversified Commodities 13,281 13, Agricultural 2,058 2, Energy 10,169 8, Gold & Metals 95, , Other US Equity Exposure 3.1 Broad Market & Size 767, , Dividend & Fundamental 91,740 86, Factor & Thematic 47,605 46, Sector & Industry 278, , Growth / Value 249, , Quant Strategy & Other 7,818 8, Global/Ex- US Equity Exposure 4.1 Broad Market & Regional 511, , Country Specific 408, , Dividend & Fundamental 76,604 76, Factor & Thematic 67,921 67, Sector & Industry 65,948 66, Quant Strategy & Other 1,758 1, Multi- Asset & Other 63,477 64, Inverse / Leveraged 62,380 64, ETP Listed in Israel* 28,841 28,575 All Globally Listed ETPs 3,491,703 3,415,480 Source: First Bridge Data and individual ETF Sponsors; ETF data as of Nov 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. Federal Reserve rate hike could accelerate rotation out of rate sensitive ETFs. On December , the US Federal Reserve raised the federal- funds target rate by a quarter percentage point to between 0.5%- 0.75%. The rate increase had been anticipated by investors and has been driving outflows in some ETF categories traditionally considered rate sensitive. Many of the large ETFs representing these asset classes have seen net outflows since the election, though most have had positive returns. ETF Category US Utilities Returns from Nov 9 Dec 16, 2016 (Post Election) * XLU was up 3.2% relative to 4.6% for the broader SPY. DVY was up 6.05% relative to Net Flows from Nov 9 Dec 16, 2016 (Post Election) XLU - net outflows of $366M (6% of Nov end assets). DVY - net outflows of $203M US Dividend Equities 4.6% for SPY. (1.2% of Nov end asset total). Master Limited AMLP was up 2.75%. AMLP - net inflows of $389M Partnerships (MLPs) (4% of Nov end asset total). US REITS VNQ was up 4.07%. VNQ - net outflows of $90M (0.3% of Nov end asset total). Long duration bonds BLV was down 4.1% relative BLV - net outflows of $45M to a 2.2% decline in AGG. (2.5% of Nov end asset total). 2. Possible geo- political or trading re- alignments. Though it is premature to draw definitive conclusions, it appears the Trump administration may challenge some of the prevailing US orthodoxy on trade and political partnerships. Changes in US tariffs or treaties would have a global impact, but in the table below we have looked at recent performance and flows for specific regions that could be directly impacted. Possible Scenarios Returns from Nov 9 Dec 16, 2016 (Post Election) * Mexico Talk of NAFTA re- EWW - down 8.1%. negotiation has resulted in a weaker peso. Mexico could respond with deeper trading ties to China. Russia Possible easing of tensions and economic sanctions. Saudi Arabia testing of past alliance and possible shifting of Aramco listing to other markets from New York. China potential tensions over South China Sea and One- China policy as well as tariffs on trade. Net Flows from Nov 9 Dec 16, 2016 (Post Election) EWW - net outflows of $495M (32% of Nov end asset total). RSX - up 12.3% RSX - inflows of $474M (25% of Nov end assets). KSA - up 8.2%. No change in net flows. FXI (H- shares) - down 3.4% while GXC (A/B shares) - down 5.1%. * Total returns between Nov 9- Dec 16, 2016; Source: First Bridge Data ( FXI - net outflows of $153M (4% of Nov end asset total). 4
5 November 2016 ETF Launches US There were 14 ETPs listed in the US in November A complete regularly updated ETF list can be accessed here: Table: November 2016 ETF Launches in the US US Equities Type of Exposure Sponsor Tickers Customer Satisfaction Score Weighted Expense Ratios (in bps) ACSI Funds ACSI:US 65 Hedge Fund Replication Goldman Sachs GVIP:US 45 Restaurant Industry United States Commodity Funds MENU:US 65 U.S. Small Cap Multi- Factor JPMorgan Chase JPSE:US 39 Global or Ex- US Equities Ex- US Quality Dividend Growth - Currency Hedged Developed (EAFE) High Dividend Yield Emerging Markets Low Volatility High Dividend Wisdom Tree DHDG:US 48 Global X EFAS:US 55 Legg Mason LVHE:US 50 European Blue Chips ETN Barclays ipath FLEU:US 76 Spinoffs from Liberty Media Eaton Vance MOGLC:US 90 Bonds 5-10 Year USD Bonds Blackrock (ishares) IMTB:US 8 Short Duration Bonds - Active Janus VNLA:US 35 Fixed Income 'ETF of ETFs' - Active Commodities & Metals Flexshares (Northern Trust) BNDC:US 35 Crude Oil Futures ETN Barclays ipath OILB:US 45 Leveraged / Inverse China Internet 2x Leveraged Direxion Shares CWEB:US 95 ETF List: Data as of Nov 30,
6 November 2016 Ex- US ETP Notable Launches There were over 60 new ETF listings (including cross- listings) outside the US in November Below we summarize the notable new ETP listings outside the US. The table below is summarized from First Bridge s ETF data sets for institutional clients. Table: November 2016 ETF Launches outside the US Type of Exposure Sponsor Tickers Expense Ratios (in bps) US Equities US Large Cap - GBP, EUR and CHF Hedged UBS USPG:LN; SP500H:SW; UEQD:GR; SP500E:SW; SP500S:SW 22 US Large & Mid Cap - Minimum Volatility Deutsche Bank XMVU:LN 20 US Large Cap Amundi S500:FP 15 US - Dividend (incl. EUR & GBP Hedged) Wisdom Tree DHSA:LN; DHSA:IM; DHSP:LN; WTD9:GR; DHSF:IM; WTDY:GR; DHSG:LN; DHSG:SW Global or Ex- US Equities Gold Miners Eurozone Large & MidCap - Minimum Volatility Enhanced Investment 3116:HK 60 Deutsche Bank XMVE:GR 25 Developed Markets REIT Amundi EPRA:FP 24 Global Equity - Hedged to JPY UBS ACWIJ:SW 31 Italian Banks BOOST ITBL:IM 35 Developed Markets Large & MidCap - Ex Eurozone; EUR Hedged Developed Markets Large & MidCap North America Large & MidCap Developed Europe Large & MidCap Lyxor WLDX:IM 35 Amundi MWRD:FP 18 Amundi NRAM:FP 15 Amundi CEU2:FP 15 6
7 Type of Exposure Sponsor Tickers Hong Kong Broad Market Emerging Markets Dividend Europe Equity Dividend Europe SmallCap Dividend Blackrock (ishares) Wisdom Tree Wisdom Tree Wisdom Tree 3115:HK; 83115:HK; 9115:HK DEMR:IM; DEMR:LN; DEMS:LN; WTD8:GR EEIA:IM; EEIA:LN; EEIP:LN DFEA:IM; DFEA:LN; DFEP:LN; WTD7:GR Expense Ratios Developed Europe - REIT BNP Paribas EEP:GR 50 German Small Cap Commerz Bank E905:GR 70 German Large Cap Technology Commerz Bank E908:GR 40 China China Southern :CH 35 Colombia Risk Weighted Blackrock (ishares) ICOLRISK:CB 63 Asia Ex Japan Healthcare Mirae Horizons 3153:HK 45 China Hanwha Asset Mgt :KS 50 China Samsung :KS 47 Indonesia KIM :KS 70 Australia DAEWOO SECU :KS 99 Bonds Long Ten Year TIPS, Short Tbonds (Breakeven rate of inflation) Long 2-10 Year French- German Inflation Protected, Short French- German Sovereign Bonds (Breakeven rate of inflation) Lyxor UINF:GR 25 EUIN:GR 25 US TIPS TIUP:GR 9 TIPS 1-10 year hedged GBP TIPS 1-10 year hedged CHF TIPS 1-10 year hedged EUR UBS UBTP:LN 25 TIP1S:SW 25 TIP1E:SW 25 7
8 Type of Exposure Sponsor Tickers 10+ Year Treasury Bond hedged to EUR Expense Ratios UST10F:IM Year Treasury Bond hedged to EUR UST10F:SW 25 Commodities & Metals Commodity Futures Ex- Agriculture CAMX:GR 35 Commodity Futures Ex- Agriculture Lyxor CRAL:LN 35 Commodity Futures Ex- Agriculture CRAU:LN 35 Precious & Industrial BNQW:GR 99 Metals BNP Paribas Industrial Metals BNQV:GR 99 Energy Futures BNQU:GR 99 Canadian Natural Gas Futures Auspice Capital GAS:CN 65 ETF Data Source: As of Nov 30,
9 Performance of Key Asset Classes & Strategies Gold (GLD) and fixed income (AGG) were the worst performing of the 6 ETFs representing the major asset classes, in the trailing 1- month. Gold has seen significant declines as yields have gone up, though the asset class could generate renewed interest if inflation increases. Major Asset Classes - Trailing 1 Month 6% 4% 2% 0% - 2% - 4% US Small Cap (IWM) US Large Cap (SPY) Developed Equity (EFA) Emerging Equity (EEM) US Bonds (AGG) Gold (GLD) - 6% - 8% - 10% Value and dividend strategies significantly outperformed growth in the US equity space over the trailing 1- month. US Equity Strategies - Trailing 1 Month 6% 5% 4% 3% 2% 1% 0% S&P 500 Pure Value (RPV) Large Cap Dividend (DLN) S&P 500 (SPY) Low Volatility (SPLV) S&P 500 Equal Weight (RSP) S&P 500 Pure Growth (RPG) Data source: First Bridge Data ( Data as of December 16,
10 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 10
11 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. 11
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