ETF 20/20 : Exchange Traded Fund Monthly Report. Published: Oct 2018 Report Scope: Global
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1 ETF 20/20 : Exchange Traded Fund Monthly Report Published: Oct 2018 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 grew by 1.07% in September 2018 to $5.31T. JP Morgan and Goldman Sachs, two banks that have been peripheral players as ETF sponsors, have significantly accelerated their ETF asset gathering this year. An institutional investor survey by trading firm Jane Street found increased confidence in the liquidity of ETFs compared to three years ago. There were 26 new ETF listings in the US in September 2018, with a majority of the ETFs providing targeted exposure to factors like high quality, growth and value. There were 108 new ETF listings outside the US in September 2018 including crosslistings. 38% of these listings were smart beta ETFs and 17% were active (nonindexed). LIBOR rate replication, crude oil futures and US small cap healthcare were among the best performing ETF categories this year through October 19, Indian small cap, Turkish and Chinese small cap A shares were among the worst performing categories in the same time period. 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 by 1.07% in September 2018 to $5.31T. The table below provides a detailed breakdown by ETF category, and is a summary from the First Bridge ETF data and analytics platform. ETF / ETP Type Assets ($M) - Sep '18 Assets ($M) - Aug '18 1. Bonds 1.1 Broad Market 268, , Corporate 256, , Municipal 33,552 33, Treasury / Sovereign 194, , Inflation Protected 60,468 61, Specialty / Other 89,686 76, Commodities & Metals 2.1 Diversified Commodities 20,108 19, Agricultural 1,902 2, Energy 6,061 5, Gold & Metals 98, , Other US Equity Exposure 3.1 Broad Market & Size 1,231,710 1,215, Dividend & Fundamental 119, , Factor & Thematic 102, , Sector & Industry 399, , Growth / Value 389, , Quant Strategy & Other 14,165 13, Global/Ex-US Equity Exposure 4.1 Broad Market & Regional 870, , Country Specific 629, , Dividend & Fundamental 95,742 94, Factor & Thematic 131, , Sector & Industry 104, , Quant Strategy & Other 3,762 3, Multi-Asset & Other 77,948 79, Inverse / Leveraged 78,879 80, ETP Listed in Israel* 30,744 31,273 All Globally Listed ETPs 5,310,443 5,254,227 Source: First Bridge Data and individual ETF Sponsors; ETF data as of September 30, 2018 * 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 Recent Developments 1. JP Morgan and Goldman Sachs accelerate ETF asset gathering in 2018 JP Morgan and Goldman Sachs, two banks that have been peripheral players as ETF sponsors, have significantly accelerated their ETF asset gathering this year. We used the ratio of year-to-date flows to current net assets as a proxy for asset gathering momentum. These two firms were at the top of the list of US sponsors on this metric. (Note: our analysis was limited to sponsors with >$5B in total assets as of Oct 19, 2018). The ETFs driving their growth provide exposure to traditional asset classes already available via existing ETFs e.g. Canada (BBCA), Japan (BBJP) and short-term treasuries (GBIL). This indicates that the inflows were driven by accessing pools of money where the firms had some discretionary control, rather than by any significant differentiation in the ETFs themselves. Whether these firms can maintain this pace and challenge the largest sponsors is unclear. In absolute terms, Blackrock and Vanguard continued to dominate net inflows with $69B and $65B year-to-date respectively. These two firms, along with State Street, have had ~80% market share in the US ETF industry for several years. Table: Top 10 ETF sponsors in the US ranked by asset gathering momentum Sponsor YTD Net Flows ($M) Net Assets ($M) Flows / Asset Ratio JP Morgan Chase 8, , % Goldman Sachs 3, , % Fidelity 3, , % Schwab 23, , % Global X 1, , % PIMCO 3, , % First Trust 11, , % Direxion Shares 1, , % Van Eck 3, , % Vanguard 64, , % Source: Data as of Oct 19, Jane Street report finds increased institutional confidence in ETF liquidity Jane Street, a quantitative trading firm, published the results of its survey of 300 global buyside institutional investors. Some of the key findings in their report were: 87% of investors reported that emerging market and fixed income ETFs were more liquid than three years ago. 31% use the liquidity of underlying securities to assess an ETF s liquidity, rather than its bid-offer spread (25%) or its daily volume (23%). Buy-side firms are yet to widely adopt ETF options, with survey respondents favoring traditional single-stock options. 38% prefer using an RFQ platform such as Bloomberg RFQE, Tradeweb or RFQ Hub to submit block trade offers. This was higher than chat (24%) or phone calls (19%). DMA / algorithmic trading was at 20% but increased by 2% from the previous year. 4
5 September 2018 ETF Launches US There were 26 new ETF listings in the US in September The new listings are summarized in the table below (this is a subset of our complete, regularly updated ETF list). Table: September 2018 ETF Launches in the US Type of Exposure Sponsor Tickers Expense Ratios (in bps) US Equities Advanced Computing Theme Defiance ETFs QTUM:US 65 US Large-Mid Momentum & Value First Trust DVLU:US 60 Momentum & Low Volatility First Trust DVOL:US 60 Large Cap High Quality Invesco IUS:US 19 Small Cap High Quality Invesco IUSS:US 23 High Quality Growth American Century QGRO:US 29 Technical Price Momentum Innovator Mgmt. BOUT:US 80 Broad Cap ESG Theme Vanguard ESGV:US 12 Large Cap Rebound-Based Quant Strat Vesper Capital UTRN:US 75 Global or Ex-US Equities Large Cap Developed Equity ESG DWS EASG:US 14 High Quality, Ex-US Devlpd Large Cap Invesco ISDX:US 23 High Quality, Ex-US Devlpd Small Cap Invesco ISDS:US 35 High Quality, Emerging Large Cap Invesco ISEM:US 35 Ex-US Large & Mid Multi-Factor American Century QINT:US 39 Large & Mid Cap Hong Kong State Street ZHOK:US 14 Ex-US ESG Theme Vanguard VSGX:US 15 Global Large & Mid Cap ESG Impact Shares SDGA:US 76 Multi-Factor Emerging Markets John Hancock JHEM:US 55 Target Date / Multi-Asset & Preferred 2x Leveraged Preferred Stock UBS PFFL:US 85 Target Date - Multi Asset Balanced Cambria Funds TRTY:US 66 Bonds Total World Bond Vanguard BNDW:US 09 Diversified Municipal Bond American Century TAXF:US 29 Mortgage-Backed Securities Janus JMBS:US 35 Diversified Bonds - Active Regents Park AFIF:US 100 Dec 2028 Term Corporate Bonds Blackrock IBDT:US 10 High Yield Bond - Active PGIM Investments PHYL:US 53 ETF List: Data as of September 30,
6 September 2018 ETF Listings International (Ex-US) There were 108 new ETF listings outside the US in September 2018 including cross-listings and share class variants. 38% of these listings were of smart beta ETFs and 17% were active (non-indexed). Chart: Sep 18 New ETF Listings by Smart vs. Traditional Beta (Ex-US); Total = 108 Ex-US ETF New Listings by Smart Beta - Sep '18 Traditional Beta 41% Active 17% Leveraged / Inverse 4% Smart Beta 38% Chart: Sep 18 New ETF Listings by Type of Exposure (Ex- US); Total = 108 Ex-US ETF New Listings by Exposure - Sep '18 Multi-Asset 6% US Equities 19% Bonds 21% Commodities 2% Global Equities 52% ETF Data Source: As of September 30,
7 Performance of Key Asset Classes & ETF Categories LIBOR rate replication, crude oil futures and US small cap healthcare were among the best performing ETF categories this year (based on year to date total return through October 19, 2018). Indian small cap, Turkish and Chinese small cap A shares were among the worst performing categories in the same time period. This list does not include leveraged & inverse ETFs, and includes only one ETF from each specific category. Ticker Category Year To Date Return Volatility Best performing ETF categories ULBR Long LIBOR 35.91% 19% OILX Crude Oil Futures 30.92% 25% PSCH US Small Cap Health Care 28.10% 18% XWEB Internet 24.02% 23% XHE US Health Care Equipment 23.60% 17% Worst performing ETF categories CQQQ China Technology % 27% ASHS China 'A Shares' Small Caps % 24% REMX Rare Earth / Strategic Metals % 25% TUR Turkey Equities % 42% SCIF India Small-Caps % 26% Data source: First Bridge Data ( Data as of October 19, 2018 Low volatility ( SPLV, -3.3%) and dividend ( DLN, -4.04%) strategies outperformed relative to cap weighted US equities ( SPY, -5.4%) in the trailing one-month ending October 19, Equal weighted large cap ( RSP ) and growth (RPG ) were down 6.7% and 9.04% respectively in the same time period. Key US Equity Strategies - 1 Month Total Return 0.00% -1.00% -2.00% -3.00% Low Volatility (SPLV) Large Cap Dividend (DLN) S&P 500 (SPY) S&P 500 Pure Value (RPV) S&P 500 Equal Weight (RSP) S&P 500 Pure Growth (RPG) -4.00% -5.00% -6.00% -7.00% -8.00% -9.00% % Data source: First Bridge Data ( Data as of October 19,
8 More First Bridge ETF Resources ETF Daily Holdings: ETF Book - ETF Investment Strategies (McGraw-Hill): ETF Analytics Dashboard: First Bridge maintains granular data sets for all globally listed ETFs, with key metrics. For more information, support@firstbridgedata.com 8
9 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. 9
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