About Scott McKenna

Posts by Scott McKenna:

ETFLogic’s Sweet Sixteen ‘BracketoLogic’

/ , / , , , , , , , , , , /

ETFLogic is introducing a new twist on the  NCAA Sweet Sixteen Tournament.  We have assigned ETFs to each of the 16 remaining teams based on ETFs that have exposure to “themes, sectors or companies” that one may associate with the school / state. 

For example, when you think of Kentucky, you may associate the Kentucky Derby which is held at Church Hill Downs Race Track CHDN.  The ETF with the largest exposure to CHDN is Invesco S&P MidCap 400 Pure Growth ETF (RFG).  

To Play:

Fill out a bracket – you decide how you make your selections (off the ETF or team)

ETFs compete on price return for the one day the game is played or the closest trading day. 

How does it work? 

After each of the remaining rounds: The Sweet Sixteen Thursday and Friday, The Elite Eight Saturday and Sunday, The Final Four April 6 and The National Championship Final April 8, you will collect points based on the success of your selections.

The player with the most points at the end of the tournament on April 8th wins

  • If the ETF and associated team wins
    • You get 3 points
  • If the ETF you selected wins, but not the Team it is associated with
    • You get 2 points
  • If the Team you selected wins, but not the associated ETF
    • You get 1 point

The Winner will receive a $100 Amazon gift card from ETFLogic!

Below are the explanations for the School and ETF pairings…

SchoolTickerETF NameExplanation
DukeHECOStrategy Shares EcoLogical Strategy ETFZion Williamson’s Nike (NKE) shoe exploded while playing North Carolina in regular season.  It was “kind of a big deal.”  HECO is the ETF with the 2nd largest exposure to NKE.
Virginia TechJHMTJohn Hancock Multifactor Technology ETFAs a Tech school, we decided to select a tech ETF that was not from one of the biggest Issuers, but one of the biggest growing Issuers. 
LSURETLDirexion Daily Retail Bull 3x SharesWhen you think of Louisiana, you think of New Orleans.  When you think of NOLA, you think Mardi Gras and going 3x harder than usual.   We selected RETL for its exposure to Party City, PRTY. 
Michigan StQVMArrow QVM Equity Factor ETFDomino’s Pizza (DPZ) is headquartered in Ann Arbor Michigan, home of Michigan State.  QVM holds a good amount of DPZ. 
GonzagaWOODiShares Global Timber & Forestry ETFGonzaga is located in Washington State.  Forestry, Pine Trees come to mind hence ticker WOOD. 
Florida StOLDJanus – The Long-Term Care ETFFlorida is often known as a retirement community hence the reason for selecting the ETF OLD with a focus on Long Term Care. 
Texas TechOIHVanEck Vectors Oil Services ETFTexas is known for a lot (Lone Star, Long Horn, Football, BBQ, Oil) so this was a hard choice. We decided to go with Oil hence ticker OIH.
Michigan  FTXRFirst Trust Nasdaq Transportation ETFGeneral Motors (GM) is headquartered in Detroit, MI.  The ETF holding the largest weight in GM is FTXR. 
Virginia  CWSAdvisorShares Focused Equity ETFVirginia is known for its peanut farming. J.M. Smucker (SJM) is known for JIF peanut butter.  The ETF with highest weight in SMJ is CWS.  
OregonFDISFidelity MSCI Consumer Discretionary Index ETFOregon is the home of Amazon (AMZN).  FDIS has significant exposure to AMZN.  
PurdueSCHHSchwab U.S. REIT ETFPurdue is located in Indiana.  Simon Property Group (SPG) is the largest Retail Estate Investment Trust which is based in Indianapolis.  SCHH is the ETF with the largest concentration in SPG. 
TennesseeNOBLProShares S&P 500 Dividend Aristocrats ETFTennessee is known for Jack Daniels Whisky which is owned by Brown-Forman (BF.A).  BF.A is one of the 50 U.S. stocks that has increased its dividends for the last 25 years consecutively thus is part of NOBL. 
North CarolinaVFHVanguard Financials ETFBank of America (BAC) is headquartered in Charlotte, NC.  An ETF with a large holding in BAC is VFH. 
AuburnCSBVictoryShares U.S. Small Cap High Div Volatility Wtd ETFAuburn is located in Alabama the “Suns out, Guns out” State.  The ETF holding the largest weight of gun producer, Sturm Ruger (RGR), is CSB. 
HoustonXARSPDR S&P Aerospace & Defense ETFHouston is known as the world capital of space exploration
KentuckyRFGInvesco S&P MidCap 400 Pure Growth ETFThe Kentucky Derby is held at Churchill Downs (CHDN). RFG is the ETF with largest holding in CHDN. 

Quantifying ETFs

/ , / , , , , , , , , , , /

The ETF Backdrop

ETFLogic was created to bring transparency to the fast-growing ETF market. Today, more than 1 in 3 shares traded in the US marketplace is an ETF. ETF assets under management have grown to $3 trillion and are expected to double in the next three years. On average, there is a new ETF listing every single day, adding to the more than 2000 products already in existence. US-listed ETF assets surpassed that of hedge funds earlier this year.

The ETF revolution has also expanded globally, with products listed in over 50 countries and accounting for an additional $2 trillion assets and 4000 more products.

This demand is being driven by several benefits over more traditional funds: daily fund transparency, tax efficient structures and all-day trading — all of which have brought these products to the top of investor’s minds.

Regulation has largely kept pace, allowing market participants to test the waters with new investment concepts and ideas. Current proposals for new ETF structures hope to combine actively-managed strategies with the all-day-trading benefits of ETFs. Initiatives like this will further chip away at the $4 trillion of assets tied up in actively managed mutual funds.

The rise of ETFs has created an interesting dynamic with the underlying assets they track. Average ETF ownership of the US equity market stands at 5% and is growing rapidly. This ownership can be higher in many individual cases — over 10% in about a third of US publicly traded companies. All this means there are deeper relationships that need to be understood by both corporations and active managers.

What we do

ETFLogic helps our clients make better investment decisions. ETFs have democratized access to both global markets and asset classes. This wealth of choice creates new challenges in choosing the right investment, understanding the cost and risk profile of those investments and constructing well diversified portfolios.

Our clients use ETFLogic to get our TruLiquidity scores — a quantitative metric to quickly gauge whether an ETF matches their liquidity needs. Some ETFs may not trade or have a viable on-exchange market — however they may be good investment ideas. In other cases, the ETF may be much more liquid than the underlying basket. TruLiquidity applies a transaction cost model to both the ETF and the basket to tell you right away how much liquidity you can acquire via that name.

ETFLogic Scorecard Example

Our Overlap Analysis, or transition management tool allows investors to visualize the cost and risk dynamics of shifting their portfolio with ETFs. Many investors may put undue emphasis on investing in the lowest cost ETFs in a particular peer group. However, there may be subtle differences in that fund’s construction (factor tilts, rebalancing methodologies, etc…) that drive outperformance over that cost differential in the long run.

Our multi-factor analysis allows us to stylistically characterize ETF performance on various fundamental and technical factors, such as Value and Growth, Market Cap, Quality or Profitability, Dividends, Momentum and Volatility. Such factors help explain stock returns in terms that investors understand. With the rise of smart-beta and factor investing, these tools also help distinguish between similarly labeled ETFs. For example, the half-dozen ETFs labeled as both Large Cap and Value may have different Quality and Momentum tilts, contributing to slightly different returns over the same period.

In the screenshot you see an example of our ETF Scorecard. These can be customized and emailed to investors, providing a uniform and immediate way to communicate a fund’s most important characteristics. Our quantitative suite of tools allows for a deeper look into ETF and portfolio dynamics: portfolio transition profiling across liquidity and risk, digging into the actual holdings, and screening for particular fundamental and technical factors.

A Deeper Look

In a subsequent post we will dig into a more quantitative analysis and highlight the implications of the rise of ETFs. As we alluded to earlier, as ETF’s grow in assets and in complexity, the assets they hold are affected by daily inflows and outflows, rebalancing and methodology changes. These underlying movements are of great importance to both active managers and corporations. Active managers need better guidance on how to manage risk. Corporations care about who their investors are and how they will vote in the next shareholder meeting.

We are in the middle of an exciting new time as access to markets and products opens up. ETFLogic is about empowering investors with the right tools to make better investment decisions in this new environment.

ETFLogic Weekly Update 4/5

/ , /

Welcome to ETFLogic’s Weekly Newsletter.

We look back at last week’s flows, provide details on new ETF launches and include a timely data point or tool from the ETFLogicInsights Platform.

One Week Trends

1 week Equity ETF Returns

Mexico was last weeks biggest winner, with iShares MSCI Mexico EWW posting a top return of 5.87%. iShares Latin America 40 ILF also made the list of top returns at number 9. 

Energy was the biggest winner category, with Invesco S&P SmallCap Energy PSCE and Invesco Solar TAN, Invesco Dynamic Energy Exploration & Production PXE, and Invesco WilderHill Clean Energy PBW all placing in the top 10 returns.

Sprott Junior Gold Miners SGDJ and VanEck Vectors Junior Gold Miners GDXJ also saw significant returns in the past week.

Nigeria was the biggest loser, with Global X MSCI Nigeria NGE posting nearly -4% returns. 

With the tensions between Pakistan and India mounting, the two countries did not fare well in the markets. Global X MSCI Pakistan PAK posted  an almost 3.5% loss for the week, while its neighbor India was the biggest loser category with Columbia India Small Cap SCIN, VanEck Vectors India Small-Cap Index SCIF, iShares MSCI India Small Cap SMIN, Columbia India Consumer INCO, Invesco India PIN, Columbia India Infrastructure INXX all making top 10 worst losses. 

Technology also did not fare well, with AdvisorShares New Tech and Media (FNG and Invesco DWA Technology Momentum PTF taking 3rd and 4th spots on top outflows.

1 week Fixed Income ETF Returns

Treasury bonds were a clear loser last week, with Longer Term Treasury ETFs posting most negative returns led by PIMCO 25+ Year Zero Coupon Treasury Index ZROZ. 

Short-term, interest-rate hedged, convertible and preferred stock exposure ETPs tended to be on the top led by VelocityShares Long LIBOR ETN ULBR. 

1 week Equity ETF Flows

Top equity inflows were dominated by the big names, with iShares Core S&P 500 IVV, Invesco QQQ Trust QQQ, SPDR S&P 500 Trust SPY, Vanguard Total Stock Market VTI all making it in the top 10. 

Financial Select Sector SPDR Fund XLFhad a comeback last week, regaining about half of the -$1.2b it lost the previous week.

Mixed flows to Canada, with inflows to JPMorgan BetaBuilders Canada BBCA and outflows from iShares MSCI Canada EWC.

Top outflow was seen from iShares MSCI EAFE EFA, with -$1.6b.

Regional banking, biotech, health care and retail names also saw outflows for the week.

1 Week Fixed Income Flows

We saw mixed flows from Treasury Bond ETFs with the largest outflows coming from iShares 1-3 Year Treasury Bond ETF SHY and largest inflows into longer duration treasury bond ETFs, led by iShares 20+ Year Treasury Bond ETFTLT. 

There was $172m in outflows from Schwab Short-Term U.S. Treasury Bond SCHOand a corresponding $172m  in inflows into iShares Short Treasury Bond SHV.   

Last week saw mixed inflows and outflows from U.S. Corporate Bond ETFs. 

On-Screen Liquidity Momentum

Top 10 secondary-market volume increases where ADV 5-day increased substantially over ADV 20-day and ADV 5-day > $10mm

ETF Name    Ticker  % diff
Franklin Liberty Investment Grade Corporate ETFFLCO298%
JPMorgan BetaBuilders Canada ETFBBCA262%
Franklin FTSE Japan ETFFLJP252%
Invesco S&P 500 Pure Growth ETFRPG202%
iShares MSCI BRIC ETFBKF183%
JPMorgan BetaBuilders Europe ETFBBEU179%
Invesco S&P International Developed Low Volatility ETFIDLV173%
Invesco FTSE RAFI U.S. 1500 Small-Mid ETFPRFZ128%
Franklin LibertyQ U.S. Equity ETFFLQL125%
iShares 0-5 Year TIPS Bond ETFSTIP111%

New  Launches, Filings, Closings and Changes 

New Launches:

  • Innovator ETFs launched its final set of ETFs offering buffered exposure to the S&P 500 Index as part of its Defined Outcome ETF family.  Each provides limited exposure to the performance of the S&P 500 for one year, resetting on April 1, 2020
    • Innovator S&P 500 Buffer ETF – April, BAPR – protects against the first 9% of losses
    • Innovator S&P 500 Power Buffer ETF – April, PAPR– protects against losses up to 15%
    • Innovator S&P 500 Ultra Buffer ETF – April, UAPR – protects against losses greater than 5% but less than 35%

New Filings

  • Granite Shares filed for two ETFs
    • The GraniteShares Battery and Miners ETF, POWR
    • The GraniteShares Junior Tech Mega Trends ETF, MEGA

Closings

  • Deutsche Bank plans to delist 12 of its 16 ETNs as of April 11
    • DB Agriculture Double Long ETN DAG
    • DB Agriculture Long ETN AGF
    • DB Base Metals Double Short ETN BOM
    • DB Base Metals Double Long ETN BDD
    • DB Base Metals Short ETN BOS
    • DB Commodity Double Long ETN DYY
    • DB Commodity Short ETN DDP
    • DB Crude Oil Long ETN   SZO
    • DB Crude Oil Short ETN OLO
    • Elements Dogs of the DOW Dow Jones High Yield Select 10 Total Return ETN DOD
    • Elements Morningstar Wide Moat Focus Total Return Index ETN WMW
    • FI Enhanced Global High Yield ETN FIEG

Q1 ETF Flows Analysis

/ , / , , , , , , , , , , /

Taking a deep-dive into ETF flows is a good way to track potential investment opportunities and keep abreast of trends in the marketplace.  At ETFLogic we like to focus on flows – so let’s look at Q1 2019 stats by asset class, sector and themes.

*all data listed is for time range 1/1/2019 to 4/1/2019.

Asset Class Flows

Fixed income inflows of $32.5bn topped equities by nearly $15bn. But equities still had the best quarter since 2009. Commodities and currency ETFs overall experienced slight outflows.

Inflows into fixed income ETFs were led by shorter duration corporate exposures: Vanguard Intermediate-Term Corporate Bond ETF (VCIT) and Vanguard Short-Term Corporate Bond ETF (VCSH). These strong flows were matched with strong returns as VCIT posted a total return of nearly 5% in Q1 

TickerNameAUMYTD FlowsYTD %
VCITVanguard Intermediate-Term Corporate Bond ETF$23bn$4bn4.91%
VCSHVanguard Short-Term Corporate Bond ETF$24bn$3bn2.47%
MBBiShares MBS ETF$16bn$3bn1.65%
BNDXVanguard Total International Bond ETF$16bn$3bn2.55%
IEFiShares 7-10 Year Treasury Bond ETF$13bn$2bn1.88%
LQDiShares iBoxx USD Investment Grade Corporate Bond ETF$34bn$2bn5.18%
JNKSPDR Bloomberg Barclays High Yield Bond ETF$9bn$2bn8.92%
EMBiShares JP Morgan USD Emerging Markets Bond ETF$17bn$2bn6.96%
HYGiShares iBoxx USD High Yield Corporate Bond ETF$16bn$2bn7.27%
GOVTiShares U.S. Treasury Bond ETF$9bn$2bn1.36%

We saw $17bn flow into equities over the quarter led by Vanguard S&P 500 ETF (VOO)and iShares Core MSCI Emerging Markets ETF (IEMG),each with over $5bn. 

TickerNameAUMYTD FlowsYTD %
VOOVanguard S&P 500 ETF$10bn$5bn14.64%
IEMGiShares Core MSCI Emerging Markets ETF$59bn$5bn10.96%
USMViShares Edge MSCI Min Vol U.S.A. ETF$25bn$3bn14.03%
IEFAiShares Core MSCI EAFE ETF$60bn$3bn12.15%
VTIVanguard Total Stock Market ETF$109bn$3bn15.07%
EEMiShares MSCI Emerging Markets ETF$34bn$2bn11.26%
VWOVanguard FTSE Emerging Markets ETF$63bn$2bn12.78%
QUALiShares Edge MSCI U.S.A. Quality Factor ETF$10bn$2bn16.92%
XLCCommunication Services Select Sector SPDR Fund$5bn$2bn13.53%
IJRiShares Core S&P Small Cap ETF$43bn$2bn12.39%

Sectors

  • The Telecommunications sector led inflows with the Communication Services Select Sector SPDR Fund (XLC)bringing in $2bn.  
  • Real Estate sector ETFs saw $3bn of inflows led by $1.4bn into Vanguard Real Estate ETF (VNQ)and $872m into iShares U.S. Real Estate ETF (IYR).
  • Healthcare sector ETFs experienced $1bn in inflows, led by $540m into iShares U.S. Medical Devices ETF (IHI)followed by general health care sector ETFs Health Care Select Sector SPDR Fund (XLV) With inflows of $444m and Vanguard Health Care ETF (VHT)with $415m.  However, the Biotechnology subsector saw major outflows, led by a $443m outflow from iShares NASDAQ Biotechnology ETF (IBB).
  • The Consumer sector had outflows of $625m for the quarter, which might reflect on the growing worries of a global economic cooling throughout Q1.
  • The Financial sector experienced the largest outflows of $4.6bn led by the Financial Select Sector SPDR Fund (XLF)with $2.6bn of outflows.
  • Industrials had outflows of $1.46bn, led by the Industrial Select Sector SPDR Fund (XLI) 

Geography

  • A significant $16bn of inflows into emerging markets ETFs led by iShares Core Emerging Markets ETF (IEMG) with $5bn and iShares MSCI Emerging Markets ETF (EEM)with $2.5B. The interest in emerging markets may be related to the hopes for progress in a U.S.-China trade deal. The Institute of International Finance (IIF) also predicts a recovery of emerging markets throughout 2019, fueled by loose international monetary policy.
  • China A-Shares exposure ETF (ASHR), was near the top with $800mm inflows. With the close of the quarter we saw strong manufacturing data out of China and the U.S., which diminished investor worries about a potential global economic slowdown. The quarter closed out with significant progress in trade talks between the U.S. and China, and the President is now hinting at finalizing a deal within the next few weeks.
  • Japan saw outflows of $4bn in Q1, led by a $2.3bn out of the iShares MSCI Japan ETF (EWJ)
  • Europe had outflows of $1.9bn, led by $692m exiting the Vanguard FTSE Europe ETF (VGK)
  • Middle East & Africa had inflows of $294m, led by a $173m into iShares MSCI Saudi Arabia ETF (KSA)

Themes

  • Looking at Q1 ETF investment themes, top inflows were into ESG – totaling nearly $1.4bn. This comes as no surprise given investors are placing greater emphasis on the potential impact of their investments. The new ESG ETF Xtrackers MSCI U.S. ESG Leaders Equity ETF (USSG) led the charge with close to $900m of inflows. 
  • Infrastructure names had $109m inflows. Infrastructure is projected to continue to be a hot investment area throughout the rest of 2019. 
    • Top inflows came from FlexShares STOXX Global Broad Infrastructure Index Fund (NFRA)with $59m
  • Hedge fund replication themed ETFs posted $108m of inflows
  • Significant outflows of $614m from Natural Resources ETFs led by United States Oil Fund (USO)with -$377m. SPDR S&P Global Natural Resources ETF (GNR) and iShares North American Natural Resources ETF (IGE)also posted over $100m in outflows in Q1. FlexShares Morningstar Global Upstream Natural Resources Index Fund (GUNR)still managed to post $70m in inflows, followed by SPDR S&P North American Natural Resources ETF(NANR)with $18m.
  • Vice related ETFs posted $50m in flows
  • Artificial intelligence themed ETFs saw inflows of $15m.

Top 10 Issuers by YTD Flows

BlackRock still holds first place but Vanguard is catching up very quicky, probably related to the “fee wars.”  Interesting to see Charles Schwab and First Trust with more flows than SSGA.  

ETFLogic Weekly Update 3/29

/ , / , , , , , , , , , , /

Welcome to ETFLogic’s Weekly Newsletter.

We look back at last week’s flows, provide details on new ETF launches and include a timely data point or tool from the ETFLogicInsights Platform.

Thanks to everyone who participated in our ETF BracketoLogic competition! With the Final Four upon us, here’s a quick update for those of you not in on the action:

Other than BracketoLogic March Madness, here is what happened in ETF land last week. 

  • The only ETFLogic pair “Team & selected ETF” left standing is Texas Tech and OIH (VanEck’s Vector Oil Services ETF).  + 3 points
  • The ETFs that are still in the game but their b-ball team pair did not advance are: + 2 points
    • JHMT (John Hancock Multifactor Technology ETF) (Virginia Tech)
    • SCHH (Schwab U.S. REIT ETF) (Purdue)
    • XAR (SPDR S&P Aerospace & Defense ETF) (Houston) 
  • The b-ball teams still in the game but their ETF pair did not advance are: + 1 point
    • Michigan State QVM
    • Virginia CWS
    • Auburn CSB 

One Week Trends

Investors are rallying around strong Chinese manufacturing data, and we can assume investors are shrugging off worries of a global economic slowdown due to the major outflows from precious metal and gold ETFs.

China was the clear winner in returns this week, with VanEck Vectors China AMC SME-ChiNext CNXT, VanEck Vectors ChinaAMC CSI 300 PEK, CSOP FTSE China A50 AFTY, Xtrackers Harvest CSI 300 China A-Shares ASHR, KraneShares Bosera MSCI China A Share KBA, iShares MSCI China A CNYA, KraneShares CSI China Internet KWEB, SPDR MSCI China A Shares IMI XINA, and KraneShares MSCI All China Health Care Index KURE and Invesco Golden Dragon China PGJ being all China names.

Precious metals the clear loser, with all bottom 10 returns to Global X Silver Miners SIL, VanEck Vectors Gold Miners GDX, U.S. Global GO Gold and Prec. Metal Miners GOAU, iShares MSCI Global Gold Miners RING, iShares MSCI Global Silver Miners SLVP, VanEck Vectors Junior Gold Miners GDXJ, Global X Gold Explorers GOEX, Sprott Gold Miners SGDM, ETFMG Prime Junior Silver SILJ, Sprott Junior Gold Miners SGDJ.

Last week VelocityShares Long LIBOR ULBR took the top spot with a 5.8% return.

Preferred stock names Virtus InfraCap U.S. Preferred Stock PFFA, Invesco Preferred PGX, SPDR Wells Fargo Preferred Stock PSK, VanEck Vectors Preferred Securities ex Financials PFXF, iShares Preferred and Income Securities PFF, and Invesco Variable Rate Preferred VRP also performed well last week.

iShares Interest Rate Hedged Emerging Markets Bond EMBH also posted positive returns of 0.92% as investor sentiment is rising for emerging markets, as of late.

High Yield was also a big winner last week: iShares Interest Rate Hedged High Yield Bond HYGH, Xtrackers High Beta High Yield Bond HYUP, Fidelity High Yield Factor FDHY, and WisdomTree Negative Duration High Yield Bond Fund HYND. 

International Treasury Bond ETFs were among the worst performers last week: SOVB, WIP, BWX, IGOV and ISHG.   Maybe a negative sentiment still remains around a potential global economic slowdown, regardless of the healthy manufacturing out of China?

Inflows led by the Technology Select Sector SPDR Fund XLK, followed by iShares Core MSCI EAFE IEFA and iShares Edge MSCI Min Vol U.S.A. USMV. Vanguard Total Stock Market VTI and iShares Russell 2000 IWM with major inflows last week as last week closed out the best quarter for stocks in nearly a decade.

iShares MSCI Japan EWJ also an interesting top inflow given the massive -$2.4B outflows its seen YTD.

Energy Select Sector SPDR Fund XLE made top inflows despite having -1.5B outflow YTD. Outflows dominated by Invesco QQQ Trust QQQ with -$1.9B, followed by -$1.2B from Financial Select Sector SPDR Fund XLF.

Outflows from ETF SPDR S&P Retail XRT and Consumer Staples Select Sector SPDR Fund XLP also follow with the recent trend of investors taking money out of consumer cyclicals as of late.

Top inflows into iShares HYG for the second week running, followed by two iShares short term bond names, iShares Short Maturity Bond NEAR and iShares Short-Term Corporate Bond IGSB.

Treasury Bond ETFs (short and long term duration) included in both the top of inflows and outflows. Inflows to iShares 1-3 Year Treasury Bond SHY, iShares 7-10 Year Treasury Bond IEF, SPDR Bloomberg Barclays 1-3 Month T-Bill BIL & outflows to iShares Short Treasury Bond SHV, iShares 20+ Year Treasury Bond TLT

Outflows were also dominated by Senior Loan ETFs Invesco Senior Loan BKLN, SPDR Blackstone / GSO Senior Loan SRLN, Highland iBoxx Senior Loan SNLN, with the majority coming out of Invesco’s BKLN.

On-Screen Liquidity Momentum

Top 10 secondary-market volume increases where ADV 5-day increased substantially over ADV 20-day and ADV 5-day > $10mm

ETF Name    Ticker  % diff
iShares Commodities Select Strategy ETFCOMT237.15%
Invesco Russell 1000 Equal Weight ETFEQAL232.07%
Invesco BuyBack Achievers ETFPKW231.20%
Invesco S&P 500 Equal Weight Industrials ETFRGI211.63%
SPDR S&P 400 Mid Cap Value ETFMDYV183.69%
Oppenheimer S&P 500 Revenue ETFRWL137.94%
Vanguard S&P Mid-Cap 400 ETFIVOO132.11%
iShares MSCI Turkey ETFTUR122.94%
Xtrackers MSCI All China Equity ETFCN121.44%
JPMorgan BetaBuilders Europe ETFBBEU96.08%

New  Launches, Filings, Closings and Changes 

New Launches:

  • Innovator ETFs launched its final set of ETFs offering buffered exposure to the S&P 500 Index as part of its Defined Outcome ETF family.  Each provides limited exposure to the performance of the S&P 500 for one year, resetting on April 1, 2020
    • Innovator S&P 500 Buffer ETF – April, BAPR – protects against the first 9% of losses
    • Innovator S&P 500 Power Buffer ETF – April, PAPR– protects against losses up to 15%
    • Innovator S&P 500 Ultra Buffer ETF – April, UAPR – protects against losses greater than 5% but less than 35%

New Filings

  • Granite Shares filed for two ETFs
    • The GraniteShares Battery and Miners ETF, POWR
    • The GraniteShares Junior Tech Mega Trends ETF, MEGA

Closings

  • Deutsche Bank plans to delist 12 of its 16 ETNs as of April 11
    • DB Agriculture Double Long ETN DAG
    • DB Agriculture Long ETN AGF
    • DB Base Metals Double Short ETN BOM
    • DB Base Metals Double Long ETN BDD
    • DB Base Metals Short ETN BOS
    • DB Commodity Double Long ETN DYY
    • DB Commodity Short ETN DDP
    • DB Crude Oil Long ETN   SZO
    • DB Crude Oil Short ETN OLO
    • Elements Dogs of the DOW Dow Jones High Yield Select 10 Total Return ETN DOD
    • Elements Morningstar Wide Moat Focus Total Return Index ETN WMW
    • FI Enhanced Global High Yield ETN FIEG

ETFLogic Weekly Update 3/22

/ , / , , , , , , , , , , /

Welcome to ETFLogic’s Weekly Newsletter!

In the spirit of March Madness,  ETFLogic is introducing a new twist on the  NCAA Sweet Sixteen Tournament.   We have assigned ETFs to each of the 16 remaining teams based on ETFs that have exposure to “themes, sectors, companies” that one may associate with the school / state (making sure 16 different Issuers). 

For example, when you think of Kentucky, you may associate the Kentucky Derby which is held at Church Hill Downs Race Track (CHDN).  The ETF with the largest exposure to CHDN is Invesco S&P MidCap 400 Pure Growth ETF (RFG).  

Click here to learn more and play

One Week Trends
US Listed ETFs - Equity Baskets - 1 Week Best & Worst Returns

Gold and Silver were the clear winner last week, with RING, SGDM, GOAU, GDX, SGDJ, SLVP, SIL, GDXJ, and SILJ taking 9 out of 10 of the top return slots last week.  This comes as investors across the globe may be fearing a sharp economic slowdown.

ETFs with exposure to Regional Banks and Brazil  were at the bottom.  

US Listed ETFs - Equity Baskets - 1 Week Best & Worst Returns

Long duration Treasury and Corporate ETFs were at the top of this weeks Fixed Income inflows.  Interest Rate Hedged and Convertible Bond ETFs were this weeks biggest losers.

US Listed ETFs - Equity Baskets - 1 Week Inflows & Outflows

A lot more outflows than inflows last week in Equity ETFs.  

Inflows led by IEFA, iShares Core MSCI EAFE.  Outflows led by Vanguard Mid-Cap and Value ETFs, VO and VTV.  

US Listed ETFs - Fixed Income Baskets - 1 Week Inflows & Outflows

Majority of flows into iShares Investment Grade and High Yield Corporate Bond ETFs.   Longer Term Treasury Bond and Senior Loan ETFs experienced most outflows.

On-Screen Liquidity Momentum
Top 10 secondary-market volume increases where ADV 5-day increased substantially over ADV 20-day and ADV 5-day > $10mm
New  Launches
  • Exchange Traded Concepts brought NETL, the NETLease Corporate Real Estate ETF to market. The fund seeks to bring investors ETF exposure to the unique and less highlighted Net Lease REIT Sector. The NET Lease REIT sector offers the potential for Income, Inflation Hedge and Growth.
  • Do we call them BlackRock or iShares?  Launched two new funds
    • An actively managed multifactor ETF, the BlackRock U.S. Equity Factor Rotation ETF, DYNF, 30bps
    • iShares Focused Value Factor ETF, FOVL, 25bps 
Changes
  • State Street announced several upcoming changes to their HY ETF lineup:
    • JNK, SPDR Bloomberg Barclays High Yield Bond ETF
      • Will undergo a 1:3 reverse stock split
      • Creation unit size will be reduced from 500,000 shares to 200,000 shares
      • Effective Date: 5/6/19
    • CJNK, SPDR ICE BofAML Crossover Corporate Bond ETF
      • Will change its benchmark to the ICE BAML US High Yield Index and be renamed the SPDR ICE BofAML Broad High Yield Bond ETF
      • Will also lower its TER from 30bps to 15bps, which would make it the HY fund with the lowest expense ratio in the marketplace
      • Effective Date: 4/1/19

ETFLogic Weekly Update 3/15

/ , / , , , , , , , , , , /

Welcome to ETFLogic’s Weekly Newsletter.

March Madness is here! And while everyone is waiting in anticipation for the basketball action to come, here’s the ETF action you missed last week…

One Week Trends
US Listed ETFs - Equity Baskets - 1 Week Best & Worst Returns

Last weeks top equity winners are quite diverse, including two Columbia names, 2 oil names (XES and IEZ bouncing back up a bit from last weeks significant ~7% losses), marijuana, Austria, Greece, and in honor of Women’s History month SHE – the SPDR SSGA Gender Diversity Index.

Taking a look at last weeks worst performers, Gold and Precious Metal ETFs seem to be the biggest loser with GDXJ, SILJ, GOEX, RING, GDX, SGDJ, SGD all posting at least -2%. Also two major China names ASHS & CNXT made top losers as China’s economic slowdown remains a top concern to investors across the board.

US Listed ETFs - Equity Baskets - 1 Week Best & Worst Returns
Emerging Market debt ETFs dominated the winners this week,  led by FEMB First Trust Emerging Markets Local Currency Bond ETF.



Longer duration U.S. fixed income ETFs were at the bottom including five Treasury names (VGLT, SPLT, TLT, EDV, ZROZ) as 10-year treasury yields  hit 2019 lows last week.
US Listed ETFs - Equity Baskets - 1 Week Inflows & Outflows
Last week saw huge equity inflows of $20B; with VOO, SPY, IVV, and QQQ making up a whopping 70% of that.



While there were no strong trends in worst performers, top outflows came from two sectors in particular: technology (XLK and VGT) and Industrials (DIA and XLI).  Other names included small cap value IJS, real estate VNQ, Japan EWJ, Developed Markets EFA, Total US market ITOT, and the NASDAQ US Dividend Achievers Select Index tracking Vanguard Dividend Appreciation ETF VIG.
US Listed ETFs - Fixed Income Baskets - 1 Week Inflows & Outflows
HYG led that pack last week with $845mm of inflows. IEF,  iShares 7-10 year Treasury Bond ETF, had largest outflows. 
On-Screen Liquidity Momentum
Top 10 secondary-market volume increases where ADV 5-day increased substantially over ADV 20-day and ADV 5-day > $10mm


New  Launches
  • Newcomer, RYZZ Capital Management, launched its first ETF today with Sunrise Capital as the subadvisor.  
    • The RYZZ Managed Futures Strategy, RYZZ, 99bps
    • Seeks positive absolute and risk-adjusted returns by blending a dynamic equity strategy with complementary long/short managed futures strategies
New Filings
  • KraneShares filed for 2 new ETFs
    • KFA Large Cap Quality Dividend Index
    • KFA Small Cap Quality Dividend Index
  • Blackrock files for the iShares Genomics and Immuno Biopharma
  • Absolute Shares Trust files for 6 new ETFs
    • WBI BullBear Trend Switch US 1000 
    • WBI BullBear Trend Switch US 1000 Total Return
    • WBI BullBear Trend Switch US 2000 
    • WBI BullBear Trend Switch US 2000 Total Return
    • WBI BullBear Trend Switch US 3000 Total Return 
    • WBI BullBear Trend Switch US Total Return
Changes
  • First Trust is doing some renovations on two of its ETFs
    • First Trust NASDAQ Smartphone Index Fund FONE, index, ticker and objective will change, effective May 29. 
      • FONE will be adopting an index with a tilt toward 5G-specific technology 
      • Renamed First Trust Indxx NextG ETF, NXTG
    • First Trust Heitman Global Prime Real Estate ETF PRME will be merging into the First Trust FTSE EPRNA/NAREIT Developed Markets Real Estate, FFR, by end of year. 






Quadruple Witching is Around the Corner! 
		



/
,  /				
, , , , , , , , , ,  /				






Quadruple witching! Sounds ominous. But it happens every quarter, on the 3rd Friday of the last month of that quarter (March, June, September and December). Quadruple witching occurs when index futures, stock options, stock index options and single stock futures all expire simultaneously. In addition, the date coincides with large index and ETF portfolio rebalances. This perfect storm of trading creates a lot of interesting undercurrents and opportunities.


At ETFLogic, we have a special focus on factors. As a little experiment, let’s look at market adjusted factors during the February to March timeframe in 2018 and 2019.




Let’s first look at value vs growth performance over these two time periods. Here are some interesting points to note:


  • Growth and Value Factor trends in Q1 2019 are somewhat mimicking Q1 2018.
  • Growth continues to be the Street’s favorite factor over Value. Growth has continuously outperformed while Value underperforms.
  • Around the 32nd day of our analysis – March 16, 2018 – we see a mean reversion in this performance.
  • You could – conceivably – expect a mean reversion in these spreads after quadruple witching on Friday – March 15, 2018 – the 30th day on the graph.   




The picture isn’t as neat and clean with dividends and quality factors.


  • We see around 150-200bps of outperformance in both factors right before the 3rd Friday.
  • There is an expected reversion post-Friday
  • Quality in 2019 seems to be following in its Q1 2018 shadow.
  • Dividends have languished a bit, relatively speaking. With the prospect of a rising rate environment, investors have overall been less interested in equity yields.




Moving to more technical factors, let’s focus in on momentum and volatility.


  • Momentum 2018 seems to have taken us on a wild ride: outperforming over 300bps between February 1, 2018 and March 15, 2018. We see a strong mean reversion of over 200bps in the few days after.
  • Low Volatility 2018 languished sideways throughout the period.
  • In 2019, we don’t see any clear trends in momentum and volatility, yet…


Note, none of this is trading advice.
















ETFLogic Weekly Update 3/8 
		



/
,  /				
, , , , , , , , , ,  /				






Welcome to ETFLogic’s Weekly Newsletter.


In ETFLogic news, we have just announced the official launch of our Pages Platform!



Our Pages product provides a subset of our quantitative tools and visuals to help asset managers and other financial professionals succeed in this new investment frontier. Pages can be accessed via pages.etflogic.io.



In addition to having its own dedicated platform, Pages is also powering the analytics on the NYSE ETF Page. 



You can read the full press release here



But enough about us, here's what went down in the ETF Markets last week...


One Week Trends


US Listed ETFs - Equity Baskets - 1 Week Best & Worst Returns




US Listed ETFs - Equity Baskets - 1 Week Best & Worst Returns




US Listed ETFs - Equity Baskets - 1 Week Inflows & Outflows




US Listed ETFs - Fixed Income Baskets - 1 Week Inflows & Outflows




On-Screen Liquidity Momentum


Top 10 secondary-market volume increases where ADV 5-day increased substantially over ADV 20-day and ADV 5-day > $10mm



	
		
		
		
	
	
		

			ETF Name
			    Ticker
			  % diff
		

		

			WBI BullBear Global High Income 
			WBIH
			261.91%
		

		

			WBI BullBear Global Income
			WBII
			259.12%
		

		

			iShares Core Total USD Bond Market
			IUSB
			203.87%
		

		

			iShares U.S. Financial Services
			IYG
			131.54%
		

		

			SPDR Dow Jones REIT
			RWR
			118.84%
		

		

			PIMCO Investment Grade Corp. Bond Index
			CORP
			115.87%
		

		

			Vanguard Communication Services
			VOX
			102.58%
		

		

			Schwab U.S. Large-Cap Value
			SCHV
			99.97%
		

		

			iShares Edge MSCI U.S.A. Size Factor
			SIZE
			94.60%
		

		

			SPDR Portfolio S&P 500 High Dividend
			SPYD
			92.50%
		

	
















       
 ETF Name     Ticker   % diff 
 
 Franklin LibertyQ U.S. Equity FLQL 298.12% 
 
 Xtrackers MSCI All China Equity CN 296.42% 
 
 iShares International Developed Property WPS 289.42% 
 
 iShares MSCI BRIC ETF BKF 278.98% 
 
 iShares MSCI Japan Small-Cap SCJ 267.41% 
 
 iShares Government/Credit Bond GBF 265.75% 
 
 Oppenheimer Russell 1000 Dyn. Multifactor  OMFL 257.01% 
 
 iShares Global Utilities JXI 241.48% 
 
 FlexShares iBoxx 5-Yr Target Duration TIPS TDTF 239.46% 
 
 Goldman Sachs JUST U.S. Large Cap Equity JUST 219.80% 

New  Launches
  • DWS adds to its existing suite of socially responsible ETFs 
    • Xtrackers MSCI USA ESG Leaders Equity ETF USSG 10bps 
  • iShares launches 2 new Japan ETFs 
    • iShares MSCI Japan Equal Weighted ETF EWJE 15bps
    •  iShares MSCI Japan Value ETF EWJV 15bps
  • GSAM launched a new suite of 5 innovation-focused ETFs using Motif indices
    • Goldman Sachs Motif Data-Driven World ETF GDAT 50bps
    • Goldman Sachs Motif Finance Reimagined ETF GFIN 50bps
    • Goldman Sachs Motif Human Evolution ETF GDNA 50bps
    • Goldman Sachs Motif Manufacturing Revolution ETF GMAN 50bps
    • Goldman Sachs Motif New Age Consumer ETF GBUY 50bps
  • JPMorgan is scheduled to launch two new funds in their BetaBuilders suite tomorrow
    • JPMorgan BetaBuilders U.S. Equity ETF BBUS 2bps 
    • JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF BSSA 5pbs 
Closings:
  • SerenityShares Impact ETF ICAN, last day of trading is March 18
  • JPMorgan is shutting down two of its currency hedged ETFs. Last day of trading is March 28
    • JPMorgan Diversified Return Europe Currency Hedged ETF JPEH
    • JPMorganDiversified Return International Currency Hedged ETF JPIH
  • Vaneck will be closing 3 ETFs in April 
    • VanEck Vectors Generic Drugs ETF GNRX
    • VanEck Vectors Poland ETF PLND
    • VanEck Vectors Pre-Refunded Municipal Index ETF PRB

Pricing Wars:

  • DWS new ESG ETF USSG is the cheapest of all socially responsible ETFs at 10bps, undercutting Vanguard’s ESGV, priced at 12bps
  • SALT Financial’s new ETF, the Salt Low TruBeta US Market Fund, LSLT, Will pay holders 50 cents for every $1,000 investedup until the first $100m in AUM or until April 30, 2020. Once the ETF passes those milestones, it will charge a fee of 29bps.
Showcasing ETFLogic's new Liquidity Reports
ETFLogic TruLiquidity Report Cards are ready! See how your favorite ETF scored. Reach out to our sales team for a customized report on any number of ETFs.
Why look at this report? 
We bring together trading insights and ETFLogic analytics into a one-pager. With a quick glance, you get see historical bid-ask spreads, best time of day to trade, compare with peer group names, get a basket pre-trade impact snapshot and estimate factor exposures.

ETFLogic weekly Update 3/5

/ , / , , , , , , , , , , /

Welcome to ETFLogic’s Weekly Newsletter.

We look back at last week’s flows, provide details on new ETF launches and include a timely data point or tool from the ETFLogic Insights Platform.

FDA Commissioner, Scott Gottlieb, just resigned.  Michael Bloomberg announces he is not running for President, Tesla stock is sinking on news that China is blocking some imports, Beverly Hills 90210 heart-throb passes and Goldman Sachs is relaxing its dress code.
 
 Here’s what is happening in ETFs…

US Listed ETFs – Equity Baskets – 1 Week Best & Worst Returns

US Listed ETFs – Fixed Income Baskets – 1 Week Best & Worst Returns

US Listed ETFs – Equity Baskets – 1 Week Inflows & Outflows

US Listed ETFs – Fixed Income Baskets – 1 Week Inflows & Outflows

On-Screen Liquidity Momentum

Top 10 secondary-market volume increases where ADV 5-day increased substantially over ADV 20-day and ADV 5-day > $10mm

ETF Name Ticker % diff
Xtrackers MSCI All China Equity  CN 293.8%
Invesco S&P 500 High Beta  SPHB 231.4%
Vanguard ESG U.S. Stock  ESGV 220.8%
Vanguard ESG International Stock  VSGX 207.4%
SPDR S&P China  GXC 205.4%
Invesco Financial Preferred  PGF 162.7%
JPMorgan BetaBuilders Japan  BBJP 158.8%
ProShares Ultra Technology ROM 130.9%
iShares Global Consumer Staples  KXI 117.2%
KraneShares Bosera MSCI China A Share  KBA 103.7%

New  Launches, Filings, Closings and Changes 

New Launches:
  • Defiance Next Gen Connectivity ETF FIVG the first 5G ETF debuts 

  • Salt Low truBeta US Market ETF LSLT will track an index of US large cap companies predicted to have lower beta.Xtrackers MSCI USA ESG Leaders Equity ETF USSG DWS is buffing up its ESG fund line, listing a US focused ESG ETFSoFi Gig Economy ETF GIGE full time work, and the benefits it comes with is a thing of the past this ETF believes. GIGE will track companies set to benefit from insecure and precarious labor via the “gig economy”. Going through the investment strategy, GIGE is mostly interested in companies developing apps.
  • Procure Space ETF UFO will track companies that get 50% of their revenue from space-related business. While sounding out of this world, the fund will mostly focus on satellites, with two-thirds of the funds’ constituents work with satellite technology.

New Filings:

  • SoFi with Tidal file for 3 new ETFs
    • SoFi 500 ETF SFY
    • SoFi Next 500 ETF SFYX
    • SoFi 50 ETF SFYF

ETFLogic Insights 

General Electric GE stock fell almost 5% today as the CEO expects negative industrial free cash flow this year.

Check out ETFLogic‘s “Ticker Reverse Lookup” tool to determine what ETFs have the highest exposure to GE. 
 
  Ticker ETF Name  % Weight 
  XKCP

SPDR Kensho Clean Power 

 4.85%
  XLI Industrial Select Sector SPDR   3.95%
  FIDU Fidelity MSCI Industrials Index 3.15%
  VIS Vanguard Industrials 3.14%
  VETS  U.S Equity Fundamental    Factor Small Cap 3.11%

 


Explore a selection of ETFLogic‘s tools and analytics on the Explore Insights Platform. Click Here to get access!