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October 2018 ETF 20/20: Exchange Traded Fund Monthly Report

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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 cross-listings. 38% of these listings were ‘smart beta’ ETFs and 17% were active (non-indexed).
  • LIBOR rate replication, crude oil futures and US small cap healthcare were among the best performing ETF categories this year 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.

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.

Email: support@firstbridgedata.com

Phone: (650) 762-9270

Web: http://www.firstbridgedata.com

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

268,751

265,916

1.2 Corporate

256,994

256,286

1.3 Municipal

33,552

33,938

1.4 Treasury / Sovereign

194,395

189,725

1.5 Inflation Protected

60,468

61,210

1.6 Specialty / Other

89,686

76,099

 

 

 

  1. Commodities & Metals

 

 

2.1 Diversified Commodities

20,108

19,946

2.2 Agricultural

1,902

2,004

2.3 Energy

6,061

5,863

2.4 Gold & Metals

98,538

100,379

2.5 Other

146

152

 

 

 

  1. US Equity Exposure

 

 

3.1 Broad Market & Size

1,231,710

1,215,835

3.2 Dividend & Fundamental

119,989

119,507

3.3 Factor & Thematic

102,149

100,251

3.4 Sector & Industry

399,745

399,195

3.5 Growth / Value

389,485

389,665

3.6 Quant Strategy & Other

14,165

13,801

 

 

 

  1. Global/Ex-US Equity Exposure

 

 

4.1 Broad Market & Regional

870,764

868,372

4.2 Country Specific

629,020

612,630

4.3 Dividend & Fundamental

95,742

94,856

4.4 Factor & Thematic

131,404

128,307

4.5 Sector & Industry

104,335

106,137

4.6 Quant Strategy & Other

3,762

3,633

 

 

 

  1. Multi-Asset & Other

77,948

79,060

 

 

 

  1. Inverse / Leveraged

78,879

80,186

 

 

 

  1. 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

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 ETF 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

8,713.96

14,595.07

60%

Goldman Sachs

3,476.97

10,004.00

35%

Fidelity

3,412.15

12,261.70

28%

Schwab

23,393.02

119,953.32

20%

Global X

1,717.59

8,991.56

19%

PIMCO

3,100.29

17,619.33

18%

First Trust

11,619.00

68,339.94

17%

Direxion Shares

1,417.10

12,308.58

12%

Van Eck

3,207.12

34,210.97

9%

Vanguard

64,501.60

895,308.74

7%

Source: www.firstbridgedata.com; Data as of Oct 19, 2018

2. 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 buy-side 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 daily ETF holdings 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.

September 2018 ETF Launches – US

There were 26 new ETF listings in the US in September 2018. 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: http://www.firstbridgedata.com; Data as of September 30, 2018

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

 

 

Chart: Sep ‘18 New ETF Listings by Type of Exposure (Ex- US); Total = 108

 

 

ETF Data Source: www.firstbridgedata.com; As of September 30, 2018

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

-32.42%

27%

ASHS

China 'A Shares' Small Caps

-37.69%

24%

REMX

Rare Earth / Strategic Metals

-41.14%

25%

TUR

Turkey Equities

-41.46%

42%

SCIF

India Small-Caps

-42.88%

26%

 Data source: First Bridge Data (http://www.firstbridgedata.com); 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, 2018. Equal weighted large cap (‘RSP’) and growth (RPG’) were down 6.7% and 9.04% respectively in the same time period.

 

 

Data source: First Bridge Data (http://www.firstbridgedata.com); Data as of October 19, 2018

More First Bridge ETF Resources

First Bridge maintains granular data sets for all globally listed ETFs, with key metrics. For more information, email: support@firstbridgedata.com

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.

The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.

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ETFs

Aniket Ullal

Aniket Ullal is head of ETF data and analytics for CFRA, one of the world's leading independent investment research firms. Previously he was the founder and CEO of First Bridge Data, which was acquired by CFRA in August 2019. Prior to starting First Bridge, he had product management responsibility for S&P’s US indices, including the widely followed S&P 500 and S&P/Case-Shiller indices. These indices have over $1 Trillion in ETF assets tracking them. He is the author of 'ETF Investment Strategies' (McGraw-Hill; 2013).

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