Thursday, February 11th, 2016

ETF Deathwatch for February 2016: Here Come the Currency-Hedged ETFs

By Ron Rowland
15:32 pm CST

Last year, hedging was a popular strategy employed by new ETFs coming to market.  I referred to it as a “land rush,” with sponsors throwing caution to the wind in their quest to achieve first-mover status.  In my year-end summary, I identified 74 new ETFs following this theme.  Of these, 57 have currency hedges, 12 use various equity hedges (mostly long/short portfolios), and five use interest-rate hedging to help mitigate the impact of rising interest rates on bond holdings.

With no real investor demand for many of these funds, I predicted many would end up here on ETF Deathwatch.  This month, more than half of the 25 products added to ETF Deathwatch are hedged ETFs.  Two of the additions are interest-rate hedged, one is an equity-hedged funds, and ten use currency hedging.  Additionally, two others are based on currency themes (strong U.S. dollar and weak U.S. dollar), although they do not use any direct currency hedging.

At the end of 2015, there were 87 currency-hedged ETFs with a median asset level of just $5.25 million, well below the level required for profitability.  If this supply glut wasn’t enough, funds using currency hedging 2.0 are now coming on stream.  These second-generation currency-hedged ETFs automatically adjust their currency exposure based on market conditions.  This is a feature I believe many investors will appreciate, and it will further reduce demand for funds using the old first-generation static approach to hedging.

Thirteen products came off of ETF Deathwatch this month.  Nine were the result of improved health, and four are no longer with us.  The net increase of 12 puts the total count at 398, consisting of 295 ETFs and 103 ETNs.

The average asset level of products on ETF Deathwatch dropped from $6.9 million to $6.3 million, and the quantity of products with less than $2 million jumped from 83 to 91.  The average age decreased from 48.8 to 47.8 months, and the number of products more than five years old decreased from 137 to 134.

Here is the Complete List of 398 ETFs and ETNs on ETF Deathwatch for February 2016 compiled using the objective ETF Deathwatch Criteria.

The 25 ETFs and ETNs added to ETF Deathwatch for February:

  1. ALPS Enhanced Put Write Strategy (PUTX)
  2. ALPS Sector Leaders (SLDR)
  3. ALPS Sector Low Volatility (SLOW)
  4. Deutsche X-trackers MSCI ACAP x-Japan Hedged (DBAP)
  5. ELEMENTS S&P Commodity Trends Indicator ETN (LSC)
  6. ETRACS ISE Exclusively Homebuilders ETN (HOMX)
  7. GaveKal Knowledge Leaders Developed World (KLDW)
  8. GaveKal Knowledge Leaders Emerging Markets (KLEM)
  9. Global X SuperDividend Alternatives (ALTY)
  10. iShares Currency Hedged MSCI ACWI (HACW)
  11. iShares Currency Hedged MSCI ACWI ex U.S. (HAWX)
  12. iShares Currency Hedged MSCI Australia (HAUD)
  13. iShares Currency Hedged MSCI Canada (HEWC)
  14. iShares Currency Hedged MSCI EAFE Small-Cap (HSCZ)
  15. iShares Currency Hedged MSCI Mexico (HEWW)
  16. iShares Currency Hedged MSCI United Kingdom (HEWU)
  17. iShares Interest Rate Hedged 10+ Year Credit Bond (CLYH)
  18. iShares Interest Rate Hedged Emerging Market Bond (EMBH)
  19. Market Vectors Morningstar International Moat (MOTI)
  20. PureFunds ISE Big Data (BDAT)
  21. SPDR BofA Merrill Lynch Emerging Markets Corp Bond (EMCD)
  22. WisdomTree Global ex-U.S. Hedged Dividend (DXUS)
  23. WisdomTree International Hedged Equity (HDWM)
  24. WisdomTree Strong Dollar U.S. Equity (USSD)
  25. WisdomTree Weak Dollar U.S. Equity (USWD)

The 9 ETPs removed from ETF Deathwatch due to improved health:

  1. Deutsche X-trackers Muni Infrastructure Revenue Bond (RVNU)
  2. First Trust International Multi-Asset Diversified Income (YDIV)
  3. First Trust Low Duration Mortgage Opportunities (LMBS)
  4. FlexShares Credit-Scored US Corporate Bond (SKOR)
  5. iShares MSCI International Developed Value Factor (IVLU)
  6. Oppenheimer ADR Revenue (RTR)
  7. Sit Rising Rate ETF (RISE)
  8. SPDR S&P 1500 Momentum Tilt (MMTM)
  9. WisdomTree Europe Quality Dividend Growth (EUDG)

The 4 ETPs removed from ETF Deathwatch due to delisting:

  1. CS X-Links Commodity Benchmark ETN (CSCB)
  2. Columbia Large Cap Growth (RPX)
  3. Columbia Select Large Cap Growth (RWG)
  4. Columbia Select Large Cap Value (GVT)

ETF Deathwatch Archives

Disclosure:  Author has no positions in any of the securities mentioned and no positions in any of the companies or ETF sponsors mentioned.  No income, revenue, or other compensation (either directly or indirectly) is received from, or on behalf of, any of the companies or ETF sponsors mentioned.

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Tuesday, February 9th, 2016

ETF Stats for January 2016: Currency Hedging 2.0

By Ron Rowland
16:34 pm CST

January witnessed 13 ETF launches along with the closure of four ETFs and one ETN, putting the new count at 1,853 (1,653 ETFs and 200 ETNs).  The net increase of eight might seem like a slow pace of product introductions, but it is much better than a year ago when the 23 closures swamped the 13 launches.  Assets fell 4.5% during January but remain above the $2 trillion mark for now.  The quantity of actively managed ETFs dropped from 137 to 134, yet assets grew 4.3%.

If 2015 was the year of currency hedging, then 2016 could be the year of “managed” currency hedging.  On a single day in January, two firms introduced seven next-generation currency-hedged ETFs employing “Currency Hedging 2.0” techniques.  WisdomTree calls its new hedging approach “Dynamic,” while iShares chose the “Adaptive” moniker.  Despite these slight naming differences, both firms employ a similar process for managing currency exposure based on changing market conditions.

The iShares methodology uses four indicators: interest-rate differential, relative valuation, momentum, and volatility.  Each indicator controls a 25% increment of each currency being hedged.  The WisdomTree approach also uses interest-rate differential, relative valuation, and momentum factors, but does not use a volatility factor.  Each indicator controls one-third of each currency’s exposure, and the relative valuation hedge is applied in two 16.7% increments.  Both methodologies are likely to be popular with retail investors who do not want to manage their own level of currency hedging.  I expect more of these next-generation currency-hedged ETFs to roll out in the months ahead.

Three ETNs had early terminations in January.  The CS X-Links Commodity Benchmark ETN (CSCB) was the result of Credit Suisse voluntarily exercising its option to accelerate (“call”) the notes prior to their 2033 maturity.  UBS ETRACS 2xMonthly Leveraged Alerian MLP Infrastructure Index ETN (MLPL) and UBS ETRACS 2xMonthly Leveraged S&P MLP Index ETN (MLPV) triggered mandatory acceleration and redemptions due to adverse market conditions on January 20.  Anti-ruin triggers are needed for these products because they reset leverage monthly instead of daily.  Although the two triggers were independent, they both occurred on the same day during a sell-off in the MLP market.  The two ETRACs products were still listed as the month came to a close, so they will not show up as closures until February.

The quantity of funds with more than $10 billion in assets held steady at 51 for January.  The number of products with at least $1 billion in assets decreased from 256 to 243.  The median asset level is just $61.4 million, which is a level some analysts considered to be unprofitable.  Trading activity jumped 16.7% for the month to $2.17 trillion.  This represents a 107% turnover ($ volume / industry assets) for the month.

January 2016 Month EndETFsETNsTotal
Currently Listed U.S.1,6532001,853
Listed as of 12/31/20151,6442011,845
New Introductions for Month13013
Delistings/Closures for Month415
Net Change for Month+9-1+9
New Introductions 6 Months1307137
New Introductions YTD13013
Delistings/Closures YTD415
Net Change YTD+9-1+9
Assets Under Mgmt ($ billion)$2,003$20.2$2,023
% Change in Assets for Month-4.5%-5.9%-4.5%
% Change in Assets YTD-4.5%-5.9%-4.5%
Qty AUM > $10 Billion51051
Qty AUM > $1 Billion2394243
Qty AUM > $100 Million76134795
% with AUM > $100 Million46.0%17.0%42.9%
Monthly $ Volume ($ billion)$2,0736$98.5$2,171
% Change in Monthly $ Volume+16.1%+33.1%+16.7%
Avg Daily $ Volume > $1 Billion14115
Avg Daily $ Volume > $100 Million1146120
Avg Daily $ Volume > $10 Million35812370
Actively Managed ETF Count (w/ change)134-3 mth-3 ytd
Actively Managed AUM ($ billion)$23.9+4.3% mth+4.3% ytd
Data sources:  Daily prices and volume of individual ETPs from Norgate Premium Data.  Fund counts and all other information compiled by Invest With An Edge.

New products launched in January (sorted by launch date):

  1. Reality Shares DIVCON Leaders Dividend ETF (LEAD), launched 1/6/16, seeks to invest in the large-cap U.S. companies with the highest probability of increasing their dividends within a year, based on their DIVCON dividend health scores, a rating methodology which ranks dividend growth prospects based on a weighted average of seven quality factors correlated to dividend growth.  The ETF weights it holdings based on their DIVCON score and has an expense ratio of 0.43% (LEAD overview).
  2. iShares Adaptive Currency Hedged MSCI EAFE ETF (DEFA), launched 1/7/16, is a fund-of-funds holding iShares MSCI EAFE (EFA) and overlaying an adaptive currency hedge.  The currency hedge uses four indicators (interest-rate differential, relative valuation, momentum, and volatility) with each controlling a 25% increment in each currency’s hedge.  DEFA has its expense ratio capped at 0.35% until November 2020 (DEFA overview).
  3. iShares Adaptive Currency Hedged MSCI Eurozone ETF (DEZU), launched 1/7/16, is a fund-of-funds holding iShares MSCI Eurozone (EZU) and overlaying an adaptive currency hedge.  The currency hedge uses four indicators (interest-rate differential, relative valuation, momentum, and volatility) with each controlling a 25% increment of euro hedging.  DEZU has its expense ratio capped at 0.50% until November 2020 (DEZU overview).
  4. iShares Adaptive Currency Hedged MSCI Japan ETF (DEWJ), launched 1/7/16, is a fund-of-funds holding iShares MSCI Japan (EWJ) and overlaying an adaptive currency hedge.  The currency hedge uses four indicators (interest-rate differential, relative valuation, momentum, and volatility) with each controlling a 25% increment of yen hedging.  DEWJ has its expense ratio capped at 0.47% until November 2020 (DEWJ overview).
  5. WisdomTree Dynamic Currency Hedged Europe Equity Fund (DDEZ), launched 1/7/16, seeks to track the performance of European dividend-paying companies while dynamically hedging exposure to currency fluctuations.  The currency hedge uses three indicators (interest-rate differential, relative valuation, and momentum) with each controlling a 33.3% portion of the euro hedging.  DDEZ will cap its expense ratio at 0.43% for one year (DDEZ overview).
  6. WisdomTree Dynamic Currency Hedged International Equity Fund (DDWM), launched 1/7/16, seeks to track the performance of dividend-paying companies in the industrialized world outside of North America while dynamically hedging exposure to currency fluctuations. The currency hedge uses three indicators (interest-rate differential, relative valuation, and momentum) with each controlling a 33.3% portion of the hedging.  DDWM will cap its expense ratio at 0.35% for one year (DDWM overview).
  7. WisdomTree Dynamic Currency Hedged International SmallCap Equity Fund (DDLS), launched 1/7/16, seeks to track the performance of the small-capitalization segment of dividend-paying companies in the industrialized world outside of North America while dynamically hedging exposure to currency fluctuations. The currency hedge uses three indicators (interest-rate differential, relative valuation, and momentum) with each controlling a 33.3% portion of the hedging.  DDLS will cap its expense ratio at 0.43% for one year (DDLS overview).
  8. WisdomTree Dynamic Currency Hedged Japan Equity Fund (DDJP), launched 1/7/16, seeks to track the performance of Japanese dividend-paying companies while dynamically hedging exposure to currency fluctuations.  The currency hedge uses three indicators (interest-rate differential, relative valuation, and momentum) with each controlling a 33.3% portion of the yen hedging.  DDJP will cap its expense ratio at 0.43% for one year (DDJP overview).
  9. Market Vectors Generic Drug ETF (GNRX), launched 1/13/16, tracks an underlying index that includes global exchange-listed companies that derive a significant proportion of their revenues from the generic drug industry.  The underlying index defines the generic drug industry as any company involved in the research, development, production, manufacturing or sale of generics, supergenerics, biosimilars, biobetters, or their active pharmaceutical ingredients.  The ETF employs a rules-based, modified capitalization- weighted scheme and caps its expense ratio at 0.55% (GNRX overview).
  10. Reality Shares DIVCON Dividend Defenders ETF (DFND), launched 1/14/16, seeks to provide long-term capital appreciation through the use of a hedged (long/short) equity portfolio that may provide more stable returns than a long-only equity portfolio.  It invests 75% of its portfolio in the large-cap U.S. companies with the highest probability of increasing their dividends within a year, based on their DIVCON dividend health scores.  The remaining 25% of the portfolio is used to short the large-cap U.S. companies with the highest probability of cutting their dividends within a year.  DFND has an expense ratio of 0.95% (DFND overview).
  11. Reality Shares DIVCON Dividend Guard ETF (GARD), launched 1/14/16, seeks to provide exposure to large-cap U.S. companies with the highest probability of increasing their dividends, as measured by their DIVCON Scores.  It dynamically adjusts its market exposure based on the Guard Indicator market-strength gauge, which may reduce the impact of market downturns.  When the Guard Indicator signals a strong market, GARD invests 100% of its portfolio in the large-cap U.S. companies with the highest probability of increasing their dividends within a year, based on their DIVCON dividend health scores.  When the Guard Indicator signals a weak market, that long-stock weight is reduced to 50%, and the remaining 50% of the portfolio is allocated to a short-stock position in the large-cap U.S. companies with the highest probability of cutting their dividends within a year.  This ETF has an expense ratio of 0.95% (GARD overview).
  12. SPDR FactSet Innovative Technology ETF (XITK), launched 1/14/16, is designed to represent the performance of U.S.-listed stocks and American Depository Receipts (“ADRs”) of technology and technology-related companies within the most innovative segments of the technology sector and electronic media subsector, as defined by FactSet Research Systems, Inc.  The underlying index considers the most innovative segments to be those with the highest revenue growth.  Holdings are equally weighted at the annual rebalancing. XITK sports an expense ratio of 0.45% (XITK overview).
  13. ProShares MSCI Emerging Markets Dividend Growers ETF (EMDV), launched 1/27/16, will track the MSCI Emerging Markets Dividend Masters Index, which focuses on companies with the longest track records of year-over-year dividend growth.  EMDV has its expense ratio capped at 0.60% through September 2017 (EMDV overview).

Product closures in January and last day of listing:

  1. CS X-Links Commodity Benchmark ETN (CSCB) 1/27/16 – Credit Suisse exercised its optional acceleration right.
  2. Guggenheim Russell 1000 Equal Weight (EWRI) 1/27/16 – assets were merged into the Guggenheim S&P 500 Equal Weight ETF (RSP).
  3. Columbia Large Cap Growth (RPX) 1/28/16 – unable to attract sufficient assets after more than six years on the market.
  4. Columbia Select Large Cap Growth (RWG) 1/28/16 – unable to attract sufficient assets after more than six years on the market.
  5. Columbia Select Large Cap Value (GVT) 1/28/16 – unable to attract sufficient assets after more than six years market.

Product changes in January:

  1. WisdomTree closed on its acquisition of Greenhaven Commodity Services and its two ETFs with an effective date of January 4, 2016.  The fund names changed from Greenhaven to WisdomTree, becoming the WisdomTree Continuous Commodity Index Fund (GCC) and the WisdomTree Coal Fund (TONS).
  2. UBS ETRACS 2xMonthly Leveraged Alerian MLP Infrastructure Index ETN (MLPL) triggered a mandatory redemption on January 20 when its intraday index value dropped by more than 30% from its most recent monthly closing value.  It was delisted after trading on 1/29 and was liquidated at $12.8994 per unit.  MLPL became a broken product on October 8, 2015, when UBS announced it would not issue additional notes, and the situation became exacerbated on December 4 when UBS suspended all sales.
  3. UBS ETRACS 2xMonthly Leveraged S&P MLP Index ETN (MLPV) triggered a mandatory redemption when its intraday indicative value dropped below $5.00 per unit on January 20.  It was delisted after trading on 1/29 and was liquidated at $6.4895 per unit.
  4. Barclays warned investors that its iPath S&P GSCI Crude Oil ETN (OIL) was a broken product and subject to a “persistent and material premium in the trading price” after the ETN traded at a 41% premium on January 19.  Barclays issued “further guidance” on January 22, stating the firm is making the problem worse by limiting the sale of the ETNs from inventory.
  5. Guggenheim changed the names and underlying indexes for three of its ETFs effective January 27, 2016.  Guggenheim Russell 2000 Equal Weight ETF (EWRS) became Guggenheim S&P SmallCap 600 Equal Weight ETF (EWSC), Guggenheim Russell MidCap Equal Weight ETF (EWRM) became Guggenheim S&P MidCap 400 Equal Weight ETF (EWMC), and Guggenheim Russell Top 50 Mega Cap ETF (XLG) became Guggenheim S&P 500 Top 50 ETF (XLG).

Announced Product Changes for Coming Months:

  1. Van Eck Global originally planned to acquire Yorkville MLP ETFs and hoped to close the transaction in the fourth quarter.  The plans were approved on December 17, 2015, and the reorganizations are now expected to close on February 8, 2016.
  2. Invesco PowerShares will change the names and underlying indexes on four ETFs, with two receiving new ticker symbols, effective March 18.  PowerShares S&P Emerging Markets High Beta (EEHB) will become PowerShares S&P Emerging Market Momentum (EEMO), PowerShares S&P International Developed High Beta (IDHB) will become PowerShares S&P International Developed Momentum (IDMO), PowerShares S&P International Developed High Quality (IDHQ) will become PowerShares S&P International Developed Quality (IDHQ), PowerShares S&P 500 High Quality (SPHQ) will become PowerShares S&P 500 Quality (SPHQ).
  3. Invesco PowerShares will close four ETFs with March 18, 2016, being their last day of listed trading.  The affected funds are PowerShares China A-Share (CHNA), PowerShares Fundamental Emerging Markets Local Debt (PFEM), PowerShares KBW Capital Markets (KBWC), and PowerShares KBW Insurance (KBWI).

Previous monthly ETF statistics reports are available here.

Disclosure: Author has no positions in any of the securities, companies, or ETF sponsors mentioned.  No income, revenue, or other compensation (either directly or indirectly) is received from, or on behalf of, any of the companies or ETF sponsors mentioned.

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Wednesday, January 27th, 2016

ETF Deathwatch for January 2016: Count Grows To 386

By Ron Rowland
8:18 am CST

Calendar year 2016 gets underway with 386 ETFs and ETNs on Deathwatch.  The January list is 5.5% larger than December’s 366 and is the result of 30 additions and 10 escapees.  The overall count consists of 284 ETFs and 102 ETNs.  I am considering revising the criteria for ETF Deathwatch due to the quantity of closures in 2015 that had asset levels above the current $25 million cutoff level.  However, I will wait until the quantity hits a new high before making changes to avoid artificially creating a new high due to altered criteria. In case you are wondering, the peak was 403 in September 2012, the only time it registered more than 400.

I have been pointing out the rapid proliferation of currency-hedged funds over the past year. Their appearance on ETF Deathwatch is another sign that the segment is approaching saturation.  Direxion Daily MSCI Europe Currency-Hedged Bull 2x (HEGE), Direxion Daily MSCI Japan Currency-Hedged Bull 2x (HEGJ), ProShares Hedged FTSE Europe ETF (HGEU), and WisdomTree International Hedged SmallCap Dividend (HDLS) are four additions this month that are currency hedged.

Currency hedging isn’t the only form of hedging evident among the new arrivals to ETF Deathwatch.  ETRACS S&P 500 VEQTOR Switch Index ETN (VQTS) tracks an index that employs a dynamic volatility hedge with VIX futures.  “HFR” stands for hedge fund replication in the names of the three Highland ETFs joining the list this month.  All three of them employ equity hedging via long/short portfolios.

The average asset level of products on ETF Deathwatch held steady at $6.9 million, and the quantity of products with less than $2 million jumped from 73 to 83.  The average age increased from 48.2 to 48.8 months, and the number of products more than five years old increased from 130 to 137.

Here is the complete list of 386 ETFs and ETNs on ETF Deathwatch for January 2016 compiled using the objective ETF Deathwatch criteria.

The 30 ETFs and ETNs added to ETF Deathwatch for January:

  1. Barclays OFI SteelPath MLP ETN (OSMS)
  2. BLDRS Asia 50 ADR (ADRA)
  3. Direxion Daily MSCI Europe Currency-Hedged Bull 2x (HEGE)
  4. Direxion Daily MSCI Japan Currency-Hedged Bull 2x (HEGJ)
  5. ETRACS S&P 500 VEQTOR Switch Index ETN (VQTS)
  6. Global X JPMorgan US Sector Rotator (SCTO)
  7. Global X Southeast Asia ETF (ASEA)
  8. Guggenheim China Real Estate (TAO)
  9. Guggenheim Wilshire Micro-Cap (WMCR)
  10. Highland HFR Equity Hedge ETF (HHDG)
  11. Highland HFR Event-Driven ETF (DRVN)
  12. Highland HFR Global ETF (HHFR)
  13. IQ Global Agribusiness Small Cap (CROP)
  14. iShares Convertible Bond ETF (ICVT)
  15. iShares MSCI Intl Developed Size Factor (ISZE)
  16. iShares MSCI Intl Developed Value Factor (IVLU)
  17. Market Vectors Global Spin-Off ETF (SPUN)
  18. PowerShares FTSE RAFI Asia Pacific ex-Japan (PAF)
  19. ProShares Hedged FTSE Europe ETF (HGEU)
  20. ProShares Ultra Homebuilders & Supplies (HBU)
  21. ProShares Ultra Oil & Gas Exploration & Production (UOP)
  22. ProShares UltraShort Homebuilders & Supplies (HBZ)
  23. ProShares UltraShort Oil & Gas Exploration & Production (SOP)
  24. ProShares UltraShort Utilities (SDP)
  25. SPDR S&P International Financial (IPF)
  26. Tortoise North American Pipeline Fund (TPYP)
  27. TrimTabs Intl Free-Cash Flow ETF (FCFI)
  28. ValueShares International Quantitative Value (IVAL)
  29. WisdomTree International Hedged SmallCap Dividend (HDLS)
  30. WisdomTree Western Asset Unconstrained Bond (UBND)

The 10 ETPs removed from ETF Deathwatch due to improved health:

  1. AlphaMark Actively Managed Small Cap (SMCP)
  2. Compass EMP U.S. 500 Volatility Weighted (CFA)
  3. Guggenheim MSCI Emerging Markets Equal Country Weight (EWEM)
  4. iShares FactorSelect MSCI International (INTF)
  5. iShares FactorSelect MSCI USA (LRGF)
  6. iShares iBonds Dec 2023 Corporate (IBDO)
  7. iShares iBonds Dec 2025 Corporate (IBDQ)
  8. PowerShares DB Optimum Yield Diversified Commodity Strategy (PDBC)
  9. ProShares Russell 2000 Dividend Growers (SMDV)
  10. SPDR Barclays International High Yield Bond (IJNK)

The ETPs removed from ETF Deathwatch due to delisting:

None

ETF Deathwatch Archives

Disclosure:  Author has no positions in any of the securities mentioned and no positions in any of the companies or ETF sponsors mentioned.  No income, revenue, or other compensation (either directly or indirectly) is received from, or on behalf of, any of the companies or ETF sponsors mentioned.

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Friday, January 22nd, 2016

ETF Stats for December 2015: Actively Managed ETF Assets Overtake ETNs

By Ron Rowland
12:51 pm CST

Assets in actively managed ETFs climbed 3.3% to $22.9 billion in December, while assets in ETNs dropped 4.5% to $21.5 billion.  This is a significant milestone for actively managed ETFs, marking the first time that their asset levels have surpassed those of ETNs.  Overall U.S. industry assets shrunk 1.1% in December to end the year at $2.12 trillion, producing a 6.0% one-year growth.

December saw 23 new introductions and two closures.  The month and year ended with 1,845 U.S.-listed products, consisting of 1,644 ETFs and 201 ETNs.  For the year, the 284 launches and 101 closures resulted in a net increase of 183 products.

Product quantity and asset levels have historically tracked relatively closely at about $1 billion in assets for every ETF.  Calendar year 2015 ended with an average of $1.15 billion per product, down from $1.20 billion a year ago.

The quantity of actively managed ETFs increased by only 9.6% during 2015, growing from 125 to 137. This belies the 33.0% surge in assets, which shot from $17.3 billion to $22.9 billion.  As mentioned earlier, this is the first time actively managed ETF assets have been greater than ETN assets, even though ETNs outnumber actively managed ETFs 201 to 137.

Fund-of-fund ETFs also saw growth in 2015, increasing from 44 to 77 with assets surging to $14.8 billion (an increase of more than 224%).  Much of 2015’s growth was spurred by new currency-hedged international ETFs, which buy an unhedged ETF and then add a currency overlay.  Although the 77 fund-of-fund ETFs are included in the industry product counts, their reported asset levels are excluded.  If they were included, it would result in double counting because the assets in these ETFs are already reflected in the asset levels of the funds they purchase.

The quantity of funds with more than $10 billion in assets decreased from 52 to 51 for December, but this tiny 2.8% of the products hold 59.4% of the assets.  The number of products with at least $1 billion in assets increased by two to 256, and they account for 89.9% of the assets.  Just 814 ETFs and ETNs can claim an asset level above $100 million, a level some analysts believe is required for profitability, leaving 1,031 (55.9%) in a questionable state.

Trading activity surged 38.9% in December to $1.86 trillion.  This represents a turnover ratio ($ volume / industry assets) of 87.8% for the month.  There were 13 funds averaging more than $1 billion in daily trading during December, and they accounted for 57.6% of the industry trading activity. The quantity of ETFs and ETNs with more than $100 million in average daily dollar volume was 107, and 364 posted more than $10 million in daily trading activity.  Liquidity remains a concern for many products, with 236 not trading on the last day of the year and 19 going the entire month with zero volume.

December 2015 Month EndETFsETNsTotal
Currently Listed U.S.1,6442011,845
Listed as of 12/31/20141,4512111,662
New Introductions for Month23023
Delistings/Closures for Month202
Net Change for Month+210+21
New Introductions 6 Months1538161
New Introductions YTD27212284
Delistings/Closures YTD7922101
Net Change YTD+193-10+183
Assets Under Mgmt ($ billion)$2,097$21.5$2,118
% Change in Assets for Month-1.0%-4.5%-1.1%
% Change in Assets YTD+6.3%-20.2%+6.0%
Qty AUM > $10 Billion51051
Qty AUM > $1 Billion2515256
Qty AUM > $100 Million77836814
% with AUM > $100 Million47.3%17.9%44.1%
Monthly $ Volume ($ billion)$1,786$74.0$1,860
% Change in Monthly $ Volume+38.8%+41.5%+38.9%
Avg Daily $ Volume > $1 Billion12113
Avg Daily $ Volume > $100 Million1007107
Avg Daily $ Volume > $10 Million34816364
Actively Managed ETF Count (w/ change)137+2 mth+12 ytd
Actively Managed AUM ($ billion)$22.9+3.3% mth+33.0% ytd
Data sources:  Daily prices and volume of individual ETPs from Norgate Premium Data.  Fund counts and all other information compiled by Invest With An Edge.

New products launched in December (sorted by launch date):

  1. SPDR S&P 500 Fossil Fuel Free ETF (SPYX), launched 12/1/15, will target S&P 500 companies that do not own fossil fuel reserves, which currently excludes 25 stocks.  The fund uses capitalization weighting, has a yield of 1.9%, and an expense ratio of 0.20% (SPYX overview).
  2. MomentumShares U.S. Quantitative Momentum ETF (QMOM), launched 12/2/15, is an actively managed ETF that selects stocks using its Quantitative Momentum Process that includes trend quality and seasonality.  It typically concentrates its portfolio at around 60 holdings and has an expense ratio of 0.79% (QMOM overview).
  3. Direxion Daily Healthcare Bear 3x Shares (SICK), launched 12/3/15, seeks to provide 300% of the inverse daily performance of the Health Care Select Sector Index.  This is the second life for this ETF, as it was previously launched on 6/15/11 and subsequently closed on 9/5/12.  Its expense ratio will be capped at 0.95% (SICK overview).
  4. Direxion Daily Natural Gas Related Bear 3x Shares (GASX), launched 12/3/15, seeks to provide 300% of the inverse daily performance of the ISE-Revere Natural Gas Index.  This is the second life for this ETF, as it was previously launched on 7/14/10 and subsequently closed on 9/23/14.  Its expense ratio will be capped at 0.95% (GASX overview).
  5. Direxion Daily S&P Biotech Bear 1x Shares (LABS), launched 12/3/15, seeks to provide the daily inverse return of the S&P Biotechnology Select Industry Index and has an expense ratio of 0.45% (LABS overview).
  6. SPDR Russell 1000 Low Volatility Focus ETF (ONEV), launched 12/3/15, tracks a smart-beta index using multiple factors (value, quality, and size) with a focus on low volatility.  It has an expense ratio of 0.20% (ONEV overview).
  7. SPDR Russell 1000 Momentum Focus ETF (ONEO), launched 12/3/15, tracks a smart-beta index using multiple factors (value, quality, and size) with a focus on high momentum.  It has an expense ratio of 0.20% (ONEO overview).
  8. SPDR Russell 1000 Yield Focus ETF (ONEY), launched 12/3/15, tracks a smart-beta index using multiple factors (value, quality, and size) with a focus on high yield.  It has an expense ratio of 0.20% (ONEY overview).
  9. Tierra XP Latin America Real Estate ETF (LARE), launched 12/3/15, tracks the performance of all major listed companies in the real estate industry in Latin America.  The underlying index is comprised of 52 locally listed equities ranked overall by market capitalization, dividend yield, and liquidity.  Its expense ratio is 0.79% (LARE overview).
  10. Elkhorn FTSE RAFI U.S. Equity Income ETF (ELKU), launched 12/10/15, is designed to track the performance of high-yield stocks in the U.S. that have been screened to target sustainable income. Index constituents are selected and weighted using four fundamental factors, and the fund sports a 0.39% expense ratio (ELKU overview).
  11. iShares FactorSelect MSCI Emerging ETF (EMGF), launched 12/10/15, seeks to track the investment results of an index composed of stocks of large- and mid-capitalization companies in emerging markets that have favorable exposure to quality, value, size, and momentum factors.  Its expense ratio is capped at 0.65% through 12/31/2016 (EMGF overview).
  12. Pacer Autopilot Hedged European Index ETF (PAEU), launched 12/15/15, uses a dynamic currency hedge on a static portfolio of stocks tracking the FTSE Eurobloc Index.  The currency hedge is based on a 20-day and 130-day moving average crossover of the euro and U.S. dollar relative strength.  The fund has an expense ratio of 0.65% (PAEU overview).
  13. Pacer Trendpilot European Index ETF (PTEU), launched 12/15/15, alternates between 100% exposure to the FTSE Eurobloc Index, 100% exposure to 3-month T-bills, and a 50/50 exposure between the two based on the relationship of the FTSE Eurobloc Index to its 200-day moving average.  PTEU has an expense ratio of 0.65% (PTEU overview).
  14. Guggenheim Dow Jones Industrial Average Dividend ETF (DJD), launched 12/16/15, offers an alternative, strategic beta approach to the 30 stocks of the Dow Jones Industrial Average by weighting each security by its dividend yield, rather than price.  The ETF has an initial yield of 2.7% and an expense ratio 0.30% (DJD overview).
  15. SPDR S&P North American Natural Resources ETF (NANR), launched 12/16/15, tracks an index of large- and mid-cap U.S. and Canadian companies in the natural resources and commodities businesses that have energy, materials, or agriculture classifications.  It has 59 holdings, a current yield of 2.7%, and an expense ratio 0.35% (NANR overview).
  16. JPMorgan Diversified Return Europe Equity ETF (JPEU), launched 12/21/15, provides developed Europe equity exposure across 10 equally weighted sectors.  The underlying index selects stocks using a bottom-up multi-factor stock-ranking process that combines value, quality, and momentum factors.  The new ETF has an expense ratio of 0.43% (JPEU overview).
  17. MomentumShares International Quantitative Momentum ETF (IMOM), launched 12/23/15, is an actively managed ETF that selects international stocks using its Quantitative Momentum Process that includes trend quality and seasonality.  It typically concentrates its portfolio at around 60 equally weighted holdings and has an expense ratio of 0.99% (IMOM overview).
  18. WisdomTree Dynamic Bearish U.S. Equity Fund (DYB), launched 12/23/15, tracks an index that can range between 0% to 100% long U.S. large-cap low-volatility equities and is hedged with a 75%–100% bearish position consisting of short positons in large-cap cap-weighted stocks (and U.S. Treasury securities).  The net equity exposure of this ETF can range from -100% to +25%, and it has an expense ratio of 0.48% (DYB overview).
  19. WisdomTree Dynamic Long/Short U.S. Equity Fund (DYLS), launched 12/23/15, tracks an index that is 100% long U.S. large-cap low-volatility equities and then hedged with a 0%–100% bearish position consisting of short positons in large-cap cap-weighted stocks (and U.S. Treasury securities).  The net equity exposure of this ETF can range from 0% to +100%, and it has an expense ratio of 0.48% (DYLS overview).
  20. Legg Mason Developed ex-US Diversified Core ETF (DDBI), launched 12/29/15, uses a proprietary diversification method designed to provide broad exposure balanced across developed international markets.  It aims to be a core holding that can complement cap-weighted products and has an expense ratio of 0.40% (DDBI overview).
  21. Legg Mason Emerging Markets Diversified Core ETF (EDBI), launched 12/29/15, uses a proprietary diversification method designed to provide broad exposure balanced across emerging markets.  It aims to be a core holding that can complement cap-weighted products and has an expense ratio of 0.50% (EDBI overview).
  22. Legg Mason Low Volatility High Dividend ETF (LVHD), launched 12/29/15, seeks income from sustainable dividends from U.S. stocks to provide a more reliable income stream, reduced volatility, and the potential for appreciation with an expense ratio of 0.30% (LVHD overview).
  23. Legg Mason US Diversified Core ETF (UDBI), launched 12/29/15, uses a proprietary diversification method designed to provide broad exposure balanced across U.S. equities.  It aims to be a core holding that can complement cap-weighted products and has an expense ratio of 0.30% (UDBI overview)

Product closures in December and last day of listing:

  1. Guggenheim BulletShares 2015 Corporate Bond ETF (BSCF) 12/30/15
  2. Guggenheim BulletShares 2015 High Yield Corporate Bond ETF (BSJF) 12/30/15

Product changes in December:

  1. OppenheimerFunds, Inc. acquired VTL Associates and its RevenueShares ETFs effective December 2, 2015.  The eight affected ETFs were rebranded as Oppenheimer ETFs.
  2. The First Trust Global Copper ETF (CU) underwent an extreme makeover, becoming the First Trust Indxx Global Natural Resources Income ETF (FTRI) effective December 21, 2015.
  3. The First Trust Global Platinum ETF (PLTM) underwent an extreme makeover, becoming the First Trust Indxx Global Agriculture ETF (FTAG) effective December 21, 2015.

Announced Product Changes for Coming Months:

  1. WisdomTree will close on its acquisition of Greenhaven Commodity Services and its two ETFs with an effective date of January 4, 2016.  The fund names will change from Greenhaven to WisdomTree, becoming the WisdomTree Continuous Commodity Index Fund (GCC) and the WisdomTree Coal Fund (TONS).
  2. Guggenheim Russell 1000 Equal Weight ETF (EWRI) will cease to exist January 27, 2016.  At that time, any remaining assets in the fund will be merged into the Guggenheim S&P 500 Equal Weight ETF (RSP).
  3. Guggenheim will change the name and underlying indexes for three of its ETFs effective January 27, 2016.  Guggenheim Russell 2000 Equal Weight ETF (EWRS) will become Guggenheim S&P SmallCap 600 Equal Weight ETF (EWSC), Guggenheim Russell MidCap Equal Weight ETF (EWRM) will become Guggenheim S&P MidCap 400 Equal Weight ETF (EWMC), and Guggenheim Russell Top 50 Mega Cap ETF (XLG) will become Guggenheim S&P 500 Top 50 ETF (XLG).
  4. Van Eck Global plans to acquire Yorkville MLP ETFs and hoped to close the transaction in the fourth quarter.  The plans were approved on December 17, 2015 and the reorganizations are now expected to close on February 8, 2016.

Previous monthly ETF statistics reports are available here.

Disclosure: Author has no positions in any of the securities, companies, or ETF sponsors mentioned.  No income, revenue, or other compensation (either directly or indirectly) is received from, or on behalf of, any of the companies or ETF sponsors mentioned.

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