Thursday, April 23rd, 2015

ETF Stats for March 2015 – Trading Activity Picks Up

By Ron Rowland
11:33 am CDT

Twenty-three ETFs and two ETNs came to market in March.  Meanwhile, five ETFs shuttered operations and are no longer with us.  The net increase of twenty puts the month-end count of listed products at 1,687, consisting of 1,480 ETFs and 207 ETNs.  Actively managed funds added one to their roster, bringing the count to 124.

Asset levels saw little change during the month, remaining at about $2.1 trillion.  Assets in ETNs had a 1.3% drop to $27.3 billion, and actively managed ETF assets declined 1.0% to $19.3 billion.  The number of funds with more than $10 billion in assets held steady at 49.  While representing only 2.9% of the product quantity, these 29 account for 58.3% of overall industry assets.  The number of products with more than $1 billion increased from 259 to 262 and control 89.8% of the assets.

Trading activity jumped 24% in March with $1.65 trillion worth of products changing hands.  Eight products averaged more than $1 billion per day, and this very small minority accounted for the majority of all trading at 52.4%.  These elite trading eight are SPDR S&P 500 ETF (SPY), iShares Russell 2000 ETF (IWM), PowerShares QQQ (QQQ), iShares MSCI Emerging Markets (EEM), SPDR Energy Select Sector (XLE), iShares MSCI EAFE Index (EFA), iPath S&P 500 VIX Short-Term Futures ETN (VXX), and iShares 20+ Year Treasury Bond ETF (TLT).

March 2015 Month EndETFsETNsTotal
Currently Listed U.S.1,4802071,687
Listed as of 12/31/20141,4512111,662
New Introductions for Month23225
Delistings/Closures for Month505
Net Change for Month+18+2+20
New Introductions 6 Months1036109
New Introductions YTD57360
Delistings/Closures YTD28735
Net Change YTD+29-4+25
Assets Under Mgmt ($ billion)$2,058$27.3$2,085
% Change in Assets for Month+0.0%-1.3%+0.0%
% Change in Assets YTD+4.4%+1.4%+4.3%
Qty AUM > $10 Billion49049
Qty AUM > $1 Billion2575262
Qty AUM > $100 Million77539814
% with AUM > $100 Million52.4%18.8%48.3%
Monthly $ Volume ($ billion)$1,600$53.8$1,654
% Change in Monthly $ Volume+24.8%+7.2%+24.1%
Avg Daily $ Volume > $1 Billion718
Avg Daily $ Volume > $100 Million85489
Avg Daily $ Volume > $10 Million30812320
Actively Managed ETF Count (w/ change)124 +1 mth-1 ytd
Actively Managed AUM ($ billion)$19.3-1.0% mth+11.9% 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 March (sorted by launch date):

  1. Deutsche X-trackers Emerging Markets Bond – Interest Rate Hedged ETF (EMIH), launched 3/03/15, provides hedged exposure to a broad range of emerging-market debt from 29 different countries.  The ETF will purchase US Dollar denominated emerging market bonds and then short US Treasury futures to hedge some of the interest rate risk.  The estimated yield is 3.2%.  EMIH has an expense ratio of 0.50% (EMIH overview).
  2. Deutsche X-trackers High Yield Corporate Bond – Interest Rate Hedged ETF (HYIH), launched 3/03/15, will purchase high yield corporate bonds and then establish short positions in US Treasury futures to hedge some of the interest rate risk.  The ETF is highly diversified with over 1,000 holdings and has an estimated yield of 4.4%.  It sports a 0.45% expense ratio (HYIH overview).
  3. Deutsche X-trackers Investment Grade Bond – Interest Rate Hedged ETF (IGIH), launched 3/03/15, will purchase investment-grade corporate bonds and hedge some of the interest rate risk by shorting US Treasury futures.  IGIH has no shortage of holdings with over 1,200 positions and has an estimated yield of 1.1%.  Investors will pay 0.25% annually to own this ETF (IGIH overview).
  4. WisdomTree Europe Hedged SmallCap Equity Fund (EUSC), launched 3/04/15, provides exposure to small-cap European equities while at the same time hedging against the impact of currency fluctuations between the US Dollar and the Euro.  Holdings are weighted by annual cash dividends, and no position will have an allocation of more than 2%, no sector more than 25%, and no country more than 25%.  The ETF’s expense ratio is 0.58% (EUSC overview).
  5. iShares Short Maturity Municipal Bond ETF (MEAR), launched 3/05/15, is an actively managed ETF seeking to maximize tax-free current income through exposure to short-term municipal bonds.  The ETF will primarily hold investment grade bonds with remaining maturities of 5 years or less.  No yield information is provided.  MEAR’s expense ratio will be capped at 0.25% until 2/29/16 (MEAR overview).
  6. Direxion Value Line Conservative Equity ETF (VLLV), launched 3/11/15, holds about 145, mostly large-cap stocks.  Securities are selected using Value Line’s proprietary Safety Rank, which measures the total risk of a stock and its defensive capability during an overall equity market downturn.  All companies are equally weighted and rebalanced annually.  Health Care represents about 19% of the ETF and Consumer Staples about 17%.  VLLV’s expense ratio will be capped at 0.58% until 9/1/16 (VLLV overview).
  7. Direxion Value Line Mid- and Large-Cap High Dividend ETF (VLML), launched 3/11/15, is composed of 50 mid- and large-cap US companies that pay above average dividends.  Stocks are selected using four proprietary ranking and rating criteria, are equally weighted, and are rebalanced annually.  Materials is the largest sector represented at 17.0%, with Financials close behind at 15.7%.  The ETF’s expense ratio will be capped at 0.58% until 9/1/16 (VLML overview).
  8. Direxion Value Line Small- and Mid-Cap High Dividend ETF (VLSM), launched 3/11/15, is composed of 50 mid- and small-cap US companies that pay above-average dividends.  Stocks are selected using four proprietary ranking and rating criteria, are equally weighted, and are rebalanced annually.  Financials takes top-billing for sector allocation at nearly 44%.  The ETF’s expense ratio will be capped at 0.58% until 9/1/16 (VLSM overview).
  9. ETRACS ISE Exclusively Homebuilders ETN (HOMX), launched 3/11/15, is an exchange traded note designed to reflect the total return of companies engaged in the development and construction of homes and communities.  The ETN aims to capture at least two-thirds of the homebuilders industry’s market capitalization.  Dividends will be automatically reinvested.  The ETN sports a 0.40% expense ratio (HOMX overview).
  10. ETRACS Monthly Reset 2xLeveraged ISE Exclusively Homebuilders ETN (HOML), launched 3/11/15, is an exchange traded note that provides 2x (200%) leveraged exposure (reset monthly) to an index of companies engaged in the development and construction of homes and communities.  HOML uses a total return approach, and dividends are automatically reinvested.  Investors will pay 0.85% annually to own this security (HOML overview).
  11. CSOP FTSE China A50 ETF (AFTY), launched 3/12/15, will hold the 50 largest companies in the China A-Shares market.  This ETF is designed to produce total return, so dividends will be reinvested, although any net income or realized capital gains may be paid out annually.  Financial stocks make up the majority of the allocation at 68.5%.  The ETF stops just short of crossing the 1% expense ratio threshold and lands at 0.99% (AFTY overview).
  12. iShares iBonds Dec 2017 Corporate ETF (IBDJ), launched 3/12/15, is the latest addition to the laddered bond series that iShares started in 2013.  The next six introductions are also part of the chain, and they seek to rectify the problems of missing rungs we identified at the initial launch.  IBDJ provides exposure to investment grade corporate bonds that mature in 2017.  The ETF has an estimated yield of 1.2% and an expense ratio of 0.10% (IBDJ overview).
  13. iShares iBonds Dec 2019 Corporate ETF (IBDK), launched 3/12/15, will provide exposure to investment grade corporate bonds maturing in 2019.  The ETF has an estimated yield of 1.8% and an expense ratio of 0.10% (IBDK overview).
  14. iShares iBonds Dec 2021 Corporate ETF (IBDM), launched 3/12/15, provides exposure to investment grade corporate bonds that mature in 2021.  The ETF has an estimated yield of 2.5% and an expense ratio of 0.10% (IBDM overview).
  15. iShares iBonds Dec 2022 Corporate ETF (IBDN), launched 3/12/15, will provide exposure to investment grade corporate bonds maturing in 2022.  The ETF has an estimated yield of 2.7% and an expense ratio of 0.10% (IBDN overview).
  16. iShares iBonds Dec 2023 Corporate ETF (IBDO), launched 3/12/15, provides exposure to investment grade corporate bonds that mature in 2023.  The ETF has an estimated yield of 2.9% and an expense ratio of 0.10% (IBDO overview).
  17. iShares iBonds Dec 2024 Corporate ETF (IBDP), launched 3/12/15, will provide exposure to investment grade corporate bonds maturing in 2024.  The ETF has an estimated yield of 3.0% and an expense ratio of 0.10% (IBDP overview).
  18. iShares iBonds Dec 2025 Corporate ETF (IBDQ), launched 3/12/15, provides exposure to investment grade corporate bonds that mature in 2025.  The ETF has an estimated yield of 3.1% and an expense ratio of 0.10% (IBDQ overview).
  19. Global X SuperDividend Emerging Markets ETF (SDEM), launched 3/17/15, selects 50 companies that rank among the highest dividend paying securities in emerging markets and weights them equally.  Countries with the most exposure include Brazil at 17.6%, China (16.2%), Russia (14.9%), and South Africa (14.4%).  The ETF sports an expense ratio of 0.65% (SDEM overview).
  20. Global X SuperDividend REIT ETF (SRET), launched 3/17/15, invests in 30 of the highest dividend paying REITs from around the world, although the US accounts for a 76.1% allocation.  The other countries represented include Australia at 10.8%, Canada at 9.7%, and South Africa at 3.3%.  SRET’s expense ratio is 0.58% (SRET overview).
  21. iShares Exponential Technologies ETF (XT), launched 3/23/15, selects global companies believed to be leading innovation across 9 technology themes.  Among the themes are big data & analytics, nanotechnology, robotics, and financial services.  Information Technology leads the sector allocations at 32.3%, but Health Care follows not far behind at 28.7%.  Telecommunications and Industrials also garner a more than 10% allocation.  Investors will pay 0.47% annually to own this security (XT overview).
  22. IQ Hedge Event-Driven Tracker ETF (QED), launched 3/24/15, is a fund-of-funds attempting to replicate the collective hedge funds pursuing an event-driven strategy.  Event-driven strategies usually seek to combine credit opportunities and event-driven equities.  Top holdings are SPDR Barclays Convertible Securities (CWB) at 41.8%, Vanguard Total Bond Market (BND) at 21.5%, iShares Core U.S. Aggregate Bond (AGG) at 20.0%, and iShares Russell 1000 Growth (IWF) at 5.3%.  QED has an expense ratio of 1.00% (QED overview).
  23. IQ Hedge Long/Short Tracker ETF (QLS), launched 3/24/15, is a fund-of-funds designed to deliver performance similar to the universe of long/short hedge funds.  Largest holdings include PowerShares Senior Loan Portfolio (BKLN) at 30.0%, iShares iBoxx USD Investment Grade Corporate Bond (LQD) at 13.0%, iShares Russell 2000 Growth (IWO) at 10.8%, and Vanguard Small-cap Growth (VBK) at 6.3%.  The ETF’s expense ratio is 1.10% (QLS overview).
  24. Lattice Global Small Cap Strategy ETF (ROGS), launched 3/24/15, invests in small-cap stocks across the US, developed, and emerging markets.  It will track a risk-optimized index that seeks to identify companies with favorable combinations of diversified risk based on valuation, momentum, and quality characteristics to enhance returns and reduce overall volatility and drawdowns.  ROGS sports a 0.60% expense ratio (ROGS overview).
  25. Sprott Junior Gold Miners ETF (SGDJ), launched 3/31/15, invests in small-cap gold companies, and to a lesser extent silver miners, that are listed on US and Canadian exchanges.  The ETF will hold 30-40 junior gold mining stocks whose market caps fall between $250 million and $2 billion.  Weighting will be determined by revenue growth and price momentum.  Investors will pay 0.57% annually to own this fund (SGDJ overview).

Product closures/delistings in March:

  1. SPDR Nuveen S&P VRDO Municipal Bond (VRD)
  2. SPDR S&P Mortgage Finance (KME)
  3. SPDR S&P Small Cap Emerging Asia Pacific (GMFS)
  4. United States Metals (USMI)
  5. Horizons S&P Financial Select Sector Covered Call (HFIN)

Previous monthly ETF statistics reports are available here.

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

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Tuesday, March 31st, 2015

Rule of 240

By Ron Rowland
18:29 pm CDT

Most investors are familiar with the Rule of 72, a formula for approximating the time it takes an investment to double at a given compounded annual return.  The Rule states that dividing 72 by the annual return equals the number of years to double.  Conversely, the Rule of 72 can also determine the annual return by dividing 72 by the number of years.  For example, it takes nine years to double an investment compounding at 8% a year (72/8% = 9 years).  Similarly, the return required to double an investment in just six years is 12% (72/6 years = 12%).

Retirement is the primary goal of many investment plans.  These long-range plans require more than just a doubling of an investment and involve time horizons that are longer than those easily estimated with the Rule of 72.  To make the planning process easier, I developed the Rule of 240, a formula for approximating the time and/or compounded return needed for an investment to increase by a factor of ten.  The mathematical term for a factor of ten is called an “order of magnitude” and it may be easier to think about it as “adding a zero” to your investment.  The methodology for using the Rule of 240 is the same as the Rule of 72.

Namely, the number of years it takes to increase an investment by an order of magnitude, multiplied by the annual return is equal to 240.  For example, an investment will take 20 years to add a zero ($100 will grow to $1,000) if the return is 12% a year (240/12% = 20 years).  With an 8% annual return, it will take an investment 30 years to increase by a factor of ten.

Although the Rule of 240 is an estimation technique, it is a reasonably accurate estimate.  The Rule of 240 is accurate to within six months for all returns in the 6% to 15% range and is accurate to within 0.1% a year for all periods greater than 21 years.

Note:  I first published this in July 1999 as the “Rule of 250”, but further research revealed the Rule of 240 is a better fit at lower annual returns.

 

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Thursday, March 26th, 2015

Anchored Momentum

By Ron Rowland
8:46 am CDT

When I started developing a mutual fund selection and trading system in the mid-1980s, I wanted to own the funds that were going up and avoid the ones going down.  Therefore, I quickly gravitated toward price momentum as an indicator and selection tool.  One of the first things I noticed was that typical momentum indicators are very noisy.  My solution was to …

 

…read the entire article, “The Anchored Momentum Indicator“, in the March 19, 2015 issue of Proactive Advisor Magazine.

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Wednesday, March 11th, 2015

ETF Deathwatch for March 2015: Membership Falls Below 300

By Ron Rowland
9:10 am CDT

The ETF Deathwatch membership roll dropped by fourteen and established a new 3-year low of 293, consisting of 199 ETFs and 94 ETNs.  Only seven names joined the list in March while twenty-one escaped.  In a sign of improving industry conditions, sixteen of the names coming off the list this month were due to improved health.  The percentage of all listed products currently on ETF Deathwatch is now just 16.7%, its lowest level since October 2011.  This is down substantially from the peak of September 2012 when more than one of every four products (27.3%) was in trouble.

Guggenheim and PowerShares have made great strides in cleaning up their product lines.  Both firms have an innovative past and are not afraid to test the waters with new product ideas.  Not all ETFs enjoy economic success, and, as a result, funds from Guggenheim and PowerShares found their way onto the ETF Deathwatch list over the years.  Additionally, these two firms have historically been aggressive at closing funds that aren’t pulling their weight.  Thanks to these efforts, Guggenheim currently has only three products on this month’s list (one Guggenheim branded ETF and two with the CurrencyShares brand).  PowerShares has reduced the quantity of its products on the list to just eight this month.  Among large ETF sponsors, Vanguard is the leader in this area and currently has no products on ETF Deathwatch.

At the other end of the spectrum, sponsors and brands with large quantities of products on the list include iPath (48), ProShares (37), Deutsche Bank (25), SPDRs (24), and iShares (21).  There were nine products without any trades for the entire month of February, and eight of them were iPath ETNs.  Additionally, seven iPath products have less than $1 million in assets.  These figures combine to make iPath the most dreadful brand on the market.

The average asset level of products on ETF Deathwatch held steady at $6.6 million, and 42 currently have less than $2 million in assets.  The average age increased from 46.3 to 47.5 months, and 86 are now more than five years old.

Here is the Complete List of 293 Products on ETF Deathwatch for March 2015 compiled using the objective ETF Deathwatch Criteria.

The 7 ETPs added to ETF Deathwatch for March:

  1. AdvisorShares Athena High Dividend (DIVI)
  2. First Trust International Multi-Asset Diversified Income (YDIV)
  3. iPath Pure Beta Cocoa ETN (CHOC)
  4. iShares Interest Rate Hedged Corporate Bond (LQDH)
  5. ProShares CDS North American High Yield Credit (TYTE)
  6. ProShares MSCI EAFE Dividend Growers (EFAD)
  7. PureFunds ISE Junior Silver (SILJ)

The 16 ETPs removed from ETF Deathwatch due to improved health:

  1. Credit Suisse Long/Short Liquid ETN (CSLS)
  2. DB Crude Oil Long ETN (OLO)
  3. Deutsche X-trackers MSCI All World ex US Hedged (DBAW)
  4. Deutsche X-trackers MSCI South Korea Hedged (DBKO)
  5. ETRACS Daily Long-Short VIX ETN (XVIX)
  6. ETRACS Wells Fargo MLP Index ETN (MLPW)
  7. Huntington US Equity Rotation Strategy (HUSE)
  8. iPath US Treasury Flattener ETN (FLAT)
  9. iShares iBonds Dec 2016 Corporate Term (IBDF)
  10. iShares iBonds Dec 2018 Corporate Term (IBDH)
  11. iShares Treasury Floating Rate Bond ETF (TFLO)
  12. KraneShares Bosera MSCI China A ETF (KBA)
  13. PowerShares China A-Share (CHNA)
  14. RBS China Trendpilot ETN (TCHI)
  15. SPDR MSCI Emerging Markets Quality Mix (QEMM)
  16. WisdomTree Europe Dividend Growth (EUDG)

The 5 ETPs removed from ETF Deathwatch due to delisting:

  1. PowerShares DB 3x Short USD Index Futures ETN (UDNT)
  2. PowerShares DB Italian T-Bond Futures ETN (ITLY)
  3. PowerShares DB US Deflation ETN (DEFL)
  4. PowerShares DB US Inflation ETN (INFL)
  5. WisdomTree Euro Debt (EU)

ETF Deathwatch Archives

Disclosure covering writer, editor, and publisher:  No positions in any of the securities mentionedNo positions in any of the companies or ETF sponsors mentioned.  No income, revenue, or other compensation (either directly or indirectly) received from, or on behalf of, any of the companies or ETF sponsors mentioned.

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