On the last day of April, 183 listed products traded a grand total of zero shares for the day.  Eight of them went the entire month without any trading action.  One of the most important aspects of ETFs is their ability to create and redeem shares through in-kind exchanges.  This is what makes them unique and prevents the formation of discounts and premiums.  However, the creation/redemption process requires volume, typically involving 50,000 shares of the ETF.  For the ETFs on Deathwatch, it takes weeks or months to generate that much volume.  For them, the creation/redemption process is virtually non-existent, destroying the ability to arbitrage the price to the net asset value.

The NASDAQ recently proposed a rule change known as the Market Quality Program, which would allow ETF issuers to pay market makers to maintain better bid/ask spreads on these securities.  In footnote 39 of the NASDAQ proposal (pdf), the NASDAQ references my comments from ETF Deathwatch for March 2012 about the lack of attention market makers give these products.  However, I believe it will take much more than better bid/ask spread management to breathe life into many of these funds.

The average product on the list is 25.4 months old and has just $6.4 million in assets.  Looking only at ETFs, the percentage on Deathwatch is 20.4% (229 of 1123 eligible).  For ETNs, the percentage jumps to 48.5% (95 of 196 eligible).  Within the actively managed ETF grouping, there is also disproportionate representation with 43.6% (17 of 39 eligible) on Deathwatch. 

The 20 ETPs added to Deathwatch for May:

1. CurrencyShares Chinese Renminbi Trust (FXCH)
2. iPath Inverse S&P 500 VIX S-T Futures ETN II (IVOP)
3. iPath Short Enhanced -2x MSCI Emerging Markets ETN (EMSA)
4. Market Vectors Gulf States (MES)
5. PowerShares S&P International Developed High Quality (IDHQ)
6. ProShares Short KBW Regional Banking (KRS)
7. ProShares Ultra Consumer Goods (UGE)
8. ProShares UltraShort Russell 2000 Value (SJH)  
9. RBS Global Big Pharma ETN (DRGS)
10. Russell Small Cap Aggressive Growth ETF (SGGG)
11. Russell Small Cap Consistent Growth ETF (SCOG)
12. Russell Small Cap Contrarian ETF (SCTR)
13. Russell Small Cap Low P/E ETF (SCLP)
14. UBS ETRACS Monthly 2x ISE Cloud Computing ETN (LSKY)
15. VelocityShares 2x Inverse Palladium ETN (IPAL)
16. VelocityShares 2x Inverse Platinum ETN (IPLT)
17. VelocityShares 2x Long Palladium ETN (LPAL)
18. VelocityShares 2x Long Platinum ETN (LPLT)
19. VelocityShares 3x Inverse Gold ETN (DGLD)
20. WisdomTree Dreyfus South African Rand (SZR)

The 4 ETPs removed from Deathwatch for May:

1. ESG Shares Pax MSCI EAFE ESG Index ETF (EAPS)
2. Focus Morningstar Technology Index ETF (FTQ)
3. iPath US Treasury Steepener ETN (STPP)
4. iShares S&P Target Date 2020 Index Fund (TZG)

The ETF Deathwatch criteria produced the following list of 324 ETPs for April:

ETF Deathwatch for May 2012

Past issues of ETF Deathwatch are available here.

Disclosure covering writer, editor, and publisher: 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.

Assets under management slipped 0.4% to just under $1.21 trillion.  Trading activity fell off for the first time in three months as total dollar volume (value traded) came in at $1.22 trillion, down 8.7% from $1.34 trillion in March.  

ETFs averaging more than $1 billion per day of trading decreased from eleven to just seven, accounting for 57.0% of all traded ETP value.  ETPs averaging more than $100 million in dollar volume per day decreased from 72 to 63 while capturing 88.4% of trading activity.  The quantity with more than $10 million of trading per day edged down from 245 to 230, grabbing 97.7% of trading.  The other 84% of currently listed products had to fight for the remaining 2.3% of traded value.

Notable events for the month of April include the introduction of three actively-managed ETFs from State Street carrying the SPDR brand and the first-ever tax-related expense ratio increase for an ETF, which happens to be holding tax-advantaged MLPs.

April 2012 Month End	ETFs	ETNs	Total
Currently Listed U.S.	1,243	214	1,457
Listed as of 12/31/2011	1,166	203	1,369
New Introductions for Month	18	2	20
Delistings/Closures for Month	1	0	1
Net Change for Month	+17	+2	+19
New Introductions 6 Months	120	18	138
New Introductions YTD	94	11	105
Delistings/Closures YTD	17	0	17
Net Change YTD	+77	+11	+88
Actively-Managed Listings	45	0	45
Assets Under Mgmt ($ billion)	$1,188	$17.4	$1,205
% Change in Assets for Month	-0.4%	+1.8%	-0.4%
Monthly $ Volume ($ billion)	$1,197	$25.2	$1,222
% Change in Monthly $ Volume	-8.3%	-25.2%	-8.7%
Avg Daily $ Volume > $1 Billion	7	0	7
Avg Daily $ Volume > $100 Million	62	1	63
Avg Daily $ Volume > $10 Million	219	11	230

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 April (sorted by name):

1. Global X MLP ETF (MLPA), a taxable C-corporation with an effective tax rate of 37.5% holding MLPs, launched 4/19/12 on NYSE (MLPA overview).  Additional information in MLPA: Another C-Corp Double Taxation ETF.
2. Guggenheim BulletShares 2016 High Yield Corporate Bond ETF (BSJG), holding US dollar denominated below-investment-grade corporate bonds maturing in 2016, launched 4/25/12 on NYSE (BSJG overview).
3. Guggenheim BulletShares 2017 High Yield Corporate Bond ETF (BSJH), holding US dollar denominated below-investment-grade corporate bonds maturing in 2017, launched 4/25/12 on NYSE (BSJH overview).
4. Guggenheim BulletShares 2018 High Yield Corporate Bond ETF (BSJI), holding US dollar denominated below-investment-grade corporate bonds maturing in 2018, launched 4/25/12 on NYSE (BSJI overview).
5. iShares Baa-Ba Rated Corporate Bond Fund (QLTB), holding investment-grade and below-investment-grade corporate debt denominated in US dollars, launched 4/26/12 on BATS (QLTB overview).
6. iShares B-Ca Rated Corporate Bond Fund (QLTC), holding below-investment-grade corporate debt denominated in US dollars, launched 4/26/12 on BATS (QLTC overview).
7. iShares Emerging Markets Corporate Bond Fund (CEMB), holding investment-grade emerging market corporate debt denominated in US dollars, launched 4/19/12 on BATS (CEMB overview).
8. iShares Emerging Markets High Yield Bond Fund (EMHY), holding below-investment-grade emerging market sovereign and corporate debt denominated in US dollars, launched 4/3/12 on BATS (EMHY overview).
9. iShares Global ex USD High Yield Corporate Bond Fund (HYXU), holding below-investment-grade developed markets corporate debt denominated in currencies other than US dollars, launched 4/3/12 on BATS (HYXU overview).
10. iShares Global High Yield Corporate Bond Fund (GHYG), holding below-investment-grade developed market corporate debt, launched 4/5/12 on BATS (GHYG overview).
11. iShares Morningstar Multi-Asset Income Index Fund (IYLD), an ETF of ETFs targeting allocations of 20% equity, 60% fixed income, and 20% alternative income.  It launched 4/5/12 on BATS (IYLD overview).
12. Market Vectors Fallen Angel High Yield Bond ETF (ANGL), holding below-investment-grade corporate debt denominated in US dollars that was rated investment grade when issued, launched 4/11/12 on NYSE (ANGL overview).
13. Market Vectors International High Yield Bond ETF (IHY), holding below-investment-grade developed and emerging market sovereign and corporate debt, launched 4/3/12 on NYSE (IHY overview).
14. Market Vectors Morningstar Wide Moat Research ETF (MOAT), holding 20 equal-weighted companies believed to be attractively priced with sustainable competitive advantages, launched 4/25/12 on NYSE (MOAT overview).
15. RBS China Trendpilot ETN (TCHI), an exchange-traded note tracking the performance of China ADRs timed with a 100-day moving average, launched 4/19/12 on NYSE (TCHI overview).
16. SPDR SSgA Multi-Asset Income Allocation ETF (INKM), an actively managed ETF of ETFs seeking total return of global income oriented investments, launched 4/26/12 on NYSE (INKM overview).
17. SPDR SSgA Multi-Asset Global Allocation ETF (GAL), an actively managed ETF of ETFs seeking capital appreciation across multiple global asset classes, launched 4/26/12 on NYSE (GAL overview).
18. SPDR SSgA Multi-Asset Real Return ETF (RLY), an actively-managed ETF of ETFs seeking inflation-adjusted capital appreciation and income, launched 4/26/12 on NYSE (RLY overview).
19. UBS-ETRACS DJ-UBS Commodity Index 2-4-6 Blended Futures ETN (BLND), an exchange-trade note tracking the performance of futures contracts of multiple commodities across multiple time frames, launched 4/26/12 on NYSE (BLND overview).
20. United States Agriculture Index Fund (USAG), holding futures contracts targeting the performance of the SummerHaven Dynamic Agriculture Index Total Return, launched 4/13/12 on NYSE (USAG overview).

Product closures/delistings in April:

1. Jefferies | TR/J CRB Wildcatter Exploration & Production Equity ETF (WCAT) [No More Wildcatters: WCAT Closing].

Product changes in April:

1. PIMCO Total Return ETF changed its ticker symbol from TRXT to BOND effective April 4.
2. Alerian MLP ETF (AMLP) had a 64.7% increase in its expense ratio, going from 0.85% to 1.40%, effective April 19 [AMLP Makes Tax Payment and Raises Expense Ratio].
3. PowerShares Golden Dragon Halter USX China Portfolio (PGJ) became PowerShares Golden Dragon China Portfolio (PGJ) effective April 30.

 Announced Product Changes for Coming Months:

1. ProShares will forward split six ETFs and reverse split eleven ETFs effective May 11.

Previous monthly ETF statistics reports are available here.

Disclosure covering writer, editor, publisher, and affiliates: 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.

WCAT launched more than two years ago on January 10, 2010.  The most recent month-end asset level was slightly above $10 million, which likely prompted the closure decision.  The ETP delisting will be the 17^th of 2012 and the 228^th in the young industry’s history.

Two other ETFs managed by Jefferies Asset Management closed last December.  They were Jefferies | TR/J CRB Global Agriculture Equity Index Fund (former ticker CRBA) and Jefferies | TR/J CRB Global Industrial Metals Equity Index Fund (former ticker CRBI).  This leaves Jefferies | TR/J CRB Global Commodity Equity Index Fund (CRBQ) as the only remaining ETF in their lineup.

Disclosure covering writer, editor, and publisher:  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.

For the period January 1, 2011 to November 30, 2011, the Fund had a current tax liability of 0.55%.  “Other Expenses” does not reflect deferred income tax liability to be incurred by the Fund.

Along with the recent tax payment (believed to be about $5 million), AMLP has withheld an additional $113 million of shareholder’s money (Total Market Value minus Total Net Assets) for future tax payments.  This represents 3.6% in additional expenses (based on current assets) not fully reflected in the expense ratio.  Unless AMLP loses significant value, it appears the expense ratio is destined to climb further.  However, AMLP continues to assume a future tax expense of 0.00% while making daily adjustments to share value to pay for those future taxes.

Since inception, AMLP has provided shareholders with only 60% of the underlying index’s return.  The fund has posted a 13.0% annual return versus 21.5% for the underlying index.  This represents an effective 8.5% per year in costs to shareholders, yet AMLP prefers to call it a tracking error.  This is about 6x the amount of the newly revised 1.40% expense ratio.

AMLP shareholders need to be aware of the possibility that all assets in the Fund may eventually incur the 35% corporate tax rate if held long enough:

1. All capital gains of AMLP are liable for the 35% federal corporate tax.
2. Distributions AMLP receives from the MLPs it holds are not traditional dividends but consist primarily of “return of capital” which will be taxed at the 35% federal corporate tax rate when sold.
3. Once the cost basis of an MLP holding reaches $0, which is typically about 12-13 years for an MLP yielding 8%, all future distributions AMLP receives from that MLP will be current-year taxable at the 35% federal rate.
4. Once the cost basis of an MLP holding reaches $0, all of its value (100%) then represents a capital gain that will face the 35% federal corporate tax when realized.

All of the above is before shareholders incur their own tax liabilities for buying, holding, and selling shares of AMLP.  Remember, distributions that shareholders receive from AMLP are not tax-free dividends.  Approximately 85% of those distributions are tax-deferred return of capital.

Disclosure covering writer, editor, and publisher:  I am not a tax advisor, but I can usually recognize double taxation when I see it. 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.

Like its two predecessors, Alerian MLP ETF (AMLP) [see AMLP’s Dirty Little Secret] and Yorkville High Income MLP ETF (YMLP) [see YMLP: Another Abomination of the ETF Wrapper], MLPA exploits a suspected loophole in SEC regulations. 

This loophole apparently allows these C-corporations to claim objectives of seeking “investment results that correspond generally to the price and yield performance, before fees and expenses, of the…underlying index” while simultaneously allowing these funds to not adequately disclose the huge performance impact of the tax liabilities.  And even more egregious, all three MLP ETFs claim “other expenses” of zero percent instead of the actual 38% daily clipping of changes in the index.

Unlike traditional ETFs and mutual funds that do not incur any entity level tax liabilities, these three C-corporations masquerading as ETFs are subject to the 35% corporate federal income tax rate (plus various state income taxes) on all capital gains and other taxable income.  This is a significant expense borne by the shareholders.

The fact sheets and primary web pages for these funds generally make no or insufficient disclosures about these tax liabilities, while at the same time touting the tax advantages of MLP investing.  This appears to go well beyond the definition of misleading.  Only when you dig into the prospectus documents do you start to find some disclosures, but they do not begin to address the magnitude of the tax expense impact.

According to the AMLP website, as of 4/18/12 its shareholders have already coughed up more than $99 million of incurred tax liabilities (total market value minus total net assets) while the fund continues to claim a “total expense ratio” of 0.85%.  A few weeks ago, this number topped $122 million.  Where did the other $23 million go, and how is this ongoing liability and expense accounted for in the creation and redemption process?

If you enjoy shouldering a double taxation burden on tax-advantaged MLP assets, then you should consider one of the three MLP ETFs.

The new Global X MLP ETF (MLPA) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Solactive MLP Composite Index of 30 MLPs.  It claims a best in the industry total expense ratio of 0.45%.  However, it considers the nearly 38% daily difference in its return versus the index to be a “tracking error” instead of an expense. 

Neither the fund summary page nor the fact sheet (pdf) provide any indication of the C-corporation structure or the tax ramifications of that structure.  To see a few disclosures on that subject, you will need to dig into the prospectus (pdf).  Therein, you might come across tidbits like:

1. “Other Expenses” does not reflect deferred income tax liability to be incurred by the Fund.
2. The Fund will accrue deferred income tax liability for its future tax liability associated with the capital appreciation of its investments and the distributions received by the Fund on equity securities of MLPs considered to be return of capital and for any net operating gains.
3. The Fund’s accrued deferred tax liability will be reflected each day in the Fund’s net asset value per share.
4. The Fund is taxed as a regular corporation for federal income tax purposes.  This differs from most investment companies, which elect to be treated as “regulated investment companies” under the Code in order to avoid paying entity level income taxes.

Disclosure covering writer, editor, and publisher:  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.

Most of the products on this list face a real possibility of closure if they fail to attract additional assets.  However, the potential for closure is not the biggest risk with these products.  Instead, the biggest risk is that they suffer from extremely poor liquidity today.  Wide bid/ask spreads, little to no volume behind the quotes, and sleeping market makers can potentially inflict much more damage to the unaware investor than a fund closure.

On the last trading day of March, a total of 184 ETFs and ETNs had no trades for the day – zero volume.  More than 12% of the 1,438 ETPs listed for trading that day did not trade.  Six of them went the entire month of March with zero volume.  Such illiquidity is a real danger to investors.

One of the most important aspects of ETFs is their ability to create and redeem shares through in-kind exchanges.  This is what makes them unique and prevents the formation of discounts and premiums.  However, this process requires volume.  The creation/redemption process typically involves 50,000 shares of the ETF.  For the ETFs on Deathwatch, it takes weeks or months to generate that much volume.  For them, the creation/redemption process is virtually non-existent, destroying the ability to arbitrage the price to the net asset value.

The 37 ETPs added to Deathwatch for April:

1. Credit Suisse Market Neutral Global Equity ETN (CSMN)
2. Direxion Daily Total Bond Market Bear 1x (SAGG)
3. First Trust Nasdaq Clean Edge Green Energy (QCLN)
4. First Trust Nasdaq Clean Edge Smart Grid (GRID)
5. Guggenheim Yuan Bond ETF (RMB)
6. iPath US Treasury 10-year Yield Bull ETN (DTYL)
7. iPath US Treasury Long Bond Yield Bull ETN (DLBL)
8. ProShares Hedge Replication ETF (HDG)
9. ProShares Ultra Russell 1000 Growth (UKF)
10. ProShares Ultra Russell Midcap Growth (UKW)
11. ProShares Ultra Russell Midcap Value (UVU)
12. ProShares UltraShort Consumer Goods (SZK)
13. QuantShares U.S. Market Neutral Anti-Beta (BTAL)
14. QuantShares U.S. Market Neutral High Beta (BTAH)
15. QuantShares U.S. Market Neutral Momentum (MOM)
16. QuantShares U.S. Market Neutral Quality (QLT)
17. QuantShares U.S. Market Neutral Size (SIZ)
18. QuantShares U.S. Market Neutral Value (CHEP)
19. QuantShares U.S. Market Neutral Anti-Momentum (NOMO)
20. RBS Oil Trendpilot ETN (TWTI)
21. Russell 1000 High Beta ETF (HBTA)
22. Russell 2000 High Momentum ETF (SHMO)
23. SPDR S&P International Materials (IRV)
24. Teucrium Soybean Fund (SOYB)
25. Teucrium Sugar Fund (CANE)
26. Teucrium Wheat Fund (WEAT)
27. UBS ETRACS 1-Mth S&P 500 VIX Futures ETN (VXAA)
28. UBS ETRACS 2-Mth S&P 500 VIX Futures ETN (VXBB)
29. UBS ETRACS 3-Mth S&P 500 VIX Futures ETN (VXCC)
30. UBS ETRACS 4-Mth S&P 500 VIX Futures ETN (VXDD)
31. UBS ETRACS 5-Mth S&P 500 VIX Futures ETN (VXEE)
32. UBS ETRACS 6-Mth S&P 500 VIX Futures ETN (VXFF)
33. UBS ETRACS Daily Short 4-M S&P VIX Futures ETN (DDVX)
34. UBS ETRACS Daily Short 5-M S&P VIX Futures ETN (EEVX)
35. UBS ETRACS Daily Short 6-M S&P VIX Futures ETN (FFVX)
36. UBS ETRACS ISE Solid State Drive Index ETN (SSDD)
37. UBS ETRACS Mth 2x ISE Solid State Drive ETN (SSDL)

The 20 ETPs removed from Deathwatch for April:

1. AdvisorShares Accuvest Global Long Short ETF (AGLS)
2. CurrencyShares Russian Ruble Shares (FXRU) closed
3. Direxion Daily BRIC Bull 3x (BRIL)
4. ELEMENTS Dogs of the Dow Total Return ETN (DOD)
5. First Trust NASDAQ ABA Community Bank (QABA)
6. First Trust US IPO Index Fund (FPX)
7. Global X China Financials ETF (CHIX)
8. Guggenheim EW Euro-Pacific LDRs ETF (EEN) closed
9. Guggenheim International Small Cap LDRs (XGC) closed
10. Guggenheim MSCI ACWI Equal Weight ETF (EWAC) closed
11. Guggenheim Ocean Tomo Patent ETF (OTP) closed
12. Guggenheim Sector Rotation ETF (XRO) closed
13. iPath Long Ext 3x Russell 2000 TR ETN (RTLA)
14. iShares FTSE NAREIT North America (IFNA)
15. iShares FTSE NAREIT Retail Capped (RTL)
16. PowerShares Dynamic Consumer Discretionary (PEZ)
17. PowerShares Fundamental Pure Large Core (PXLC)
18. Russell 1000 Low Beta ETF (LBTA)
19. UBS ETRACS Natural Gas Futures Contango ETN (GASZ)
20. WisdomTree International Hedged Equity (HEDJ)

The ETF Deathwatch criteria produced the following list of 308 ETPs for April:

#	Ticker Sym	ETF Name	Age (mths)	AUM (millions)	3-mth Avg Daily $ Volume
1	DENT	AdvisorShares Dent Tactical ETF	31	$6.9	$105,107
2	FWDD	AdvisorShares Madrona Domestic ETF	9	$16.3	$43,797
3	FWDB	AdvisorShares Madrona Global Bond ETF	9	$16.7	$53,072
4	FWDI	AdvisorShares Madrona International ETF	9	$13.4	$36,545
5	MATH	AdvisorShares Meidell Tactical Advantage ETF	9	$4.7	$88,212
6	AADR	AdvisorShares WCM/BNY Mellon Foc Gr ADR	21	$7.0	$56,496
7	BXDB	Barclays ETN+ S&P 500 1x Short B 2009 ETN	29	$4.6	$35,888
8	ADRU	BLDRS Europe 100 ADR	114	$14.0	$47,756
9	GCE	Claymore CEF Index GS Connect ETN	52	$3.5	$88,443
10	GVT	Columbia Concentrated Large Cap Value Strat	35	$3.1	$9,585
11	GMTB	Columbia Core Bond Strategy Fund	26	$5.2	$19,368
12	RPX	Columbia Growth Equity Strategy Fund	30	$1.5	$15,748
13	GMMB	Columbia Intermediate Municipal Bond Strategy	26	$6.1	$50,236
14	RWG	Columbia Large-Cap Growth Equity	30	$7.9	$29,598
15	CSMN	Credit Suisse Market Neutral Glb Equity ETN	6	$15.3	$34,450
16	CSMB	Credit Suisse Merger Arb Liquid 2x Mth ETN	13	$23.5	$58,106
17	TDD	db-X 2010 Target Date Fund	55	$14.1	$28,249
18	TDX	db-X In-Target Date Fund	55	$16.0	$33,666
19	DBBR	db-X MSCI Brazil Currency-Hedged Equity	10	$4.7	$23,722
20	DBCN	db-X MSCI Canada Currency-Hedged Equity	10	$4.7	$1,319
21	DBEM	db-X MSCI Emerging Mkts Currency-Hdg Eqty	10	$4.7	$32,544
22	DBJP	db-X MSCI Japan Currency-Hedged Equity	10	$5.3	$51,409
23	TYBS	Direxion Daily 20+ Year Treasury Bear 1x	12	$3.0	$5,598
24	TYNS	Direxion Daily 7-10 Year Treasury Bear 1x	12	$3.5	$3,474
25	TYD	Direxion Daily 7-10 Year Treasury Bull 3x	36	$3.7	$466,854
26	COWS	Direxion Daily Agribusiness Bear 3x	10	$2.1	$115,629
27	COWL	Direxion Daily Agribusiness Bull 3x	10	$4.6	$226,006
28	MATS	Direxion Daily Basic Materials Bear 3x	10	$2.4	$81,472
29	BRIS	Direxion Daily BRIC Bear 3x	25	$2.0	$56,685
30	SICK	Direxion Daily Healthcare Bear 3x	10	$2.4	$36,921
31	CURE	Direxion Daily Healthcare Bull 3x	10	$4.5	$72,772
32	INDZ	Direxion Daily India Bear 3x	25	$3.7	$380,948
33	GASX	Direxion Daily Natural Gas Related Bear 3x	21	$3.7	$412,886
34	RETS	Direxion Daily Retail Bear 3x	21	$2.5	$130,577
35	SAGG	Direxion Daily Total Bond Market Bear 1x	12	$18.5	$22,829
36	TOTS	Direxion Daily Total Market Bear 1x	10	$3.3	$9,841
37	LGEM	EGShares Basic Materials GEMS ETF	9	$1.6	$27,242
38	GGEM	EGShares Consumer Goods GEMS ETF	9	$1.1	$21,295
39	VGEM	EGShares Consumer Services GEMS ETF	9	$1.0	$23,936
40	FGEM	EGShares Financials GEMS ETF	31	$4.0	$20,230
41	HGEM	EGShares Health Care GEMS ETF	9	$1.9	$10,265
42	INCO	EGShares India Consumer ETF	8	$1.9	$57,034
43	IGEM	EGShares Industrials GEMS ETF	9	$1.8	$47,053
44	QGEM	EGShares Technology GEMS ETF	9	$1.9	$15,286
45	TGEM	EGShares Telecom GEMS ETF	9	$3.1	$61,286
46	UGEM	EGShares Utilities GEMS ETF	9	$2.8	$57,691
47	GWO	ELEMENTS CS Global Warming ETN	49	$2.8	$6,739
48	FUE	ELEMENTS MLCX Biofuels ETN	50	$2.3	$5,517
49	WMW	ELEMENTS Morningstar Wide Moat Focus ETN	54	$8.6	$89,927
50	EEH	ELEMENTS Spctrm LgCap US Sector Mo ETN	57	$1.1	$2,440
51	EAPS	ESG Shares Pax MSCI EAFE ESG Index ETF	14	$8.2	$277,426
52	FOL	FactorShares 2X: Oil Bull/S&P500 Bear	13	$1.7	$66,066
53	FSE	FactorShares 2X: S&P500 Bull/TBond Bear	13	$1.5	$12,864
54	FSU	FactorShares 2X: S&P500 Bull/USD Bear	13	$2.4	$4,013
55	FSA	FactorShares 2X: TBond Bull/S&P500 Bear	13	$2.2	$5,011
56	FPA	First Trust Asia Pacific Ex-Japan AlphaDEX	12	$2.6	$52,743
57	FBZ	First Trust Brazil AlphaDEX Fund	12	$8.2	$79,342
58	FCA	First Trust China AlphaDEX Fund	12	$3.3	$67,588
59	FEP	First Trust Europe AlphaDEX Fund	12	$3.7	$109,417
60	FJP	First Trust Japan AlphaDEX	12	$4.0	$102,113
61	FLN	First Trust Latin America AlphaDEX	12	$4.3	$58,708
62	FMK	First Trust Mega Cap AlphaDEX Fund	11	$8.9	$150,442
63	FNK	First Trust Mid Cap Value AlphaDEX	12	$8.5	$56,867
64	FONE	First Trust NASDAQ CEA Smartphone	14	$15.2	$78,328
65	QCLN	First Trust Nasdaq Clean Edge Green Energy	62	$19.9	$52,126
66	GRID	First Trust Nasdaq Clean Edge Smart Grid	29	$14.1	$47,703
67	CARZ	First Trust NASDAQ Global Auto Index	11	$4.2	$87,192
68	FYC	First Trust Small Cap Growth AlphaDEX	12	$6.4	$76,365
69	FYT	First Trust Small Cap Value AlphaDEX	12	$4.4	$77,281
70	FKO	First Trust South Korea AlphaDEX	12	$1.3	$57,245
71	FVI	First Trust Value Line Equity Allocation	65	$6.9	$17,172
72	FBM	Focus Morningstar Basic Materials Index ETF	12	$4.4	$63,756
73	FCQ	Focus Morningstar Communication Srvcs ETF	12	$5.2	$20,320
74	FCL	Focus Morningstar Consumer Cyclical ETF	12	$5.8	$38,370
75	FCD	Focus Morningstar Consumer Defensive ETF	12	$5.8	$27,874
76	FEG	Focus Morningstar Energy Index ETF	12	$5.8	$272,579
77	FFL	Focus Morningstar Financial Services ETF	12	$4.9	$72,656
78	FHC	Focus Morningstar Health Care Index ETF	12	$5.8	$39,064
79	FIL	Focus Morningstar Industrials Index ETF	12	$5.1	$34,796
80	FLG	Focus Morningstar Large Cap Index ETF	12	$6.8	$103,866
81	FMM	Focus Morningstar Mid Cap Index ETF	12	$5.2	$90,709
82	FRL	Focus Morningstar Real Estate Index ETF	12	$5.5	$41,617
83	FOS	Focus Morningstar Small Cap Index ETF	12	$5.1	$120,681
84	FTQ	Focus Morningstar Technology Index ETF	12	$7.3	$193,878
85	FUI	Focus Morningstar Utilities Index ETF	12	$6.9	$52,596
86	ALUM	Global X Aluminum ETF	15	$3.1	$32,121
87	VROM	Global X Auto ETF	11	$2.2	$145,761
88	BRAF	Global X Brazil Financials ETF	20	$6.0	$82,741
89	CHIE	Global X China Energy ETF	28	$5.4	$91,589
90	CHII	Global X China Industrial ETF	28	$4.6	$81,361
91	CHIM	Global X China Materials ETF	27	$2.6	$33,688
92	AND	Global X FTSE Andean 40 ETF	14	$7.5	$92,415
93	ARGT	Global X FTSE Argentina 20 ETF	13	$3.7	$51,410
94	QQQC	Global X NASDAQ China Technology ETF	28	$4.7	$26,767
95	GGGG	Global X Pure Gold Miners ETF	13	$4.8	$62,252
96	TSXV	Global X S&P/TSX Venture 30 Canada ETF	13	$2.7	$29,199
97	ABCS	Guggenheim ABC High Dividend ETF	10	$10.4	$154,587
98	GIY	Guggenheim Enhanced Core Bond ETF	50	$5.2	$47,423
99	EWEF	Guggenheim MSCI EAFE Equal Weight ETF	16	$11.5	$170,549
100	EWMD	Guggenheim S&P MidCap 400 Equal Weight	8	$3.2	$45,930
101	EWSM	Guggenheim S&P SmallCap 600 Equal Weight	8	$6.4	$24,151
102	WXSP	Guggenheim Wilshire 4500 Completion ETF	25	$6.4	$24,213
103	WFVK	Guggenheim Wilshire 5000 Total Market ETF	25	$6.2	$52,928
104	WMCR	Guggenheim Wilshire Micro-Cap ETF	67	$16.5	$33,537
105	RMB	Guggenheim Yuan Bond ETF	6	$5.0	$22,494
106	PGD	iPath Asian & Gulf Currency Revaluation ETN	46	$4.0	$13,389
107	BWV	iPath CBOE S&P 500 BuyWrite Index ETN	59	$11.4	$70,513
108	JJU	iPath DJ-UBS Aluminum ETN	46	$5.2	$202,871
109	LD	iPath DJ-UBS Lead ETN	46	$1.8	$50,151
110	ERO	iPath EUR/USD Exchange Rate ETN	60	$4.9	$26,665
111	GBB	iPath GBP/USD Exchange Rate ETN	60	$2.6	$11,839
112	JEM	iPath GEMS Index ETN	51	$1.5	$10,477
113	GRN	iPath Global Carbon ETN	46	$1.1	$10,975
114	MFLA	iPath Long Enh 2x MSCI EAFE Index ETN	16	$2.8	$4,545
115	EMLB	iPath Long Enh 2x MSCI Emerging Mkts ETN	16	$3.5	$4,444
116	VZZB	iPath Long Enh 2x S&P 500 VIX M-T Fut ETN	9	$2.3	$421,919
117	ROLA	iPath Long Ext 3x Russell 1000 TR ETN	16	$7.0	$3,914
118	SFLA	iPath Long Ext 3x S&P 500 TR Index ETN	16	$8.5	$51,819
119	DIRT	iPath Pure Beta Agriculture ETN	12	$2.6	$16,896
120	FOIL	iPath Pure Beta Aluminum ETN	12	$3.5	$586
121	CHOC	iPath Pure Beta Cocoa ETN	12	$2.5	$19,998
122	CAFE	iPath Pure Beta Coffee ETN	12	$1.5	$16,692
123	CUPM	iPath Pure Beta Copper ETN	12	$2.4	$42,931
124	CTNN	iPath Pure Beta Cotton ETN	12	$1.8	$5,436
125	OLEM	iPath Pure Beta Crude Oil ETN	12	$22.0	$419,890
126	ONG	iPath Pure Beta Energy ETN	12	$2.2	$671
127	WEET	iPath Pure Beta Grains ETN	12	$2.3	$104,879
128	HEVY	iPath Pure Beta Industrial Metals ETN	12	$2.5	$23,677
129	LEDD	iPath Pure Beta Lead ETN	12	$2.8	$51,730
130	LSTK	iPath Pure Beta Livestock ETN	12	$0.9	$27,160
131	NINI	iPath Pure Beta Nickel ETN	12	$1.3	$2,418
132	BLNG	iPath Pure Beta Precious Metals ETN	12	$4.8	$42,112
133	SBV	iPath Pure Beta S&P GSCI-Weighted ETN	12	$5.4	$1,596
134	GRWN	iPath Pure Beta Softs ETN	12	$3.2	$1,847
135	SGAR	iPath Pure Beta Sugar ETN	12	$2.7	$10,421
136	DCNG	iPath Seasonal Natural Gas ETN	12	$2.1	$7,103
137	MFSA	iPath Short Enh -2x MSCI EAFE Index ETN	16	$4.7	$3,750
138	ROSA	iPath Short Ext -3x Russell 1000 TR ETN	16	$1.6	$6,727
139	DTYL	iPath US Treasury 10-year Yield Bull ETN	20	$4.7	$241,541
140	DTUS	iPath US Treasury 2-year Yield Bear ETN	20	$17.7	$81,377
141	DTUL	iPath US Treasury 2-year Yield Bull ETN	20	$4.1	$21,373
142	DFVS	iPath US Treasury 5-Year Yield Bear ETN	9	$1.3	$18,683
143	DFVL	iPath US Treasury 5-Year Yield Bull ETN	9	$1.7	$1,141
144	DLBL	iPath US Treasury Long Bond Yield Bull ETN	20	$1.7	$186,408
145	STPP	iPath US Treasury Steepener ETN	20	$13.4	$328,755
146	EMER	IQ Emerging Markets Mid Cap ETF	9	$1.8	$19,591
147	IOIL	IQ Global Oil Small Cap ETF	11	$4.5	$83,795
148	IFEU	iShares FTSE EPRA/NAREIT Europe	53	$12.6	$66,771
149	FNIO	iShares FTSE NAREIT Industrial/Office Cpd	60	$9.9	$72,050
150	AXDI	iShares MSCI ACWI ex US Consumer Discr	21	$6.5	$42,646
151	AXSL	iShares MSCI ACWI ex US Consumer Staples	21	$3.4	$32,943
152	AXEN	iShares MSCI ACWI ex US Energy	21	$5.9	$64,076
153	AXFN	iShares MSCI ACWI ex US Financials	27	$2.2	$6,086
154	AXHE	iShares MSCI ACWI ex US Health Care	21	$9.0	$92,774
155	AXID	iShares MSCI ACWI ex US Industrials	21	$2.8	$30,540
156	AXIT	iShares MSCI ACWI ex US Info Technology	21	$2.9	$14,305
157	AXMT	iShares MSCI ACWI ex US Materials	21	$2.8	$19,820
158	AXTE	iShares MSCI ACWI ex US Telecom Services	21	$2.7	$12,490
159	AXUT	iShares MSCI ACWI ex US Utilities	21	$4.5	$145,448
160	EMFN	iShares MSCI Emerging Markets Financials	27	$3.6	$67,594
161	EMMT	iShares MSCI Emerging Markets Materials	27	$8.6	$56,856
162	FEFN	iShares MSCI Far East Financials Sector	27	$2.4	$558
163	NUCL	iShares S&P Global Nuclear Energy	46	$12.0	$34,827
164	TZD	iShares S&P Target Date 2010 Index Fund	41	$4.9	$20,983
165	TZE	iShares S&P Target Date 2015 Index Fund	41	$10.1	$94,840
166	TZG	iShares S&P Target Date 2020 Index Fund	41	$20.8	$129,819
167	TZL	iShares S&P Target Date 2030 Index Fund	41	$14.1	$57,595
168	TZO	iShares S&P Target Date 2035 Index Fund	41	$8.9	$51,116
169	TZV	iShares S&P Target Date 2040 Index Fund	41	$17.9	$67,647
170	TZW	iShares S&P Target Date 2045 Index Fund	8	$4.1	$7,320
171	TZY	iShares S&P Target Date 2050 Index Fund	8	$4.1	$46,266
172	TGR	iShares S&P Target Date Retirement Inc.	41	$7.8	$40,983
173	DSXJ	JPM Qtrly Dbl Short US 10-Yr Treas Fut ETN	18	$8.5	$76,622
174	DSTJ	JPM Qtrly Dbl Short US Long Treas Fut ETN	18	$8.0	$4,140
175	JFT	KEYnotes FT Enhanced 130/30 Large Cap ETN	47	$3.7	$3,819
176	XMPT	Market Vectors CEF Municipal Income ETF	9	$8.2	$101,299
177	COLX	Market Vectors Colombia ETF	13	$1.9	$12,526
178	URR	Market Vectors Double Long Euro ETN	47	$1.0	$17,210
179	GERJ	Market Vectors Germany Small-Cap ETF	12	$3.2	$29,195
180	INR	Market Vectors Indian Rupee/USD ETN	49	$4.7	$30,777
181	FLTR	Market Vectors Investment Grd Floating Rate	11	$7.1	$51,843
182	BONO	Market Vectors LatAm Aggregate Bond ETF	11	$7.6	$62,239
183	RSXJ	Market Vectors Russia Small-Cap ETF	12	$5.4	$58,015
184	MLPY	Morgan Stanley Cushing MLP High Income ETN	13	$19.4	$49,769
185	BARL	Morgan Stanley S&P 500 Crude Oil ETN	9	$12.4	$11,212
186	NASI	Pax MSCI North America ESG Index	23	$10.5	$67,695
187	TRSY	PIMCO Broad U.S. Treasury Index Fund	17	$18.7	$19,318
188	PLK	PowerShares Active Low Duration	48	$7.6	$54,085
189	PMA	PowerShares Active Mega-Cap Portfolio	48	$10.3	$121,288
190	CVRT	PowerShares Convertible Securities Portfolio	10	$9.3	$97,927
191	JGBT	PowerShares DB 3x Japanese G-Bond Fut ETN	12	$4.3	$6,448
192	UDNT	PowerShares DB 3x Short USD Idx Futures ETN	10	$3.7	$10,849
193	ADZ	PowerShares DB Agriculture Short ETN	48	$1.9	$69,201
194	BDG	PowerShares DB Base Metals Long ETN	46	$1.6	$5,820
195	DYY	PowerShares DB Commodity Dbl Long ETN	48	$11.5	$152,413
196	DEE	PowerShares DB Commodity Dbl Short ETN	48	$2.7	$36,211
197	DPU	PowerShares DB Commodity Long ETN	48	$6.1	$33,727
198	JGBL	PowerShares DB Japanese G-Bond Fut ETN	12	$5.1	$69,457
199	PJB	PowerShares Dynamic Banking	67	$13.5	$56,245
200	PIC	PowerShares Dynamic Insurance	78	$7.4	$23,941
201	PXN	PowerShares Dynamic Lux Nanotech	78	$22.9	$74,626
202	PIQ	PowerShares Dynamic Magniquant	67	$18.6	$26,614
203	PXLG	PowerShares Fundamental Pure Large Gr	10	$3.4	$48,191
204	PXMC	PowerShares Fundamental Pure Mid Core	65	$21.5	$67,221
205	PXSC	PowerShares Fundamental Pure Small Core	65	$16.0	$29,330
206	PKN	PowerShares Global Nuclear Energy	49	$15.3	$41,218
207	PSTL	PowerShares Global Steel Portfolio	43	$4.2	$14,102
208	PWND	PowerShares Global Wind Energy	46	$14.3	$51,546
209	PTO	PowerShares Ibbotson Alternative Completion	47	$9.3	$50,309
210	KBWX	PowerShares KBW International Financial	16	$3.3	$2,361
211	KBWY	PowerShares KBW Premium Yield Equity REIT	16	$7.7	$99,028
212	KBWP	PowerShares KBW Property & Casualty Ins	16	$5.5	$33,825
213	PMNA	PowerShares MENA Frontier Countries	45	$19.5	$96,262
214	PYH	PowerShares Morningstar StockInvestor Core	65	$17.7	$58,284
215	PSCM	PowerShares S&P SmallCap Materials	24	$4.4	$116,672
216	HDG	ProShares Hedge Replication ETF	9	$15.9	$68,927
217	IGS	ProShares Short Investment Grade Corporate	12	$3.5	$31,720
218	UCD	ProShares Ultra DJ-UBS Commodity	41	$9.1	$77,114
219	UJB	ProShares Ultra High Yield	12	$4.3	$137,128
220	IGU	ProShares Ultra Investment Grade Corporate	12	$2.4	$315,987
221	KRU	ProShares Ultra KBW Regional Banking	24	$4.9	$179,718
222	UPV	ProShares Ultra MSCI Europe	23	$2.9	$143,721
223	UMX	ProShares Ultra MSCI Mexico Investable Mkt	23	$1.9	$24,516
224	UXJ	ProShares Ultra MSCI Pacific Ex-Japan	23	$3.1	$64,307
225	UKF	ProShares Ultra Russell 1000 Growth	62	$14.6	$74,231
226	UVG	ProShares Ultra Russell 1000 Value	62	$7.4	$44,313
227	UKW	ProShares Ultra Russell Midcap Growth	62	$12.4	$77,945
228	UVU	ProShares Ultra Russell Midcap Value	62	$5.9	$52,669
229	UWC	ProShares Ultra Russell3000	33	$4.6	$43,123
230	LTL	ProShares Ultra Telecommunications	49	$3.7	$37,649
231	YCL	ProShares Ultra Yen	41	$4.7	$102,305
232	TBZ	ProShares UltraShort 3-7 Year Treasury	12	$5.1	$105,616
233	SZK	ProShares UltraShort Consumer Goods	63	$2.6	$65,087
234	RXD	ProShares UltraShort Healthcare	63	$3.8	$72,952
235	SMK	ProShares UltraShort MSCI Mexico	34	$1.8	$11,811
236	JPX	ProShares UltraShort MSCI Pacific ex-Japan	34	$2.0	$38,478
237	BIS	ProShares UltraShort Nasdaq Biotechnology	24	$4.6	$145,234
238	SFK	ProShares UltraShort Russell 1000 Growth	62	$2.1	$131,396
239	SJF	ProShares UltraShort Russell 1000 Value	62	$1.7	$32,719
240	SDK	ProShares UltraShort Russell Midcap Growth	62	$2.0	$28,554
241	SJL	ProShares UltraShort Russell Midcap Value	62	$1.4	$28,122
242	TWQ	ProShares UltraShort Russell3000	33	$1.5	$29,406
243	TLL	ProShares UltraShort Telecom	49	$2.3	$34,344
244	TPS	ProShares UltraShort TIPS	14	$4.4	$134,958
245	SDP	ProShares UltraShort Utilities	63	$3.2	$114,662
246	BTAL	QuantShares U.S. Market Neutral Anti-Beta	7	$4.3	$67,230
247	BTAH	QuantShares U.S. Market Neutral High Beta	7	$5.4	$113,880
248	MOM	QuantShares U.S. Market Neutral Momentum	7	$4.7	$26,650
249	QLT	QuantShares U.S. Market Neutral Quality	7	$12.0	$7,714
250	SIZ	QuantShares U.S. Market Neutral Size	7	$7.5	$16,750
251	CHEP	QuantShares U.S. Market Neutral Value	7	$5.1	$76,006
252	NOMO	QuantShares U.S. Mkt Neutral Anti-Momentum	7	$4.9	$17,948
253	TWTI	RBS Oil Trendpilot ETN	7	$8.8	$117,616
254	RWW	RevenueShares Financials Sector Fund	41	$9.1	$91,636
255	RWV	RevenueShares Navellier Overall A-100	39	$8.0	$34,034
256	HBTA	Russell 1000 High Beta ETF	10	$5.0	$39,545
257	HMTM	Russell 1000 High Momentum ETF	10	$5.2	$10,468
258	HVOL	Russell 1000 High Volatility ETF	10	$5.0	$57,218
259	SHBT	Russell 2000 High Beta ETF	10	$4.6	$17,161
260	SHMO	Russell 2000 High Momentum ETF	10	$5.1	$16,688
261	SHVY	Russell 2000 High Volatility ETF	10	$4.4	$19,661
262	SLBT	Russell 2000 Low Beta ETF	10	$5.2	$18,215
263	SLVY	Russell 2000 Low Volatility ETF	10	$5.1	$93,801
264	AGRG	Russell Aggressive Growth ETF	11	$5.3	$24,272
265	CNTR	Russell Contrarian ETF	11	$4.8	$7,339
266	ONEF	Russell Equity ETF	23	$5.7	$49,517
267	LWPE	Russell Low P/E ETF	11	$5.0	$18,342
268	VRD	SPDR Nuveen S&P VRDO Municipal Bond ETF	31	$15.0	$125,739
269	JPP	SPDR Russell/Nomura PRIME Japan	65	$15.5	$101,624
270	IPW	SPDR S&P International Energy	45	$11.8	$60,853
271	IPF	SPDR S&P International Financial	45	$7.9	$68,738
272	IRV	SPDR S&P International Materials	45	$14.0	$77,990
273	IPK	SPDR S&P International Technology	45	$14.5	$43,587
274	KME	SPDR S&P Mortgage Finance ETF	36	$3.8	$8,353
275	NAGS	Teucrium Natural Gas Fund	14	$1.7	$40,338
276	SOYB	Teucrium Soybean Fund	6	$6.6	$67,265
277	CANE	Teucrium Sugar Fund	6	$5.4	$36,114
278	WEAT	Teucrium Wheat Fund	6	$5.8	$60,672
279	CRUD	Teucrium WTI Crude Oil Fund	13	$3.5	$62,990
280	VXAA	UBS ETRACS 1-Mth S&P 500 VIX Futures ETN	7	$4.1	$59,201
281	MLPS	UBS ETRACS 1x Mthly Short Alerian MLP ETN	18	$6.9	$3,800
282	VXBB	UBS ETRACS 2-Mth S&P 500 VIX Futures ETN	7	$5.3	$21,212
283	VXCC	UBS ETRACS 3-Mth S&P 500 VIX Futures ETN	7	$6.4	$30,946
284	VXDD	UBS ETRACS 4-Mth S&P 500 VIX Futures ETN	7	$6.7	$5,092
285	VXEE	UBS ETRACS 5-Mth S&P 500 VIX Futures ETN	7	$7.3	$10,096
286	VXFF	UBS ETRACS 6-Mth S&P 500 VIX Futures ETN	7	$7.8	$7,800
287	MLPG	UBS ETRACS Alerian Natural Gas MLP ETN	21	$15.1	$70,828
288	UBN	UBS ETRACS CMCI Energy TR ETN	49	$3.2	$8,477
289	UBM	UBS ETRACS CMCI Industrial Metals TR ETN	49	$5.5	$83,331
290	UBC	UBS ETRACS CMCI Livestock TR ETN	49	$4.6	$128,785
291	PTD	UBS ETRACS CMCI Short Platinum ER ETN	47	$3.1	$2,726
292	DDVX	UBS ETRACS Daily Shrt 4-M S&P VIX Fut ETN	7	$13.1	$16,000
293	EEVX	UBS ETRACS Daily Shrt 5-M S&P VIX Fut ETN	7	$12.3	$70,693
294	FFVX	UBS ETRACS Daily Shrt 6-M S&P VIX Fut ETN	7	$11.6	$2,538
295	SSDD	UBS ETRACS ISE Solid State Drive Index ETN	7	$13.4	$17,283
296	EIPL	UBS ETRACS M 2x Lvr Next Gen Internet ETN	8	$4.2	$2,060
297	SSDL	UBS ETRACS Mth 2x ISE Solid State Drive ETN	7	$16.4	$16,930
298	EIPO	UBS ETRACS Next Generation Internet ETN	8	$7.2	$930
299	OILZ	UBS ETRACS Oil Futures Contango ETN	10	$10.2	$17,072
300	BDCS	UBS ETRACS Wells Fargo BDC ETN	11	$9.9	$54,068
301	MLPW	UBS ETRACS Wells Fargo MLP Index ETN	17	$19.5	$44,981
302	VTWV	Vanguard Russell 2000 Value ETF	19	$12.5	$91,230
303	IVOV	Vanguard S&P Mid-Cap 400 Value ETF	19	$12.8	$37,411
304	VIIZ	VelocityShares VIX Medium-Term ETN	16	$6.4	$56,458
305	EU	WisdomTree Euro Debt Fund	47	$4.7	$23,497
306	RRF	WisdomTree Global Real Return Fund	9	$4.6	$20,216
307	ROI	WisdomTree LargeCap Growth	40	$20.5	$59,568
308	GULF	WisdomTree Middle East Dividend	45	$14.0	$87,105

Data sources:  Daily prices and volume of individual ETPs from Norgate Premium Data. All other information compiled by Invest With An Edge from sources believed to reliable.

Past issues of ETF Deathwatch are available here.

Disclosure covering writer, editor, and publisher: 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.

The count of current listings now stands at 1,438 consisting of 1,226 ETFs and 212 ETNs.  The number of actively managed funds increased by one to 42 with the highly anticipated arrival of the PIMCO Total Return ETF, which is changing its ticker symbol from TRXT to BOND effective April 4.

Assets under management climbed 0.8% to $1.21 trillion.  Trading activity climbed for the second month in a row as total dollar volume (value traded) came in at $1.34 trillion, resulting in an asset turnover of about 111% for the month.  

ETFs averaging more than $1 billion per day of trading increased from eight to eleven, accounting for 61.7% of all traded value.  ETPs averaging more than $100 million in dollar volume per day increased by one to 72, and the quantity with more than $10 million of trading per day jumped from 235 to 245, accounting for all but 2.1% of ETP traded value.

March 2012 Month End	ETFs	ETNs	Total
Currently Listed U.S.	1,226	212	1,438
Listed as of 12/31/2011	1,166	203	1,369
New Introductions for Month	13	1	14
Delistings/Closures for Month	8	0	8
Net Change for Month	+5	+1	+6
New Introductions 6 mths	119	26	145
New Introductions YTD	76	9	85
Delistings/Closures YTD	16	0	16
Net Change YTD	+60	+9	+69
Actively-Managed Listings	42	0	42
Assets Under Mgmt ($ billion)	$1,193	$17.1	$1,211
% Change in Assets for Month	+0.8	-2.4	+0.8
Monthly $ Volume ($ billion)	$1,306	$33.7	$1,339
% Change in Monthly $ Volume	+9.3%	+4.4%	+9.1%
Avg Daily $ Volume > $1 Billion	10	1	11
Avg Daily $ Volume > $100 Million	70	2	72
Avg Daily $ Volume > $10 Million	235	10	245

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. PIMCO Total Return Exchange-Traded Fund (TRXT) [Can PIMCO Total Return ETF (TRXT) Live Up To Its Hype?]
2. WisdomTree Emerging Markets Corporate Bond (EMCB) [EMCB overview]
3. Yorkville High Income MLP [YMLP: Another Abomination of the ETF Wrapper]
4. Russell High Dividend Yield ETF (HDIV) [HDIV overview]
5. Russell Small Cap High Dividend Yield ETF (DIVS) [DIVS overview]
6. SPDR Barclays Capital Short Term High Yield Bond ETF (SJNK) [SJNK overview]
7. Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE) [QQQE overview]
8. Market Vectors Indonesia Small-Cap ETF (IDXJ) [IDXJ overview]
9. UBS ETRACS Monthly Pay 2xLeveraged Dow Jones International Real Estate ETN (RWXL) [RWXL overview]
10. Guggenheim BulletShares 2018 Corporate Bond ETF (BSCI) [BSCI overview]
11. Guggenheim BulletShares 2019 Corporate Bond ETF (BSCJ) [BSCJ overview]
12. Guggenheim BulletShares 2020 Corporate Bond ETF (BSCK) [BSCK overview]
13. Teucrium Agricultural Fund (TAGS) [TAGS overview]
14. ProShares UltraPro Short 20+ Year Treasury (TTT) [TTT overview]

Product closures/delistings in March:

1. CurrencyShares Russion Ruble Trust (FXRU) [Guggenheim Closing 8 ETFs Including 2 CurrencyShares]
2. CurrencyShares Mexican Peso Trust (FXM)
3. Guggenheim EW Euro-Pacific LDRs ETF (EEN)
4. Guggenheim International Small Cap LDRs ETF (XGC)
5. Guggenheim Ocean Tomo Growth Index ETF (OTR)
6. Guggenheim Ocean Tomo Patent ETF (OTP)
7. Guggenheim Sector Rotation ETF (XRO)
8. Rydex MSCI All Country World Equal Weight ETF (EWAC)

Product changes in March:

1. PowerShares Dynamic Developed International Opportunities Portfolio (PFA) changed its name, ticker, and index becoming PowerShares S&P International Developed High Quality Portfolio (IDHQ), and PowerShares S&P 500 High Quality Portfolio changed its ticker from PIV to SPHQ effective 3/1/12.
2. All Rydex ETFs were renamed Guggenheim ETFs effective 3/1/12, affecting 27 ETFs.
3. ProShares Ultra VIX Short-Term Futures ETF (UVXY) underwent a 1-for-6 reverse split effective 3/8/12.
4. Market Vectors Russia ETF (RSX), Direxion Daily Russia Bull 3x (RUSL), and Direxion Daily Russia Bear 3x (RUSS) changed from the DAXglobal Russia + Index to the Market Vectors Russia Index effective 3/19/12.
5. Credit Suisse resumed “limited creations” of VelocityShares Daily 2x VIX Short-Term ETN (TVIX) the week of March 23.  It had ceased creating shares on February 22, effectively converting to a closed-end fund.  Traders should be aware that Credit Suisse could do it again, and the premium will collapse when share creation resumes.

Announced Product Changes for Coming Months:

1. PIMCO Total Return ETF will change its ticker symbol from TRXT to BOND effective April 4.

Previous monthly ETF statistics reports are available here.

Disclosure covering writer, editor, publisher, and affiliates: 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.

It is time to step up to the challenge of your job’s main mandate - protecting investors.  Investor confidence in exchange traded funds (“ETFs”) and exchange traded notes (“ETNs”) is at a critical point.  The abuses of a very small number of individual products flaunting regulatory holes can potentially cause irreparable harm to an otherwise beneficial and innovative industry.

I’m not talking about the use of leverage, derivatives, daily rebalancing, and other fully disclosed activities used by various product sponsors to meet their stated objectives.  No, I’m talking about something far more serious – products that prey on investor perception of what constitutes a mutual fund, ETF, or ETN and the disclosures those products are expected to provide.

There are two major areas where regulators appear to be sleeping at the wheel.  The first is in regard to appropriate disclosure of product expenses passed on to shareholders.  The second is allowing broken products to continue to trade. 

I provide three specific examples below, along with some potential solutions for you to consider.  Before I get into the specifics, some background information may be helpful. 

Background

Ever since the passage of the Investment Company Act of 1940, investors have come to believe that mutual funds (and their ETF and ETN evolutionary offspring) are Regulated Investment Companies (“RICs”).  Additionally, industry practice for most of the past 70 years has perpetuated the perception that these are “pass through” vehicles regarding income and tax consequences.  Furthermore, there is an expectation that all product level expenses are disclosed as annualized expense ratios.  Perhaps these are incorrect perceptions on the part of investors, but these are their perceptions nonetheless. 

Another investor perception revolves around what it means for a product to be an ETF or ETN versus a traditional mutual fund or a closed-end fund.  The industry has promulgated the idea that what makes ETFs and ETNs unique is their ability to create and redeem shares on demand through in-kind and cash exchanges with Authorized Participants.  I, and the majority of investors, believe this feature constitutes the soul of an ETF, makes it a unique vehicle, and provides investors with the confidence that these products will trade at prices close to their net asset values.

Now, let’s look at three problem areas where these perceptions are shattered:

Problem 1:  Product expenses disclosed in periods less than one year.

On September 8, 2011, UBS introduced six ETNs with annual expense ratios in excess of 5%.  However, this fact escaped the general public and most professional analysts (even Morningstar lists the expense ratios at 1.35%).  Regulators allowed UBS to state the majority of these fees as weekly expenses instead of annual ones.  The products disclose an annual investor fee of 1.35% per annum and an Event Risk Weekly Hedge cost of 0.077%.  The 0.077% per week works out to about 4% per year according to the small print buried in the UBS documents, making the total annual expense ratio about 5.35%.  Allowing products to state weekly expenses is misleading.  Since regulators have allowed this, what is to stop other products from stating expenses as daily or hourly rates?  The solution to this problem is simple: Require expense disclosures in an annualized format. 

Problem 2:  Products that incur internal tax liabilities.

As of August 24, 2010, every ETF and ETN listed for trading on U.S. markets were structured as pass-through entities and therefore did not incur any tax liabilities at the product level.  As previously stated, this is what investors have grown to expect during the 72 years since the passage of the Investment Company Act of 1940.  All that changed on August 25, 2010.  That was the day regulators allowed a listing for a product that called itself an ETF, even though it was structured as a C-corporation and liable for the 35% corporate tax rate on all capital gains and other taxable income. 

That first C-corporation to be listed as an ETF was Alerian MLP ETF (AMLP).  Even though AMLP incurs a tax liability in excess of 35% of the daily change of the underlying index, it does not report this as an expense.  This future liability of AMLP becomes an immediate expense to every shareholder in the form of a daily adjustment to the fund’s NAV.  Even though this expense exceeded 5% in calendar year 2011, AMLP reported its “total expense ratio” as 0.85%. 

In some small-print footnotes, the AMLP disclosures go on to explain that its future tax liability is unknown and is therefore assumed to be zero.  This is a ludicrous assertion because AMLP knows exactly how much to adjust the NAV each day to account for this liability.  Hiding behind the mere fact that the total dollar amount of future liabilities might be unknown, while the daily impact is known, should not be justification for allowing an assumption of zero.  The cost to shareholders now exceeds $122 million.

Those more knowledgeable of mutual fund accounting laws have suggested that fund level taxes are not required to be included in the total expense ratio.  If that is true, then there is a very large regulatory hole here.  As a result, many investors are unaware of the very high cost they are paying to own a C-corporation disguised as an ETF.  On March 13, 2012, Yorkville High Income MLP (YMLP) became the second ETF structured as a C-corporation instead of a pass-through entity.

Possible solutions:  Require all mutual funds, ETFs, ETNs, closed-end funds, and other pooled investment vehicles structured as C-corporations or other non pass-through entities to make it painfully obvious that investors are going to face double taxation.  These corporations are liable for federal and state income taxes and then shareholders are taxed again on an individual level.  Unknown total future dollar amounts are not a valid excuse.  The impact for previous periods is known.  The impact on future daily changes is known (process of adjusting NAV).  If they can’t properly disclose the impact to shareholders, then don’t let these vehicles be called mutual funds or ETFs.

Problem 3:  ETFs and ETNs without share creation and redemption.

As stated above in the background section, any product labeling itself an ETF or ETN is expected to have a functioning creation and redemption mechanism that helps to keep its trading price closely aligned with its NAV.  That is one of the prime advantages touted by the industry.

However, investors are often not aware that it is even possible for this process to be broken.  Furthermore, there is not an easy way to determine if a given ETF or ETN has a broken creation/redemption process.  Investor perception is that ETFs and ETNs trade very close to their NAVs.  As a result, investors can be caught unaware when these broken ETFs and ETNs are trading at premiums as high as 1,000% or more, as was the case for the former ELEMENTS MLCX Gold Index ETN (GOE) back in 2009.

More recent examples of ETFs and ETNs trading as closed-end funds with steep premiums include VelocityShares Daily 2x VIX Short-Term ETN (TVIX) and iPath Dow Jones UBS Natural Gas ETN (GAZ).  I believe many investors and traders purchased these products in recent weeks without knowing they were paying outlandish premiums.

Possible solutions:  Halt trading in any “broken” ETF or ETN, where broken is defined as a non-functioning creation or redemption mechanism.  This may seem extreme, but it will force sponsors to further consider the ramifications.  Deutsche Bank and Invesco made the tough but correct decision to return $600 million to investors rather than allow the PowerShares DB Crude Oil Double Long ETN (DXO) to become a broken product.  A less radical solution may be to use a ticker symbol suffix like the “.pk” designation used to identify pink sheet stocks.  Some possible, currently unused suffixes include “.bp” (broken product) or “.tcef” (trading as closed-end fund) to properly alert investors that the product is not functioning as intended.

Sincerely,

Ron Rowland, concerned ETF investor

Disclosure covering writer, editor, and publisher:  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.

Yorkville High Income MLP (YMLP) began trading 3/13/12, doubling the quantity of C-corporation ETFs from one to two.  The first ETF to saddle shareholders with fund-level tax liabilities was the Alerian MLP ETF (AMLP).  According to Alerian, MLPs packaged inside an ETF had long eluded many financial institutions that had “been trying for years to unlock the secret to an [MLP] ETF.”  AMLP’s Dirty Little Secret is that it clips about 37.5% off daily index changes to determine the fund’s NAV.  Said another way, AMLP’s NAV is calculated with a 62.5% leverage factor.

You don’t have to take my word for it, the AMLP 12/31/11 performance report (pdf) shows the fund reduced the 2011 return of the underlying index by 40.9% (10.04% versus 16.99%) while claiming a “total” expense ratio of only 0.85%.  Simple math would suggest the expense ratio for 2011 was closer to 7%.

Regulators have apparently allowed AMLP to operate without any significant changes to its disclosures.  As a result, it has attracted nearly $3 billion in assets and now Yorkville High Income MLP (YMLP) is following AMLP’s footsteps.  According to a footnote in the YMLP prospectus (pdf), “the Fund’s accrued deferred tax liability will be reflected each day in the Fund’s net asset value per share.”  However, the claimed “total expense ratio” of 0.82% makes no provisions for the tax liabilities incurred by YMLP.

Yorkville utilized Exchange Traded Concept’s ETF-In-A-Box solution to bring YMLP to market quickly and efficiently.  The underlying Solactive High Income MLP Index is a rules-based benchmark currently targeting 25 MLPs with the highest distributions.  The Index yield is about 8.7%.  However, fund level yield has not been determined and the impact of fund level tax liabilities is unknown but expected to be small.

Additional information is located in the overview and in the fact sheet (pdf).  Investors are advised to Beware of MLPs in ETF Wrappers.

Disclosure covering writer, editor, and publisher:  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.

The affected funds are:

1. CurrencyShares Mexican Peso (FXM)
2. CurrencyShares Russian Ruble (FXRU)
3. Guggenheim Ocean Tomo Patent ETF (OTP)
4. Guggenheim Ocean Tomo Growth Index ETF (OTR)
5. Guggenheim Sector Rotation ETF (XRO)
6. Guggenheim International Small Cap LDRs ETF (XGC) [Extreme Makeover – ETF Edition]
7. Guggenheim EW Euro-Pacific LDRs ETF (EEN)
8. Guggenheim MSCI ACWI Equal Weight ETF (EWAC) [The Whole World Equally Weighted]

Six of the closing funds are regular members of ETF Deathwatch, and their closures were anticipated.  The primary anomaly being the fact it took so long with some of them being more than five years old.  Two of the closures were somewhat surprising: CurrencyShares Mexican Peso (FXM) had about $35 million in assets and Guggenheim Ocean Tomo Growth Index ETF (OTR) had an increase in trading activity recently, which kept them off Deathwatch.

Disclosure covering writer, editor, and publisher:  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.