Monday, November 25, 2013

Record Levels

With new record levels now set by the equity markets, perhaps these heights will begin to separate various security selection methods.  One example of that may be to see just how smart is smart beta.

Our own smart beta indices conducted their monthly rebalance last week and now head out into their 17th month of existence.  ETFG currently publishes two Dynamic Indexes, the ETFG Quant Equity 10 (Symbol:  ETFGQE10) and the ETFG Quant Equity 12 – The Golden Dozen (Symbol:  ETFGQE12) - let’s take a closer look at the performance and composition of the ETFG Golden Dozen.

By way of background, the ETFG Golden Dozen is comprised of the top 12 equity ETFs as ranked by the ETF Global (Index Sponsor) Quant model that also meet the liquidity requirement.  The selection pool includes all U.S. listed, equity ETFs, excluding levered and inverse funds, as well as, those funds with average daily trading value of less than 5M USD. The ETFG Quant model assigns a daily ranking to all relevant products using proprietary algorithms and employing dozens of industry metrics to gauge how likely an equity ETF will outperform the market in the foreseeable future.  Selection is performed prior to trading on the third Friday of each month.  The portfolio is equally weighted and reconstitutes monthly on the second trading day following selection.

Here is the most recent performance of the ETFG Golden Dozen:  Since its inception in July of 2012, the ETFG Golden Dozen has returned 36.65% vs. 30.837% for ACWI and 33.18% for SPY.  For the last 12 months, the ETFG Golden Dozen has returned 27.58% vs. 21.74% for ACWI and 29.01% for SPY.  Finally, in the last 6 month period, the ETFG Golden Dozen has returned 8.83% vs. 5.18% for ACWI and 8.43% for SPY.

For more detail, information and statistics on this Index and other ETFG Indices, please go to ETFG Indices.  We will look deeper into these indices’ composition in future posts.

Thank you for reading ETFG Daily Perspectives.


Monday, November 18, 2013

Voting with their Feet

There has been so much talk recently about market levels, potential bubbles and Fed stimulus that it can be hard to maintain a handle on where the markets may be heading.  To gain a beneficial perspective, we like to understand where the overall investors’ feet are placing their bets – that is, to and from where within the world of Exchange-Traded-Products has the capital been flowing recently?

Let’s start with the ETFG Fund Flows Summary for the last three months by Geographic Region.  The most visible trend occurs right here in our backyard with a massive outflow in the month of October of almost $5B flowing out of North America.  On the Sector side, the outflow from Healthcare was also very significant during October at $1.2B.

Fund Flows for individual ETPs are available on the Fund Flows tab of each ETFG Tearsheet.  For a summary view of the overall marketplace including the Top Inflows and Top Outflows for various time intervals, please see the ETFG Fund Flows Summary.

Top Fives:  The Top five Inflows and Outflows over the last few months can also provide some insight as to where investors see the markets heading.  In the case of the below, it seems very interesting that SPY was the biggest loser and GLD the biggest gainer of Fund Flows during the last 3 months.

Top 5 Outflows for the last 3 months:
  Ticker
$ Flow
% Flow
AUM
SPY
$-16.20B
-9.13%
$161.17B
USO
$-6.86B
-89.64%
$792.79M
VWO
$-2.96B
-5.50%
$50.94B
IEI
$-2.36B
-47.47%
$2.62B
DIA
$-1.99B
-14.64%
$11.60B

Top 5 inflows for the last 3 months
Ticker
$ Flow
% Flow
AUM
GLD
$2.11B
6.20%
$36.10B
IJH
$1.77B
8.87%
$21.67B
VGK
$1.60B
15.27%
$12.08B
SLV
$1.48B
26.86%
$7.01B
EZU
$947.60M
16.78%
$6.59B

There is much learn from these Fund Flow trends, please be sure to spend a minute on both the ETFG Fund Flows Summary as well as the Fund Flows tab on any ETFG Tearsheet.

Thank you for reading ETFG Daily Perspectives.

Friday, November 15, 2013

Mid-Month

It has been a busy week as much of our staff have been out participating in several Investment Conferences and as such we would like to thank both the Structured Products Association and Bloomberg Markets for hosting us at their respective conferences.

At the mid-month mark of November, we again find no shortage of potential market impact stories - record equity levels, Fed Bond Buying, Healthcare Reform, increased IPO activity – to name a handful. 

Given all these looming issues out in the markets, we wanted to close out the week with an overview of how are models currently view and rate the overall equity ETF universe.  Below, please find a table that provides a sneak preview of that – the entire rankings, inclusive of their underlying categories,  are available at ETFG Quant

Ticker
Category
Focus
Region
ETFG Quant
Sector
Energy
North America
73.2
Sector
Energy
North America
71.7
Broad Equity
Broad Equity
Asia-Pacific
71.3
Broad Equity
Broad Equity
Asia-Pacific
71.2
Broad Equity
Broad Equity
Asia-Pacific
70.6
Size and Style
Large Cap
Asia-Pacific
70.1
Size and Style
Large Cap
North America
69.8
Sector
Energy
North America
69.7
Sector
Technology
North America
69.3
Sector
Basic Materials
North America
68.9

Each of the Ticker symbols above directly connect to an ETFG Tearsheet on that ETF, so please be sure to click through and check out any of these Top 10 in which you may have interest.

Have a great weekend and thank you for reading ETFG Daily Perspectives.

Monday, November 11, 2013

Geographic Regions Performance

Last week we reviewed the collective performance of the 750+ equity ETFs as segmented by their respective market sector.  Today, we conduct a similar review but this time by Geographic Region.

ETFG segments the ETF Universe into 10 primary categories by Geographic Region:  North America, Europe, Asia-Pacific, Middle East & Africa, Latin America, Global, Global ex-US, Developed, Emerging and Frontier Markets.

Obtaining a quick view of how the various Regions have performed in the most recent month is very easy by simply checking the ETFG HeatmapLet’s look at the performance of these geographic regions for the most recent one month period:

Geograpic Region
1 Month*
North America
3.27%
Europe
2.02%
Developed Markets
1.69%
Global
0.49%
Global ex-US
0.26%
Frontier Markets
-0.12%
Middle East & Africa
-1.44%
Asia-Pacific
-1.45%
Emerging Markets
-3.29%
Latin America
-4.25%
* As of 11/11/13

The North America region led the pack with a 3.27% trailing one month return, followed by Europe with a 2.02% return and Developed Markets close behind at 1.69% for the most recent one month period.  In the most negative performance territory were Emerging Markets (-3.29%) and Frontier Markets (-4.25%).

By going to the ETFG Heatmap, you can easily see both the performance and the Quant information for all these regions.  We calculate the trailing 1 month return each day, aggregate them into various buckets by their respective Asset Class, Region and Sector.  As with most heatmaps, you can quickly see the relative difference between categories by color and shade.  The key for the ETFG Heatmap is located at the bottom of the page.


Thank you for reading ETFG Daily Perspectives.

Veterans Day 2013

In honor of our past and present servicemen and servicewomen, we wish you all a very happy Veterans Day from ETF Global!   


Friday, November 8, 2013

140 Characters/FB

So the long awaited and well publicized Twitter IPO has been priced at $26 and began to trade yesterday to a wonderful premium.  There are certainly some likely candidates within the ETF Universe that should jump at the opportunity to own the newly and publicly traded Twitter  – ETF names such as Social Media Index ETF (SOCL), Renaissance IPO ETF (IPO), US IPO Index Fund (FPX) and DJ Internet Index Fund (FDN) to name just a few.

As a proxy for some of the potential future owners of Twitter, we examine the largest holders of another IPO of which you may have heard, Facebook Inc. (FB).  Putting aside the bungling of the IPO trading transactions, it’s now approaching almost exactly 6 months since the largest internet IPO was priced back on May 18, 2013.  The company priced at $38 and despite a roller coaster ride immediately following the offering, now trades in the high 40’s. 

So which ETFs own Facebook and how much – all of which is made easy via the ETFG Grey Market Report which reflects the ETFs that hold a particular equity along with their respective Long, Short and Absolute amounts inclusive of leverage.  Here are the Top 10 Facebook holders with that information:

Facebook Inc. (FB) - Top 10 ETF Holders                                            (11/7/13)
Ticker
Name
Weight
(%)
AUM
(M)
Long
(M)
Short
(M)
Absolute
(M)
FPX
First Trust IPOX-100 Index Fund ETF
10.25
239.73
24.57
0
24.57
SOCL
Global X Social Media Index ETF
9.41
96.62
9.09
0
9.09
PNQI
Powershares Nasdaq Internet Portfolio ETF
8.27
216.32
17.89
0
17.89
FDN
First Trust DJ Internet Index Fund ETF
6.50
1650.00
107.16
0
107.16
SKYY
First Trust ISE Cloud Computing Index ETF
5.72
147.36
8.43
0
8.43
MTK
SPDR Morgan Stanley Technology ETF
4.44
198.95
8.83
0
8.83
FMK
First Trust Mega Cap AlphaDex ETF
3.07
9.63
0.30
0
0.30
IYW
iShares Dow Jones U.S. Technology Index ETF
2.86
2830.00
80.86
0
80.86
RWG
Columbia RP Focused Large Cap Growth ETF
2.44
13.97
0.34
0
0.34
QTEC
First Trust NASDAQ-100-Tech Sector Index ETF
2.44
152.63
3.72
0
3.72

This information is available for all equities that we track by simply entering the Ticker, pressing escape to remove the auto-fill function and then pressing enter. 

Additionally, the ETFG S&P Grey Market Summary reflects the ownership levels (Long, Short, Absolute & Net) as a function of their respective Market Capitalization and their trading levels (Long, Short) as a function of the underlying constituent’s Average Daily Trading Volume.  This report contains the information described above for all 500 components of the S&P 500, includes information for the Leverage Factor as well as the Inverse and provides a sortable ranking for by each category.
 
Have a terrific weekend – all ETFG models and applications will be updated and live on Monday but ETFG Daily Perspectives will be off for Veteran’s Day in honor of our past and present servicemen and servicewomen!   

Thank you for reading ETFG Daily Perspectives.