morning-quant-ride

Morning Brief

Wake up to the Morning Quant Ride, your global markets update every morning!

ETFs AM Wrap-up highlighting rotation to defensive ETFs and why investors are buying IVV over SPY

Mar 13, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
 
  • Observing a very interesting divergence in the top 5 ETFs by assets under management.  The SPDR S&P 500 ETF (SPY) CONTINUES TO SUFFER FROM OUTFLOWS, with 30-day fund flow at –USD$2.9 billion while iShares Core S&P 500 (IVV) has seen very strong inflows of +USD$4.6 billion over the last 30-days.  This is a very fascinating divergence -- the correlation between the two ETFs is 0.99!  What is going on here?!  COULD IT SIMPLY BE THE DIFFERENCE IN NET EXPENSE RATIOS? 
  • SPDR S&P 500 ETF (SPY) has a smart beta “Caution” rating and currently is a “Sell” according to our trading signals.  iShares Core S&P 500 (IVV) has a smart beta “Caution” rating and currently is a “Sell” according to our trading signals.    
  • Is there a SHIFT TO DEFENSIVE ETFs?  Taking a look at the top 5 ETFs by 30-day fund flows, the Graniteshares Gold Trust (BAR) and the Vanguard Real Estate ETF (VNQ) are #2 and #3, respectively.  Graniteshares Gold Trust (BAR) has seen net flows of +USD$4.1 BILLION and Vanguard Real Estate (VNQ) has seen net flows if +USD$1.4 BILLION.  Is there a rotation occurring right under the noses of professional traders?!

 

Top 5 ETFs by Assets Under Management (AUM)

On Mobile/Tablet scroll to the right

Name Ticker 30-Day Fund Flow ($) 90-Day Fund Flow ($) Assets Under Management ($ billions) Net Expense Ratio (%)
SPDR S&P 500 ETF Trust SPY -$2,964,016,500 -$17,189,442,500 $269.62 0.10%
iShares Core S&P 500 ETF IVV $4,590,953,500 -$1,429,571,000 $150.67 0.04%
Vanguard Total Stock Market ETF VTI $787,990,895 $3,861,116,450 $98.27 0.04%
Vanguard S&P 500 ETF VOO -$1,311,342,631 -$1,495,658,947 $92.35 0.04%
iShares MSCI EAFE ETF EFA -$1,342,872,000 -$1,613,862,000 $70.63 0.32%

Source: ETF Global

Top 5 ETFs by Lowest Net Expense Ratios

On Mobile/Tablet scroll to the right

Name Ticker 30-Day Fund Flow ($) 90-Day Fund Flow ($) Assets Under Management ($ billions) Net Expense Ratio (%)
SPDR Portfolio Total Stock Market ETF SPTM $59,900,500 $320,065,000 $2.04 0.03%
iShares Core S&P Total U.S. Stock Market ETF ITOT $1,256,142,500 $2,490,414,000 $13.88 0.03%
Schwab US Broad Market ETF SCHB $417,837,500 $855,893,500 $12.21 0.03%
Schwab US Large-Cap ETF SCHX $249,573,000 $367,261,500 $12.74 0.03%
SPDR Portfolio Large Cap ETF SPLG $149,173,500 $444,992,000 $1.27 0.03%

Source: ETF Global

Top 5 ETFs by 30-Day Fund Flow

On Mobile/Tablet scroll to the right

Name Ticker 30-Day Fund Flow ($) 90-Day Fund Flow ($) Assets Under Management ($ billions) Net Expense Ratio (%)
iShares Core S&P 500 ETF IVV $4,590,953,500 -$1,429,571,000 $150.67 0.04%
Graniteshares Gold Trust BAR $4,126,134,500 $4,258,634,300 $0.00 0.20%
Vanguard Real Estate ETF VNQ $1,404,906,569 $1,337,209,316 $33.10 0.12%
iShares Core S&P Total U.S. Stock Market ETF ITOT $1,256,142,500 $2,490,414,000 $13.88 0.03%
iShares Edge MSCI Min Vol USA ETF USMV $1,255,307,000 $4,104,184,000 $15.67 0.15%

Source: ETF Global

Top 5 ETFs by 90-Day Fund Flow

On Mobile/Tablet scroll to the right

Name Ticker 30-Day Fund Flow ($) 90-Day Fund Flow ($) Assets Under Management ($ billions) Net Expense Ratio (%)
iShares Core MSCI Emerging Markets ETF IEMG $278,568,000 $7,363,158,000 $45.62 0.14%
Graniteshares Gold Trust BAR $4,126,134,500 $4,258,634,300 $0.00 0.20%
iShares Edge MSCI Min Vol USA ETF USMV $1,255,307,000 $4,104,184,000 $15.67 0.15%
Vanguard Total Stock Market ETF VTI $787,990,895 $3,861,116,450 $98.27 0.04%
iShares MSCI Emerging Markets ETF EEM $206,910,000 $3,524,661,000 $37.92 0.69%

Source: ETF Global

 

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF