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ETFs AM Wrap-Up: Rotation to Value from Growth and is there a market shift to defensive and low beta strategies

Mar 14, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
 
  • Fund flows out of SPDR S&P 500 ETF (SPY) continue with net 30-day fund flows at –USD$2.7 billion.  As we highlighted yesterday, fund flows for the iShares Core S&P 500 (IVV) have been very strong at +USD$4.8 billion over the last 30-days.  Given the correlation of 0.99 between the two ETFs, we are concluding that the difference is net expense ratios is driving this divergence.  
    • 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 rotation to Value from Growth?  The Vanguard Value ETF (VTV) has moved up to number 3 in our universe of ETFs in terms of 30-day fund flows.  That is 3 out of a universe of 3,000+ ETFs!  It is number 2 when we look at 90-day fund flows!  Definitely an interesting development here.  Vanguard Value ETF (VTV) has a smart beta “Worst” rating and currently is a “Sell” according to our trading signals. 
  • How about Dividend ETFs?  The Vanguard Dividend Appreciation ETF (VIG) is now number 4 in our universe of ETFs in terms of 30-day fund flows!  +USD$2.4 billion has flowed into the ETF over the past 30 days.  Are investors favoring income and yield-generating ETFs?  Vanguard Dividend Appreciation ETF (VIG) has a smart beta “Caution” rating and currently is a “Sell” according to our trading signals. 
  • The current fund flows data has a real defensive feel to it which makes us think that investors may be implementing defensive strategies.  As we continue to highlight, fund flows are moving to lower beta ETFs like Graniteshares Gold Trust (BAR), Vanguard Real Estate ETF (VNQ), Vanguard Dividend Appreciation ETF (VIG), and Vanguard Value ETF (VTV).
Top 5 ETFs by Assets Under Management (AUM)

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Name Ticker 30-Day Fund Flow ($) 90-Day Fund Flow ($) Assets Under Management ($ billions) Net Expense Ratio (%)
SPDR S&P 500 ETF Trust SPY -$2,734,250,000 -$13,737,629,500 $271.40 0.10%
iShares Core S&P 500 ETF IVV $4,864,723,500 -$1,430,568,000 $151.71 0.04%
Vanguard Total Stock Market ETF VTI $1,404,095,059 $4,490,434,731 $98.90 0.04%
Vanguard S&P 500 ETF VOO -$1,153,857,999 -$1,688,837,928 $92.98 0.04%
iShares MSCI EAFE ETF EFA -$1,342,872,000 -$1,613,862,000 $71.24 0.32%

Source: ETF Global

Top 5 ETFs by Lowest Net Expense Ratios

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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 $2.06 0.03%
iShares Core S&P Total U.S. Stock Market ETF ITOT $1,281,574,500 $2,387,410,000 $13.98 0.03%
Schwab US Broad Market ETF SCHB $437,574,500 $855,893,500 $12.29 0.03%
Schwab US Large-Cap ETF SCHX $263,042,000 $387,256,500 $12.82 0.03%
SPDR Portfolio Large Cap ETF SPLG $99,514,000 $440,166,500 $1.28 0.03%

Source: ETF Global

Top 5 ETFs by 30-Day Fund Flow

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Name Ticker 30-Day Fund Flow ($) 90-Day Fund Flow ($) Assets Under Management ($ billions) Net Expense Ratio (%)
iShares Core S&P 500 ETF IVV $4,864,723,500 -$1,430,568,000 $151.71 0.04%
Graniteshares Gold Trust BAR $4,126,134,500 $4,258,634,300 $0.00 0.20%
Vanguard Value ETF VTV $2,873,642,318 $4,585,788,511 $37.78 0.05%
Vanguard Dividend Appreciation ETF VIG $2,444,935,603 $3,313,553,286 $29.56 0.08%
Vanguard Mid-Cap ETF VO $2,268,447,255 $2,583,538,589 $23.09 0.05%

Source: ETF Global

Top 5 ETFs by 90-Day Fund Flow

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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 $6,372,534,000 $45.69 0.14%
Vanguard Value ETF VTV $2,873,642,318 $4,585,788,511 $37.78 0.05%
Vanguard Total Stock Market ETF VTI $1,404,095,059 $4,490,434,731 $98.90 0.04%
Graniteshares Gold Trust BAR $4,126,134,500 $4,258,634,300 $0.00 0.20%
iShares Edge MSCI Min Vol USA ETF USMV $1,249,551,000 $4,043,278,000 $15.75 0.15%

Source: ETF Global

 

 

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