morning-quant-ride

Morning Brief

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

ETFs AM Wrap-Up: SPY bouncing back, flows into emerging markets, bias to US over international

Mar 15, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
 
  • The negative funds flows out of SPDR S&P 500 ETF (SPY) appears to have reversed after yesterday’s daily inflow of +$2.05 billion.  The SPDR S&P 500 ETF (SPY) has a smart beta “Caution” rating and currently is a “Sell” according to our trading signals.    
  • iShares Core MSCI Emerging Markets ETF (IEMG) is now the hottest ETF in terms of 90-day flows, topping our universe of 3,000+ ETFs with net positive inflows of +USD$6.4 billion.  The ETF has 26% exposure to Chinese stocks and north of 60% exposure to Asia in general, which may explain the investor enthusiasm for the ETF.  iShares Core MSCI Emerging Markets ETF (IEMG) is not rated in our AI Smart Beta Ratings and our AI Trading Signals.  
  • iShares MSCI EAFE ETF (EFA), the 5th largest ETF in our universe in terms of assets under management (AUM) at USD$71.2 billion, has seen negative outflows of USD$1.3 billion over the last 30 days.  With the strong flows into US-centric ETFs like SPDR S&P 500 ETF (SPY), iShares Core S&P 500 ETF (IVV), and iShares Core S&P Total US Stock Market ETF (ITOT), are investors overweighting US stocks vs. International stocks?  Sure seems that way!  iShares MSCI EAFE ETF (EFA) is not rated in our AI Smart Beta Ratings and currently is a “Sell” according to our trading signals.

 

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 $206,128,000 -$11,279,121,500 $271.23 0.10%
iShares Core S&P 500 ETF IVV $4,950,444,000 -$972,249,000 $151.64 0.04%
Vanguard Total Stock Market ETF VTI $1,530,865,567 $4,419,272,860 $98.82 0.04%
Vanguard S&P 500 ETF VOO $1,768,037,068 $1,168,870,400 $92.95 0.04%
iShares MSCI EAFE ETF EFA -$1,342,872,000 -$1,613,862,000 $71.23 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 $78,545,500 $337,385,000 $2.05 0.03%
iShares Core S&P Total U.S. Stock Market ETF ITOT $1,045,662,500 $2,123,337,000 $13.97 0.03%
Schwab US Broad Market ETF SCHB $437,574,500 $775,241,500 $12.28 0.03%
Schwab US Large-Cap ETF SCHX $256,574,000 $350,555,000 $12.82 0.03%
SPDR Portfolio Large Cap ETF SPLG $99,514,000 $414,022,500 $1.28 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 $4,950,444,000 -$972,249,000 $151.64 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 $4,561,164,511 $37.75 0.05%
Vanguard Dividend Appreciation ETF VIG $2,390,845,603 $3,240,468,786 $29.49 0.08%
Vanguard Mid-Cap ETF VO $2,363,616,454 $2,881,481,787 $23.05 0.05%

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 $6,372,534,000 $45.47 0.14%
Vanguard Value ETF VTV $2,873,642,318 $4,561,164,511 $37.75 0.05%
Vanguard Total Stock Market ETF VTI $1,530,865,567 $4,419,272,860 $98.82 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 $1,272,639,000 $3,452,314,000 $15.74 0.15%

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