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ETF AM Wrap-Up: Factors at the Forefront as Low Volatility and Active Beta ETFs Receive Elevated Inflows

May 17, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
 
  • US large-cap stocks were in demand yesterday, specifically tech and consumer staples stocks, with the tech-heavy Invesco QQQ Trust (QQQ) and the Consumer Staples Select SPDR Fund (XLP) as the number 1 and 2 ETFs by 1-day fund flow in our 3,000+ ETF coverage universe.
  • QQQ has a “BUY” trading signal and a “Poor” Smart Beta rating. 
  • XLP has a “BUY” trading signal and a “Poor” Smart Beta rating.
     
  • Not surprising to see the Invesco S&P 500 Low Volatility ETF (SPLV) as a top ETF by 1-day fund flow in our ETF coverage universe with over $423.8 million of inflows on Thursday. Some investors are likely fleeing to low volatility ETFs with hopes of minimizing down risk in the event of volatile market conditions. This week, we highlighted the best low volatility US large-cap stocks according to the Quantamize models, which you can check out here.
  • SPLV has a “Caution” Smart Beta rating.
     
  • Interesting to see the Goldman Sachs ActiveBeta US Large-Cap Equity ETF (GSLC) as a top ETF by 1-day fund flow with more than $308.4 million of inflows on Thursday. GSLC uses a multi-factor portfolio construction methodology to make investment decisions, similar to the Quantamize Multi-Factor Stock Models.
  • GSLC has a “BUY” trading signal and a “Poor” Smart Beta rating.

 

Top 5 ETFs by Assets Under Management (AUM)

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Name Ticker 1-Day
Fund Flow ($)
1-Week
Fund Flow ($)
1-Month
Fund Flow ($)
3-Month
Fund Flow ($)
Assets Under
Management ($ billions)
Net
Expense Ratio (%)
SPDR S&P 500 ETF Trust SPY $14,249,725 -$3,076,851,700 -$14,639,769,814 -$5,663,025,994 $261.92 0.09%
iShares Core S&P 500 ETF IVV $43,037,865 $574,872,270 $609,581,850 $10,876,398,375 $175.66 0.04%
Vanguard Total Stock Market ETF VTI $157,054,670 $314,777,530 $1,428,338,106 $3,199,468,924 $113.54 0.03%
Vanguard S&P 500 ETF VOO $119,657,198 -$535,311,776 $564,940,974 $5,153,400,045 $111.07 0.03%
ETRACS Alerian MLP Infrastructure Index ETN MLPI $0 $0 -$7,703,325 -$44,548,222 $74.90 0.85%
 

Source: ETF Global

Top 5 ETFs by Lowest Net Expense Ratios

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Name Ticker 1-Day
Fund Flow ($)
1-Week
Fund Flow ($)
1-Month
Fund Flow ($)
3-Month
Fund Flow ($)
Assets Under
Management ($ billions)
Net
Expense Ratio (%)
JPMORGAN BETABUILDERS U.S. EQUITY ETF BBUS $0 $0 $0 $0 $0.03 0.02%
iShares Core S&P Total U.S. Stock Market ETF ITOT $0 $79,985,250 $480,860,205 $2,053,664,615 $19.88 0.03%
Schwab US Broad Market ETF SCHB $0 $41,376,235 -$66,688,819 $495,686,691 $14.57 0.03%
SPDR Portfolio Total Stock Market ETF SPTM $10,647,999 $51,290,817 $92,675,879 $297,550,069 $3.30 0.03%
Schwab US Large-Cap ETF SCHX $20,451,608 $116,723,382 $617,686,530 $1,097,152,013 $16.54 0.03%

Source: ETF Global

Top 5 ETFs by 1-Day Fund Flow

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Name Ticker 1-Day
Fund Flow ($)
1-Week
Fund Flow ($)
1-Month
Fund Flow ($)
3-Month
Fund Flow ($)
Assets Under
Management ($ billions)
Net
Expense Ratio (%)
Invesco QQQ Trust QQQ $732,088,000 $489,518,500 -$577,969,150 $1,617,619,500 $72.65 0.20%
Consumer Staples Select Sector SPDR Fund XLP $511,529,378 $329,821,823 -$52,118,361 $552,679,986 $11.60 0.13%
Invesco S&P 500 Low Volatility ETF SPLV $423,854,250 $498,104,300 $624,385,100 $1,379,237,500 $11.08 0.25%
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF GSLC $308,448,000 $308,448,000 $316,905,500 $498,968,000 $5.00 0.09%
iShares PHLX Semiconductor ETF SOXX $217,614,100 $360,676,590 $340,355,065 $207,245,295 $1.49 0.48%

Source: ETF Global

Top 5 ETFs by 1-Week Fund Flow

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Name Ticker 1-Day
Fund Flow ($)
1-Week
Fund Flow ($)
1-Month
Fund Flow ($)
3-Month
Fund Flow ($)
Assets Under
Management ($ billions)
Net
Expense Ratio (%)
iShares Core U.S. Aggregate Bond ETF AGG $152,669,160 $728,690,060 $1,151,106,470 $2,380,388,210 $60.94 0.05%
Vanguard Total Bond Market ETF BND $81,250,000 $631,890,000 $688,568,000 $1,143,296,000 $38.91 0.04%
iShares Core S&P 500 ETF IVV $43,037,865 $574,872,270 $609,581,850 $10,876,398,375 $175.66 0.04%
Invesco S&P 500 Low Volatility ETF SPLV $423,854,250 $498,104,300 $624,385,100 $1,379,237,500 $11.08 0.25%
Invesco QQQ Trust QQQ $732,088,000 $489,518,500 -$577,969,150 $1,617,619,500 $72.65 0.20%

Source: ETF Global

Top 5 ETFs by 1-Month Fund Flow

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Name Ticker 1-Day
Fund Flow ($)
1-Week
Fund Flow ($)
1-Month
Fund Flow ($)
3-Month
Fund Flow ($)
Assets Under
Management ($ billions)
Net
Expense Ratio (%)
iShares Core MSCI EAFE ETF IEFA $0 $326,492,940 $2,090,996,280 $6,095,885,280 $63.31 0.08%
iShares 20+ Year Treasury Bond ETF TLT -$50,389,600 $298,579,760 $1,922,111,040 $1,427,758,640 $12.67 0.15%
Vanguard Total Stock Market ETF VTI $157,054,670 $314,777,530 $1,428,338,106 $3,199,468,924 $113.54 0.03%
iShares Core U.S. Aggregate Bond ETF AGG $152,669,160 $728,690,060 $1,151,106,470 $2,380,388,210 $60.94 0.05%
Utilities Select Sector SPDR Fund XLU -$185,858,605 $227,896,111 $786,285,525 $523,185,670 $9.71 0.13%

Source: ETF Global

Top 5 ETFs by 3-Month Fund Flow

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Name Ticker 1-Day
Fund Flow ($)
1-Week
Fund Flow ($)
1-Month
Fund Flow ($)
3-Month
Fund Flow ($)
Assets Under
Management ($ billions)
Net
Expense Ratio (%)
iShares Core S&P 500 ETF IVV $43,037,865 $574,872,270 $609,581,850 $10,876,398,375 $175.66 0.04%
iShares Core MSCI EAFE ETF IEFA $0 $326,492,940 $2,090,996,280 $6,095,885,280 $63.31 0.08%
Vanguard S&P 500 ETF VOO $119,657,198 -$535,311,776 $564,940,974 $5,153,400,045 $111.07 0.03%
Graniteshares Gold Trust BAR $5,176,800 $5,176,800 $37,071,000 $4,133,915,520 $0.50 0.17%
Vanguard Total Stock Market ETF VTI $157,054,670 $314,777,530 $1,428,338,106 $3,199,468,924 $113.54 0.03%

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