morning-quant-ride

Morning Brief

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

ETF AM Wrap-Up: Factor Investing Reigns as QUAL and USMV Dominate 1-Day Fund Flows

May 24, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
 
  • There was a major shift into US Quality stocks yesterday with the iShares Edge MSCI USA Quality Factor ETF (QUAL) receiving nearly $1.6 billion of inflows, catapulting the fund into the top 5 ETFs by 1-day, 1-week, and 1-month fund flow. Although we cannot say for certain, the demand may have been driven by Quality stocks’ defensive characteristics that sometimes lead them to outperform in a tougher economy or bear market.
  • QUAL has a “SELL" trading signal and a “Poor” Smart Beta rating.
     
  • Clearly factor investing was a popular strategy in trading on Tuesday with the iShares Edge MSCI Minimum Volatility ETF (USMV) also as a top 5 ETF by 1-day fund flow in our 3,000+ ETF Coverage Universe. Similar to Quality stocks, investors are likely buying the minimum volatility ETF as they seek to protect their portfolio’s downside risk while preserving some degree of upside potential. However, unlike Quality stocks which are assessed based on certain fundamental analysis metrics that are considered defensive, Minimum Volatility stocks are assessed based on technical analysis metrics, historical trading patterns, correlation, and more.
  • USMV has a “SELL” trading signal and a “Worst” Smart Beta rating.

 

Top 5 ETFs by Assets Under Management (AUM)

On Mobile/Tablet scroll to the right

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 -$1,699,596,032 $2,435,174,829 -$10,002,305,489 -$3,475,697,810 $259.45 0.09%
iShares Core S&P 500 ETF IVV $57,516,040 $788,624,735 $858,357,770 $10,933,229,930 $173.18 0.04%
Vanguard Total Stock Market ETF VTI $20,812,382 $158,418,835 $1,182,955,195 $3,464,292,870 $111.36 0.03%
Vanguard S&P 500 ETF VOO -$173,289,951 -$199,026,867 $263,692,706 $4,560,171,127 $108.82 0.03%
ETRACS Alerian MLP Infrastructure Index ETN MLPI $0 $0 -$7,703,325 -$29,965,350 $73.49 0.85%

Source: ETF Global

Top 5 ETFs by Lowest Net Expense Ratios

On Mobile/Tablet scroll to the right

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%
Schwab US Large-Cap ETF SCHX $0 $17,099,089 $305,139,104 $1,110,806,995 $16.24 0.03%
SPDR Portfolio Total Stock Market ETF SPTM $3,552,116 $37,134,086 $122,605,703 $322,691,694 $3.27 0.03%
Vanguard S&P 500 ETF VOO -$173,289,951 -$199,026,867 $263,692,706 $4,560,171,127 $108.82 0.03%
iShares Core S&P Total U.S. Stock Market ETF ITOT $285,963,040 $351,034,740 $683,221,445 $2,310,679,205 $19.81 0.03%

Source: ETF Global

Top 5 ETFs by 1-Day Fund Flow

On Mobile/Tablet scroll to the right

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 Edge MSCI USA Quality Factor ETF QUAL $1,559,869,500 $1,574,236,575 $1,662,894,505 $2,858,118,845 $12.50 0.15%
iShares Edge MSCI Min Vol USA ETF USMV $932,904,700 $1,405,206,770 $2,123,004,510 $3,320,849,170 $27.55 0.15%
iShares ESG MSCI USA Leaders ETF SUSL $319,383,350 $319,383,350 $0 $0 $1.16 0.15%
iShares MSCI EAFE Small-Cap ETF SCZ $318,855,600 $318,855,600 $318,855,600 $224,717,200 $9.56 0.40%
iShares Core S&P Total U.S. Stock Market ETF ITOT $285,963,040 $351,034,740 $683,221,445 $2,310,679,205 $19.81 0.03%

Source: ETF Global

Top 5 ETFs by 1-Week Fund Flow

On Mobile/Tablet scroll to the right

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 -$1,699,596,032 $2,435,174,829 -$10,002,305,489 -$3,475,697,810 $259.45 0.09%
iShares Edge MSCI USA Quality Factor ETF QUAL $1,559,869,500 $1,574,236,575 $1,662,894,505 $2,858,118,845 $12.50 0.15%
iShares Edge MSCI Min Vol USA ETF USMV $932,904,700 $1,405,206,770 $2,123,004,510 $3,320,849,170 $27.55 0.15%
iShares Core S&P 500 ETF IVV $57,516,040 $788,624,735 $858,357,770 $10,933,229,930 $173.18 0.04%
iShares Core MSCI EAFE ETF IEFA $0 $546,205,500 $2,138,659,380 $6,642,090,780 $62.97 0.08%

Source: ETF Global

Top 5 ETFs by 1-Month Fund Flow

On Mobile/Tablet scroll to the right

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 $546,205,500 $2,138,659,380 $6,642,090,780 $62.97 0.08%
iShares Edge MSCI Min Vol USA ETF USMV $932,904,700 $1,405,206,770 $2,123,004,510 $3,320,849,170 $27.55 0.15%
iShares Edge MSCI USA Quality Factor ETF QUAL $1,559,869,500 $1,574,236,575 $1,662,894,505 $2,858,118,845 $12.50 0.15%
iShares Core U.S. Aggregate Bond ETF AGG $196,140,600 $283,170,000 $1,218,161,370 $2,577,835,570 $61.53 0.05%
Vanguard Total Stock Market ETF VTI $20,812,382 $158,418,835 $1,182,955,195 $3,464,292,870 $111.36 0.03%

Source: ETF Global

Top 5 ETFs by 3-Month Fund Flow

On Mobile/Tablet scroll to the right

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 $57,516,040 $788,624,735 $858,357,770 $10,933,229,930 $173.18 0.04%
iShares Core MSCI EAFE ETF IEFA $0 $546,205,500 $2,138,659,380 $6,642,090,780 $62.97 0.08%
Vanguard S&P 500 ETF VOO -$173,289,951 -$199,026,867 $263,692,706 $4,560,171,127 $108.82 0.03%
Graniteshares Gold Trust BAR $0 $0 $45,974,300 $4,133,915,520 $0.50 0.17%
Vanguard Total Stock Market ETF VTI $20,812,382 $158,418,835 $1,182,955,195 $3,464,292,870 $111.36 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