US ETF+ Quarterly Directory
Deutsche Bank Markets Research
North America United States
Synthetic Equity & Index Strategy
US ETF+ Quarterly Directory
Date 8 July 2015
Q2 2015 ETPs
Data as of June 30, 2015
Author
Sebastian Mercado Strategist (+1) 212 250-8690 sebastian.mercado@
This document includes all US listed exchange-traded funds (ETFs) and exchange-traded vehicles (ETVs), plus a special section covering exchangetraded notes (ETNs). The directory is organized by asset class and asset-classrelated sub sections. Within each sub section it has also been sorted. For Equity and Fixed Income ETPs it is sorted by country (or sub region for regional products) in alphabetical order and by AUM in descending order, and for the other ETP asset classes it is sorted by sub sector in alphabetical order and by AUM in descending order. Numerous key information points per product have been included in order to give readers an overview of their respective areas of interest. Among the key numeric information we include average daily turnover, assets under management, and cash flows (all in $US). If you have any questions on any of the products listed or any suggestions on how to improve future editions of the directory, please do not hesitate to get in touch.
Contacts
Shan Lan Strategist (+852) 22036716 shan.lan@
Ari Rajendra Strategist (+44) 20 754-52282 ari.rajendra@
________________________________________________________________________________________________________________
Deutsche Bank Securities Inc.
Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1.MCI (P) 124/04/2015.
8 July 2015 US ETF+ Quarterly Directory
Table of Contents
Definitions and Abbreviations
Definitions Abbreviations
New Listings Quarterly Flows Top Trends EQUITY ETPs
Developed Markets Emerging Markets Global Size Sector Style Strategy Thematic
FIXED INCOME ETPs
Overall Corporates Sovereign Sovereign & Corporates Sub-Sovereign Collateralized Debt
COMMODITY ETPs
Overall Agriculture Energy Industrial Metals Precious Metals
CURRENCY ETPs
Currency Exposure - Broad Currency Exposure - Pair
MULTI ASSET ETPs
Target Date Target Risk
ALTERNATIVE ETPs
Hedge Fund Private Equity Volatility
EXCHANGE-TRADED NOTES
Equity Fixed Income Commodity Currency
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36
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Deutsche Bank Securities Inc.
8 July 2015 US ETF+ Quarterly Directory
Definitions and Abbreviations
Definitions
Term AUM Cash Flows TER
Turnover
Definition
Assets Under Management (or AUM), are dated as of the last business day of the calculation quarter. Generally, Daily AUM is computed by multiplying end of day shares outstanding by the end of day NAV. When NAV is not available, Price is used as a proxy.
Cash Flows correspond to the aggregation of all Daily Cash Flows within the calculation quarter. Daily Cash Flows are calculated by multiplying the difference between today's and yesterday's end of day shares outstanding by today's end of day NAV.
Total Expense Ratio (or TER) is the overall cost borne by a fund's share holder for a 1 year ownership period. It usually includes the management fee and other expenses paid by the fund. TER is, in general, expressed as a percentage of the amount invested and it is proportionally discounted according to the actual holding period.
Average Daily Turnover for the ETP within the calculation quarter. Daily turnover is calculated as daily shares traded on exchange times end of day price.
Abbreviations
Field Structure & Strategy
Tenor Credit Rating Inflation Linked Exposure Type
Abbreviation
Applies to Example/Definition
()
ETF 2L (A) means that the ETF aims to generate Double returns employing a Long strategy and Active management.
Possible values for each component:
Structure: ETF, ETV, ETN
Leverage Factor: 1, >1 (no specific multiple), 2, 3...
Strategy Impact: L (Long), S (Short), LS (Long Short)
Fund Management: A (Active Strategy), P (Passive Strategy)
B, MM, S, M, L
Fixed Income B (Broad), MM (Money Market), S (Short Duration), M
ETPs
(Medium Duration), L (Long Duration).
HY, IG, M
Fixed Income HY (High Yield), IG (Investment Grade), M (Mixed) ETPs
N, Y
Fixed Income N (No), Y (Yes)
ETPs
Physical, Futures
Commodity The way through which the ETP accesses commodity
ETPs
returns.
Deutsche Bank Securities Inc.
Page 3
8 July 2015 US ETF+ Quarterly Directory
New Listings
Figure 1: ETPs & ETNs listed during the previous quarter
ETP Name
AccuShares Spot CBOE VIX Down Shares ETF AccuShares Spot CBOE VIX Up Shares ETF Alphamark Actively Managed Small Cap ETF iShares FactorSelect MSCI International ETF iShares MSCI International Developed Value Factor ETF iShares FactorSelect MSCI Global ETF iShares FactorSelect MSCI International Small-Cap ETF iShares FactorSelect MSCI USA Small-Cap ETF iShares FactorSelect MSCI USA ETF iShares MSCI International Developed Size Factor ETF iShares Convertible Bond ETF Deutsche X-trackers Dow Jones Hedged International Real Estate ETF Deutsche X-trackers Japan JPX-Nikkei 400 Equity ETF Deutsche X-trackers S&P Hedged Global Infrastructure ETF Diamond Hill Valuation-Weighted 500 ETF Direxion Daily MSCI Europe Currency Hedged Bull 2X Shares Direxion Daily MSCI Japan Currency Hedged Bull 2X Shares Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 3X Shares Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares Direxion Daily S&P Biotech Bear 3X Shares Direxion Daily S&P Biotech Bull 3X Shares Direxion Daily CSI 300 China A Share Bull 2X Shares Direxion Daily CSI 300 China A Share Bear 1X Shares Elkhorn S&P 500 Capital Expenditures Portfolio Tuttle Tactical Management Multi-Strategy Income ETF Hull Tactical US ETF Global X Scientific Beta Asia ex-Japan ETF Global X Scientific Beta Europe ETF Global X Scientific Beta US ETF Global X Scientific Beta Japan ETF Global X Yieldco Index ETF Global X Guru Activist Index ETF Global X MSCI Pakistan ETF Highland HFR Event-Driven ETF Highland HFR Global ETF Highland HFR Equity Hedge ETF Innovator IBD 50 ETF Pacer Trendpilot 100 ETF Pacer Trendpilot 450 ETF Pacer Trendpilot 750 ETF PowerShares S&P 500 Ex-Rate Sensitive Low Volatility Portfolio PowerShares Europe Currency Hedged Low Volatility Portfolio Proshares Ultra Oil & Gas Exploration & Production ProShares Ultra Homebuilders & Supplies ProShares UltraShort Homebuilders & Supplies Proshares UltraShort Oil & Gas Exploration & Production ProShares UltraPro Short NASDAQ Biotechnology ProShares Hedged FTSE Europe ETF ProShares Hedged FTSE Japan ETF Proshares UltraPro NASDAQ Biotechnology Recon Capital FTSE 100 ETF SPDR Euro Stoxx 50 Currency Hedged ETF SPDR MSCI USA Quality Mix ETF Tortoise North American Pipeline Fund TrimTabs International Free-Cash Flow ETF U.S. Global Jets ETF ETRACS Monthly Pay 2xLeveraged MSCI US REIT Index ETN Market Vectors Global Spin-Off ETF WisdomTree International Hedged Smallcap Dividend Fund WisdomTree Global ex-U.S. Hedged Dividend Fund WisdomTree Japan Dividend Growth Fund WisdomTree Western Asset Unconstrained Bond Fund WisdomTree Japan Hedged Dividend Growth Fund
Source: Deutsche Bank, Bloomberg Finance LP..
Issuer
AccuShares Management LLC AccuShares Management LLC AlphaMark Advisors BlackRock BlackRock BlackRock BlackRock BlackRock BlackRock BlackRock BlackRock Deutsche AWM Deutsche AWM Deutsche AWM Diamond Hill Invesment DirexionShares DirexionShares DirexionShares DirexionShares DirexionShares DirexionShares DirexionShares DirexionShares Elkhorn Investments LLC Etfis Capital Exchange Traded Concepts Global X Funds Global X Funds Global X Funds Global X Funds Global X Funds Global X Funds Global X Funds Highland Capital Highland Capital Highland Capital Innovator Management Pacer Advisors Pacer Advisors Pacer Advisors PowerShares PowerShares ProShares ProShares ProShares ProShares ProShares ProShares ProShares ProShares Recon Capital State Street State Street Tortoise Capital TrimTabs U.S. Global Investors UBS Van Eck Funds WisdomTree WisdomTree WisdomTree WisdomTree WisdomTree
Asset Class & Structure Alternative ETF Alternative ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Fixed Income ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Multi Asset ETF Multi Asset ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Alternative ETF Alternative ETF Alternative ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETN Equity ETF Equity ETF Equity ETF Equity ETF Fixed Income ETF Equity ETF
Exchange
Nasdaq Nasdaq Nasdaq NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca BATS NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca Nasdaq Nasdaq NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca Nasdaq Nasdaq NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca BATS BATS BATS NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca Nasdaq NYSE Arca NYSE Arca Nasdaq Nasdaq NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca NYSE Arca Nasdaq NYSE Arca
TER
Bloomberg
0.95% VXDN US
0.95% VXUP US
0.90% SMCP US
0.45% INTF US
0.30% IVLU US
0.50% ACWF US
0.60% ISCF US
0.50% SMLF US
0.35% LRGF US
0.30% ISZE US
0.35% ICVT US
0.48% DBRE US
0.95% JPN US
0.45% DBIF US
0.10% DHVW US
0.93% HEGE US
0.95% HEGJ US
0.95% DRIP US
0.95% GUSH US
0.95% LABD US
0.95% LABU US
0.95% CHAU US
0.80% CHAD US
0.29% CAPX US
0.90% TUTI US
0.91% HTUS US
0.38% SCIX US
0.38% SCID US
0.35% SCIU US
0.38% SCIJ US
0.65% YLCO US
0.75% ACTX US
0.88% PAK US
0.85% DRVN US
0.85% HHFR US
0.85% HHDG US
0.80% FFTY US
0.65% PTNQ US
0.60% PTMC US
0.60% PTLC US
0.25% XRLV US
0.25% FXEU US
0.95% UOP US
0.95% HBU US
0.95% HBZ US
0.95% SOP US
0.95% ZBIO US
0.27% HGEU US
0.23% HGJP US
0.95% UBIO US
0.45% UK US
0.32% HFEZ US
0.15% QUS US
0.70% TPYP US
0.69% FCFI US
0.60% JETS US
0.85% LRET US
0.55% SPUN US
0.58% HDLS US
0.44% DXUS US
0.43% JDG US
0.55% UBND US
0.43% JHDG US
AUM $ MM
7.41 10.27 25.87
2.42 2.44 2.44 2.50 3.05 3.72 4.92 19.38 2.33 2.46 3.53 8.36 3.86 3.93 4.62 4.96 7.86 59.42 67.85 147.13 2.50 19.49 2.46 2.31 2.42 2.45 2.53 2.88 2.89 4.60 9.83 9.84 9.89 67.68 12.25 40.36 95.45 30.96 36.89 1.87 1.97 2.02 2.12 2.21 3.82 3.89 7.12 2.39 3.79 5.86 24.91 7.44 39.20 22.98 1.96 2.35 2.40 2.44 4.99 15.60
Page 4
Deutsche Bank Securities Inc.
8 July 2015 US ETF+ Quarterly Directory
Quarterly Flows Top Trends
Figure 2: Top 20 ETPs by inflows ($ Million) (Includes ETNs also)
ETP Name
Deutsche X-trackers MSCI EAFE Currency-Hedged Equity ETF iShares MSCI EAFE ETF WisdomTree Europe Hedged Equity Fund Vanguard FTSE Developed Markets ETF iShares MSCI Japan ETF Vanguard S&P 500 ETF WisdomTree Japan Hedged Equity Fund iShares China Large-Cap ETF Vanguard Total Stock Market ETF Vanguard FTSE Europe ETF Vanguard FTSE All-World ex-US ETF iShares Core S&P Mid-Cap ETF iShares Core U.S. Aggregate Bond ETF iShares 1-3 Year Treasury Bond ETF First Trust Dorsey Wright Focus 5 ETF Vanguard FTSE Emerging Markets ETF iShares MSCI Germany ETF iShares TIPS Bond ETF iShares J.P. Morgan USD Emerging Markets Bond ETF iShares Core MSCI Emerging Markets ETF
Source: Deutsche Bank, Bloomberg Finance LP, FactSet.
Issuer
Deutsche AWM BlackRock WisdomTree Vanguard BlackRock Vanguard WisdomTree BlackRock Vanguard Vanguard Vanguard BlackRock BlackRock BlackRock First Trust Vanguard BlackRock BlackRock BlackRock BlackRock
Asset Class & Structure Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Fixed Income ETF Fixed Income ETF Equity ETF Equity ETF Equity ETF Fixed Income ETF Fixed Income ETF Equity ETF
BBG Ticker TER
DBEF US EFA US HEDJ US VEA US EWJ US VOO US DXJ US FXI US VTI US VGK US VEU US IJH US AGG US SHY US FV US VWO US EWG US TIP US EMB US IEMG US
0.35% 0.33% 0.58% 0.10% 0.47% 0.05% 0.48% 0.74% 0.05% 0.12% 0.15% 0.15% 0.08% 0.15% 0.30% 0.15% 0.48% 0.20% 0.60% 0.18%
Net Flow $ MM 5,619 4,323 4,050 2,472 2,409 1,734 1,721 1,704 1,625 1,542 1,517 1,517 1,474 1,307 1,057 1,032 989 952 831 798
Figure 3: Top 20 ETPs by outflows ($ Million) (Includes ETNs also)
ETP Name
SPDR S&P 500 ETF iShares iBoxx $ High Yield Corporate Bond ETF iShares Short Treasury Bond ETF Vanguard REIT ETF SPDR Barclays High Yield Bond ETF iShares U.S. Real Estate ETF iShares Russell 2000 ETF iShares 20+ Year Treasury Bond ETF United States Oil Fund LP SPDR Gold Shares Consumer Staples Select Sector SPDR Fund First Trust Enhanced Short Maturity Fund SPDR Dow Jones Industrial Average ETF Consumer Discretionary Select Sector SPDR Fund iShares Core S&P 500 ETF Utilities Select Sector SPDR Fund iShares U.S. Energy ETF iShares Select Dividend ETF SPDR S&P Dividend ETF iShares Transportation Average ETF
Issuer
State Street BlackRock BlackRock Vanguard State Street BlackRock BlackRock BlackRock United States Commodity Funds State Street State Street First Trust State Street State Street BlackRock State Street BlackRock BlackRock State Street BlackRock
Source: Deutsche Bank, Bloomberg Finance LP, FactSet.
Asset Class & Structure Equity ETF Fixed Income ETF Fixed Income ETF Equity ETF Fixed Income ETF Equity ETF Equity ETF Fixed Income ETF Commodity ETV Commodity ETV Equity ETF Fixed Income ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF
BBG Ticker TER
SPY US HYG US SHV US VNQ US JNK US IYR US IWM US TLT US USO US GLD US XLP US FTSM US DIA US XLY US IVV US XLU US IYE US DVY US SDY US IYT US
0.09% 0.50% 0.15% 0.12% 0.40% 0.43% 0.24% 0.15% 0.45% 0.40% 0.16% 0.35% 0.17% 0.16% 0.07% 0.15% 0.43% 0.39% 0.35% 0.43%
Net Flow $ MM
(14,513) (2,992) (2,503) (1,868) (1,487) (1,478) (1,442) (1,303) (1,017) (974) (881) (829) (814) (812) (805) (701) (675) (610) (560) (542)
Deutsche Bank Securities Inc.
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