Talking ETF Turnover

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Source of KPIs: Toroso Investments Security Master, as of April 21, 2018

INDEX PERFORMANCE DATA

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Returns as of April 21, 2018.
Inception Date: April 4, 2017. Index performance is for informational purposes only and does not represent the ETF.
Indexes are unmanaged and one cannot invest directly in an index.
Past performance is NOT indicative of future results, which can vary.

TALKING ETF TURNOVER

With the uptick in market volatility, ETF liquidity providers have outperformed most other financial stocks, which in turn has helped TETF.Index maintain its performance when compared to other indexes.The VIX, a measure of volatility, has had an average close of 20.74 since February 2nd, and never closing below 15. To put that in perspective, the VIX closed above 15 on only 7 occasions in all of 2017, and only once crossing 16. The Toroso ETF Industry Index has a current 8.8% allocation to liquidity providers, which is comprised of 5 companies.

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Source: Morningstar

These liquidity providers benefit from the fact that ETFs are now more than 60% of the overall daily trading volume of the market. Trading volume is derived from creations and redemptions of the ETFs themselves, as well as rebalances within each ETF. The charts and tables below help to illustrate the significant dollars being rebalanced in ETFs.For this analysis, we examined the readily available data from US equity ETFs, split between Traditional Beta, Smart Beta and Active. All in all, there were 809 ETFs included with $1.99 trillion.

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Source: Morningstar

WHERE LIQUIDITY PROVIDERS BENEFIT?

These 809 ETFs turned over $289 billion dollars, which is 14.54% of their total AUM. The biggest difference between assets and assets turnover (on a percentage basis) is within the active space.Domestically focused active equity ETFs (66 total) had an annual turnover of 103%, for $7 billion dollars. These funds represent just 0.35% of the universe, but are responsible for 2.46% of the dollars turned over through ETF rebalancing. The most impactful difference is within the Smart Beta space. Smart Beta ETFs turned over almost 30% of their assets for a total of $185.5 Billion dollars.They represent 33% of this universe, and 64% of the dollars turned over through ETF rebalancing at $186 billion annually.

So what does this mean?  When you examine the ETF Industry, you need to look beyond the issuers themselves.  In this analysis you can readily see that market volatility, and the corresponding trading activity, creates significant opportunity for the liquidity providers to benefit.It is our goal to see that the TETF.Index captures that opportunity and fairly represents it in the overall growth of the ETF Industry.

TETF.Index reflects that opportunity through the overall growth of the ETF Industry.

ETF LAUNCHES

Global X Atnms & Elctrc Vhcls ETF DRIV

 

TETF INDEX PERFORMANCE VS LEADING FINANCIAL INDEXES

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Returns as of April 21, 2018.
Inception Date: April 4, 2017. Index performance is for informational purposes only and does not represent the ETF.
Indexes are unmanaged and one cannot invest directly in an index.
Past performance is NOT indicative of future results, which can vary.

TOP 10 HOLDINGS PERFORMANCE

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BOTTOM 10 HOLDINGS PERFORMANCE

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As of April 21, 2018. Source: Morningstar Direct.