ETF Landscape: European DJ STOXX 600 Sector ETF Net Flows

Published November 5th, 2009 - 01:51 GMT
This is a weekly publication covering European Sector ETF Net Flows, analysing all ETFs listed in Europe tracking the DJ STOXX 600 sectors. Click here to download the report.
Inflows to ETFs have broad relevance to the pattern of fund allocations. ETFs have been and will be increasingly used as a means of trading short-term beta. Although today given that the annual Total Expense Ratios (TER) have come down on average to 37 bps for equity ETFs, they are embraced as a tool for core holdings, strategic holdings, tactical asset allocation and building blocks in fund of funds and multi-asset class strategies.
An increasing number of institutional investors have embraced the use of passively managed ETFs over the past year as an alternative to using certificates and swaps as they try to avoid products which have counterparty or issuer risk. Other investors have turned to ETFs after deciding to limit or refrain from using derivatives including futures. A growing number of investors understand that ETF liquidity is really the liquidity of the underlying basket of stocks given the unique creation and redemption process that ETFs utilise.
MiFID (Markets in Financial Instruments Directive) is especially important in Europe where the reporting of ETF trades is not required under MiFID. This means that best estimates are that only a third of ETF trades are reported on-exchange.
The table below shows the index ticker, number of stocks in the index and the sector weight. The performance data is shown in US$ total return performance for the last week and year-to-date. We rank the sectors based on weekly performance with the top performing sector being ranked #1 and worst being #19 and the same for YTD performance. The ETF AUM column represents the combined assets in all ETFs in that sector. The 5-day ADV looks at the turnover last week in all ETFs in that sector. The weekly, month-to-date (MTD) and year-to-date (YTD) net flows are converted into US$ and each illustrated in the bar charts to the right.
The data required to produce the flow analysis is available by Tuesday evening which means the earliest this publication can be distributed is on Wednesdays.
Last week saw US$247.2 Mn net inflows to DJ STOXX 600 sector ETFs. The largest sector ETF inflows last week were in Basic Resources with US$137.6 Mn and Automobiles & Parts with US$31.9 Mn while Media experienced net outflows of US$10.5 Mn.
Year-to-date, Basic Resources has been the most popular sector with US$416.3 Mn net new assets, followed by Banks with US$388.8 Mn net inflows. Retail sector ETFs have been the least popular with US$36.3 Mn net outflows YTD.
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