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Exchange-Traded Dow Jones U.S. Industry Funds Review Corner Performance Index Name Weight 1-Month 3-Month YTD 1-Year 3-Year 5-Year 10-Year Dow Jones U.S. Index 100.00% 2.47% 7.66% 13.34% 17.22% 13.96% 1.71% 7.18% Dow Jones U.S. Basic Materials Index 3.00% 3.35% 5.77% 3.57% -4.20% 11.64% 1.49% 8.64% Dow Jones U.S. Consumer Goods Index 10.62% 1.07% 4.38% 9.53% 13.77% 16.37% 6.58% 8.28% Dow Jones U.S. Consumer Services Index 12.99% 3.38% 7.46% 19.07% 25.21% 20.93% 6.15% 7.62% Dow Jones U.S. Financials Index 15.92% 2.78% 8.05% 17.21% 16.81% 5.10% -9.88% -0.04% Dow Jones U.S. Health Care Index 11.01% 1.69% 8.80% 15.27% 21.17% 14.09% 5.54% 6.90% Dow Jones U.S. Industrials Index 12.18% 2.06% 5.81% 10.53% 16.50% 15.94% 1.13% 7.73% Dow Jones U.S. Oil & Gas Index 10.46% 2.48% 12.54% 4.11% 6.83% 12.74% 1.96% 13.55% Dow Jones U.S. Technology Index 17.08% 5.41% 8.42% 18.73% 24.13% 15.88% 5.42% 9.87% Dow Jones U.S. Telecommunications Index 2.99% -2.21% 9.66% 20.66% 26.14% 17.75% 1.17% 8.93% Dow Jones U.S. Utilities Index 3.75% -3.83% 2.76% 2.95% 11.47% 12.77% 2.79% 9.41% Risk-Return 25% 3-Year Annualized Return Consumer Services 20% Telecommunications Consumer Goods Composite Industrials 15% Health Care Technology Utilities 10% Financials 5% Oil & Gas 0% 5% 10% 15% 20% 25% 3-Year Annualized Risk Industry Weights Relative to Global ex-U.S. Basic Materials -7.47% Consumer Goods -3.52% Asset Class Performance U.S. [148.01] Global ex-U.S. [111.92] Commodities [116.48] REITs [191.09] Infrastructure [166.76] 200 Consumer Services Financials -7.69% 4.83% 180 Health Care 4.21% 160 Industrials -0.65% Oil & Gas 0.13% 140 Technology 12.25% 120 Telecommunications -2.06% Utilities -0.03% 100 -15% -10% -5% 0% 5% 10% 15% Underweight Overweight 80 8/09 11/09 2/10 5/10 8/10 11/10 2/11 5/11 8/11 11/11 2/12 5/12 8/12 Chart compares industry weights within the Dow Jones U.S. Index to industry weights within the Dow Jones U.S. = Dow Jones U.S. Index | Global ex-U.S. = Dow Jones Global ex-U.S. Index Global ex-U.S. Index Commodities = Dow Jones-UBS Commodity Index | REITs = Dow Jones U.S. Select REIT Index Infrastructure = Dow Jones Brookfield Global Infrastructure Index Copyright © 2012 by S&P/Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies. All rights reserved. “Dow Jones” is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). STANDARD & POOR’S and S&P are registered trademarks of Standard & Poor’s Financial Services LLC. The Dow Jones U.S. Index and the Dow Jones U.S. Industry Indexes were first calculated in February 2000. All information presented prior to this date is back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spindices.com. Past performance is not an indication of future results. Prospective application of the methodology used to construct the Dow Jones U.S. Index may not result in performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the index. Please refer to the methodology paper for the index, available at www.spdji.com or www.spindices.com for more details about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations. It is not possible to invest directly in an Index. Another limitation of back-tested hypothetical information is that generally the back-tested calculation is prepared with the benefit of hindsight. Back-tested data reflect the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors related to the equities (or fixed income, or commodities) markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance. The index returns shown do not represent the results of actual trading of investor assets. S&P/Dow Jones Indices LLC maintains the indices and calculates the index levels and performance shown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual and back-tested performance to be lower than the performance shown. In a simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US$ 10,000) and an actual asset-based fee of 1.5% were imposed at the end of the period on the investment plus accrued interest (or US$ 1,650), the net return would be 8.35% (or US$ 8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US$ 5,375, and a cumulative net return of 27.2% (or US$ 27,200). Source: S&P Dow Jones Indices; Data as of August 31, 2012. For more information, please visit the S&P Dow Jones Indices web site at www.spdji.com. www.journalofindexes.com November / December 2012 61
Exchange-Traded Funds Corner Largest New ETFs Sorted By Total Net Assets In $US Millions Covers ETFs and ETNs launched during the 12-month period ended August 31, 2012. Fund Name Ticker ER 3-Mo YTD P/E Inception Assets PIMCO Total Return BOND 0.55 3.14 - - 2/29/2012 2,531.1 Market Vectors Oil Services OIH 0.35 14.29 5.24 15.0 12/20/2011 957.9 iShares MSCI AC World Min Volatility ACWV 0.35 6.37 9.75 16.5 10/18/2011 578.8 Schwab US Dividend Equity SCHD 0.17 7.56 10.65 14.2 10/20/2011 507.3 iShares Barclays US Treasury Bond GOVT 0.15 0.35 - - 2/14/2012 485.7 FlexShares Mstar Glb Upstream Nat Res GUNR 0.48 8.63 2.64 10.6 9/16/2011 459.8 FlexShares iBoxx 3-Yr Target Dur TIPS TDTT 0.20 0.70 2.07 - 9/19/2011 432.8 iShares MSCI Emrg Mkts Min Volatility EEMV 0.25 8.95 12.23 9.9 10/18/2011 387.2 iShares MSCI USA Minimum Volatility USMV 0.15 5.48 10.90 18.5 10/18/2011 356.3 Market Vectors Semiconductor SMH 0.35 6.12 8.35 15.4 12/20/2011 348.4 ProShares Ultra VIX Sh-Tm Futures UVXY 1.56 -73.53 -92.74 - 10/3/2011 291.2 FlexShares iBoxx 5-Yr Target Dur TIPS TDTF 0.20 1.04 4.23 - 9/19/2011 248.0 SPDR Barclays Sh-Tm HiYld Bond SJNK 0.40 3.89 - - 3/14/2012 234.4 PowerShares KBW Bank KBWB 0.35 7.65 21.47 11.4 11/1/2011 201.9 Market Vectors Pharmaceutical PPH 0.35 7.73 9.10 16.8 12/20/2011 176.0 Market Vectors Biotech BBH 0.35 12.32 39.86 24.1 12/20/2011 127.2 FlexShares Mstar US Mkt Factor Tilt TILT 0.27 6.82 11.59 14.9 9/16/2011 116.2 iShares S&P Intl Preferred Stock IPFF 0.55 6.76 7.20 3.9 11/15/2011 109.2 UBS Fisher Enh Big Cap Growth ETN FBG 1.20 - - - 6/8/2012 101.0 VelocityShares 3X Long Silver ETN USLV 1.65 38.94 18.24 - 10/14/2011 88.9 Source: Morningstar. Data as of August 31, 2012. ER is expense ratio. 3-Mo is 3-month. YTD is year-to-date. P/E is price-to- earnings ratio. Selected ETFs In Registration Columbia Dividend Income Direxion Daily Dow 30 Bull 2X EGShares Emrg Mkts Core Balanced First Trust Glb Agriculture AlphaDex FlexShares Quality Div Defensive Global X Africa Consumer Guggenheim BulletSh 2021 Corp Bond IQ Bear Emerging Markets Equity iShares ACWI Investable Market iShares Australian Dollar Cash Rate Market Vectors Short HiYld Muni PowerShrs Fundamental EM Lcl Debt ProShares Merger Arbitrage PureFunds ISE Diamond/Gemstone Sage Low Volatility Dividend SPDR Barclays Breakeven Inüation United States Asian Commodity Vanguard Total International Bond WisdomTree China Div Ex-Financials Yorkville High Inc Infrastructure MLP Source: IndexUniverse.com’s ETF Watch Largest U.S.-listed ETFs Sorted By Total Net Assets In $US Millions Total Return % Annualized Return % Fund Name Ticker Exp Ratio Assets 3-Mo YTD 2011 2010 3-Yr 5-Yr Mkt Cap P/E Std Dev Yield SPDR S&P 500 SPY 0.09 106,000.0 7.92 13.55 1.89 15.06 13.51 1.24 57,186.9 14.9 15.63 1.91 SPDR Gold GLD 0.40 68,320.2 8.31 8.05 9.57 29.27 20.70 19.81 - - 20.24 - Vanguard MSCI Emerging Markets VWO 0.20 53,532.2 5.49 4.97 -18.75 19.46 6.50 -0.83 18,200.5 9.6 24.26 2.25 iShares MSCI EAFE EFA 0.34 35,353.0 10.63 6.67 -12.25 8.15 2.34 -4.90 29,451.7 10.9 20.23 3.33 PowerShares QQQ QQQ 0.20 35,025.2 10.08 22.57 3.38 19.91 20.31 7.53 79,360.3 16.7 18.22 0.76 iShares MSCI Emerging Markets EEM 0.67 34,362.2 5.49 4.82 -18.82 16.51 5.52 -0.55 17,230.9 9.8 24.82 2.08 iShares S&P 500 IVV 0.09 31,309.8 8.11 13.67 1.86 15.09 13.52 1.30 57,115.3 14.9 15.58 1.88 iShares iBoxx $ Inv Gr Corp Bond LQD 0.15 24,033.2 4.33 8.74 9.73 9.33 9.66 8.11 - - 5.62 3.97 iShares Barclays TIPS Bond TIP 0.20 23,307.6 0.82 5.48 13.28 6.14 9.62 7.96 - - 4.85 2.22 Vanguard Total Stock Market VTI 0.06 22,488.7 7.80 13.36 0.97 17.42 14.00 1.82 30,506.4 14.8 16.37 1.83 Vanguard Total Bond Market BND 0.10 17,605.0 1.46 3.71 7.92 6.20 6.32 6.56 - - 2.73 2.90 iShares iBoxx $ HiYld Corp Bond HYG 0.50 16,160.1 7.04 7.50 6.77 11.89 12.53 6.81 - - 9.96 6.96 iShares Russell 1000 Growth IWF 0.20 16,089.3 7.27 14.97 2.33 16.52 15.51 3.65 48,469.1 18.4 16.15 1.25 iShares Barclays Aggregate Bond AGG 0.20 15,528.8 1.34 3.50 7.69 6.37 6.12 6.39 - - 2.94 2.41 iShares Russell 2000 IWM 0.23 15,248.5 7.11 10.87 -4.44 26.93 13.93 2.00 997.9 16.5 21.40 1.53 Vanguard REIT VNQ 0.10 14,154.1 7.62 16.93 8.62 28.37 23.86 3.95 8,155.0 38.0 19.10 3.24 iShares Russell 1000 Value IWD 0.20 12,504.1 8.28 12.09 0.12 15.49 11.86 -0.96 37,594.9 12.8 16.16 2.16 SPDR Barclays High Yield Bond JNK 0.40 11,939.9 7.24 8.84 5.12 14.20 13.30 - - - 10.24 7.06 Vanguard Dividend Appreciation VIG 0.13 11,658.1 6.17 8.90 6.16 14.74 13.23 3.10 40,531.6 15.0 13.14 2.05 SPDR DJ Industrial Average DIA 0.17 11,324.4 6.44 9.19 8.06 14.01 14.14 2.33 117,350.6 13.9 13.93 2.40 iShares DJ Select Dividend DVY 0.40 10,966.2 5.13 8.31 11.81 17.79 16.81 0.23 11,780.2 15.5 12.04 3.41 iShares S&P 400 MidCap IJH 0.21 10,796.3 5.42 11.63 -2.18 26.72 15.58 3.84 3,495.5 17.4 18.83 1.24 Technology Select SPDR XLK 0.18 10,119.6 9.58 20.65 2.61 11.39 16.74 4.69 113,254.6 17.4 17.39 1.34 iShares Gold Trust IAU 0.25 10,008.3 8.35 8.21 9.57 29.46 20.82 19.85 - - 20.26 - iShares S&P US Preferred Stock PFF 0.48 9,945.2 5.50 15.50 -2.00 13.81 12.08 4.24 - - 9.91 5.74 Source: Morningstar. Data as of August 31, 2012. Exp Ratio is expense ratio. 3-Mo is 3-month. YTD is year-to-date. 3-Yr and 5-Yr are 3-year and 5-year annualized returns, respectively. Mkt Cap is geometric average market capitalization. P/E is price-to-earnings ratio. Std Dev is 3-year standard deviation. Yield is 12-month. 62 November / December 2012
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Plus Blitzer on the history of opti
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Contributors Mark Abssy Mark Abssy
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STOXX LIMITED INNOVATIVE INDEXING.
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People’s futures are in your hand
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©2012 Morningstar, Inc. All rights
Page 12 and 13: Exchange-traded products span a wid
Page 14 and 15: Figure 5 Median notional Volume ($B
Page 16 and 17: the put spread in this example is $
Page 18 and 19: The Loch Ness Monster. Sightings of
Page 20 and 21: TAKE A NEW LINE WITH YOUR EQUITY Po
Page 22 and 23: Over the past 12 years, U.S. invest
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Page 32 and 33: equired to establish this position
Page 34 and 35: THE POWERSHARES DB COMMODITY INDEX
Page 36 and 37: Depression was history, rather than
Page 38 and 39: academic assessment of the very exi
Page 40 and 41: Alternative Investments 4.0% Real E
Page 42 and 43: tion and management. Within it, an
Page 44 and 45: Much ink has been spilled on the pe
Page 46 and 47: Figure 1 sectors No. of top dogs Re
Page 48 and 49: over the 30-year span. “Business
Page 50 and 51: States, the average concentration p
Page 52 and 53: Figure 10 sectors Source: Research
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Page 58 and 59: open the Etracs Long-Short S&P 500
Page 60 and 61: Morningstar Index Funds U.S. Style
Page 64 and 65: ETF Analytics Your clients want mor
Page 66 and 67: PICK THE HIGH HANGING FRUIT. Find 1
Page 68 and 69: InsideETFs portFolio management str
Page 70 and 71: ©2012, THE NASDAQ OMX GROUP, INC.
Page 72: Crossword Thinking About Options Te
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