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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 December 31, 2012. Fund Name Ticker ER 1-Mo 3-Mo Mkt Cap P/E Inception Assets PIMCO Total Return BOND 0.55 -0.02 1.60 - - 2/29/2012 3,870.5 SPDR Barclays Short-Term HiYld Bond SJNK 0.40 1.32 2.56 - - 3/14/2012 621.6 iShares Aaa-A Rated Corporate Bond QLTA 0.15 -0.04 0.48 - - 2/14/2012 316.5 iShares Core MSCI EAFE IEFA 0.14 4.19 - 22,472 12.4 10/18/2012 279.4 iShares Core MSCI Emerging Markets IEMG 0.18 6.78 - 13,804 9.8 10/18/2012 261.0 iShares MSCI Glb Metals/Mining Prod PICK 0.39 9.15 10.96 23,810 11.5 1/31/2012 253.6 Market Vectors Intl HiYld Bond IHY 0.40 2.80 5.80 - - 4/2/2012 209.9 iShares Emerging Markets HiYld Bond EMHY 0.65 2.09 5.65 - - 4/3/2012 198.3 iShares Barclays US Treasury Bond GOVT 0.15 -0.56 -0.24 - - 2/14/2012 146.2 UBS FI Enh Big-Cap Growth ETN FBG 1.20 -0.57 -3.07 - - 6/8/2012 140.2 First Trust North Amer Energy Infrastr EMLP 0.95 0.23 -1.65 8,303 20.1 6/20/2012 123.7 Market Vectors Mstar Wide Moat MOAT 0.49 2.08 3.55 13,221 16.3 4/24/2012 115.4 PIMCO Glb Adv Inü-Linked Bond Strat ILB 0.60 2.19 2.71 - - 4/30/2012 110.4 Vanguard Short-Tm Inüation-Prot Sec VTIP 0.10 0.06 - - - 10/12/2012 108.3 Market Vectors Pref Sec ex Financials PFXF 0.40 1.52 2.00 4,397 7.9 7/16/2012 100.1 Yorkville High Income MLP YMLP 0.82 -2.47 -6.32 1,683 12.0 3/13/2012 98.1 WisdomTree Emrg Mkts Corp Bond EMCB 0.60 1.19 3.56 - - 3/8/2012 96.4 PowerShares S&P Emrg Mkts Low Vol EELV 0.29 5.54 6.47 5,478 11.0 1/13/2012 88.3 iShares Morningstar Multi-Asset Inc IYLD 0.60 -0.08 0.37 10,295 11.1 4/3/2012 86.3 ALPS Sector Dividend Dogs SDOG 0.40 0.25 0.25 15,430 16.1 6/29/2012 70.1 Source: Morningstar. Data as of December 31, 2012. ER is expense ratio. 1-Mo is 1-month. 3-Mo is 3-month. Mkt Cap is market cap. P/E is price-to- earnings ratio. Selected ETFs In Registration Direxion Daily European Equity Bull 3X EGShares Beyond BRICs Emrg Asia Infrastr ETFS Physical Zinc First Trust Mstar Diversiûed Futures Forensic Accounting ETF Global X Risk Parity Guggenheim Intl High Dividend IQ Bear Industry Leaders US Equity iShares MSCI USA Risk Weighted LocalShares Nashville Market Vectors Non-Agency RMBS Pimco EM Agg US$-Denominated Bond PowerShares Fundamental EM Local Debt ProShares Global Direct Infrastructure SPDR Russell 1000 Low Volatility United States Nat Gas Double Inverse Vanguard Total International Bond VelocityShares Russia Select DR Yorkville High Inc Infrastructure MLP Zacks 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 2012 2011 2010 3-Yr 5-Yr Mkt Cap P/E Std Dev Yield SPDR S&P 500 SPY 0.09 123,001.0 -0.38 15.99 1.89 15.06 10.79 1.66 54,844 15.0 15.28 2.18 SPDR Gold GLD 0.40 72,239.3 -5.74 6.60 9.57 29.27 14.72 14.46 - - 18.68 - Vanguard MSCI Emerging Markets VWO 0.20 59,875.2 7.83 19.20 -18.75 19.46 4.98 -0.63 19,047 9.3 23.69 2.20 iShares MSCI Emerging Markets EEM 0.69 48,189.6 8.00 19.10 -18.82 16.51 4.05 -0.55 20,339 9.5 24.08 1.71 iShares MSCI EAFE EFA 0.34 38,814.7 8.44 18.82 -12.25 8.15 4.08 -3.33 32,256 12.4 20.18 3.14 iShares Core S&P 500 IVV 0.07 34,911.5 -0.23 16.06 1.86 15.09 10.81 1.64 54,822 15.0 15.25 2.10 PowerShares QQQ QQQ 0.20 30,416.9 -4.48 18.11 3.38 19.91 13.55 5.71 77,323 16.4 17.96 1.26 iShares iBoxx $ Inv Gr Corp Bond LQD 0.15 25,350.4 0.59 10.58 9.73 9.33 9.88 8.06 - - 5.34 3.83 Vanguard Total Stock Market VTI 0.06 24,270.5 0.24 16.46 0.97 17.42 11.35 2.32 32,918 15.5 15.98 2.14 iShares Barclays TIPS Bond TIP 0.20 22,284.7 0.35 6.39 13.28 6.14 8.55 6.75 - - 4.42 2.21 Vanguard Total Bond Market BND 0.10 17,968.3 -0.01 3.89 7.92 6.20 5.99 5.78 - - 2.48 2.72 iShares Russell 1000 Growth IWF 0.20 16,907.0 -1.20 15.22 2.33 16.52 11.17 3.02 45,094 18.0 15.88 1.66 iShares Russell 2000 IWM 0.23 15,997.1 1.92 16.69 -4.44 26.93 12.28 3.68 1,044 16.4 20.53 2.00 iShares iBoxx $ HiYld Corp Bond HYG 0.50 15,972.3 3.33 11.66 6.77 11.89 10.08 7.20 - - 9.37 6.63 Vanguard REIT VNQ 0.10 15,406.7 2.51 17.63 8.62 28.37 17.93 6.11 8,100 43.3 18.28 3.56 iShares Core Total US Bond Market AGG 0.08 15,335.8 -0.02 3.76 7.69 6.37 5.93 5.72 - - 2.58 2.54 iShares Russell 1000 Value IWD 0.20 14,536.2 1.60 17.46 0.12 15.49 10.74 0.56 37,841 13.5 15.74 2.30 iShares Core S&P Mid-Cap IJH 0.15 13,558.4 3.65 17.79 -2.18 26.72 13.45 5.13 3,636 18.0 18.09 1.43 SPDR Barclays High Yield Bond JNK 0.40 12,502.3 3.48 13.46 5.12 14.20 10.85 7.11 - - 9.62 6.78 Vanguard Dividend Appreciation VIG 0.13 12,042.9 0.64 11.65 6.16 14.74 10.79 3.59 42,697 15.5 12.84 2.37 iShares Gold Trust IAU 0.25 11,645.3 -5.74 6.89 9.57 29.46 14.88 14.57 - - 18.72 - Vanguard MSCI EAFE VEA 0.12 10,981.8 8.21 18.57 -12.30 8.35 4.05 -3.14 29,401 11.8 20.46 3.00 SPDR DJ Industrial Average Trust DIA 0.17 10,923.4 -1.89 9.94 8.06 14.01 10.64 2.44 114,113 13.6 13.65 2.53 iShares S&P US Preferred Stock PFF 0.48 10,747.3 1.59 18.20 -2.00 13.81 9.65 6.90 - - 8.75 6.02 SPDR S&P MidCap 400 MDY 0.25 10,616.7 3.67 17.82 -2.13 26.28 13.35 4.96 3,585 17.8 18.06 1.14 Source: Morningstar. Data as of December 31, 2012. Exp Ratio is expense ratio. 3-Mo is 3-month. Mkt Cap is market cap. 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 March / April 2013
News continued from page 15 Malkiel Named CIO Of Wealthfront Burton Malkiel, the investmentworld legend and author of the seminal work on indexing “A Random Walk Down Wall Street,” was named chief investment officer of investment advisor firm Wealthfront. Wealthfront has a minimum account size of $5,000 and manages clients’ first $25,000 free. The firm provides its services online using the tenets of modern portfolio theory as the backbone of its asset allocation plans. As CIO, Malkiel will help Wealthfront improve its services, including the choice of asset classes, the way it allocates among different classes, the choice of securities and the methods by which it evaluates risk and applies those evaluations to client portfolios, the company said in a blog it published on its website in November 2012. Wealthfront’s advisory fee, which is separate from fund expense ratios, is considerably lower than what many advisors charge. The firm puts together its low-cost portfolios using only ETFs. Malkiel, who is also a Princeton University professor emeritus of economics, will additionally meet with select groups of Wealthfront clients, and offer investing insights to clients and the public, the registered investment advisor said. Schapiro Leaves SEC, Succeeded By Walter The Securities and Exchange Commission is under new leadership after the year-end departure of Chairwoman Mary Schapiro, one of the longest-serving heads of the agency. Her successor for a year is Elisse Walter, who has been an SEC commissioner since 2008 and whose term as a commissioner comes to a close at the end of 2013. Walter previously served as an executive charged with regulatory policy and programs at the Financial Industry Regulatory Authority, and also led an in-depth review of the municipal securities markets at the SEC, according to her bio on Wikipedia. Appointed by President Barack Obama and unanimously confirmed by the U.S. Senate, Schapiro first took the helm of the SEC in January 2009 in the wake of the credit crisis that sent the U.S. economy into its worst downturn since the Great Depression. As head of the SEC, Schapiro has also served on the Financial Stability Oversight Council, the FHFA Oversight Board, the Financial Stability Oversight Board and the IFRS Foundation Monitoring Board. The White House statement didn’t mention a successor for Walter in the late November statement it issued on the transition. Changes To Morningstar’s Passive Fund Research Team Morningstar said in early December that it had appointed Ben Johnson global director of passive funds research. Johnson was already overseeing the firm’s passive fund research teams for Europe and Asia, and the new role means he now also oversees the North American team. Johnson earned a bachelor’s degree in economics at the University of Wisconsin. He was hired by Morningstar in 2006. Paul Justice previously had responsibility for Morningstar’s passive fund research team in North America; currently, he is focused on research aimed at institutional investors. Goltz continued from page 35 Malkiel, B.G. 1995. Returns from investing in equity mutual funds 1971-1991. Journal of Finance 50(2): 547-572. Markowitz, H. 1959. Portfolio selection: efficient diversification of investments. John Wiley & Sons, Inc., New York and Chapman & Hall, Limited, London. Perold, A.F. 2007. Fundamentally flawed indexing. Financial Analysts Journal 63(6): 31-37. Ranaldo, A. and R. Häberle. 2007. Wolf in sheep’s clothing: the active investment strategies behind index performance. European Financial Management 14(1): 55-81. Sharpe, W.F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance. 19(3): 425-441. Siegel, L.B. 2003. Benchmarks and investment management. The Research Foundation of the Association for Investment Management and Research, Charlottesville, Virginia. Strongin, S., M. Petsch and G. Sharenow. 2000. Beating benchmarks. Journal of Portfolio Management 26(4): 11-27. Tabner, I. 2007. Benchmark concentration: Capitalization weights versus equal weights in the FTSE 100 index. Working paper. University of Stirling. Endnotes 1 Further, investors have different profiles and investment contexts (liability constraints, income risk, etc.), which makes a unique reference somewhat questionable. 2 Data taken from press releases on each provider’s website. Note that, more often than not, a press release announcing the launch of an index actually refers to a new index series being launched, which may contain several indexes such as different indexes for geographic segments. For the purpose of our analysis, we count the number of announcements by the index provider and hence tend to capture the launch of new index series rather than of individual indexes. 3 Information on index launches was only available on the S&P website going back to Jan. 1, 2012. 4 The largest category was institutional investment management professionals, including asset owners and third-party asset managers with a focus on institutional clients, making up 80 percent of respondents. Eighty-one percent of respondents were from the United States and the remainder from Canada. 5 For equity indexes, see Haugen and Baker [1991]; Grinold [1992]; Amenc, Goltz and Le Sourd [2006]; Hsu [2006]; Ranaldo and Häberle [2007]; Tabner [2007]; Malevergne et al. [2009]; Fuller et al. [2010]; Goltz and Le Sourd [2010] among others. 6 See, e.g., Kamp (2008). 7 While they are related concepts, objectivity and transparency do not necessarily go together. For example, an index can be completely transparent about data, history and the fact that it has delegated all decision-making responsibilities, not to an objective set of rules, but to a committee; similarly, an index can have very objective, systematic rules, but impose barriers to the access of key attributes such as data and application of methodology (e.g., an index with the goal of minimizing risk does not provide precise descriptions of statistical methods employed). March / April 2013 63
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Plus an interview with Robert Mayna
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www.journalofndexes.com Vol. 16 No.
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McGRAW-HILL You can never have too
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©2013 Morningstar, Inc. All rights
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THE POWERSHARES DB COMMODITY INDEX
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InsideIndexing risk, return & inDex
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