Question of the Week - March 22nd 2016

How have ETF Costs and volumes changed over time?


Chart 1: ETF Flow in the United States from ITG’s Peer Universe 


Chart 2: ETF Volumes and Cost in the United States from ITG’s Peer Universe for the Top 5 Names Traded Each Quarter 

  • Exchange Traded Funds have continued to increase in popularity and currently account for more than $3 trillion in assets. Some have expressed concerns that the next financial crisis will play out in indexes and ETFs, backed partly by the inability to price ETFs when the market crashed on August 24. We wanted to examine ETF behavior and patterns based on data in our Peer Universe.
  • The first chart above shows a consistent net buying pattern for ETFs in the last seven quarters. Additionally, we’ve seen a slight increasing trend in ETF volumes as a percent of total peer volume in the US. In Q4 2015 ETF trading made up 6.2% of the Peer Universe.
  • The second chart above shows that the top 5 ETFs in the United States usually make up between 50-60% of the total ETF volume in our Peer Universe each quarter. The Peer Universe has an average of 780 US ETF names traded each quarter.
  • Costs for the top 5 names have been on an increasing trend over the past three quarters.Q4 peer data shows cost for the top 5 names to be -7.5 bps (compared to weighted average equity cost of -46 bps).


Volumes and transaction costs are based on the ITG Peer Group Database, which contains order-level information from approximately 180 buy-side institutions. Implementation shortfall costs are measured relative to the release to the desk and are expressed in basis points. The top 5 ETF names were defined as the tickers with the most traded dollar volume each quarter. Q4 2015 ITG Peer Group Database statistics are based on preliminary data as of 1/29/2016.


Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.

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