Research Blog

Leveraging ETF Calendar Data: Finding Alpha and Managing Risk

  • ETF assets under management swelled in 2021 as investors clamored for both simple strategies and exciting thematic plays
  • Institutional investors and risk-based traders can capture key ETF data points to stay ahead of powerful fund flows
  • Primary-sourced ETF calendar is a critical tool in equity and options traders’ arsenals
  • Advanced knowledge of ETF distributions prior to the ex-date provides an edge

Introduction: A Surge in ETF Interest and Assets

Inflows to exchange-traded funds (ETFs) skyrocketed above $1 trillion last year, according to The Wall Street Journal. Globally, the ETF marketplace eclipsed $10 trillion for the first time by late 2021 per Emerging Portfolio Fund Research (EPFR) fund flow data. An estimated 87% of financial advisors use ETFs in their portfolio management practice, according to a Trends in Investing Survey from the Financial Planning Association.

The evidence is there. ETFs are not just on the rise as shown in Figure 1 but are a primary vehicle by which investors gain access to financial markets.

Figure 1: ETFs Created per Quarter (2014-2022)

Source: Wall Street Horizon data as of April 2022

There is still plenty of room for ETFs to run. The Investment Company Institute (ICI) estimated that just 9% of U.S. households owned an ETF in 2020. As the importance of having equity and fixed-income market exposure increases, surely that percentage will grow.

Investors look to the simplicity and often low cost of ETFs to hold for the long run. They can feature minimal tracking error and low tax liability. Hence, they are ideal to hold across many account types, including taxable brokerage accounts. But there has also been a surge in the popularity of hot themes that spurred the creation of so many niche ETFs.

Of course, an “ETF” is just a wrapper. A fund can have seemingly unlimited strategies and span many asset classes. That variety offers quantitative traders a host of potentially valuable data insights across markets.

Data Attributes Investors Should Look For

Primary-sourced

Investors should ensure that the ETF data is primary sourced directly from the fund providers. Wall Street Horizon’s data analysts verify schedules via direct contact with providers. The analysts forecast ETF data based on fund history or using historical schedules or distributions.

Expansive Coverage

The Wall Street Horizon ETF calendar includes 200 US providers and more than 2,300 products so that traders can better manage risk and capitalize on opportunities. Figure 2 shows the number of active ETFs within the top 10 US fund providers.

Figure 2: Top 10 US ETFs

Fund Provider Number of Active ETFs
BlackRock 390
Invesco Capital Management LLC 277
First Trust Portfolios L.P. 177
State Street Global Advisors 138
ProShares 133
Global X Management Company LLC 92
Vanguard Group, Inc. 82
WisdomTree Investments 77
Direxion 70
Van Eck Securities Corporation 62

Source: Wall Street Horizon data as of May 6, 2022

Frequent Alerts

In order for investors to know when large taxable events happen, they need details on fund distribution schedules with metadata on fund constituents. Wall Street Horizon clients receive daily alerts on ETF fund and provider additions, changes (name and website) and deletions. This also includes activations, deletions, and changes such as name, ticker, stock exchange, website, distribution frequency and if optionable.

Advanced Knowledge

If investors are apprised of data ahead of the ETF distribution, they can avoid getting caught off guard with a specific pay out date. Wall Street Horizon confirms ETF distributions an average of 250 days prior to the ex-date.

Detailed Data Elements

How often are investors unpleasantly surprised by a large year-end distribution? While that is more common among mutual funds, the growing trend of actively managed and thematic ETFs could spark large taxable events at the end of the year. Wall Street Horizon breaks out both short-term and long-term capital gains, other income, and total distribution figures. Status updates on payouts are also provided – either confirmed or issuer-estimated.

ETF Splits

Another calendar element area emerging as an ever-more important event type are splits. Wall Street Horizon displays an ETF’s split ex-, record, and effective date and the split ratio, sourced from press releases or direct contact with the provider. Clients can also find and research historical split data and distributions. With splits becoming en vogue since late 2020, we anticipate more interest in when ETFs split shares. It is common knowledge that stocks announcing a split often go on to beat the market – will the same hold true for ETFs that perform a traditional stock split in the years ahead?

Reverse Splits

Conversely, reverse ETF share split trends can be used to pick up on bear markets or capitulation periods for trend-following investors. Reverse splits are fundamentally important for providers so that their fund is not de-listed from an exchange. The last thing an investor wants to experience is their holding being forced to liquidate, and that can be a significant risk. Leveraged ETFs and inverse products may be more susceptible to that event.

Conclusion

Investors and traders continue to flock to ETFs. The wrapper often provides liquidity, tax efficiency, low tracking error, and nearly all can be traded with zero commissions these days. While index ETFs are incredibly popular, active strategies are making strides in the investing universe. Having the latest key data on ETFs is becoming a demand by institutional investors and risk-based traders.