Bond Compass Q1 2021

Institutional Investors Driving Fixed Income ETF Growth

SPDR Portfolio Intermediate Corporate Bond ETF

2020 YTD as of Feb 21

Feb 24- Mar 24, 2020

SPIB ETF Avg Daily Turnover




2.8 bps

8.8 bps

SPIB Basket Spread

14.6 bps

68.5 bps

Source: ITG; Bloomberg Finance L.P., as of March 24, 2020. ENAV is a Virtu product powered by Composite+ or CP+ from MarketAxess, which is an AI-powered algorithmic pricing engine for corporate bonds. Spread data is based on daily medians.

Source: Bloomberg Portfolio Liquidity Analytics, Jane Street Capital as of 01/11/2021. *Institutional Size defined as $50mm for SJNK, JNK, SPIB, SPLB, CWB. **As represented by the basket spread for each respective index. There can be no assurance that a liquid market will be maintained for ETF shares. 

Source: MarketAxess, as of November 1, 2020.

Index/Fund: Does the index/fund align with my portfolio objectives?
Fund Provider: Does the firm have a solid reputation in the ETF marketplace?
Structure: Does the fund’s structure help mitigate portfolio risks and promote liquidity?
Liquidity: Can I trade when I want at the desired size?
Active Risk:

Does the fund exhibit tracking error to the benchmark it represents?

Performance: Are the fund’s historic return and risk statistics in line with its stated objectives and benchmark?
Transparency: What is the level of portfolio holdings transparency?
Total Cost: Have I considered the tradeoffs between trading and holding costs? In evaluating total cost, investors should look beyond the management fee to consider tracking return differences as well as trading costs.
Timing: What is the level of urgency? Is there a specific timeframe for execution or a specific benchmark target?
Size: How does the order size compare with the ETF’s historical averages and what is the size of the trade relative to the underlying index?
Execution: How might this order be executed from a counterparty? Will the dealer, in turn, create shares of the underlying ETF via the Primary Market? Is the market trading in an orderly fashion as measured by bid/ask spreads, average daily volumes, overall price movements and premiums/discounts to NAV?