{"id":2752,"date":"2021-07-30T20:37:41","date_gmt":"2021-07-30T20:37:41","guid":{"rendered":"http:\/\/blog.valuengine.com\/?p=2752"},"modified":"2021-07-30T20:39:31","modified_gmt":"2021-07-30T20:39:31","slug":"actively-managed-vs-indexed-etfs-a-case-study-inside-advisorshares-doubleline-value-equity-etf","status":"publish","type":"post","link":"http:\/\/blog.valuengine.com\/index.php\/actively-managed-vs-indexed-etfs-a-case-study-inside-advisorshares-doubleline-value-equity-etf\/","title":{"rendered":"Actively Managed vs. Indexed ETFs \u2013 DBLV: A Case Study Inside AdvisorShares DoubleLine Value Equity ETF"},"content":{"rendered":"

The biggest surge in new ETFs during the past 12 months has switched from ESG\/Other thematic to actively managed ETFs. The preponderance of these new offerings and filings have come from major mutual fund houses and investment banks. Three ETFs are compared below regarding this topic. <\/span>I\u2019ve recently written an article that explains the many advantages of the more modern ETF structure.\u00a0 You can download it by click HERE<\/a>. Or the full website address is:<\/span><\/p>\n

https:\/\/www.researchgate.net\/publication\/353339371_Leveling_the_Playing_Field_for_Active_Managers_with_the_ETF_Structure<\/span><\/a><\/p>\n

All of the approximately 5,000 stocks, 16 sector groups, 140 industries, and 500 ETFs have been updated on\u00a0www.ValuEngine.com<\/a><\/strong><\/h5>\n
Free Two Week Trial to all 5,000 plus equities and ETFs covered by ValuEngine\u00a0HERE<\/a><\/strong><\/h5>\n

Most actively managed equity ETFs do not have long enough histories to be covered by ValuEngine.\u00a0 An exception with an interesting story is DBLV, the AdvisorShares DoubleLine Value Equity ETF. Launching in 2009, Bethesda-based AdvisorShares is a true pioneer of actively managed equity ETFs.\u00a0 They reached out to active equity managers interested in using their exemptive relief and innovative platform.\u00a0 Through the years, active managers with very different strategies and fund structures have used the AdvisorShares platform with various degrees of success.\u00a0\u00a0\u00a0\u00a0<\/span><\/p>\n

This ETF has a unique history. It began its life as the AdvisorShares Wilshire Buyback ETF under a different ticker symbol.\u00a0 In October 2018, AdvisorShares Chairman Noah Hamman made a surprising announcement.\u00a0 DoubleLine, a very well-respected asset management company chaired by industry legend Jeffrey Gundlach, agreed to take over the management of the fund using a classic active value management approach. Accordingly, it selected the Russell 1000 Value Index as its benchmark.\u00a0\u00a0<\/span><\/p>\n

The fund was renamed and assigned the ticker symbol DBLV.\u00a0 It surprised many people that DoubleLine was willing to use two top managers to manage the fund using a fully transparent structure.\u00a0 This innovation was clearly ahead of its time.\u00a0 AdvisorShares materials consider the fund\u2019s performance separately from when DoubeLine took over its asset management.\u00a0 ValuEngine and ETF.com consider the entire history together.<\/span><\/p>\n

This analysis utilizes DBLV as a case study of how this one actively managed value equity fund has performed relative to the iShares Russell 1000 Value (IWD), the largest ETF following the largest institutional Value Index benchmark.\u00a0 The chart below compares both in many categories.\u00a0 IWB, the iShares Russell 1000 Index ETF is provided for comparison.<\/span><\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
<\/td>\nDBLV<\/b><\/td>\nIWD<\/b><\/td>\nIWB<\/b><\/td>\n<\/tr>\n
ValuEngine Rating<\/span><\/td>\n1<\/b><\/td>\n2<\/b><\/td>\n3<\/b><\/td>\n<\/tr>\n
1-Yr <\/span>Forecast <\/b>Return<\/span><\/td>\n-6.7%<\/span><\/td>\n-5.6%<\/b><\/td>\n-3.6%<\/span><\/td>\n<\/tr>\n
6-Mo Historical Return\u00a0<\/span><\/td>\n13.76%<\/b><\/td>\n13.32%<\/span><\/td>\n14.01%<\/span><\/td>\n<\/tr>\n
1-Yr Historical Return\u00a0<\/span><\/td>\n36.80%<\/b><\/td>\n34.21%<\/span><\/td>\n37.94%<\/span><\/td>\n<\/tr>\n
3-Yr Historical Return<\/span><\/td>\n11.02%<\/b><\/td>\n8.82%<\/span><\/td>\n16.66%<\/span><\/td>\n<\/tr>\n
5-Yr Historical Return<\/span><\/td>\n10.85%<\/b><\/td>\n8.59%<\/span><\/td>\n14.56%<\/span><\/td>\n<\/tr>\n
Volatility<\/span><\/td>\n16.9%<\/span><\/td>\n16.7%<\/b><\/td>\n15.5%<\/span><\/td>\n<\/tr>\n
Sharpe Ratio\u00a0<\/span><\/td>\n0.64<\/b><\/td>\n0.52<\/span><\/td>\n0.94<\/span><\/td>\n<\/tr>\n
# of Stocks<\/span><\/td>\n50<\/span><\/td>\n842<\/b><\/td>\n1024<\/span><\/td>\n<\/tr>\n
% Labeled<\/span><\/p>\n

Undervalued by VE<\/span><\/td>\n

43%<\/span><\/td>\n46%<\/b><\/td>\n43%<\/span><\/td>\n<\/tr>\n
VE Beta<\/span><\/td>\n1.04<\/b><\/td>\n1.05<\/span><\/td>\n1.03<\/span><\/td>\n<\/tr>\n
VE Alpha<\/span><\/td>\n0.02<\/b><\/td>\n0.00<\/span><\/td>\n0.01<\/span><\/td>\n<\/tr>\n
P\/B Ratio<\/span><\/td>\n2.4<\/b><\/td>\n2.8<\/span><\/td>\n4.4<\/span><\/td>\n<\/tr>\n
P\/E Ratio<\/span><\/td>\n25.3<\/b><\/td>\n31.2<\/span><\/td>\n34.9<\/span><\/td>\n<\/tr>\n
Div. Yield<\/span><\/td>\n2.1%<\/b><\/td>\n1.6%<\/span><\/td>\n1.2%<\/span><\/td>\n<\/tr>\n
Expense Ratio<\/span><\/td>\n0.91%<\/span><\/td>\n0.19%<\/b><\/td>\n0.15%<\/span><\/td>\n<\/tr>\n
Index Provider<\/span><\/td>\nActively Managed by DoubleLine<\/span><\/td>\nFTSE Russell<\/span><\/td>\nFTSE Russell<\/span><\/td>\n<\/tr>\n
Index<\/span><\/p>\n

Scheme<\/span><\/td>\n

Actively Managed by DoubleLine<\/span><\/td>\nMkt. Cap Weighting<\/span><\/td>\nMkt. Cap Weighting<\/span><\/td>\n<\/tr>\n
ETF Sponsor<\/span><\/td>\nAdvisor Shares<\/span><\/td>\niShares by Blackrock<\/span><\/td>\niShares by Blackrock<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

All ValuEngine ETF reports updated and available:\u00a0Click HERE<\/a><\/strong><\/span><\/p>\n


\nObservations:<\/span><\/p>\n

    \n
  1. DBLV has outperformed IWD, the iShares Russell Value 1000 ETF in all 4 of the historical periods measured.\u00a0 For the 3-year period, just about when DoubleLine took over management of the ETF, it outperformed by a 2.20% differential or 220 basis points per year using industry jargon<\/span><\/li>\n
  2. DBLV did so with almost identical volatility, also giving it a superior Sharpe Ratio,0.64 to 0.52.\u00a0<\/span><\/li>\n
  3. Even in the combined or hybrid 5-year period using two-years from the replaced management team, DBLV outperforms handily, 10.75% to 8.59%<\/span><\/li>\n
  4. In terms of multiples, DBLV lives up to its name as a value fund with a lower Price\/Book and a substantially lower Price\/Earnings ratio than its Value Index benchmark.\u00a0\u00a0<\/span><\/li>\n
  5. DBLV\u2019s dividend yield is about 25% higher than that of IWD, 2.1% as compared with 1.6%.<\/span><\/li>\n
  6. One questions always asked about active management using an ETF structure was whether the higher expense ratio could be justified.\u00a0 For this case study period, the difference in fees between DBLV and IWD was 0.78% or 78 basis points. Since the annual outperformance was more than 220 basis points, the fee difference was more than justified in this case.\u00a0<\/span><\/li>\n<\/ol>\n

    Therefore, from a performance perspective, the \u201clevel playing field\u201d provided by the ETF structure helped DBLV outperform its benchmark ETF.\u00a0 The above analyzes the past.\u00a0 Since timing is everything in the markets, what about now?<\/span><\/p>\n

    The consensus of strategists I\u2019ve read this week, especially Rob Arnott of Research Affiliates, support the premise that the value cycle is in its early stages of outperforming growth.\u00a0 If so, DBLV appears to be a strong alternative to choose over IWD.\u00a0\u00a0<\/span><\/p>\n

    According to the ValuEngine models, however, now is not the best time.\u00a0 DBLV gets our lowest rating of 1.\u00a0 In fact, after 8 weeks of a 4 out of 5 from our model, IWD now ranks a below-average 2 out of 5.\u00a0 From late May to late July, our model has shifted negatively regarding value benchmark ETFs and value ETFs in general.\u00a0 Both DBLV and IWD are projected to have negative returns considerably worse than the negative returns projected for the broad benchmark ETF IWB during the next 6 months.\u00a0\u00a0<\/span><\/p>\n

    Financial Advisory Services based on ValuEngine research available:<\/strong><\/h5>\n
    www.ValuEngineCapital.com<\/a><\/strong><\/h5>\n

    Market timing aside, this information does provide support for the premise that using the ETF structure may give active managers a better chance of outperforming their benchmarks than the existing structure with all the disadvantages delineated in the research paper.\u00a0 Please download it and share your thoughts with me, the link is above.<\/span><\/p>\n

    By Herb Blank<\/p>\n

    Herb@ValuEngine.com<\/p>\n

    ValuEngine, Inc<\/p>\n

    \n

    _______________________________________________<\/p>\n

    All of the approximately 5,000 stocks, 16 sector groups, and 140 industries have been updated on\u00a0www.ValuEngine.com<\/a><\/h5>\n
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    Financial Advisory Services based on ValuEngine research available through\u00a0ValuEngine Capital Management, LLC<\/a><\/h5>\n
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    Subscribers log in\u00a0HERE<\/a><\/h5>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

    The biggest surge in new ETFs during the past 12 months has switched from ESG\/Other thematic to actively managed ETFs. The preponderance of these new offerings and filings have come from major mutual fund houses and investment banks. Three ETFs are compared below regarding this topic. I\u2019ve recently written an article that explains the many … Read more<\/a><\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[130,1,39],"tags":[1847,1848,1844,1760,1790,1719,1731,1846,1845,28,1656,63],"_links":{"self":[{"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/posts\/2752"}],"collection":[{"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/comments?post=2752"}],"version-history":[{"count":5,"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/posts\/2752\/revisions"}],"predecessor-version":[{"id":2757,"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/posts\/2752\/revisions\/2757"}],"wp:attachment":[{"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/media?parent=2752"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/categories?post=2752"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/blog.valuengine.com\/index.php\/wp-json\/wp\/v2\/tags?post=2752"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}