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Standard & Poor's Announces Changes In The S&P/TSX Venture Composite And Select Indices
November 10, 2011--Standard & Poor's will make the following changes in the S&P/TSX Venture Composite and Select Indices:
The shares of Realm Energy International Corporation (TSXVN:RLM) will be removed from the S&P/TSX Venture Composite and Venture Select Indices after the close today, Thursday, November 10, 2011.
The shares of the company will be delisted from the TSX Venture Exchange at the same time following the completion of an Arrangement Agreement whereby the company has been acquired by San Leon Energy plc.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
Global X files with the SEC
November 10, 2011--Global X has filed a post-effective amendment, registration statement with the SEC for the Global X Permanent ETF.
view filing
Source: SEC.gov
iShares files with the SEC
November 10, 2011-iShares has filed a post-effective amendment, registration statement with the SEC for the iShares S&P International Preferred Stock Index Fund.
view filing
Source: SEC.gov
Morgan Stanley-ETF Weekly Update
October 10, 2011-Weekly Flows: $675 Million Net Outflows
ETF Assets Stand at $969 Billion, down 3% YTD
Launches: 10 New ETFs
Direxion Announces Reverse Share Splits
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $675 mln last week; ETFs exhibited net outflows 2 of past 3 weeks
Net outflows last week were primarily driven by US Equity ETFs ($3.3 bln net outflows)
Fixed Income ETFs have exhibited net inflows for 8 straight weeks ($11.9 bln net inflows over the 8 weeks)
ETF assets stand at $969 bln, down 3% YTD (due to market depreciation)
13-week flows were mixed among asset classes; combined $7.4 bln net inflows
Leveraged/Inverse ETFs have posted net inflows of $6.6 bln the past 13 weeks which equates to 20% of the category’s market cap
We estimate ETFs have generated net inflows 24 out of 40 weeks in 2011; net inflows of $75.4 bln YTD
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Bar Cap 1-3 Month T-Bill (BIL) posted net inflows of $825 mln last week, most of any ETF
Amid market volatility over the past 3 months, BIL has generated net inflows of $2.6 bln
Despite aggregate net outflows last week, only 282 ETFs exhibited net outflows (24% of ETF universe)
SPDR S&P 500 ETF (SPY) posted the largest net outflows out of any ETF the past 1-, 4- and 13-week periods
US-Listed ETFs: Change in Short Interest Data Unchanged: Based on data as of 9/15/11
SPY exhibited the largest increase in USD short interest since last updated
$4.4 billion in additional short interest
Highest all-time level of shares short for SPY
GLD exhibited the largest decline in USD short interest since last updated
$388 million in reduced short interest
Lowest level of shares short for GLD since 5/31/11
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 10/7/11 based on daily change in share counts and daily NAVs.
$6.0 billion in total market cap of ETFs less than 1-year old
Suggests that unique new offerings continue to gain meaningful traction
198 new ETF listings and 8 liquidations YTD
4 different asset classes represented; 8 different issuers
Equity (5), Fixed Income (2), Alternative (2), Commodity (1)
Top 10 account for $2.8 billion in market cap and posted net inflows of $833 million over last 13 weeks
iShares High Dividend Equity Fund (HDV) surpassed the market cap of WisdomTree Asia Local Debt
Fund (ALD) as investors have fled most international debt, especially debt in local currencies.
request report
Source: Morgan Stanley
PDQ Enterprises Introduces Auction Model for Equity Trading
PDQ ATS to Offer the Market’s First True High-Speed, Auction Model for Equity Trading
November 9, 2011--PDQ Enterprises (www.PDQATS.com), the developer of PDQ ATS, today announced the formal introduction of the PDQ ATS auction model. The first of its kind in high-speed equity trading, the PDQ ATS auction model brings efficiency to the market by offering increased liquidity discovery and price improvement through an “electronic algorithmic crowd” competing for orders
In development for more than a year by the PDQ Enterprises team, the new auction market is expected to result in significant price improvement and additional liquidity. When an order is received by PDQ’s auction model at the secure PDQ facility, the order is paused for a full 20 milliseconds, and in that time algorithms respond with their most competitive quotes to build a mini book where the responses are prioritized on a price-time basis. At the end of the 20 milliseconds the trade is matched against the newly created book.
“We are very excited to be introducing the market’s first auction model for high-speed, electronic equity trading, as we believe it to be a true breakthrough in market efficiency,” said Keith Ross, CEO of PDQ Enterprises. “ Clients also appreciate the complete anonymity and confidentiality that the secure PDQ process provides.”
read more
Source: PDQ Enterprises
BNY Mellon ADR Index Monthly Performance Review is Now Available- October 2011
November 9, 2011--The BNY Mellon ADR Index Monthly Performance Review October 2011 is now available
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Source: BNY Mellon
NASDAQ OMX and PC-Bond to Introduce a Family of U.S. Treasury Indexes
November 8, 2011--The NASDAQ OMX Group, Inc. (Nasdaq:NDAQ) and PC-Bond, a TMX Group subsidiary and long-time provider of benchmarks for Canadian fixed income investments, have entered into a partnership to provide a family of U.S. Treasury indexes — The RBC Insight Total Return U.S. Treasury (TRUST) Indexes.
The index series is designed to be a transparent and broad measure of the U.S. Treasury Note and Bond market while providing a unique viewpoint into the active U.S. debt issuance market via its daily rebalance methodology.
"By utilizing an objective and rules-based methodology, The RBC Insight Total Return U.S. Treasury (TRUST) Indexes exemplify our commitment to index transparency," said John Jacobs, Executive Vice President, NASDAQ OMX Global Indexes. "Through our partnership with PC-Bond, investors in the U.S. debt issuance market will have access to more information more frequently and therefore be able to make better informed investment decisions."
The RBC Insight Total Return U.S. Treasury (TRUST) Indexes are rebalanced daily and not at month-end like other U.S. and European bond indexes. Treasury indexes that rebalance daily offer the advantages of reduced tracking errors when rebalancing portfolios and provide a more accurate reflection of current market conditions. In addition, The RBC Insight Total Return U.S. Treasury (TRUST) Indexes have history dating back to December 31, 1998.
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Source: NASDAQ OMX
Standard & Poor''s Announces Changes In The S&P/TSX Venture Composite And Select Indices
November 8, 2011--Standard & Poor's will make the following changes in the S&P/TSX Venture Composite and Select Indices:
Shareholders of Donnybrook Energy. (TSXVN:DEI) approved on November 4, 2011, the Plan of Arrangement whereby the company will spin out certain non-core oil & gas assets to shareholders. ".
For every share of Donnybrook Energy held, shareholders will receive 0.025 shares of a new company named Donnycreek Energy Inc. Donnycreek Energy will trade on TSX Venture for the first time (the ex-date of the spin-off) on November 9, 2011, under the ticker symbol "DCK".The spun out shares of Donnycreek Energy will be added at zero price to the S&P/TSX Venture Composite and Venture Select Indices after the close of trading on Tuesday, November 8, 2011. Effective after the close of Wednesday, November 9, 2011, the shares of Donnycreek Energy will be removed from the same two indices.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
Circuit Breakers Mostly Worked, Report Finds
November 8, 2011--Single-stock circuit breakers generally have not been disruptive even when the program was expanded in August – a particularly volatile month – to all NMS securities, according to new research from Ana Avramovic in Credit Suisse’s portfolio strategy group.
Examining the data for the last 16 months, from June 2010, when the Securities and Exchange Commission launched the circuit breaker pilot, through September 2011, Avramovic found 111 individual halts (excluding rights, warrants and penny stocks). Breaking down the trading halts by reason, she found 56 (51 percent) were from fundamental news triggers, 36 (32 percent) were from cheap/illiquid stocks, 12 (11 percent) were from fat fingers and seven (6 percent) were from bad prints.
view report-Pardon the Interruption – The Impact of Trading Halts
Source: TABB Forum
ISE Completes Latest Optimise Upgrade
November 7, 2011--The International Securities Exchange (ISE) this week completed the most recent upgrade to its new trading system based on Deutsche Börse Group's OptimiseTM trading architecture. Technology Release 1.6 is the second major enhancement to the system since the completion of its initial rollout in July 2011.
The compressed release cycle of Optimise allows for greater flexibility to introduce performance enhancements and new functionality while minimizing any additional work for ISE's member firms due to its backward compatibility.
"With a release cycle of approximately every two months, we are constantly working to improve the performance, stability, and functionality offered by Optimise," said Daniel Friel, ISE's Chief Information Officer. "This latest release fine-tunes the already exceptional latency profile of the new system and positions us well for Release 2.0 in mid-December."
Compared to ISE's previous trading system, Optimise has demonstrated latency reduction of approximately 90 percent. Release 1.6 provided incremental improvements to the system's latency profile, with particular emphasis to improve both the median latency and latency tail. With this very solid baseline performance in place, ISE's technology team is now focused on building new functionality for introduction in Release 2.0 later this year.
Source: International Securities Exchange (ISE)
