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SEC Scrutinizes Algorithmic Traders
October 4, 2011--Algorithmic traders and quant funds are under close scrutiny from a U.S. Securities and Exchange Commission enforcement team responsible for policing hedge funds, the unit’s co-chief said at securities law forum.
The SEC is “very much focused” on possible misconduct by traders who primarily use computer models to execute investment strategies, and more cases in those areas are likely, Bruce Karpati said today during a Practising Law Institute panel discussion in New York. Investigators are zeroing in on firms with “aberrational performance,” he said, without giving details on practices that are under scrutiny.
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Source: Bloomberg
Morgan Stanley-Preliminary 3Q 2011 ETF Net Cash Flows Estimates
October 4, 2011--ETF Preliminary 3Q 2011 ETF Net Cash Flows Estimates
We estimate that net cash inflows into US-listed ETFs were $20.1 billion during the third quarter of 2011. This report contains our estimates and analysis of 3Q 2011 ETF flows for the US market.
Once official data are released, we will publish our more comprehensive flow analysis.
Net inflows into US-listed ETFs were $20.1 billion during the third quarter of 2011. The $20.1 billion in
net cash inflows is below the average quarterly rate of $31.2 billion over the past five years. Despite net cash
inflows of $74.6 billion so far this year, US-listed ETF assets have declined 4% YTD to $958.8 billion due to
market depreciation.
The largest net cash inflows went into ETFs tracking fixed income indices. This asset class had net cash inflows of $11.9 billion in 3Q 2011. US Large Cap Equity ETFs had the next highest net cash inflows at $5.0 billion and Leveraged/Inverse ETFs also had strong net cash inflows of $4.8 billion this past quarter. US Sector & Industry ETFs had the largest net cash outflows at $4.8 billion in 3Q 2011.
Vanguard exhibited net cash inflows of $7.1 billion in 3Q 2011, the largest of any provider. BlackRock posted the next highest net cash inflows at $3.6 billion. As of 9/30/11, BlackRock, State Street Global Advisors and Vanguard accounted for 77% of ETF assets.
There were 35 new ETFs launched in the US during 3Q 2011. So far this year, there have been 188 ETFs launched and eight ETFs have liquidated. As of 9/30/11, there were 35 issuers with 1,147 ETFs. Almost $6 billion in the total market cap of ETFs is from ETFs issued over the past year. The most successful of these (by total market cap) provide exposure to the Asian debt markets and US dividendpaying stocks.
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Source: Morgan Stanley
Global X files with the SEC Rydex Announces the Launch of Its CurrencyShares Chinese Renminbi Trust "The renminbi has become an important currency in the world, and the China growth story is expected to continue long-term," said Jim King, an ETF portfolio manager at Rydex|SGI. "The Chinese Renminbi Trust offers investors a way to participate in China's burgeoning economy, as well as diversify their portfolio with currency exposure," he said. read more J.P. Morgan to Sponsor Four Additional Vanguard ETFs on the Mexican Stock Exchange The new Vanguard ETFs are listed on the BMV in pesos and trades can be initiated through a local broker: Vanguard S&P 500 ETF (VOO), Vanguard Global ex-U.S. Real Estate ETF (VNQI), Vanguard Short-Term Government Bond ETF (VGSH) and Vanguard Short-Term Corporate Bond ETF (VCSH). J.P. Morgan’s Depositary Receipts (DR) Group services the ETFs and handles all corporate actions. J.P. Morgan disseminates relevant shareholder and corporate actions information in the Mexican market via BMV. Additionally, a dedicated J.P. Morgan representative is available in Mexico City to provide local expertise and guidance to investors. read more NSX Releases September 2011 ETF/ETN Data Reports This and more data is included in the full NSX September 2011 Month-End ETF/ETN Data Report released by the Exchange, which has become a key industry source for ETF/ETN data. These Data Reports are published following the end of each calendar month. To view the full reports go to: http://www.nsx.com/content/market-data. ProShares Launches First Geared VIX Futures ETFs "Many investors are focused on volatility of the equity markets and are interested in tools that could help manage or incorporate volatility in sophisticated portfolios," said Michael L. Sapir, Chairman and CEO of ProShare Capital Management, the sponsor of the funds. "Now, with our introduction of these new ProShares, investors for the first time can get leveraged or inverse exposure to VIX futures with an exchange traded fund." read more Crude oil falls below $100 a barrel read more “Moneyball”-Speech by Commissioner Bart Chilton before the Golden Networking High-Frequency Trading Leaders Forum 2011, It is also nice to have this conference in Chicago. It is my favorite city. I grew up just across the lake in Indiana and when the skies were clear you could see the city. My family would come here and go to the Bulls, Bears or White Sox games. We were Sox fans, not Cub fans. But regardless of your team, baseball in Chicago is a wonderful thing, although neither team had a great season this year. read more Dollar Beating All Assets in September Undermines S&P U.S. Debt Downgrade read more
October 4, 2011--Global X has filed a post-effective amendment, registration statement with the SEC for the Global X Social Media Index ETF
NASDAQ: SOCL
Source: SEC.gov
FXCH is First ETF to Provide Pure Exposure to the Chinese Currency; Offers Access to China's Growth Story
October 4, 2011--Rydex|SGI, a leading investment manager, announced today that shares of the CurrencyShares Chinese Renminbi Trust have begun trading. The launch of the CurrencyShares Chinese Renminbi Trust expands Rydex's CurrencyShares lineup to 10 ETPs.
The Chinese Renminbi Trust seeks to provide institutional and retail investors a cost-effective way to hold the renminbi, the official currency of the People's Republic of China. The primary unit of the renminbi is the yuan. The currency shares structure, similar to all of the Rydex CurrencyShares, provides pure exposure to the renminbi by holding actual foreign currency deposits, not derivatives. In addition to pure exposure, CurrencyShares' investing advantages include transparency, accessibility and choice.
Source: Rydex|SGI
October 4, 2011--J.P. Morgan announced today that it has been appointed by Vanguard, one of the world’s largest investment management companies, to offer four of its U.S.-registered Exchange Traded Funds (ETFs) on the international segment of the Mexican Stock Exchange, Bolsa Mexicana de Valores (BMV).
The four new ETFs are in addition to the 39 Vanguard ETFs previously sponsored by J.P. Morgan.
Source: JPMorgan Chase & Co.
October 4, 2011---- National Stock Exchange, Inc. (NSX) announced that assets in U.S. listed Exchange-Traded Funds (ETF) and Exchange-Traded Notes (ETN) totaled approximately $973 billion at September 2011 month-end, an increase of almost 8% in comparison to September 2010 when month-end assets totaled approximately $901 billion. At the end of September 2011, the number of listed products totaled 1335.
ETFs/ETNs posted net cash inflows of approximately $4.6 billion for the month of September 2011, with year-to-date net cash inflows reaching almost $78.7 billion. ETF/ETN notional trading volume during September 2011 totaled approximately $2.09 trillion, representing almost 36% of all U.S. equity trading volume.
Source: National Stock Exchange (NSX)
Expands Lineup of the Nation’s Only VIX Futures ETFs to Four
October 4, 2011--ProShares, a premier provider of alternative exchange traded funds (ETFs), including the only VIX futures ETFs in the United States, today announced the expansion of its lineup with the launch of the first ETFs in the United States designed to provide magnified or inverse exposure to VIX futures.
The ProShares Ultra VIX Short-Term Futures ETF (NYSE: UVXY) seeks to provide 2x the daily performance of the S&P 500 VIX Short-Term Futures Index, before fees and expenses. The ProShares Short VIX Short-Term Futures ETF (NYSE: SVXY) seeks to provide -1x the daily performance of the S&P 500 VIX Short-Term Futures Index, before fees and expenses. The ETFs list on NYSE Arca today.
Source: ProShares
October 4, 2011--Oil prices closed below $100 a barrel on Thursday during a session in which most commodity prices fell sharply, signaling that a recent run-up in commodities prices may finally be coming to an end.
After four months of surging higher, oil prices plummeted by almost 9 percent as traders worried that American drivers were beginning to balk at paying nearly $4 a gallon of gasoline.
Source: NY TImes
October 4, 2011--Introduction
It’s good to be with you today. I especially thank Edgar Perez for the invitation to be here. I also appreciate focusing on something Edgar has written about in his book The Speed Traders. If you haven't read his book, I recommend it highly.
This new breed of trader, speed traders, high frequency traders or HFTs, or what I call “cheetah” traders—because they are so fast, fast, fast—are an authentic market phenomenon. You can't look at what they do and not be impressed.
Source: CFTC.gov
October 3, 2011--After all the concern that the U.S. is debasing its currency, the dollar beat stocks, bonds and commodities for the first time since May as investors sought refuge from slowing growth and Europe’s sovereign-debt crisis.
The U.S. currency rose 6 percent in September, according to IntercontinentalExchange Inc.’s Dollar Index, beating returns of 1.6 percent by Bank of America Merrill Lynch’s U.S. Treasury Master Index. The MSCI All-Country World Index of stocks in 45 countries lost 8.9 percent, the largest monthly drop since May 2010. Raw materials measured by the Standard & Poor’s GSCI Total Return Index of 24 commodities slid 12 percent.
Source: Bloomberg
