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QuantShares, New Market-Neutral ETFs, Isolate Factors like Beta and Momentum
Among First ETFs to Hold Short Positions, They Offer Hedging and Diversification for
Institutions and Individuals
September 7, 2011—QuantShares, a family of seven market-neutral exchangetraded funds based on specific factors—momentum, quality, size, value and beta—is being introduced by FFCM LLC.
The Momentum, Anti-Momentum, Quality and Size ETFs were launched today. FFCM expects the Value, Beta and Anti-Beta Funds will be available within a week.
QuantShares are among the first ETFs to hold short equity positions, according to FFCM. They are market-neutral and dollar-neutral, holding long and short positions in equal dollar amounts.
The ETFs offer investors strategies that are uncorrelated to the performance of the overall equity market. They are the first products from FFCM, an investment advisor formed in 2010 that specializes in quantitative market-neutral strategies.
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Source: QuantShares
BMO ETFs Pass $3 Billion in Assets Under Management in Less Than Two and a Half Years
First introduced in June 2009, BMO ETFs currently stand at $3 billion in AUM - BMO's ETF business has doubled in 2011 alone - 40 ETFs now in line-up, including several industry firsts in fixed income, target maturity, ETF portfolios and covered call
September 7, 2011-- BMO Financial Group today announced that its Exchange Traded Funds (ETF)(i) business has passed $3 billion in assets under management (AUM) less than two and a half years after the business was initially launched. BMO Financial Group's ETF business has doubled in 2011 alone.
"We are very proud of the success BMO ETFs have had in this short period of time," said Kevin Gopaul, Vice President and CIO, BMO Asset Management Inc. (BMO AM). "Since we started in June 2009 as the only bank affiliate in Canada to offer its own line-up of ETFs, we've achieved a number of market firsts and have developed a diverse and extensive product portfolio."
Key BMO ETF Business Milestones
June 2009 - BMO Financial Group launches its ETF business through BMO AM. The initial launch is comprised of four funds and includes the BMO Dow Jones Canada Titans 60 Index ETF and the BMO US Equity Index ETF.
October 2009 - BMO AM adds nine funds to its ETF business. New entrants include the BMO Short Federal Bond Index ETF, the BMO High Yield US Corporate Bond Hedged to CAD ETF and the BMO Emerging Markets Equity Index ETF.
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Source: BMO Financial Group
Dow Jones Indexes To License Seven Market-Neutral Indexes For Seven New ETFs
Dow Jones U.S. Thematic Market Neutral Indexes Family To Reflect Performance of Long/Short Strategies
September 7, 2011--Dow Jones Indexes, a leading global index provider, today announced that FFCM LLC’s QuantShares family of seven exchange-traded funds (ETFs) has licensed all seven indexes from the Dow Jones U.S. Thematic Market Neutral Indexes series.
The new family of quantitative-strategy indexes — all launched today — reflect the performance of long/short strategies and are designed to be both market and sector neutral. Below, is a list of the indexes licensed to underlie QuantShares ETFs:
The Dow Jones U.S. Thematic Market Neutral Beta Index reflects the performance of an investment strategy that is long high beta companies and short low beta companies;
The Dow Jones U.S. Thematic Market Neutral Anti-Beta Index reflects the performance of an investment strategy that is short on high beta companies and long on low beta companies;
The Dow Jones U.S. Thematic Market Neutral Momentum Index reflects the performance of an investment strategy that is long on high momentum companies and short on low momentum companies;
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Source: Dow Jones Indexes
MSCI Launches New Overseas China Indices
New indices cover US and Singapore listed Chinese securities
September 7, 2011 – MSCI Inc., a leading provider of investment decision support tools worldwide, including indices, portfolio risk and performance analytics and corporate governance services, announced today the launch of the MSCI Overseas China Indices.
The new indices cover over 60 Chinese securities listed in the US and Singapore with a market capitalization of USD 68 billion, none of which are currently included in the existing MSCI China Indices.
“The launch of the MSCI Overseas China Indices provides investors with a more complete view of the China equity market by capturing Chinese securities listed outside Greater China,” said Deborah Yang, Managing Director and Head of Asia Pacific ex Japan for MSCI. “The creation of the MSCI Overseas China Indices has been driven by strong interest from institutional investors, particularly QDII managers in China, as they search for the most appropriate index for benchmarking or for the creation of index-linked investment products.”
The MSCI Overseas China Indices are designed to capture the investable universe of Chinese securities outside Greater China, covering Chinese securities listed on the NYSE Euronext - New York, NASDAQ, New York AMEX and the Singapore Exchange.
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Source: MSCI
SEC ponders whether ETFs added to market volatility
September 7, 2011--U.S. securities regulators are looking into whether turbocharged exchange-traded funds amplified August's topsy-turvy swings in the stock market.
Securities and Exchange Commission officials have had discussions with firms that trade ETFs, asking questions about whether they added to the market's volatility, according to people familiar with the talks.
ETFs, which typically track market indexes, trade on exchanges like stocks. Exchange-traded funds have surged in popularity and now generate 35% to 40% of exchange trading volume, according to Morningstar Inc. Such funds sometimes are used by high-frequency traders, who buy and sell stocks and other assets at a rapid clip, making
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Source: Wall Street Journal
CFTC Grants CME Clearing Europe Limited Registration as a Derivatives Clearing Organization
September 6, 2011-- The Commodity Futures Trading Commission today issued an Order granting CME Clearing Europe Limited registration as a derivatives clearing organization (DCO) pursuant to Section 5b of the Commodity Exchange Act (CEA).
CME Clearing Europe is a private limited company organized under the laws of England and Wales. Under the terms of the Order, CME Clearing Europe Limited is authorized to clear swaps (as defined in the CEA) on energy, agricultural (to the extent permitted by the CEA and Commission regulations), freight and metals products executed either bilaterally or on or through a swap execution facility. CME Clearing Europe Limited may also clear forward contracts on energy, agricultural, freight and metals products.
Source: CFTC.gov
BlackRock’s Mark Wiedman to Head IShares as Mike Latham Becomes Chairman
September 6, 2011--BlackRock Inc. (BLK) named Mark Wiedman global head of iShares, the biggest provider of exchange-traded funds, replacing Mike Latham, who will become chairman of the unit.
Wiedman, a managing director in charge of corporate strategy at New York-based BlackRock, will report to Robert Fairbairn, head of the firm’s global client group, the executives wrote today in separate memos to employees, copies of which were obtained by Bloomberg News. Latham, in his new role, will provide full-time “strategic counseling” and focus on advancing a three-year strategic review of iShares.
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Source: Bloomberg
Morgan Stanley -ETF Weekly Update
September 6, 2011--US ETF Weekly Update
Weekly Flows: $433 Million Net Inflows
ETF Assets Stand at $1.0 Trillion, up 2.5% YTD
No ETF Launches
BlackRock Makes Noteworthy SEC Filings
US-Listed ETFs: Estimated Flows by Market Segment
For the third week in a row, ETFs posted net inflows ($9.7 bln over the past 3 weeks)
ETFs posted net inflows of $433 mln last week, primarily driven by Fixed Income & US Large-Cap Equity ETFs
ETF assets stand at $1.0 tln, up 2.5% YTD; Both Fixed Income & Commodity market share have increased 2%
YTD largely at the expense of Emerging Market Equity
13-week flows were mixed among asset classes; combined $18.9 bln net inflows
Fixed Income ETFs up $8.6 bln; US Sector & Industry ETFs down $4.8 bln
We estimate ETFs have generated net inflows 21 out of 35 weeks in 2011
US-Listed ETFs: Estimated Largest Flows by Individual ETF
For the second consecutive week SPDR S&P 500 ETF (SPY) posted the largest net inflows
SPY generated net inflows of $1.1 bln last week and has exhibited net inflows of $946 mln YTD
Conversely, iShares Russell 2000 Index Fund (IWM) had net outflows last week of $2.2 bln amid volatile
equity markets; IWM has exhibited net outflows of $4.3 bln YTD
US-Listed ETFs: Change in Short Interest
Data Unchanged: Based on data as of 8/15/11
SPY exhibited the largest increase in USD short interest since last updated
$23.5 billion in additional short interest
Highest level of shares short for SPY of all time
XLU exhibited the largest decline in USD short interest since last updated
$237 million in reduced short interest
XLU’s decline in shares short comes amid its relative market outperformance vs. the S&P 500 over 7/29-
8/15 time period
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Source: Morgan Stanley
NSX Releases August 2011 ETF Data Reports
September 6, 2011--Highlights from the August 2011 reports include:
Assets in U.S. listed Exchange-Traded Funds (ETF) and Exchange-Traded Notes (ETN) totaled approximately $1.064 trillion at August 2011 month-end, an increase of approximately 31% in comparison to August 2010 month-end when assets totaled over $815 billion.
ETFs/ETNs posted net cash inflows of approximately $2.03 billion for the month of August.
Year-to-date 2011 net cash inflows reached $73.2 billion, an increase of approximately 54% over the same time period in 2010 when net cash inflows reached $47.6 billion.
ETF/ETN notional trading volume during August 2011 totaled approximately $2.99 trillion, representing almost 37% of all U.S. equity trading volume.
At the end of August 2011, the number of listed products totaled 1301 compared to 1046 listed products at the same time last year.
visit http://www.nsx.com/content/etf-assets-list to view report
Source: National Stock Exchange, Inc. (NSX)
ELX Announces August Results With Multiple Records Set In The 30-Year U.S. Treasury Bond Futures And Eurodollar Futures
September 6, 2011--ELX Futures, L.P. (ELX), a leading electronic futures exchange, announced today that it established multiple new records in its 30-Year U.S. Treasury bond futures contracts as well as its Eurodollar futures contracts for the month of August.
The 30-Year bond set volume records, trading more than 545K contracts in August with average daily volume (ADV) establishing a record of nearly 24K contracts. It also set a new single day volume record of nearly 53K contracts traded on August 5, 2011 and a new daily market share record, rising above 8% on August 16, 2011.
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Source: ELX
