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Exchange-Traded Funds: US ETF Weekly Update-Morgan Stanley
August 2, 2010--Highlights
Weekly Flows: $6.4 Billion Net Inflows
ETFsTraded $318 Billion Last Week
Launches: 1 New ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs had net cash inflows of $6.4 blnlast; 4thweek in a row of net inflows
Weekly flows driven by largest 10 ETFs, which took in $5.6 blnin new money.
EM Equity ETFshave stronger flows vs. International Developed markets on a 1-, 4-, and 13-week basis
Fixed Income ETFsexhibit strongest net inflows over past 13 weeks with $12.1 billion
$28.6 bln net inflows into ETFs over 13 wks; Fixed Income getting 42% of new money vs. 16% mktshare
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPY has the largest net inflows for US ETFs at $1.5 billion last week
Weekly SPY flows have been very choppy. We estimate YTD outflows of $11.6 billion
Despite the largest net outflows last week, GLD has strongest net inflows of any ETF over past 13 weeks
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Source: Morgan Stanley
The Options Industry Council Announces July Options Trading Volume Decreased 9 Percent
August 2, 2010-The Options Industry Council (OIC) announced today that total options trading volume in July was 277,370,315 contracts, down 9.29 percent compared to July 2009 volume of 305,772,164 contracts.
Year-to-date volume stood at 2,278,247,433 contracts, up 7.41 percent over the same point last year when 2,121,088,367 contracts were traded. Average daily trading volume for 2010 is 15,712,051 contracts, up 8.15 percent compared to last year’s 14,528,002 contracts.
Additionally, average daily trading volume for July was 13,208,110 contracts, 4.97 percent lower than last year when 13,898,735 contracts were traded on average each day in July.
OIC also reported that equity options volume in July came in at 257,060,882 contracts, a decrease of 10.04 percent compared to the 285,749,752 contracts traded during the same period last year. Daily equity options volume had an average of 12,240,994 contracts per day in July, which is 5.76 percent less than the same period last year when 12,988,625 contracts were traded on average each day. Year-to-date equity options stood at 2,100,073,623 contracts, representing an increase of 5.92 percent compared to the same point last year when 1,982,777,934 contracts were traded.
Source: Options Industry Council (OIC)
CBOE Reports July 2010 Trading Volume
Leads U.S. options exchanges in market share
Year-to-date average daily volume up 5%
August 2, 2010-- The Chicago Board Options Exchange (CBOE) today reported that daily volume in July averaged 3.9 million contracts, a six-percent decline from June 2010 average daily volume (ADV) of 4.1 million contracts and down 11 percent from July 2009 ADV of 4.3 million contracts.
With one less trading day in the month, July 2010 trading volume at CBOE totaled just under 81.0 million contracts, versus 90.7 million contracts in June 2010 and 95.1 million contracts in July 2009.
Year-to-date ADV through July was up five percent compared with the same period in 2009.
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Source: CBOE
Funds’ Derivatives Disclosures Inadequate, SEC Says
August 2, 2010-- U.S. regulators said mutual funds aren’t telling investors enough about why they use derivatives, with some funds providing “generic” disclosures and others failing to explain how the products affect performance.
Regulators said they are concerned that the use of derivatives has increased in the mutual-fund industry without shareholders comprehending the risks or investment strategies. Some funds offer information that “may not be consistent with the intent” of required registration forms, the Securities and Exchange Commission wrote in a July 30 letter to the Investment Company Institute, the industry’s biggest trade group.
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Source: Bloomberg Business Week
BM&FBOVESPA: First Previews For The Indices Theoretical Portfolios Valid From September To December, 2010
August 2, 2010--BM&FBOVESPA announces the first preview for the Ibovespa theoretical portfolio, which will be valid for the period of September to December, 2010. BM&FBOVESPA also announces the first previews for the other indices.
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Source: BM&FBOVESPA
CBOE Stock Exchange (CBSX) Sets Record Monthly Volume In July
August 2, 2010 - The CBOE Stock Exchange, LLC (CBSX) today announced that CBSX trading volume in July reached an all-time monthly high with 598.0 million shares traded, an average daily volume (ADV) of 28.0 million shares. This surpasses the previous monthly volume record set in October 2008 when 490.0 million shares (23.0 million ADV) changed hands at CBSX.
CBSX launched in 2007 as a multi-asset trading model for traders looking to reduce transaction costs and latency related to the hedging of options and futures market-making. The Chicago Board Options Exchange (CBOE) and CBSX offer fully automated executions for combined option and stock trades through a single electronic platform.
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Source: CBOE Group
Presentation for CFTC Agricultural Advisory Committee Meeting on August 05, 2010
August 2, 2010--Committee to Discuss Livestock and Convergence in Wheat Markets
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Source: CFTC.gov
State Street Releases Vision Focus Report on Trends in Asset Allocation
Identifies New Approaches to Managing Portfolio Risks
July 30, 2010-- State Street Corporation, one of the world's leading providers of financial services to institutional investors, today released its latest Vision Focus report on new trends in asset allocation following the financial crisis. Entitled "Rethinking Asset Allocation," the report examines the changing views of traditional practices and identifies new techniques and investment strategies that focus on measures of market turbulence, risk, liquidity and diversification.
The market volatility over the course of 2007 - 2009 has challenged long-held tenets of asset allocation, including investors' reliance on portfolio construction and risk models centered on average market behavior and normal return distributions.
"The financial crisis exposed the need to understand the limitations of traditional practices such as Modern Portfolio Theory, and heightened the need for new approaches to strategic and tactical asset allocation," said Dan Farley, global head of the Multi-Asset Class Solutions group at State Street Global Advisors. "Thanks to lessons learned from this period, many investors have gained a more nuanced reminder of portfolio risks centering on market volatility, portfolio construction and trading liquidity."
The credit-driven nature of the financial crisis made liquidity management a critical new challenge. To better integrate liquidity considerations into asset allocation decisions, investors should enhance their allocation process with optimal rebalancing, the Vision Focus report recommends.
Non-normal investment returns and dramatic swings in valuation may occur more frequently in coming years, the report states. Consequently, investors should give new consideration to within-horizon risk, investment regimes and turbulence.
"Increasingly, investors are turning to regime-specific risk analysis to form a more complete picture of portfolio risk," said Will Kinlaw, managing director and head of Portfolio and Risk Management Research at State Street Global Markets. "The study of turbulence, a statistical measure designed to identify periods of unusual financial returns, helps us to understand how specific market segments react during turbulent and non-turbulent times."
As evidence of the rethinking now underway, the Vision Focus report cites "new, emerging quantitative approaches aimed specifically at the challenges of turbulent markets and the non-normal returns they engender. The study of turbulence and unusual price movements, for example, helps investors to understand market sentiment and construct robust risk models."
State Street's Vision Series addresses key trends and developments impacting the financial services industry. Previous reports have focused on pensions, exchange-traded funds and sovereign wealth funds. To download a copy of this Vision Focus report or others in State Street's Vision series of in-depth reports, please visit www.statestreet.com/vision.
Source: State Street Corporation
Dissemination Of Real-Time Data Feeds For Several S&P/TSX Indices Delayed
July 30, 2010--Due to technical difficulties, Standard & Poor's has been unable to provide real-time, intra-day index levels for several of the S&P/TSX Indices since 11:37am EDT today.
Once the technical issues are resolved, intra-day pricing levels will again be disseminated.
For more information on Standard & Poor's indices, please visit: www.standardandpoors.com/indices.
Source: Standard & Poors
CFTC.gov Commitments of Traders Reports Update
July 30, 2010--The CFTC.gov Commitments of Traders Reports for the week of July 27, 2010 has been updated and is now available.
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Source: CFTC.gov
