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Morgan Stabley-ETF Semi-Annual Report
December 3, 2014--What’s New
With 1,449 ETFs listed in the US as of 11/25/14, it is not practical to provide research on every ETF. We currently publish one-page profiles only on a coverage universe of
larger and more liquid ETFs with attractive investment
attributes across each market segment.
Basic data on all available US-listed ETFs are still included on pages 4-31,
where we highlight in bold our favored ETFs in each market segment of our coverage universe. Selection criteria
for favored ETFs include Morgan Stanley & Co.'s market outlook, index composition, ETF expenses, and liquidity.
Semi-Annual Report: $2.0 Trillion in 1,449 ETFs
Our semi-annual report on US-listed ETFs includes a summary of investment applications, excerpts from our strategy reports, our outlook for related markets, index data, and individual profiles for the 346 ETFs in our coverage universe, which represents 87% of US-listed ETF assets.
ETFs posted net inflows of $46.7 billion in 3Q14, above the $40.3 billion average quarterly rate of net inflows since the beginning of 2011. US Large-Cap ETFs had the largest net inflows during the third quarter, at $18.8 billion, with the SPDR S&P 500 ETF (SPY) accounting for 55% of the category's net inflows. Conversely, US Sector & Industry ETFs exhibited net outflows of $1.3 billion, the most of any category we measured. Furthermore, there were 50 ETFs launched in 3Q14 and there are currently 1,449 ETFs with $2.0 trillion in assets.
ETFs provide access to favored market segments. Morgan Stanley Wealth Management's Global Investment Committee (GIC) favors equities over fixed income. Within equities, the GIC recommends international developed markets based on current valuations and earnings growth potential while advocating selectivity in fixed income. We list favored areas in the report and ways to implement these ideas via ETFs.
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Source: Morgan Stanley
CBOE Holdings Reports All-Time Record Trading Volume in October
December 3, 2014--Volume Averages a Record 7 Million Contracts Per Day-Up 29% from October 2013 and 37% from September 2014
-CBOE, CFE, C2 Establish New Monthly Volume Records
-Index Options, SPX, VIX Options and VIX Futures Set New Records
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that trading volume for options contracts on Chicago Board Options Exchange(R)(CBOE(R)) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures ExchangeSM (CFE®) set an all-time monthly record of 163.08 million contracts in October.
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Source: CBOE
UBS ETRACS Launches New ETN Linked to the S&P 500 VEQTOR Switch Index
ETRACS S&P 500 VEQTOR Switch ETN
December 3, 2014--UBS Investment Bank announced that today is the first day of trading on the NYSE Arca(R) for the ETRACS S&P 500 VEQTOR Switch ETN (NYSE Arca(R): VQTS). VQTS is linked to the performance of the S&P 500 VEQTOR Switch Index (the "Index").
VQTS Offers Investors:
Strategy linked to volatility targeted S&P 500 Index and long/short VIX futures strategy
VIX futures component aims to capture VIX roll yields and volatility drops (when allocated to short positions in VIX futures) and capture VIX upside during volatility spikes (when allocated to long positions in VIX futures)
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Source: UBS
U.S. Securities and Exchange Commission Issues Order Granting Exemptive Relief to Permit the Offering of Exchange-Traded Managed Funds
December 2, 2014--Eaton Vance Management (Eaton Vance), a subsidiary of Eaton Vance Corp. (EV), announced that the U.S. Securities and Exchange Commission (SEC) has today issued an order (Order) granting Eaton Vance and related parties an exemption from certain provisions of the Investment Company Act of 1940, as amended, to permit the offering of exchange-traded managed funds.
This action follows the notice of intent to grant exemptive relief issued by the SEC on November 6, 2014 and approval by the SEC on November 7, 2014 of a new NASDAQ Stock Market LLC rule governing the listing and trading of exchange-traded managed funds.
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Source: Eaton Vance Corp.
AltaVista-Sector SPDR Analyzer December 2014
December 2, 2014--The Sector SPDR Analyzer + Equal Sector Weight ETF (EQL), December 2014 report is now available.
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Source: AltaVista Research
An ETF Pioneer Looks to the Industry's Future
December 2, 2014--Before the advent of the ETF, there was no easy way to invest in the Nasdaq composite index.
Even when ETFs first were released into the market in 1993, they were primarily for the institutional investor and known only as index shares.
After looking at the Nasdaq composite, John Jacobs, executive vice president of global information services at Nasdaq, and his team determined the Nasdaq-100 would be a more effective index for the first Nasdaq ETF, prompting the 1999 launch of the QQQ and creating a path for retail investors.
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Source: www.mmexecutive.com
Office of Financial Research 2014 Annual Report to Congress
December 1, 2014--This third annual report of the Office of Financial Research (OFR)
assesses threats to U.S. financial stability, outlines OFR research that
supports the assessment, and describes the OFR's progress in meeting
our mission.
The report also evaluates policy initiatives for promoting
financial stability and describes our work to improve the quality and
scope of financial data and analysis.
The OFR, financial regulators, and other policy institutions have made significant progress since our last annual report in assessing the buildup of vulnerabilities in the financial system, improving the quality and scope of financial data, and developing and implementing new policy tools that-although largely untested- are designed to make the financial system stronger and more transparent.
view the Office of Financial Research 2014 Annual Report to Congress
Source: OFR (Office of Financial Research)
CFTC.gov Commitments of Traders Reports Update
December 1, 2014--The current reports for the week of November 25, 2014 are now available.
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Source: CFTC.gov
Deutsche Asset & Wealth Management Increases Creation Limit for ASHR
December 1, 2014--Deutsche Asset & Wealth Management today announced that, effective immediately, the creation limit for Deutsche X-trackers Harvest CSI 300 China A-Shares ETF (nyse arca:ASHR) (the "Fund") will increase from the previous limit of one creation unit per day to five creation units per day.
The Fund will continue to utilize this new creation units limit for ASHR in order to manage the RQFII quota for purchasing China A shares securities. As a result:
ASHR will now accept five creations units each day, where each creation unit is comprised of 50,000 shares. This is an increase from the previous limit of one creation unit per day, announced on November 13, 2014.
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Source: MarketWatch
Morgan Stanley-US ETF Weekly Update
December 1, 2014--US ETF Weekly Update
Weekly Flows: $6.6 Billion Net Inflows
Eighth Consecutive Week of Net Inflows
High-conviction ETF Recommendations Slide
ETFs Have Generated Net Inflows 37 of 48 Weeks YTD
ETF Assets Stand at $2.0 Trillion, Up 17% YTD
One ETF Launch Last Week
Russell Announces ETF Closure
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $6.6 bln last week; eighth consecutive week of net inflows
Over the last eight weeks, ETFs have generated net inflows of $67.6 bln
Last week's net inflows were led by US Sector & Industry ETFs at $1.9 bln; conversely, Leveraged/Inverse ETFs posted net outflows of $208 mln, the most of any category we measured
Ten of the 15 categories we measured posted net inflows last week; ETFs have generated net inflows 37 of the 48 weeks YTD totaling $179.7 bln; notably, the fourth quarter is typically the strongest quarter for ETF flows
ETF assets stand at $2.0 tln, up 17% YTD
13-week flows remain positive among most asset classes; combined $83.3 bln in net inflows
US Large-Cap ETFs generated net inflows of $39.7 bln over the last 13 weeks, of which the SPDR S&P 500 ETF (SPY) accounted for 54% of the category's net inflows
Notably, Fixed Income ETFs have also exhibited meaningful net inflows over the last 13 weeks, at $19.6 bln; Fixed Income ETF net inflows were broad based (government bond ETFs all the way to junk bond ETFs)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares 7-10 Year Treasury Bond ETF (IEF) posted net inflows of $654 mln last week, the most of any ETF
IEF's net inflows were the first in six weeks; notably, the yield on the 10-year US Treasury was down 15 basis points last week
The WisdomTree Europe Hedged Equity Fund (HEDJ) had another strong week and has now posted net inflows for 37 consecutive weeks totaling $3.5 bln
Net outflows were modest last week with no ETF posting net outflows greater than $300 mln
Over the last 13 weeks, the iShares MSCI Emerging Markets ETF (EEM) has exhibited net outflows of $4.5 bln, the most of any ETF
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume declined in November to 23% and is the lowest reading since June 2014; over the last 5 years, ETF monthly $ volume as a % of listed trading volume averaged 28%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume decreased by $106 bln last week amid a short trading week
US Large-Cap ETFs accounted for only 36% of ETF $ volume last week compared to their 13-week average of 42%
US-Listed ETFs: Short Interest Data Updated: Based on data as of 11/14/14
Utilities Select Sector SPDR (XLU) had the largest increase in USD short interest at $348 mln
Despite XLU's increase in shares short from the last period, its shares short at 75 mln are essentially in-line with the 72 mln 52-week average
Notably, the iShares Russell 2000 ETF (IWM) had a $3.2 bln decline in short interest compared to the prior period; IWM's shares short are at their lowest level since 2/14/14
674 ETFs exhibited short interest increases while 641 experienced short interest declines over the last period
Aggregate ETF USD short interest declined by $11.6 bln over the period ended 11/14/14
The average shares short/shares outstanding for ETFs is currently 3.9%, down from 4.1% last period
For the second consecutive period, the Market Vectors Semiconductor ETF (SMH) was the most heavily shorted ETF as a % of shares outstanding, at 275%
Eight of the 10 most heavily shorted ETFs as a % of shares outstanding are sector based (SMH, XOP, XRT, IYR, DRV, XBI, XME, RKH)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only eight ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$8.6 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 42% of recently launched ETF market share and 34% of net inflows over the last 13 weeks, the most of any category
Over the last year, 34% of all ETF launches can be attributed to international equity ETFs
178 new ETF listings and 60 closures YTD (additional three announced)
The top 10 most successful launches make up 52% of the market cap of ETFs launched over the past year
Five ETF sponsors and three asset classes (equity, fixed income, and currency) were represented in top 10 most successful launches
The First Trust Dorsey Wright Focus 5 ETF (FV) generated net inflows of $41 mln last week, the most of any ETF; conversely, the First Trust Enhanced Short Maturity ETF (FTSM) exhibited net outflows of $69 mln last week, also the most of any ETF
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Source: Morgan Stanley
