Americas ETP News
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2 New First Trust ETFs Hit $1 Billion In Assets
November 26, 2014--Those that follow the ETF industry are keenly aware of the funds that are attracting assets as a result of their unique value proposition, low cost, or enhanced distribution channels.
One company that continues to show significant growth through these methods is First Trust Portfolios L.P., which is known for their expanding suite of fundamental and tactical ETFs.
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Source: marketwatch.com
OFR Working paper-Effects of Limit Order Book Information Level on Market Stability Metrics
November 25, 2014--Abstract
Using an agent-based model of the limit order book, we explore how the levels of information available to participants, exchanges, and regulators can be used to improve our understanding of the stability and resiliency of a market.
Ultimately, we want to know if electronic market data contains previously undetected information that could allow us to better assess market stability.
Using data produced in the controlled environment of an agent-based model's limit order book, we examine various resiliency indicators to determine their predictive capabilities. Most of the types of data created have traditionally been available either publicly or on a restricted basis to regulators and exchanges, but other types have never been collected.
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Source: OFR (Office of Financial Research)
Direxion Investments Announces Reverse Share Splits of Two Leveraged ETFs
November 25, 2014--Direxion Investments, an ally for both strategic and tactical investors seeking to solve for better investment outcomes, has announced it will execute reverse share splits for two of its leveraged exchange-traded funds ("ETFs").
The total market value of the shares outstanding will not be affected as a result of these splits, except with respect to the redemption of fractional shares, as outlined below.
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Source: Direxion Investments
Russell Sets Orderly Schedule to Close the Russell Equity ETF (ONEF)
November 25, 2014--Russell Investments announced today that the Board of Trustees of Russell Exchange Traded Funds Trust authorized the orderly termination and liquidation of the Russell Equity ETF (ONEF) on or before February 6, 2015.
The Fund will be closed to new investment on January 26, 2015. NYSE Arca, Inc. will suspend trading in the Fund before the open of trading on January 27, 2015. Full liquidation of the Fund is intended to be completed by February 6, 2015.
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Source: Russell Investments
Economic growth reaches 11-year high
November 25, 2014--About a month ago, Americans received some unexpectedly good news on the economic front: preliminary estimates showed the gross domestic product exceeding expectations in the third quarter (July through September), with GDP at 3.5%. This morning, that number was revised-and now looks even better.
The economy expanded even faster in the third quarter than previously reported, offering fresh evidence that the U.S. entered the final months of 2014 on an accelerated track.
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Source: msnbc.com
DB-Synthetic Equity & Index Strategy-North America-Equity ETPs attract $7.9bn in fresh new cash
November 24, 2014--Data in this report is as of Friday, November 21
Market and Net Cash Flows Review
The US (S&P 500) edged higher by 1.16%; while, outside the US, the MSCI
EAFE (in USD) and the MSCI EM (USD) rose by 1.03% and 1.38%, respectively.
In the meantime, performance was positive across US sectors. The Materials (+2.74%) and the Energy (+2.62%) sectors recorded the largest increases. The DB Liquid Commodity Index rose by 0.54%; similarly, the WTI Crude Oil, Gold, and Silver prices rose by 0.91%, 1.08%, and 0.80%, respectively; meanwhile,
the Agriculture sector (DB Diversified Agriculture Index), fell by 0.54%.
Moving into other asset classes, the 10Y US Treasury Yield dropped by 1bps ending at
2.31%. Last but not least, Volatility (VIX) dropped by 3.08% during the same
period.
The total US ETP flows from all products registered $6.9bn (+0.4% of AUM) of inflows during last week vs. $12.0bn (+0.6%) of inflows the previous week, setting the YTD weekly flows average at +$3.9bn (+$182.6bn YTD in total cash flows). Equity, Fixed Income, and Commodity ETPs experienced flows of +$7.9bn (+0.5%), -$1.3bn (-0.4%), and +$0.2bn (+0.3%) last week vs. +$11.2bn (+0.7%), +$0.8bn (+0.2%), and +$30mn (+0.1%) in the previous week, respectively. Among US sectors, Energy (+$0.7bn, +2.3%) and Consumer Discretionary (+$0.3bn, +2.3%) received the top inflows; while, Consumer Staples (-$0.2bn, -1.2%) and Financials (-$0.1bn, -0.2%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: IJH (+$1.0bn), QQQ (+$0.7bn), IVV (+$0.7bn).
Top 3 ETPs & ETNs by outflows: SHY (-$2.0bn), MDY (-$0.5bn), SPY (-$0.4bn).
New Launch Calendar: China Fixed-Income
There was one new ETF listed during the previous week. The new fund offer
exposure to RMB-denominated bonds that are issued by governments,
agencies, and Central State-Owned Enterprises within mainland China,
providing exposure to the local currency, the Yuan.
Turnover Review: Floor activity increased by 14.5% Total weekly turnover increased by 14.5% to $303.4bn vs. $265.1bn from the previous week, furthermore, last week's turnover level was 6.0% over last year's weekly average. Equity and Fixed Income ETPs turnover increased by $34.7bn (+14.6%) and $4.4bn (+29.2%), respectively; while, Commodity ETPs turnover decreased by $0.4bn (-4.2%) during the same period.
Assets under Management (AUM) Review: Assets increased by $26.3bn
US ETP assets rose by $26.3bn (+1.4%) totaling $1.953 trillion at the end of the
week. As of last Friday, US ETPs had accumulated an asset growth of +16.4%
YTD. Assets for Equity, Fixed Income, and Commodity ETPs moved +$25.6bn,
-$1.3bn, and +$1.7bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
Exchange Traded Concepts Crosses $2 Billion in Assets
Second Distinguished Milestone Surpassed in 2014 for the ETF-In-A-BoxTM Private-Label ETF Advisor
November 24, 2014--Exchange Traded Concepts ("ETC"), the private-label ETF advisor recognized for bringing to market exchange traded funds on behalf of their clients
through a complete turnkey solution, is pleased to announce the surpassing of $2 billion in assets as of this week.
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Source: Exchange Traded Concepts
Emerging Global Advisors Streamlines Dividend Suite
Emerging markets asset manager announces index, investment strategy transition as well as fund name change for the EGShares Low Volatility Emerging Markets Dividend ETF (Ticker: HILO); firm will also close two funds
November 24, 2014--Emerging Global Advisors (EGA), the investment advisor to the EGShares suite of emerging markets (EM) exchange-traded funds (ETF),
today announced changes to its suite of income-oriented ETFs. Effective January 26, 2015, the EGShares Low Volatility Emerging Markets Dividend ETF (Ticker: HILO) will begin tracking the self-indexed EGAI Emerging Markets Quality Dividend Index and will be renamed the EGShares EM Quality Dividend ETF.
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Source: Emerging Global Advisors (EGA)
Morgan Stanley-US ETF Weekly Update
November 24, 2014--US ETF Weekly Update
Weekly Flows: $6.9 Billion Net Inflows
Seventh Consecutive Week of Net Inflows
High-conviction ETF Recommendations Slide
ETFs Have Generated Net Inflows 36 of 47 Weeks YTD
ETF Assets Stand at $2.0 Trillion, Up 16% YTD
One ETF Launch Last Week
EGShares Announces Changes to Dividend Suite
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $6.9 bln last week; seventh consecutive week of net inflows
Over the last seven weeks, ETFs have generated net inflows of $61.0 bln
Last week's net inflows were led by International - Developed ETFs at $2.2 bln; conversely, Fixed Income ETFs posted net outflows of $982 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 36 of the 47 weeks YTD totaling $173.2 bln; notably, the fourth quarter is typically the strongest quarter for ETF flows
ETF assets stand at $2.0 tln, up 16% YTD
13-week flows remain positive among most asset classes; combined $85.0 bln in net inflows
US Large-Cap ETFs generated net inflows of $41.7 bln over the last 13 weeks, accounting for 49% of ETF net inflows, the most of any category
Commodity ETFs have lagged over the last 13 weeks, exhibiting net outflows of $2.5 bln; over the last two years Commodity ETF market share has declined to 3% from 9%
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Core S&P Mid-Cap ETF (IJH) posted net inflows of $997 mln last week, the most of any ETF
Over the last four weeks, the PowerShares QQQ (QQQ) has generated net inflows of $4.4 bln as investors flock to high-growth companies
The iShares MSCI Japan ETF (EWJ) and the WisdomTree Japan Hedged Equity Fund (DXJ) had another solid week of net inflows, posting a combined $836 mln in net inflows
Despite exhibiting net outflows of $432 mln last week, the SPDR S&P 500 ETF (SPY) has posted net inflows of $23.4 bln over the last 13 weeks, the most of any ETF
The iShares 1-3 Year Treasury Bond ETF (SHY) exhibited net outflows of $2.0 bln last week, the most of any ETF, and the fifth consecutive week of net outflows
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume jumped in October to 30% amid a spike in volatility and trading volumes; October's reading compares to September's 25%; 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 increased by $40 bln last week compared to the prior week, but is still 15% below its 13-week average
Global ETFs accounted for 5% of ETF $ volume last week compared to their 13-week average of 4% and 3% market cap share
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 10/31/14
PowerShares QQQ (QQQ) had the largest increase in USD short interest at $982 mln
QQQ's shares short at 79 mln are at their highest level since 4/30/14
Notably, the iShares US Real Estate ETF (IYR) had a $1.0 bln decline in short interest compared to the prior period; IYR has a current market cap of $5.1 bln
703 ETFs exhibited short interest increases while 633 experienced short interest declines over the last period
Aggregate ETF USD short interest declined by $7.5 bln over the period ended 10/31/14
The average shares short/shares outstanding for ETFs is currently 4.1%, up from 3.9% last period
The Market Vectors Semiconductor ETF (SMH) de-throned the SPDR Retail ETF (XRT) as the most heavily shorted ETF as a % of shares outstanding last period; SMH shares short as a % of shares outstanding is 350%
Seven of the 10 most heavily shorted ETFs as a % of shares outstanding are sector/industry based (SMH, XRT, XOP, DDG, DRV, IYR, XBI)
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
$8.4 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 43% of recently launched ETF market share and 50% of net inflows over the last 13 weeks, the most of any category
Over the last year, 33% of all ETF launches can be attributed to international equity ETFs
Recently launched Fixed Income ETFs posted net inflows of $137 mln last week, the most of any category
177 new ETF listings and 60 closures YTD (additional two 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 Vident Core US Bond Strategy ETF (VBND) generated net inflows of $104 mln last week, the most of any recently launched product; VBND is diversified across fixed income sectors and screens for companies with strong leadership, governance, and creditworthiness factors
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Source: Morgan Stanley
São Paulo-based exchange eyes stakes in Latin American rivals
November 23, 2014--Brazil's BM&FBovespa is planning to buy up to 15 per cent of every significant stock exchange operator in Latin America in its boldest move yet to assert its influence in the region.
The São Paulo-based exchange operator hired two banks last month to acquire large enough stakes in the national exchanges of Mexico, Colombia, Chile, Peru and Argentina to ensure a seat on the board of each, BM&FBovespa's chief executive Edemir Pinto told the Financial Times.
Source: FT.com
