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Morgan Stanley-US ETF Weekly Update
October 17, 2014--US ETF Weekly Update
Weekly Flows: $12.0 Billion Net Inflows
Sixth Consecutive Week of Net Inflows
High-conviction ETF Recommendations Slide
ETFs Have Generated Net Inflows 35 of 46 Weeks YTD
ETF Assets Stand at $1.9 Trillion, Up 15% YTD
Four ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $12.0 bln last week; sixth consecutive week of net inflows
Over the last six weeks, ETFs have generated net inflows of $54.1 bln
Last week's net inflows were led by US Large-Cap ETFs at $6.2 bln; conversely, Leveraged/Inverse ETFs posted net outflows of $181 mln, the most of any category we measured
Twelve of the 15 categories we measured posted net inflows last week; ETFs have generated net inflows 35 of the 46 weeks YTD totaling $166.3 bln; notably, the fourth quarter is typically the strongest quarter for ETF flows
ETF assets stand at $1.9 tln, up 15% YTD
13-week flows remain positive among most asset classes; combined $87.4 bln in net inflows
US Large-Cap ETFs generated net inflows of $41.2 bln over the last 13 weeks, accounting for 47% of ETF net inflows, the most of any category
Fixed Income ETFs have also done well over the last 13 weeks, posting net inflows of $20.3 bln, trailing only US Large-Cap ETFs
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $3.7 bln last week, the most of any ETF
The three ETFs to mirror the S&P 500 Index (SPY, IVV, and VOO) generated a combined $4.9 bln in net inflows last week
For the second consecutive week, the iShares MSCI Japan ETF (EWJ) and the WisdomTree Japan Hedged Equity Fund (DXJ) posted meaningful net inflows; it will be interesting to see whether this carries over this week given the weak Japanese GDP print
Amid a decline in oil prices last week the Energy Select Sector SPDR (XLE) and the SPDR Oil & Gas Exploration & Production ETF (XOP) exhibited a combined $506 mln in net outflows
Over the last 13 weeks the iShares MSCI Emerging Markets ETF (EEM) posted net outflows of $4.1 bln, the most of any ETF
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 declined by $76 bln last week compared to the prior week, and is 25% below its 13-week average
US Large-Cap ETFs accounted for 37% of ETF $ volume last week compared to their 13-week average of 42%, but still high compared to their 27% market cap share
US-Listed ETFs: Short Interest Data Updated: 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: Largest Launches by Assets
$7.9 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 45% of recently launched ETF market share and 52% of net inflows over the last 13 weeks, the most of any category
The only US equity category to exhibit modest issuance over the last year was the US Custom category, which includes multiple non-traditional sub-groups
176 new ETF listings and 57 closures YTD (additional three announced)
At this point last year, only 131 ETFs had been launched and 43 products had been liquidated or de-listed
The largest 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) had another solid week of net inflows last week at $72 mln; FV has generated net inflows for 37 consecutive weeks
request report
Source: Morgan Stanley Wealth Management
Precidian Not Finished With Non-Transparent Push
November 17, 2014--Precidian Investments and BlackRock (BLK) formally withdrew applications for so-called non-transparent, actively managed exchange-traded funds late last week after hitting regulatory snags.
Precidian vowed to push on. BlackRock's next move isn't clear.
Both withdrawals aren't surprising given that the Securities and Excahange Commission last month expressed concern about the mechanics of the "blind trust" structure both firms advanced.
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Source: Barron's
BlackRock defends non-disclosure deals
November 16, 2014--BlackRock has defended the practice of asset managers requiring pension funds to sign non-disclosure agreements
despite an outpouring of anger that such arrangements prevent fee transparency
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Source: FT.com
BlackRock, Precidian Pull Applications for New ETF Type
November 14, 2014--BlackRock Inc. (BLK) and Precidian Investments pulled applications for a new type of exchange-traded fund that wouldn't disclose holdings daily, after regulators said they planned to reject them.
Both firms had until Nov. 17 to request a hearing on their applications after the U.S. Securities and Exchange Commission said Oct. 22 that it probably won't approve them. The SEC approved the withdrawal, according to letters dated today.
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Source: Bloomberg
CFTC.gov Commitments of Traders Reports Update
November 14, 2014--The current reports for the week of November 11, 2014 are now available.
view updates
Source: CFTC.gov
Nasdaq to List FlexShares Credit-Scored US Corporate Bond Index Fund
Accessible and Efficient Investment Product Providing Exposure to U.S. Corporate Debt
November 13, 2014--Nasdaq today announced that FlexShares(R) Exchange Traded Funds, sponsored and managed by Northern Trust, will list a new exchange-traded fund, FlexShares Credit-Scored US Corporate Bond Index Fund (Symbol: SKOR), on The Nasdaq Stock Market, SKOR will begin trading today, November 13th, 2014.
"Regulatory changes impacting the fixed income capital markets and persistent low interest rates have caused institutional investors and financial advisors to reassess their investment options for exposure to corporate bonds," said Shundrawn A. Thomas, Executive Vice President and Head of Northern Trusts' Funds and Managed Accounts Group.view more
Source: Nasdaq.com
SEC to Eaton Vance: No 'ETF' for You!
November 13, 2014--Eaton Vance is branding its new fund innovation "NextShares". But what the Boston company can't call the new investment vehicle, even if others do, is an exchange-traded fund, or ETF.
The Securities and Exchange Commission earlier this month indicated it will allow Eaton Vance to offer what has been widely discussed as a new variety of ETF-specifically, a "nontransparent" one that would be actively managed and not have to reveal its holdings each day.
But "we cannot call them that," as a condition imposed by the SEC, says Stephen Clarke, president of Eaton Vance's Navigate Fund Solutions unit.
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Source: Wall Street Journal
Barclays and MSCI announce launch of Green Bond Index
Innovative new index family will track the growing market of bonds issued to fund projects with environmental benefits
November 13, 2014--
Barclays, a publisher of leading broad market bond benchmarks, and MSCI Inc.,
a leading provider of investment decision support tools worldwide, announced today the launch of a new green bond index family measuring the global market of fixed income securities issued to fund projects and initiatives with direct environmental benefits.
The Barclays MSCI Green Bond Index family complements the existing
Barclays MSCI ESG (Environmental, Social, and Governance) Fixed Income Index family, and is now available to
clients.
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Source: Barclays
Building Today's Currency-Hedging Framework-October 2014
November 13, 2014--For years, a weak U.S. dollar meant that leaving the currency exposure of international equities unhedged was a tailwind to return. Whether it was a conscious asset-allocation
decision or the "default" position, maintaining exposure to foreign currencies rewarded investors. But the tide has turned.<
Overview
Despite being a major driver of the total return of international equities for U.S.-based investors, currency
exposure was little discussed until recently. For years, a weak U.S. dollar meant that leaving the currency exposure
of international equities unhedged was a tailwind to return.
Whether it was a conscious asset-allocation decision or the "default" position, maintaining exposure to foreign currencies rewarded investors.
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Source: eutsche Asset & Wealth Management
AdvisorShares Weekly Market Update: Volatility and "Risk"
For the week of November 3-November 7
November 13, 2014--What Will The GOP Midterm Win Mean For Markets?
Macro
Last week was relatively quiet with the biggest news coming from Friday's job data. There were 214,000 jobs created,
the headline unemployment rate ticked down to 5.8% (more precisely it was 5.756%),
the broader U-6 rate came in at
11.6% and the labor force participation rate up-ticked to 62.8%.
Blogger Eddy Elfenbein offered some high level observations on the state of the employment situation through Twitter noting that "to have the same jobs-to-pop ratio of 7 years ago, we'd need 8.7 million more jobs.
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Source: AdvisorShares
