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Morgan Stanley-US ETF Weekly Update
November 4, 2013--Weekly Flows: $865 Million Net Inflows
ETF Assets Stand at $1.6 Trillion,, up 21% YTD
Two ETF Launches Last Week
ETFs Account For 27% of Listed Trading Volume
No ETF News Items Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $865 mln last week; fourth consecutive week of net inflows
Last week's net inflows were led by US Large-Cap ETFs at $1.6 bln; conversely, US Sector & Industry ETFs posted net outflows of $1.2 bln, the most of any category we measured
ETFs have exhibited net inflows 30 out of 44 weeks YTD
ETF assets stand at $1.6 tln, up 21% YTD; $147.8 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $36.4 bln in net inflows
International - Developed ETFs generated net inflows of $21.1 bln over the last 13 weeks, the most of any category we measured; European ETFs or international equity ETFs with significant European exposure were the primary driver to the category's large net inflows
Over the last 13 weeks, Commodity ETFs have posted net outflows of $2.5 bln; the SPDR Gold Trust (GLD) has posted net outflows of $2.1 bln over this time period
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Core S&P 500 ETF (IVV) posted net inflows of $2.0 bln this past week, the most of any ETF
The Vanguard FTSE Europe ETF (VGK) posted another solid week of net inflows as European ETFs continue to gain traction; over the last 13 weeks, VGK has generated net inflows of $4.3 bln
The iShares Russell 2000 ETF (IWM), the largest small-cap ETF, exhibited net outflows of $1.8 bln last week, the most of any ETF; notably, YTD, IWM has generated net inflows of $4.3 bln as small-caps have outperformed large-caps by nearly 500 bps YTD
Over the last 13 weeks, the iShares MSCI Emerging Markets ETF (EEM) has posted net inflows of $5.6 bln, the most of any ETF
While we've witnessed a strong emerging market equity bid (from a performance standpoint) lately, the Vanguard FTSE Emerging Markets ETF (VWO) has continued to post net outflows
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume was essentially flat for the fourth consecutive month (27% of listed trading volume)
Over the past 5 years, ETFs peaked at 36% of listed trading volume in November 2008
ETFs traded $317 bln last week, up $44 bln from the prior week and 9% above their 13-week average
US Small- & Micro-Cap ETFs accounted for 10% of ETF $ volume last week, up from its 13-week average of 7%
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 10/15/13
The SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.2 bln
Shares short of the iShares MSCI EAFE ETF (EFA) declined to 30.2 mln from 40.4 mln the prior period; EFA's shares short are at their lowest level since 7/31/13; EFA is up over 10% on a market price basis since 7/31/13
585 ETFs exhibited short interest increases while 609 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $5.3 bln over the period ended 10/15/13
The average shares short/shares outstanding for ETFs is currently 4.3% up from 3.9% last period
For the fourth straight period, the SPDR Retail ETF (XRT) exhibited the highest shares short as a % of shares outstanding; XRT's shares short are currently 282%, up from last period's 247%
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
$5.3 bln in total market cap of ETFs less than 1-year old
Fixed Income ETFs account for 27% of market capitalization of ETFs launched over the past year, the most of any category
After a month-long lull in issuance from the end of August through the end of September, 33 ETFs have launched over the past six weeks
124 new ETF listings and 43 closures/delistings YTD
The top 10 most successful launches make up 50% of the market cap of ETFs launched over the past year
Seven ETF sponsors and two asset classes represented in top 10 most successful launches; we note that the representation of funds with an income orientation is currently five (down from seven at the end of the second quarter)
The Vident International Equity Fund (VIDI), launched on 10/30/13, already has a market cap of $160 mln as a surge in volume and flows at the end of last week, propelled VIDI into the top 10 most successful launches
FlexShares Quality Dividend Index Fund (QDF) also had an impressive week, generating net inflows of $106 mln
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Source: Morgan Stanley
CFTC Issues Notice of Temporary Registration as a Swap Execution Facility to Chicago Mercantile Exchange Inc.
November 4, 2013--The U.S. Commodity Futures Trading Commission (CFTC) has approved the application of Chicago Mercantile Exchange Inc. (CME SEF) for temporary registration as a swap execution facility (SEF) pursuant to section 37.3(c) of the CFTC's regulations.
CME SEF is an operating division of the Chicago Mercantile Exchange Inc., a Delaware corporation and a wholly-owned subsidiary of CME Group Inc., a publicly traded company.
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Source: CFTC.gov
Horizons ETFs Announces Unit Consolidations
November 1, 2013--Horizons ETFs Management ( Canada ) Inc. ("Horizons ETFs"), the manager and trustee of the Horizons S&P 500(R) Index ETF, the Horizons BetaPro S&P 500 VIX Short-Term FuturesTM Bull Plus ETF and the Horizons BetaPro NASDAQ-100(R) Bear Plus ETF (collectively, the "ETFs"), has announced today that it intends to consolidate the units of the ETFs
as indicated in the table below.
Unit Consolidations
After the close of trading on Friday, November 15, 2013 on the Toronto Stock Exchange (the "TSX"), the units of the ETFs will be consolidated on the basis of the ratios (the "Consolidation Ratios") set out below, and will begin trading on a post consolidated basis on Monday, November 18, 2013 , the effective date of the consolidation...
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Source: Horizons ETFs Management (Canada) Inc.
New ETF from ALPS Designed to Participate in U.S. Energy Independence
November 1, 2013--ALPS, a DST Company focused on asset servicing and asset gathering, today announced the launch of the Alerian Energy Infrastructure Exchange-Traded Fund, the first ETF designed to deliver both energy infrastructure and Master Limited Partnership-focused investments to the retail market.
The Fund provides exposure to the Alerian Energy Infrastructure Index, which is intended to give investors a transparent and intuitive means of tracking the overall performance of the North American Energy Infrastructure sector. The Index is comprised of equity securities of issuers headquartered or incorporated in the U.S. and Canada
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Source: ALPS
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios-Diversified Momentum Portfolio Update
November 1, 2013--Diversified Momentum Update as of Oct 31st, 2013
A relatively flat month for our DMP (down 0.43%)
Market Performance
Risk appetite reignited during October with the equity markets (SPY) leading the way. Likewise, the broad US Fixed Income market (BND) rose by 0.90%; while the Commodity market (DBC) plunged by 3.38% during the same period.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP), however, experienced another pullback during October, retreating by 0.43%. While the equity market and our multi-asset class benchmark rose by 4.63% and 2.50%, respectively.
Portfolio Updates and New Membership
10 of the 20 DMP positions will change for November. In terms of portfolio weights, the Commodities portfolio weight will decrease from 40% to 30%; while the Currencies portfolio will increase from 30% to 40%. The Global Sectors and the Treasuries portfolios will remain at 10% and 20%, respectively.
Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
CFTC's Division of Market Oversight Issues Extension of Certain Time-Limited No-Action Relief Regarding Swap Execution Facilities Provided by CFTC No-Action Letter Nos. 13-55 (amended), 13-56 and 13-58 for Swaps in the Foreign Exchange Asset Class
November 1, 2013--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight (Division) issued a letter providing time-limited extensions of relief for swaps in the foreign exchange ("FX") asset class previously provided in the following CFTC letters:
CFTC Letter No. 13-55 (amended) (Time-Limited No-Action Relief for Temporarily Registered Swap Execution Facilities from Certain Swap Data Reporting Requirements of Parts 43 and 45 of the Commission's Regulations);
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Source: CFTC.gov
NYSE Euronext New ETF Listing-Franklin Short Duration U.S. Government ETF
November 1, 2013--NYSE Euronext (NYSE:NYX) is pleased to announce that on Tuesday, November 05, 2013, the following ETF will be listed on NYSE Arca and will begin trading as a new issue
Security name: Franklin Short Duration U.S. Government ETF
Trading symbol: FTSD
Cusip: 353506 10 8
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Source: NYSE Euronext
ISE Reports Business Activity for October 2013
November 1, 2013--
ISE and ISE Gemini(TM) combined represent 18.0% of equity options market share, excluding dividend trades.
ISE reported a combined ADV of 2.8 million contracts.
ISE Gemini ADV increased by 89.8% from September 2013 to October 2013.
Dividend trades made up 1.1% of industry volume in October 2013.
The International Securities Exchange (ISE) today reported a combined average daily volume (ADV) of 2.8 million contracts in October 2013 for its two exchanges, ISE and ISE Gemini. This represents 18.0% of U.S. equity options market share.
Business highlights for the month of October include:
On October 15, ISE announced that trading of multi-legged strategy orders through its Implied Order functionality exceeded 20 million contracts.
On October 23, ISE Gemini surpassed two milestones for the first time by trading over 500,000 contracts in a single day, and also accounting for over 3 percent of equity and ETF options market share.
On October 28, ISE Gemini completed the rollout of 199 additional products, representing the third successful product rollout since launch.
For the month of October, Implied Order functionality accounted for 6.8% of all non-crossing, multi-legged contract volume executed on ISE.
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Source: International Securities Exchange (ISE)
CFTC.gov Commitments of Traders Reports Update
November 1, 2013--The current reports for the week of October 22, 2013 are now available.
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Source: CFTC.gov
WisdomTree finally drawing fire
November 1, 2013--WisdomTree, the only pure-play publicly traded exchange traded fund manager, never quite turned the heads of the US's biggest fund managers in the way it expected to, but it has every reason to expect their attention now.
"When I was trying to raise launch money back in 2003, 2004," says chief executive and founder Jonathan Steinberg,"investors would say to me, "but what’s going to happen to you when Fidelity comes [into ETFs]?’ That it took them 10 years to come blows me away."
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Source: FT.com
