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DB-Synthetic Equity & Index Strategy-US ETF Model Portfolios-Diversified Momentum Portfolio Update
June 3, 2013--Diversified Momentum- Update as of May 31st, 2013
Rotation out of defensives and rates sell off weighed on DMP performance in May.
Market Performance
The US equity market (SPY) continued the rally in May. However, the broad US Fixed Income market (BND), and the Commodity market (DBC) retreated by 2.11% and 1.56% during the same period, respectively.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) fell by 1.23% in May. In the meantime, the equity market and our multi asset class benchmark were both up recording gains of 2.36% and 0.23%, respectively.
Portfolio Updates and New Membership
14 of the 20 DMP positions will change for June. In terms of portfolio weights, the asset class weights will suffer the following changes: Commodities will be the new top allocation with 40% (vs. 20%), followed by Currencies with 30% (vs. 40%), Global Sector with 20% (vs. 30%), and Treasuries with 10% (vs. 10%).
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
ISE Reports Business Activity for May 2013
June 3, 2013--ISE was the second largest equity options exchange in May with a market share of 17.2%,
excluding dividend trades.
Dividend trades made up 4.0% of industry volume in May 2013.
The International Securities Exchange (ISE) today reported an average daily volume of 2.7 million contracts in May 2013. This represents a decrease of 5.2% compared to May 2012. Total options volume for the month was 58.3 million contracts. ISE was the second largest U.S. equity options exchange in
May with a market share of 17.2%*.
Business highlights for the month of May include:
On May 6, ISE announced a partnership with YieldShares to jointly develop and launch the ISE High Income Index(TM), an index that allows investors to efficiently track a portfolio of high income and high discount Closed-End Funds.
On May 13, ISE President and CEO Gary Katz participated in an Equity Market Structure Roundtable hosted by Representative Scott Garrett (R-NJ) to facilitate dialogue about current market structure issues and opportunities to improve existing regulations.
On May 30, ISE announced that trading of multi-legged strategy orders through its Implied Order functionality exceeded 15 million contracts.
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Source: International Securities Exchange (ISE)
Vanguard ETF to Transition to CRSP Index
June 2, 2013--Vanguard Investments Canada Inc. announced that Vanguard MSCI U.S. Broad Market Index ETF (CAD-hedged) (VUS) will seek to track the CRSP US Total Market Index (CAD-hedged), effective at the opening of trading at 9:30 a.m. Eastern time on June 3, 2013.
As a result, the name of the exchange-traded fund (ETF) will change to Vanguard U.S. Total Market Index ETF (CAD-hedged). The ticker will stay the same.
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Source: Vanguard
Morgan Stanley-ETF Quarterly Report: $1.5 Trillion in 1,257 ETFs
May 31, 2013--Quarterly Report: $1.5 Trillion in 1,257ETFs
The quarterly 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 321 ETFs in our coverage universe, which represents 91% of US listed ETF assets.
Net inflows into US-listed ETFs were $51.7 billion during the first quarter of 2013, the largest first quarter on record. There are $1.5 trillion in ETF assets spread among 1,257 products. 2013
ETF issuance has been slow as most major asset classes have ETFs
covering them and many newer listings have struggled to gain meaningful traction.
Despite strong overall growth and flows, the market remains concentrated with three providers and 20ETFs accounting for 81% and 44% of industry assets, respectively. ETFs provide access to favored market segments.
Morgan Stanley & Co.’s global economics team expects continued healing and re-leveraging in the US private sector, an end to the European recession, and the success of monetary easing globally to reignite global growth in the second half of 2013 and into 2014, albeit at a measured pace. We list favored areas in the report and ways to implement these ideas via ETFs.
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Source: Morgan Stanley
CFTC.gov Commitments of Traders Reports Update
May 31, 2013--The current reports for the week of May 28, 2013 are now available.
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Source: CFTC.gov
Deutsche Bank to launch muni ETF for infrastructure
May 31, 2013--The asset and wealth management division of Deutsche Bank will launch next week a first-of-its kind exchange-traded fund devoted purely to infrastructure-related municipal bonds.
The fund, called db X-trackers Municipal Infrastructure Revenue Bond Fund, will carry the ticker "RVNU" on the NYSE and is the first muni ETF to hold exclusively infrastructure bonds.
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Source: Reuters
Horizons ETFs announces final valuations for terminated ETFs
May 31, 2013--Horizons ETFs Management ( Canada ) Inc. ("Horizons ETFs"), by way of a press release dated March 1, 2013, previously announced that certain exchange traded funds ("ETFs") would be terminated effective upon the close of business today, May 31, 2013.
The ETFs being terminated (collectively, the "Terminated ETFs"), with their respective final net asset values ("Final NAV") per unit...
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Source:Horizons ETFs Management ( Canada ) Inc.
iShares Obtains New Cusip Numbers For Four ETFs
May 31, 2013--BlackRock, Inc. (NYS: BLK) today announced that four of its iShares Exchange Traded Funds (ETFs) have obtained new CUSIP numbers for operational reasons.
Effective June 10, 2013, the following ETFs will begin trading with new CUSIP codes:
NYSEArca Ticker IBCB - Old CUSIP: 46432F 792 ; New CUSIP: 46432F AD9
NYSEArca Ticker IBCC - Old CUSIP: 46432F 768 ; New CUSIP: 46432F AG2
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Source: BlackRock
UBS to Hang Up ETNs for (Among Other Things) Internet Stocks and Solid State Drives
May 31, 2013--Surprise! Sometimes exchange-traded funds and notes go out of business. Industry officials tend to paint the pruning of unsuccessful and asset-starved ETFs as a healthy process.
But it’s also an aggravation. Investors unlucky enough to own them have to pay unexpected trading costs. Bid-ask spreads tend to widen out. Then you’ll need to pay again to redeploy the money elsewhere.
Fortunately, the seven exchange-traded notes from UBS AG (UBS) whose end the New York Stock Exchange just announced aren’t very widely owned.
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Source: Barron's
CME Group Volume Reaches All-Time High On May 29
Record Highs In Globex Volume And Interest Rate Complex
May 30, 2013--CME Group reached a record high in single-day volume with 26,947,300 contracts traded across all asset classes on May 29, 2013, surpassing the previous record of 25,734,651 contracts on August 9, 2011.
CME Group also confirmed records in daily trading volume for the following:
Globex electronic volume reached 23,537,737 surpassing the previous record of 22,887,758 set on August 9, 2011
Interest Rate futures and options combined reached 19,417,635 surpassing the previous record of 17,164,758 set on February 27, 2007 .
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Source: CME Group
