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Morgan Stanley-US ETF Weekly Update
April 1, 2013--Weekly Flows: $1.6 Billion Net Inflows
ETF Assets Stand at $1.5 Trillion, up 8% YTD
No ETF Launches
Two Vanguard International ETFs Change Benchmarks and Names
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $1.6 bln last week, the fifth consecutive week of net inflows
Over the past five weeks, ETFs have generated net inflows of $19.0 bln
Last week’s net inflows were led by US Custom ETFs ($570 mln), primarily broad equity low volatility ETFs; conversely, US
Sector & Industry ETFs exhibited net outflows of $470 mln, the most of any category we measured
ETF assets stand at $1.5 tln, up 8% YTD; $53.9 bln net inflows YTD, slightly above last year’s record pace
13-week flows were mostly positive among asset classes; combined $54.8 bln in net inflows
International – Developed Equity ETFs have posted material net inflows over the last 13 weeks ($14.2 bln), 32% more net inflows
than the next highest category
Commodity ETFs have posted net outflows of $6.7 bln over the last 13 weeks; in particular, the SPDR Gold Trust (GLD) has
exhibited net outflows of $6.6 bln over this period (GLD accounts for 61% of Commodity market cap)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Core S&P 500 ETF (IVV) generated net inflows of $533 mln last week, the most of any ETF
Over the past 13 weeks IVV has posted net inflows of $2.5 bln, lagging only the WisdomTree Japan Hedged Equity Fund (DXJ) and
the iShares Russell 2000 Index Fund (IWM) for the most net inflows
Interestingly, both the ProShares UltraShort 20+ Year Treasury (TBT) and the iShares Barclays 20+ Year Treasury Bond Fund
(TLT) generated net inflows; TBT is bearish and TLT is bullish the performance of long-dated Treasuries
Conversely, the iShares Barclays TIPS Bond Fund (TIP) exhibited $507 mln in net outflows last week, the most of any ETF; TIP has
posted net outflows seven out of the past eight weeks totaling $1.5 bln
US-Listed ETFs: Short Interest Data Updated: Based on data as of 3/15/13
iShares MSCI Emerging Markets Index Fund (EEM) had the largest increases in USD short interest at $731 mln
EEM’s shares short have increased for three consecutive periods and are at their highest level since 10/14/11
EEM is up more than 11% on a total return basis since 10/14/11
Aggregate ETF USD short interest increased by $1.9 bln over the period ended 3/15/13 and has now increased $13.3 bln over the
last four periods
The average shares short/shares outstanding for ETFs is currently 4.4%
The SPDR Retail ETF (XRT) regained the top spot as shares short as a % of shares outstanding currently is 234%
Retail, currency, and financial ETFs seem to consistently make the list as the most heavily shorted ETFs
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can
exceed 100% (only four ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 3/28/13 based on daily change in share counts and daily NAVs.
$6.0 bln in total market cap of ETFs less than 1-year old
Newly launched Fixed Income ETFs accounted for 31% of the market cap of ETFs launched over the past year, the most of any
category, including $801 mln in net inflows over the last 13 weeks
19 new ETF listings and 26 closures YTD; at this point last year, 76 ETFs had come to market and 16 ETFs had closed
The top 10 most successful launches make up 58% of the market cap of ETFs launched over the past year
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Seven out of the 10 most successful launches over the past year have an income orientation
Notably, the iShares Core MSCI Emerging Markets ETF (IEMG) has generated net inflows of $691 mln over the last 13 weeks
(tracks 99% of MSCI EM market cap); over the same time period, the larger, more actively traded iShares MSCI Emerging
Markets Index Fund (EEM) has posted net outflows of $1.9 bln (tracks 85% of MSCI EM market cap)
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Source: Morgan Stanley
CFTC's Division of Swap Dealer and Intermediary Oversight Issues Time-Limited No-Action Letter for Commodity Pool Operators of Securitization Vehicles
April 2, 2013--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) issued a time-limited letter stating that DSIO will not recommend that the Commission take enforcement action against the commodity pool operators of securitization vehicles that are required to register by March 31, 2013,
for failure to comply with certain enumerated sections in Part 4 of the Commission’s regulations, prior to June 30, 2013 – provided that the commodity pool operators of securitization vehicles comply with the guidance set forth in the letter with respect to those sections.
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Relief for Certain Persons from Registration as an Introducing Broker or Commodity Trading Advisor
March 29, 2013--The Division of Swap Dealer and Intermediary Oversight (DSIO) of the Commodity Futures Trading Commission announced today in a letter that it is taking a no-action position which provides relief from the requirement to register as an introducing broker or a commodity trading advisor for certain affiliates of a swap counterparty and the affiliates' employees,
where the affiliates and their employees engage in certain activity on behalf of the swap counterparty and the swap counterparty has commenced application for registration as a swap dealer or has exceeded the de minimis amount of swap dealing activity under Commission Regulation 1.3(ggg)(4)(i).
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Source: CFTC.gov
Morgan Stanley-US ETF Weekly Update
March 25, 2013--US ETF Weekly Update
Weekly Flows: $3.5 Billion Net Inflows
Fourth Consecutive Week of Net Inflows
ETF Assets Stand at $1.4 Trillion, up 8% YTD
Three ETF Launches
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $3.5 bln last week, the fourth consecutive week of net inflows
- Last week’s net inflows were led by US Small- & Micro-Cap ETFs ($2.0 bln); conversely, International – Emerging Equity ETFs
exhibited net outflows of $2.4 bln, the most of any category we measured
ETF assets stand at $1.4 tln, up 8% YTD; $52.3 bln net inflows YTD
13-week flows were mostly positive among asset classes; combined $59.5 bln in net inflows
International – Developed Equity ETFs have posted material net inflows over the last 13 weeks ($15.5 bln); the category’s ETF
market share has risen as assets are up 26% over the past 52 weeks
Commodity ETFs have posted net outflows of $6.8 bln over the last 13 weeks; in particular, one ETF, the SPDR Gold Trust
(GLD), has exhibited net outflows of $6.6 bln over this period (GLD accounts for 61% of Commodity market cap)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Russell 2000 Index Fund (IWM) generated net inflows of $1.9 bln last week, the most of any ETF
Eight of the 10 ETFs to post the largest net inflows last week were US equity-based
Notably, the four largest ETFs by market cap (SPY, GLD, VWO, EEM), exhibited a combined $5.2 bln in net outflows last week
Over the last 13 weeks the WisdomTree Japan Hedged Equity Fund (DXJ) posted net inflows of $4.0 bln, the most of any ETF; DXJ
focuses on Japanese exporters and hedges its yen risk
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 2/28/13
SPDR S&P 500 ETF (SPY) had the largest increases in USD short interest at $4.1 bln
SPY’s shares short have increased for four consecutive periods and are at their highest level since 5/31/12
Aggregate ETF USD short interest increased by $4.4 bln over the period ended 2/28/13 and has now increased $11.4 bln the last
three periods; despite the increase in short interest, financial markets have remained resilient
The average shares short/shares outstanding for ETFs is currently 4.3%
Interestingly, the top 10 ETFs most heavily shorted as a % of shares outstanding does not change much; certain areas of the market
such as retail, currency, and real estate seem to consistently make the list
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding
can exceed 100% (only five ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 3/22/13 based on daily change in share counts and daily NAVs.
$5.7 bln in total market cap of ETFs less than 1-year old
Newly launched Fixed Income ETFs accounted for 31% of the market cap of ETFs launched over the past year, the most of any
category, including $760 mln in net inflows over the last 13 weeks
Issuance is off to a slow start in 2013; 19 new ETF listings and 26 closures YTD
The top 10 most successful launches make up 58% of the market cap of ETFs launched over the past year
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Seven out of the 10 most successful launches over the past year have an income orientation
The First Trust North American Energy Infrastructure Fund (EMLP) has steadily grown in size since its 6/2012 inception;
EMLP is unique in that it is actively managed and does not solely own MLPs to achieve broad energy infrastructure exposure
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Source: Morgan Stanley
Market Vectors Launches Treasury-Hedged High Yield Bond ETF (THHY)
New fixed income fund is positioned for rising interest rates
March 22, 2013--Market Vectors ETF Trust announced today that it has launched the Market Vectors Treasury-Hedged High Yield Bond ETF (NYSE Arca: THHY), an exchange-traded fund (ETF).
is designed to combine the income potential of high-yield corporate bonds with the interest rate hedging capability offered by shorting Treasury notes
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Source: Market Vectors
Federal Reserve Board And Federal Open Market Committee Release Economic Projections From The March 19-20 FOMC Meeting
March 20, 2013--The table and charts released on Wednesday summarize the economic projections and the target federal funds rate projections made by Federal Reserve Board members and Federal Reserve Bank presidents for the March 19-20 meeting of the Federal Open Market Committee.
The table will be incorporated into a summary of economic projections released with the minutes of the March 19-20 meeting. Summaries of economic projections are released quarterly.
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Source: Federal Reserve Board
CFTC's Division of Clearing and Risk Issues Limited No-Action Relief from Required Clearing for Partial Novation and Partial Termination of Certain Swaps
March 20, 2013--The Commission's Division of Clearing and Risk (Division) today issued a no-action letter that provides relief from required clearing for a limited set of "stub swaps" that remain after the partial novation or partial termination of an original swap that was not required to be cleared because it was executed prior to an applicable compliance date for required clearing
The Division will not recommend that the Commission take enforcement action against any person for failing to clear stub swaps resulting from partial novations or partial terminations, provided that the original swaps were executed prior to the date on which the counterparties must begin complying with the clearing requirement. Both the original swaps and stub swaps, and the related partial novations and terminations, must meet certain conditions specified in the letter.
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Source: CFTC.gov
BlackRock to Cut About 300 Jobs in Fink's Reorganization
March 19, 2013--BlackRock Inc. (BLK), the world's biggest money manager, is cutting about 300 jobs, extending a reorganization that included the shakeup of its investment units last year.
BlackRock will reduce its workforce by less than 3 percent, with some workers leaving immediately and others over coming months, President Robert S. Kapito said today in a memo to employees. Kapito said in the memo that BlackRock will continue to hire and will probably have more employees at the end of 2013 than at the end of 2012.
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Source: Bloomberg
FTSE and DPT Capital launch series of long-short commodity indices
March 19, 2013--FTSE and DPT Capital launch series of long-short commodity indices
FTSE Group ("FTSE"), and DPT Capital Management, based in Princeton New Jersey, announce the launch of the FTSE Target Exposure Commodity Index Series, a series of rules-based long-short commodity indices derived from Professor John M. Mulvey's innovative risk management and portfolio allocation approach -Dynamic Portfolio Tactics(SM).
The FTSE Target Exposure Commodity Index Series allocates dynamically across a broad basket of 18 commodity futures using a suite of rules-based quantitative investment tactics, designed to capture systemic sources of return embedded in global commodity markets, whilst avoiding over-concentration in certain commodity sectors. As such, the indices have been designed to act as performance benchmarks for quantitative commodity managers, and as a liquid, tradable foundation for new index tracking products.
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Source: FTSE
ISE Signs Licensing Agreement with KSM, the Largest Israeli ETF Issuer
KSM ETF will Track ISE Water Index
March 18, 2013--The International Securities Exchange (ISE), a leading U.S. options exchange, announced today a licensing agreement with KSM Sal Indices Certificates Ltd., the largest ETF issuer in Israel.
The agreement licenses the ISE Water Index to KSM for its Water Fund. The ISE Water Index is recognized by Morgan Stanley Smith Barney’s Global Investment Committee as the best investment idea for 2012, and has been named one of its top investment ideas for 2013.
"Our international partnership with KSM represents a range of expansion and the pursuit of international growth opportunities that ISE has taken in the ETF industry,” said Kris Monaco, Head of ISE ETF Ventures. “KSM’s track record of ETF management complements the recent success and recognition of the ISE Water Index and we look forward to working with KSM to introduce this product to a broadened investor pool."
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Source: International Securities Exchange (ISE)
