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Morgan Stanley-US ETF Weekly Update
January 28, 2013--US ETF Weekly Update
Weekly Flows: $3.3 Billion Net Inflows
10th Consecutive Week of Net Inflows
ETF Assets Stand at $1.4 Trillion, up 5% YTD
No ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $3.3 bln last week, the 10th consecutive week of net inflows
Net inflows were led by Fixed Income ETFs ($902 mln in net inflows last week); uncharacteristically, no ETF category generated
net inflows/outflows of more than $1 bln
ETF assets stand at $1.4 tln, up 5% YTD; $24.4 bln net inflows YTD
13-week flows were mostly positive among asset classes; combined $76.4 bln in net inflows
International Equity ETFs have exhibited net inflows of $32.1 bln over the past 13 weeks (57% into EM Equity ETFs)
Over the last 13 weeks, Leveraged/Inverse ETFs posted the largest net outflows of any category ($1.4 bln)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
FlexShares Mngstr Global Upstream Natural Resources Fd (GUNR) posted net inflows of $478 mln last week
GUNR’s recent flows have been impressive and the ETF now has a market cap of nearly $1.4 bln; last week’s net inflows, the most of
any ETF, made up 35% of GUNR’s market cap
Interestingly, the SPDR Gold Trust (GLD) has exhibited net outflows for six of the past seven weeks totaling $1.2 bln; the spot price
of gold is down about 3% for this time period
Despite modest net outflows last week, the SPDR S&P 500 ETF (SPY) has generated net inflows of $12.6 bln (62% of total US Large-Cap net inflows) over the last 13 weeks, the most of any ETF
US-Listed ETFs: Short Interest Data Updated: Based on data as of 1/15/13
Vanguard FTSE Emerging Markets ETF (VWO) had the largest increase in USD short interest at $900 mln
VWO's shares short are at their highest level of all time; we find the data point interesting because VWO is not typically the vehicle that investors use to get short emerging markets
SPDR S&P 500 ETF (SPY) shares short are at their lowest level since 10/15/12
Aggregate ETF USD short interest decreased by $2.2 bln over the past two weeks ended 1/15/13
The average shares short/shares outstanding for ETFs is currently 5.5%
SPDR Retail ETF (XRT) shares short/shares outstanding eclipsed 1,000% on 1/15/13 as flows into and out of XRT have been very volatile the past few weeks; retail ETFs are consistently some of 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 six 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 1/25/13 based on daily change in share counts and daily NAVs.
$10.1 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 46% of the market cap of ETFs launched over the past year; PIMCO Total Return ETF (BOND) is the largest actively managed ETF with a market cap of $4.0 bln
One new ETF listing and three closures YTD (13 announced closures)
The top 10 most successful launches make up 69% of the market cap of ETFs launched over the past year
Six 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
iShares ETFs account for 30% of ETFs launched over the past year and make up 26% of total market cap; excluding BOND, iShares ETFs account for 44% of the market cap of ETFs launched over the past year
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Source: Morgan Stanley
ICI ETF Assets December 2012
January 28, 2013—The combined assets of the nation's exchange-traded funds (ETFs) were $1.337 trillion in December, according to ICI. The Institute's monthly statistical collection also includes the value of shares issued and redeemed by exchange-traded funds.
Statistics contained in the Institute’s monthly ETF report have been obtained from information provided to ICI by exchange-traded funds and commodity funds. Commodity funds are listed in the Domestic (Sector/Industry) category.
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Source: ICI
BlackRock Canada licenses Morningstar Global Long/Flat Commodity Index
Index to serve as new benchmark for iShares Broad Commodity Index Fund By IE Staff
January 28, 2013-- Chicago-based investment research firm Morningstar, Inc. (NASDAQ: MORN) said Monday that Toronto-based BlackRock Asset Management Canada Ltd. has licensed the Morningstar Global Long/Flat Commodity Index to serve as the new benchmark for the iShares Broad Commodity Index Fund (TSX:CBR).
This is the first investable vehicle listed in Canada to track the Morningstar Global Long/Flat Commodity Index.
The index is a fully collateralized commodity futures index that uses a momentum rule to determine if each commodity is held long or the assets are moved to cash, Morningstar says.
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Source: Investment Executive
DB-Synthetic Equity & Index Strategy-North America-US ETF Market Weekly Review - US ETPs reach $1.4 trillion in assets
January 28, 2013--Market and Net Cash Flows Review
Markets were mixed during last week. The US (S&P 500) edged higher by 1.14%; while, outside the US, the MSCI EAFE (in USD) rose by 1.56% and the MSCI EM (USD) dropped by 1.06%. Moving on to other asset classes, the 10Y US Treasury Yield rose by 11 bps last week; while the DB Liquid Commodity Index end the week flat.
In the meantime, the Agriculture sector (DB Diversified Agriculture Index) pulled back by 1.11% and the WTI Crude Oil rose 0.33%, while Gold and Silver prices retreated by 1.52% and 2.1%, respectively. Last but not least, Volatility (VIX) rose by 3.45% during the same period.
The total US ETP flows from all products registered $3.3bn (+0.2% of AUM) of inflows during last week vs. $2.9bn (+0.2%) of inflows the previous week, setting the YTD weekly flows average at +$6.3bn (+$25.02bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$2.76bn (0.27%), +$1.17bn (0.45%), -$0.53bn (-0.46%) last week vs. +$1.96bn (0.2%), +$0.79bn (0.31%), +$0.22bn (0.19%) in the previous week, respectively.
Among US sectors, Healthcare (+$0.3bn, +2.09%) and Information Technology (+$0.23bn, +1.0%) received the top inflows, while Consumer Discretionary (-$0.52bn, -8.1%) and Financials (-$0.14bn, -0.29%) experienced the largest outflows.
Within Equity ETPs, Small Cap products had the largest inflows (+$0.7bn, +1.6%), while Large Cap products had the largest outflows of $0.9bn (-0.4%). Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.7bn, +0.7%). Within Commodity ETPs Precious Metals (-$0.4bn, -0.4%) experienced the largest outflow.
Top 3 ETPs & ETNs by inflows: GUNR (+$0.5bn), IWM (+$0.4bn), VTI (+$0.3bn) Top 3 ETPs & ETNs by outflows: XRT (-$0.5bn), IVV (-$0.4bn), XLF (-$0.4bn)
New Launch Calendar: No new listings No new listings during last week.
Turnover Review: Floor activity decreased by 15%
Total weekly turnover decreased by 15.2% to $209.8bn vs. $247.5bn from the previous week. Last week's turnover level was 22% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover decreased by $28.5bn (-13.4%), $5.4bn (-29.5%) and $3.3bn (-24.5%), respectively.
Assets under Management (AUM) Review:
US ETPs reach $1.4 trillion
US ETP assets break through the $1.4 trillion mark and record a new high. As of last Friday, US ETPs have accumulated an asset growth of 5.2% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved +$10.3bn, +$0.8bn, -$2.2bn during last week, respectively.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy-North America
Precidian files with the SEC
January 25, 2013--Precidian has filed a application for exemptive relief with the SEC-actively-managed ETFs.
Source: SEC.gov
BMO ETFs Leads Canadian ETF Industry in New Assets for Second Consecutive Year
BMO accounted for 40 per cent of total 2012 Canadian ETF industry inflows
BMO ETF assets up 130 per cent in 2012; attracted $5 billion in net new assets
BMO S&P/TSX Capped Composite Index ETF (ZCN) top ETF industry fund with $813 million in asset inflow
BMO's extensive ETF line-up has grown to 48 funds in under four years
January 25, 2013--BMO Asset Management Inc. (BMO AM) today announced that its ETF business* led the Canadian ETF industry in new assets for the second consecutive year in 2012.
BMO ETFs attracted $5 billion in net new assets, up 130 per cent from the previous year. Overall, BMO accounted for 40 per cent of all Canadian ETF new asset inflows for the year.**
BMO S&P/TSX Capped Composite Index ETF (ZCN) topped the industry with $813 million in inflows. ZCN is designed to replicatethe performance of the S&P/TSX Capped Composite Index, the primary indicator for Canadian equity markets.
BMO attributed its overall success to the organization's ability to anticipate and address the needs of Canadian investors, by building a line-up of core ETFs based on market leading indexes, thoughtful sector ETFs, and innovative specialty solution ETFs. The product suite has grown to 48 funds (including multiple industry firsts) in under four years.
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Source: BMO Financial Group
CFTC.gov Commitments of Traders Reports Update
January 25, 2013--The current reports for the week of January 22, 2013 are now available.
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Source: CFTC.gov
CBOE Looks to Broaden Appeal of VIX Products
January 25, 2013--CBOE Holdings, buoyed by the phenomenal success of options and futures contracts based on its Volatility Index, is ratcheting up its efforts to broaden their appeal.
“The volatility business is only eight years old, but we see terrific growth,” Ed Tilly, CBOE’s president and chief operating officer, told a gathering of reporters in New York recently. “We see hedge funds, prop trading firms, (commodity trading advisors), insurance companies and other institutional users migrating to the product. It’s very important for us.”
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Source: Traders Magazine
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices-A Deletion From The S&P/TSX SmallCap Index
January 25, 2013--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Spartan Oil Corp. (TSX:STO) have agreed to the terms of a Plan of Arrangement with Bonterra Energy Corp. (TSX:BNE).
Spartan Oil will be removed from the S&P/TSX SmallCap Index effective after the close of Tuesday, January 29, 2013.
Source: S&P Canadian Index Services
International Securities Exchange Weekly Listings, January 25, 2013
January 25, 2013--The International Securities Exchange (ISE) listed new options classes during the week beginning January 21, 2013 as described below.
Effective Wednesday, January 23, 2013, the ISE will list options on the following product(s) along with their related symbol(s):
Bin 8 - Citadel Securities LLC Equity
BRE Properties Inc. (Symbol: BRE, Trading Symbol(s): BRE) will trade on a January expiration cycle with exercise and position limits of 250000. EMCOR Group Inc. (Symbol: EME, Trading Symbol(s): EME) will trade on a January expiration cycle with exercise and position limits of 75000. Amicus Therapeutics Inc. (Symbol: FOLD, Trading Symbol(s): FOLD) will trade on a January expiration cycle with exercise and position limits of 75000. Lancaster Colony Corp. (Symbol: LANC, Trading Symbol(s): LANC) will trade on a March expiration cycle with exercise and position limits of 25000.
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Source: Mondovisione
