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US Equity Performance-Dow Jones Industrial Average-2012 Year In Review
January 2, 2013--At A Glance
When All is Said & Done-The Dow Jones Industrial Average finished the year at 13,140.14, up 886.58 or 7.26%. This level is off 1,024.39 or 7.23% from the DJIA's record close of 14,164.53, which was hit on October 9, 2007.
Eight of the last ten years have enjoyed annual gains, though of course, the loss of nearly 34% in 2008 continues to leave a mark.
Leader & Laggard - The leading individual contributor to the DJIA in 2012 was Home Depot (HD), which added 151.31 of the total 886.58 in index points gained on the year. The greatest individual detractor was McDonald’s (MCD) dragging down the DJIA by 91.38 points.
Industry Performance - The leading contributing industry to 2012 performance was Financial Services followed by Consumer Services and Industrials, industries which tend to outperform in recovering markets; the worst performer was Technology.
The Good - The biggest Single Day Gain (Point & Percent) – up 286.84 or +2.37% - was June 6, spurred by comments from policy makers raised investors’ hopes that further stimulus money was forthcoming.
The Bad - The biggest Single Day Loss (Point & Percent ) – down 312.94 or -3.26% - was November 7, following President Obama’s reelection, concerns about resolution of the “Fiscal Cliff”, and continued concerns about economic weakness in Europe.
Changes - There was one addition/deletion to the DJIA in 2012: on September 24, UnitedHealth Group replaced Kraft Foods.
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Source: S&P Dow Indices
2012 Trading Volume Reaches New All-Time High At CBOE Futures Exchange
January 2, 2012--The CBOE Futures Exchange, LLC (CFE®) announced today that both total exchange-wide trading activity and trading volume in futures on the CBOE Volatility Index(R)(VIX(R)) reached new all-time highs during 2012.
In a record-setting year, a host of new milestones were achieved at the exchange.
2012 Volume
Total CFE trading volume in 2012 set a new record with 23.89 million contracts traded, an increase of 98 percent from 12.04 million contracts traded in 2011, the previous annual record. The year 2012 marked the third consecutive year of record exchange-wide trading activity for CFE. Average daily volume (ADV) at CFE also reached a new high for a third straight year in 2012. The 95,571 contracts per day doubled the 47,782 contracts traded per day in 2011.
Total 2012 VIX futures volume set a new record with 23.79 million contracts traded, an increase of 98 percent from the 12.03 million contracts traded in 2011, which stood as the previous annual record.
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Source: CBOE
.....S&P Dow Jones Indices Announces Changes to the S&P/TSX Canadian Indices
An Addition to the S&P/TSX Capped REIT Index
January 2, 2013--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Granite Real Estate Inc. (GRT.TO) have approved the conversion of the company to a REIT structure.
The new name of the company will be Granite REIT and the new ticker symbol will be "GRT.UN". There is no consolidation of capital. Granite REIT will be added to the S&P/TSX Income Trust and the S&P/TSX Capped REIT indices.
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Source: Standard & Poor's Canadian Index
U.S. Department of the Treasury Economic Statistics-Monitoring the Economy Update
January 2, 2013--The Economic Statistics-Monitoring the Economy for U.S. Department of the Treasury have been updated and are now available.
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Source: US Department of the Treasury
Forefront-2013 ETF Trends to Watch
Investors in 2013 will further define the value proposition of an ETF by their more discriminating purchases
January 2, 2013--The evolution of ETP market undoubtedly will prove to be full of many conflicting developments in 2013. For example, fee compression can have a negative affect on industry innovation as product breakeven levels get harder to reach.
Separately, the evolution of the active space could prove disappointing as “alpha expectations” may not be achieved smoothly. The 600 basis points of outperformance by PIMCO’s BOND set expectations very high. (See Trend #2 and #3 for further details) Nevertheless, we have never been more bullish on the industry. Broadly speaking our biggest hope for the evolution of the industry and the prediction we feel is most important for 2013 is that net inflows diversify away from broad categories. We will monitor the concentration of AUMs of the top 100 funds as a percentage of the overall industry AUMs as well as whether the number of ETFs with AUMs of between $250 million and $2 Billion expands beyond 110 Funds.
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Source: Forefront Capital Management, LLC
Morgan Stanley-Preliminary 4Q 2012 ETF Net Cash Flows Estimates
January 2, 2013--We estimate that net cash inflows into US-listed ETFs were $51.8 billion during the fourth quarter of 2012. The report contains our estimates and analysis of 4Q 2012 ETF flows for the US
market.
Once official data are released, we will publish our more comprehensive flow analysis.
The $51.8 billion during 4Q 2012 is above the $35.8 billion average quarterly net cash inflows over the past three years.
For 2012, we estimate ETF net inflows at $185.2 billion, which eclipses the previous high-water mark of $174.6 billion in net cash inflows set in 2007. US-listed ETF assets are now over $1.3 trillion, which is roughly 27% higher than from the end of 2011.
The largest net cash inflows went into ETFs tracking Emerging Markets equity and International Developed Markets equity indices. These segments had net cash inflows of $15.2 and $10.3 billion in 4Q 2012 bringing their total inflows for 2012 to $29.7 and $16.2 billion, respectively. For 2012, ETFs tracking Fixed Income indices had the highest net cash inflows at $50.4 billion, of which $9.1 billion came in the fourth quarter. Currency ETFs was the only segment to post net outflows ($2.6 billion) in 2012.
BlackRock’s net cash inflows of $27.2 billion in 4Q 2012 and $61.8 billion for the full year were the largest of any provider.
As of 12/31/12, BlackRock, State Street and Vanguard accounted for over 79% of ETF assets.
There were 25 ETFs launched and 38 liquidated in the US during 4Q 2012. There were 155 ETFs issued and 82 closures in 2012 (additional 16 liquidations announced for 2013).
As of 12/31/12, there were 37 issuers with 1,239 ETFs. Roughly $9 billion in total ETF market cap is from ETFs issued over the past year. The most successful recent launches (by total assets) have focused on fixed income securities.
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Source: Morgan Stanley
ETFS Physical Silver Shares Shares Cross Above 200 DMA
January 2, 2013--In trading on Wednesday, shares of the ETFS Physical Silver Shares ETF (AMEX: SIVR) crossed above their 200 day moving average of $30.50, changing hands as high as $31.17 per share.
ETFS Physical Silver Shares shares are currently trading up about 3.3% on the day. The chart below shows the one year performance of SIVR shares, versus its 200 day moving average:
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Source: Forbes
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios- Diversified Momentum Portfolio Update
Diversified Momentum Update as of December 31st, 2012
January 2, 2013--Global Sectors Portfolio boosts DMP performance
Market Performance
The US equity market (SPY) swung up and down at the tune of the "Fiscal Cliff" negotiations during December just to end up slightly positive.
The broad US Fixed Income market (BND) was down by 1.07%, and the Commodity market (DBC) retreated similarly by 1.14% during the same period.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) was up by 0.92% in December. While the equity market and our multi asset class benchmark were mixed, with the first up by 0.18% and the second one down by 0.46%, respectively.
Portfolio Updates and New Membership
Most of the portfolios experienced almost a complete membership reconstitution. In terms of portfolio weights, the asset class weights remained unchanged. Global Sectors remain the top allocation with 40%, followed by Currencies, Commodities, and Treasuries with 30%, 20%, and 10%, respectively.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy-North America
ISE Reports it is The Largest Equity Options Exchange in December
ISE is the largest equity options exchange in December 2012 with a market share of 18.6%.
Average daily volume for the full year 2012 was 2.5 million contracts, a decrease of 18.1% over 2011.
Dividend trades make up 10.0% of industry volume in December 2012 and 6.2% of total industry volume for 2012.
January 2, 2013--The International Securities Exchange (ISE) today reported average daily volume of 2.4 million contracts in December 2012, an increase of 6.1% over December 2011.
Total options volume for the month was 47.8 million contracts. ISE was the largest U.S. equity options exchange in December 2012 with market share of 18.6%*.
Average daily volume for full year 2012 was 2.5 million contracts, a decrease of 18.1% over 2011. Total volume for the year was 631.8 million contracts. ISE was the second largest U.S. equity options exchange in 2012 with market share of 18.1%*.
Business highlights for the full year 2012 include:
Corporate
In July, ISE announced that it had filed a Form 1 application for a second exchange license with the Securities and Exchange Commission. ISE plans to launch its second options exchange platform in 2013, pending SEC approval.
ISE announced its partnership with AlphaClone LLC, the leader in hedge fund position replication, to promote AlphaClone's innovative hedge fund position replication index, the AlphaClone Hedge Fund Long/Short Index. This agreement combined the global experience of ISE with AlphaClone's distinct disclosure-based hedge fund replication approach, called cloning. Third-party licensees will be able to leverage ISE’s business development and marketing support to effectively bring AlphaClone’s innovative research and products to market.
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Source: International Securities Exchange (ISE)
Morgan Stanley-Exchange-Traded Funds
December 31, 2012--US ETF Weekly Update
Weekly Flows: $6.2 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 26% YTD
No ETF Launches Last Week
Two Guggenheim BulletShares ETFs Mature
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $6.2 bln last week, the 6th consecutive week of net inflows
Net inflows were led by US Large-Cap and International Equity ETFs, which posted combined net inflows of $5.6 bln
Fixed Income ETFs have posted net outflows for three straight weeks, but posted net inflows of $9.0 bln over the last 13 weeks
ETF assets stand at $1.3 tln (up 26% in 2012) and posted net inflows 41 out of 52 weeks in 2012 ($180.6 bln)
13-week flows were mostly positive among asset classes; combined $50.9 bln net inflows
International Equity ETFs have exhibited net inflows of $25.1 bln over the past 13 weeks
Over the last 13 weeks, US Small- & Micro-Cap and Leveraged/Inverse ETFs have posted net outflows of $2.0 bln and $1.0 bln, respectively, the largest of the categories we measured
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The SPDR S&P 500 ETF (SPY) posted net inflows of $2.4 bln last week, the most of any ETF
SPY has now posted net inflows for six consecutive weeks, totaling $20.5 bln, as investors position for year end (i.e., tax planning and locking in returns), in our opinion
The iShares MSCI Emerging Markets Index Fund (EEM) had another impressive week posting net inflows of $917 mln; over the last 13 weeks, EEM has exhibited net inflows of $8.9 bln, the most of any ETF
The PowerShares QQQ (QQQ) has posted net outflows of $2.5 bln over the last 13 weeks, the most of any ETF
US-Listed ETFs:
Short Interest
Data Updated:
Based on data as of 12/14/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $759 mln
Despite the climb in short interest last period, SPY’s shares short remain 14% below their 52-week average
Aggregate ETF USD short interest increased by $1.2 bln over the past two weeks ended 12/14/12
The average shares short/shares outstanding for ETFs is currently 5.1%
Smaller ETFs by market cap may skew results (three of the top 10 with the highest % of shares short have market caps <$5 mln)
Retail ETFs consistently are some of the most heavily shorted ETFs (shares short as a % of shares outstanding)
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
Source: Bloomberg, Morgan Stanley Smith Barney Research.
Data estimated as of 12/28/12 based on daily change in share counts and daily NAVs.
$8.9 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 50% 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 $3.9 bln
155 new ETF listings and 82 closures YTD (already 16 announced closures to occur in 2013)
The top 10 most successful launches make up 71% 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
The four iShares Core ETFs, part of a series of recently launched (October 2012) low-cost, retail-focused ETFs, have a combined market cap of $634 million; in particular, the iShares Core MSCI EAFE ETF (IEFA) and the iShares Core MSCI Emerging
Markets ETF (IEMG) have posted impressive net inflows
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Source: Morgan Stanley
