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DB-Synthetic Equity & Index Strategy-North America-US ETF Weekly Review-US ETPs received $11bn inflows mostly due to Large Cap funds
December 17, 2012--Market and Net Cash Flows Review
Markets were mixed during last week. The US (S&P 500) fell by 0.32%; While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 1.17% and 1.84%, respectively. Moving on to other asset classes, the 10Y US Treasury Yield rose by 8 bps last week; while the DB Liquid Commodity Index ended the week flat.
In the meantime, the Agriculture sector (DB Diversified Agriculture Index) pulled back by 1.13% and the WTI Crude Oil rose 0.93%, while Gold and Silver prices retreated by 0.47% and 2.40%, respectively. Last but not least, Volatility (VIX) rose by 6.92% during the same period.
The total US ETP flows from all products registered $11.06bn (+0.8% of AUM) of inflows during last week vs. $1.08bn (+0.1%) of inflows the previous week, setting the YTD weekly flows average at +$3.3bn (+$166.33bn, +15.9% YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$11.25bn (1.23%), -$0.28bn (-0.11%), +$0.11bn (0.1%) last week vs. -$0.39bn (-0.04%), +$1.14bn (0.44%), +$0.4bn (0.33%) in the previous week, respectively.
Among US sectors, Industrials (+$0.37bn, +6.4%) received the only significant inflows, while Information Technology (-$0.64bn, -4.0%) and Materials (-$0.19bn, -2.2%) experienced the largest outflows.
Within Equity ETPs, Large Cap products had the largest inflows (+$7.0bn, +3.3%); while US Sector products had the largest outflows of $0.5bn (-0.4%). Within Fixed Income ETPs, Sub-Sovereign products had the largest inflows (+$0.2bn, +0.6%); meanwhile Sovereign (-$0.7bn, -1.1%) ETPs experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: SPY (+$5.4bn), EEM (+$2.1bn), IVV (+$1.2bn) Top 3 ETPs & ETNs by outflows: XLK (-$0.6bn), XLF (-$0.3bn), TIP (-$0.3bn)
New Launch Calendar: global merger arbitrage
There was 1 new ETF listed on the BATS exchange during the previous week. The new fund offers exposure to a global merger arbitrage strategy.
Turnover Review: Floor activity increased by 3.8%
Total weekly turnover increased by 3.8% to $261.7bn vs. $252.2bn from the previous week. Equity and Fixed Income ETPs turnover increased by $8.8bn (+3.9%) and $1.5bn (+9.9%), respectively; while Commodity ETPs turnover decreased by 6.5% (-$0.8bn).
Assets under Management (AUM) Review:
US ETPs reach $1.32 trillion
US ETP assets keep reaching new highs, reaching $1.316 trillion during last week. As of last Friday, US ETPs have accumulated an asset growth of 25.8% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved +$15.0bn, -$0.7bn, -$0.4bn during last week, respectively.
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Source: Deutsche Bank -Synthetic Equity & Index Strategy -North America
Morgan Stanley-ETF Weekly Update
December 17, 2012--Weekly Flows: $10.5 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 26% YTD
One ETF Launch Last Week
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US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $10.5 bln last week, the 4th consecutive week of net inflows
Net inflows were led by US Large-Cap and Emerging Market Equity ETFs, which posted combined net inflows of $9.7 bln
ETF assets stand at $1.3 tln (up 26% YTD) and have posted net inflows 39 out of 50 weeks in 2012 ($164.4 bln YTD)
ETF flows are on pace for their highest amount since 2008 when net inflows totaled nearly $175 bln
13-week flows were mostly positive among asset classes; combined $52.0 bln net inflows
Despite posting net outflows last week, Fixed Income ETFs have posted net inflows 66 out of the past 70 weeks; including $11.6 bln over the past 13 weeks
International Equity ETFs have exhibited net inflows of $20.8 bln over the past 13 weeks
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 12/14/12 based on daily change in share counts and daily NAVs.
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The SPDR S&P 500 ETF (SPY) posted net inflows of $5.0 bln last week, the most of any ETF
The iShares MSCI Emerging Markets Index Fund (EEM) had another impressive week, posting net inflows of $2.1 bln; EEM has not posted a weekly net outflow since the week of 8/27/12 (net inflows of $7.6 bln over that period)
Improving Chinese macro data have led to net inflows in China, specifically the iShares FTSE China 25 Index Fund (FXI) has come
alive the past 13 weeks, generating net inflows of $2.3 bln
Despite modest net inflows last week, the PowerShares QQQ (QQQ) has exhibited net outflows of $3.1 bln over the last 13 weeks, the most of any ETF
US-Listed ETFs: Short Interest Data Updated: Based on data as of 11/30/12
iShares Russell 2000 Index Fund (IWM) had the largest increase in USD short interest at $625 mln
IWM’s shares short climbed for the 4th period in a row, however remain 13% below their 52-week average
Aggregate ETF USD short interest decreased by $154 mln over the past two weeks ended 11/30/12
The average shares short/shares outstanding for ETFs is currently 4.4%
Smaller ETFs by market cap may skew results (three of the top 10 with the highest % of shares short have market caps <$25 mln)
The CurrencyShares Euro Trust (FXE) is the most heavily shorted ETF at 232%; based on recent FXE performance, shorting the euro has not been a good trade
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 12/14/12 based on daily change in share counts and daily NAVs.
$8.3 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 52% 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
147 new ETF listings and 79 closures YTD (IndexIQ announced an additional closure to take place on 12/18)
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
Interestingly, the iShares MSCI Global Select Metals & Mining Producers Fund (PICK) is the most successful equity launch over the past year; PICK owns global companies involved in the production and extraction of metals, aluminum, steel, and precious
metals and minerals, ex-gold and silver
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Source: Morgan Stanley
Treasury International Capital Data for October
December 17, 2012--The U.S. Department of the Treasury today released Treasury International Capital (TIC) data for October 2012.
The next release, which will report on data for November 2012, is scheduled for January 16, 2013.
The sum total in October of all net foreign acquisitions of long-term securities, short-term U.S. securities, and banking flows was a monthly net TIC outflow of $56.7 billion. Of this, net foreign private outflows were $56.4 billion, and net foreign official outflows were $0.3 billion.
Foreign residents increased their holdings of long-term U.S. securities in October – net purchases were $28.4 billion. Net purchases by private foreign investors were $22.3 billion, and net purchases by foreign official institutions were $6.2 billion.
At the same time, U.S. residents increased their holdings of long-term foreign securities, with net purchases of $27.1 billion
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Source: US Department of the Treasury
S&P Dow Jones Indices Announces Changes In Canadian Indices - A Deletion From S&P/TSX Venture Composite Index
December 17, 2012--The shareholders of Shona Energy Company, Inc. (TSXVN:SHO) have approved the Plan of Arrangement whereby the company will be acquired by Canacol Energy Ltd. (TSX:CNE).
Shareholders of Shona Energy will receive 1.0573 shares of Canacol Energy and $CDN0.0896 cash per share held.
Shona Energy will be removed from the S&P/TSX Venture Composite Index after the close of Monday, December 17, 2012.
Source: S&P Dow Jones Indices
Nasdaq revises ETF liquidity pilot
December 16, 2012--Ahead of a deadline for the Securities and Exchange Commission to accept or reject its exchange traded fund market-maker payment proposal, Nasdaq has pulled its filing and submitted a new pilot plan to address industry and regulator concerns.
The proposal broadly follows Nasdaq’s original proposal from April, one that the exchange says will help smaller ETFs attract the attention of market makers who help increase liquidity and lower bid-ask spreads on the open market.
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Source: NASDAQ OMX
SSGA files with the SEC
December 14, 2012--SSGA has filed a post-effective amendment, registration statement with the SEC for the
SPDR SSgA Risk Aware ETF
SPDR SSgA Large Cap Risk Aware ETF
SPDR SSgA Small Cap Risk Aware ETF.
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Source: SEC.gov
CFTC.gov Commitments of Traders Reports Update
December 14, 2012--The current reports for the week of December 11, 2012 are now available.
view updates
Source: CFTC.gov
Rafferty Asset Management Closing Three Exchange Traded Funds
December 14, 2012--The Board of Trustees of the Direxion Shares ETF Trust has decided to liquidate and shutter three exchange-traded funds ("Funds") based on the recommendation of Rafferty Asset Management, LLC, the Trust's advisor.
Due to the Funds' inability to attract sufficient investment assets, Rafferty believes they cannot continue to conduct their business and operations in an economically efficient manner. As a result, the Board concluded that liquidating and shuttering the Funds would be in the best interests of the Funds and their shareholders.
The Trust will close the following funds: Direxion Large Cap Insider Sentiment Shares (INSD), Direxion S&P 1500 DRRC Index Volatility Response Shares (VSPR) and Direxion S&P Latin America 40 DRRC Index Volatility Response Shares (VLAT).
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Source: Rafferty Asset Management, LLC
CFTC's Division of Market Oversight Issues No-Action Letter Addressing Timeline for Swap Dealer Compliance with Large Swap Trader Reporting Rules
Decemeber 14, 2012--The Division of Market Oversight (DMO) of the Commodity Futures Trading Commission (CFTC) today issued a letter addressing the timeline within which non-clearing member swap dealers must come into compliance with the large swap trader reporting requirements of Part 20 of the CFTC's regulations.
Part 20 establishes large trader reporting requirements for physical commodity swaps and swaptions. Clearing organizations and clearing members are already required to be in compliance with the reporting requirements of Part 20.
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Source: CFTC.gov
ISE Weekly Listings, December 14, 2012
December 14, 2012--The International Securities Exchange (ISE) listed new options classes during the week beginning December 10, 2012 as described below.
Effective Wednesday, December 12, 2012, the ISE will list options on the following product(s) along with their related symbol(s):
Bin 4 - Citadel Securities LLC Equity
FleetCor Technologies Inc. (Symbol: FLT, Trading Symbol(s): FLT) will trade on a February expiration cycle with exercise and position limits of 75000. Given Imaging Ltd. (Symbol: GIVN, Trading Symbol(s): GIVN) will trade on a February expiration cycle with exercise and position limits of 25000.
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Source: International Securities Exchange (ISE)
