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Morgan Stanley-US ETF Weekly Update
October 1, 2012--US ETF Weekly Update
Weekly Flows: $7.7 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 23% YTD
Two ETF Launches Last Week
ProShares Announces Share/Reverse Share Splits
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $7.7 bln last week, the ninth consecutive week of net inflows
US Equity ETFs generated $5.1 bln in net inflows last week, capturing 66% of net inflows
ETF assets stand at $1.3 tln (up 23% YTD) and have posted net inflows 31 out of 39 weeks this year
YTD net inflows of $129.8 bln are 71% higher compared to the $76.1 bln in net inflows at this point last year
13-week flows were mostly positive among asset classes; combined $58.3 bln net inflows
US Large-Cap ETFs have generated net inflows of $13.0 bln over the last 13 weeks, the most of any category
Fixed Income ETFs have posted net inflows 57 out of the past 59 weeks; including $8.1 bln over the past 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $3.4 bln, its 6th consecutive week of net inflows
The iShares Barclays 20+ Year Treasury Bond Fund (TLT) rebounded last week, posting net inflows of $407 mln; TLT has exhibited net outflows five out of the past seven weeks as investors have fled Treasury ETFs
Although both dividend paying and high yield bond ETFs have gathered significant inflows YTD, the iShares DJ Select Dividend
Index Fund (DVY) and the SPDR Barclays Capital High Yield Bond ETF (JNK) posted the largest net outflows last week
US-Listed ETFs: Short Interest Data Updated: Based on data as of 9/14/12
SPDR Gold Trust (GLD) had the largest increase in USD short interest at $857 mln
Despite posting net inflows for nine straight weeks and exhibiting strong market returns, GLD’s shares short climbed to their
second highest level of 2012
Aggregate ETF USD short interest increased by $3.7 bln over the past two weeks ended 9/14/12
The average shares short/shares outstanding for ETFs is currently 4.9%
Smaller ETFs by market cap may skew the results (4 of the top 10 with the highest % of shares short have market caps <$30 mln)
Both the euro and Yen ETFs are among the most heavily shorted despite exhibiting low correlations and often being used to express opposing views
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 9/28/12 based on daily change in share counts and daily NAVs.
$8.6 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs generated the largest 13-week net inflows at $1.2 bln (PIMCO Total Return ETF-BOND and First Trust North American Energy Infrastructure Fund-EMLP had the largest net inflows in the space)
130 new ETF listings and 44 closures YTD (additional 29 liquidations have been announced)
Over the past year, many of the successful launches have an income/defensive orientation
Six different ETF sponsors and three asset classes represented in top 10 most successful launches
Over the past year BlackRock has launched 29% of all ETFs and commands 36% of new market share, the most of any sponsor
Top 10 most successful launches account for 73% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
Invesco Canada announces fund closures
October 1, 2012--Invesco Canada Ltd. today announced that Invesco Global Equity Fund (Series A, F and I) will terminate on or about Friday, December 21, 2012.
Prior to the close of the Fund, unitholders will have the option to switch their investments into any of Invesco Canada's family of funds or to redeem their units.
Additionally, PowerShares FTSE RAFI Emerging Markets Fundamental Index ETF will terminate on Friday, December 14, 2012. No investors will be affected by this closure, as the ETF was never offered to the public or listed on any exchange due to current market conditions.
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Source: Invesco Canada Ltd.
US court scraps CFTC position limits rule
September 29, 2012--A US court has rejected a proposal by the Commodity Futures Trading Commission that aimed to limit speculation in commodity markets.
The “position limits” rule was to take effect in two weeks. It would have capped holdings of futures and options for 28 commodities and their derivatives, from crude oil to corn and cocoa, expanding existing limits to contracts for any delivery month.
read more
Source: FT.com
Statement of Chairman Gary Gensler on Position Limits
September 28, 2012--As part of the Dodd-Frank Act, Congress directed the Commission to impose limits on speculative positions in physical commodity futures and options contracts and economically equivalent swaps.
The Rule addresses Congress’ concern that that no single trader is permitted to obtain too large a share of the market, and that derivatives markets remain fair and competitive. I believe it is critically important that these position limits be established as Congress required. I am disappointed by today’s ruling, and we are considering ways to proceed.”
Source: CFTC.gov
SEC Announces Panelists for Market Technology Roundtable on October 2
September 28, 2012--The Securities and Exchange Commission today announced the panelists who will participate in the agency's October 2 market technology roundtable that will discuss the relationship between the operational stability and integrity of the securities markets and the ways that market participants design, implement, and manage complex and interconnected trading technologies.
The morning portion of the event will focus on the prevention of errors, including discussion about current best practices and the practical constraints for creating, deploying, and operating systems used to automatically generate and route orders, match trades, confirm transactions, and disseminate data. The afternoon panel discussion will focus on error response, with experts discussing how the market might employ independent filters, objective tests, and other real-time processes or crisis-management procedures to detect, limit, and stop erroneous market activities when they occur.
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Source: SEC.gov
CFTC.gov Commitments of Traders Reports Update
September 28, 2012--The current reports for the week of September 25, 2012 are now available.
view updates
Source: CFTC.gov
SEC Issues Report on Brokerage Firms' Handling of Confidential Information
September 27, 2012--The Securities and Exchange Commission today issued a staff report intended to help broker-dealers safeguard confidential information from misuse, such as insider trading.
The report by the Office of Compliance Inspections and Examinations (OCIE) describes strengths and weaknesses identified in examinations into how broker-dealers keep material nonpublic information from being misused.
This report should help broker-dealers assess the effectiveness of their controls over sensitive information,” said OCIE Director Carlo di Florio. “The report illustrates the types of conflicts of interest that may arise between a broker-dealer’s obligations to clients that provide confidential information for business purposes and the potential misuse of such information for insider trading or other improper ends. It also describes various methods that broker-dealers use to identify and effectively manage such conflicts, including information barriers that limit the flow of sensitive information.”
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Source: SEC.gov
SEC reviewing technology at brokerages following glitches
SEC examiners asking brokerages questions on technology
First leg of SEC exam process started in June
Second leg of exam began after Knight glitch in August
Results will help SEC in policymaking on automated trading
September 27, 2012--The U.S. Securities and Exchange Commission has launched a broad review into technology issues at major brokerage firms, specifically looking at whether they have proper controls to address errors, people familiar with the matter said on Wednesday.
The SEC's review was prompted by a string of recent events, including a software glitch at Knight Capital which led to a $440 million trading loss, nearly bankrupted the firm and sent the market-maker scrambling for investors.
read more
Source: Reuters
FINRA Issues New Investor Alert: When Trading Stops: What You Need to Know About Halts, Suspensions and Other Interruptions
September 27, 2012--The Financial Industry Regulatory Authority (FINRA) today issued a new Investor Alert called When Trading Stops: What You Need to Know About Halts, Suspensions and Other Interruptions.
While trading in most stocks takes place without interruption, FINRA's new Alert explains how, when and why interruptions in trading occur, and discusses both what brokers are required to do and what investors should do in these situations.
When a company is listed on a U.S. stock exchange, it agrees to notify the listing exchange about any corporate developments that could affect trading activity in its stock—before announcing them to the public. Stock exchanges have the authority to halt trading based on their evaluation of a given announcement. These regulatory halts tend to be relatively short and are designed to allow prompt and full dissemination of the news to the marketplace at large. While the halt is in effect, brokers are prohibited from publishing quotations or indications of interest, or trading the stock.
view the When Trading Stops: What You Need to Know About Halts, Suspensions and Other Interruptions alert
Source: FINRA
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Deletion From The S&P/TSX Venture Composite Index
September 27, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
Luna Gold Corp. (TSXVN:LGC) will be removed from the S&P/TSX Venture Composite Index after the close of trading on Friday, September 28, 2012.
The company will graduate to trade on TSX under the same ticker symbol.
Source: Standard & Poor's
