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DB Global Equity Research: US ETF Market Weekly Review : GLD overtakes SPY as the largest ETP due to risk off trade
August 23, 2011-Risk off trade continues expanding amidst glooming economic outlook
This week's title says it all. Market sentiment kept wearing down throughout last week, especially after the Philly Fed Survey results came out significantly lower-than-expected increasing the likelihood of recession thus taking a toll on the equity markets. Equity markets in the US (S&P 500) plunged by 4.69% by the end of last week, while Gold prices advanced 6.02%. Market movements and flows have crowned a new king among ETPs: GLD.
The total US ETP flows from all products were $1.1bn of inflows last week vs $7.5bn of outflows the previous week, setting the YTD weekly flows avg. at +$1.7bn.
As weeks go by we just see signs of expansion for the risk off trade. Within long only US ETPs, Equity products added another round of outflows (-$3.1bn) last week and completed 4 weeks of straight negative flows for a total of -$18.7bn in such period. At the same time, we have seen increasing and consistent inflows to Fixed Income and Commodity ETPs. Last week Fixed Income funds received $2.0bn of inflows, lead by IG funds with $1.6bn; similarly Commodity ETPs also received $2.0bn in inflows, driven almost exclusively by Gold products with $1.9bn. On a quarter to date basis, Equity, Fixed Income, and Commodity products have recorded flows of -$8.7bn, +$4.5bn, and +$6.2bn (Figure 1).
Recently, another face of the risk off trade has been most notable among long only US-focused Sector ETPs. Flows pattern among sectors grouped by business cycle sensitivity suggest that fears about a US recession have increased. In the risk off trades earlier this year we had seen outflows from Global Cyclicals, inflows to Defensives, and flat flows to Domestic Cyclicals, suggesting that most of the defensive trade was being fueled by global growth concerns; however sector allocations took a clear shift during last week with Domestic Cyclicals experiencing massive outflows of $2.9bn, while Global Cyclicals recorded $1.6bn of outflows and Defensives received $518m in inflows (Figure 2).
New Launch Calendar: Multiple Asset Class choices joined the ETF offering
There were four new ETPs and one ETN launched in the NYSE Arca during the last week. The new products offer access to US Mortgage REITs, Target Date funds, Emerging Markets Small Cap stocks and Volatility exposure
Turnover Review: floor activity pulls back after record highs
Total weekly turnover decreased by 40.8% to $516bn vs. $872bn in the previous week. The largest decrease was on Equity ETP turnover which fell by $308bn or 40.3% to $456bn. Commodity ETPs turnover decreased by $26bn to $33.9bn last week, mainly driven by Precious Metals ETPs. Finally, Fixed Income products turnover decreased by 47.1% totaling $21.9bn at the end of last Friday.
Assets Under Management (AUM) Review: AUM "recession"
The economy may not be in recession yet, but ETP AUM growth already entered into negative territory for 2011. Assets dropped by $20.5bn or 2.1% falling to $982bn as of the end of last Friday. On a YTD basis ETPs have recorded negative growth of 1.3% or a $13.4bn slip.
to request report
Source: Deutsche Bank - Equity Research
Vanguard to launch six ETFs in Canada
August 23, 2011--U.S. investment fund goliath Vanguard Group Inc. has filed a preliminary prospectus to launch six exchange-traded funds (ETFs) in Canada.
The stock ETFs include Vanguard MSCI Canada and the Vanguard MSCI Emerging Markets, as well as the Vanguard MSCI U.S. Broad Market and Vanguard MSCI EAFE, which will both be hedged to Canadian dollars. The bond category includes Vanguard Canadian Aggregate Bond and Vanguard Canadian Short-Term Bond ETFs.
Vanguard, founded by index-investing champion John Bogle and known for its rock-bottom fees, is the latest player to jump into the Canadian ETF market that is dominated by the iShares Canada division of U.S.-based Blackrock Inc.
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Source: Globe and Mail
FlexShares files with the SEC
August 22, 2011--FlexShares has filed a third amended and restated application for exemptive relief with the SEC.
view filing
Source: SEC.gov
Pimco files with the SEC
August 22, 2011--Pimco has filed a post-effective amendment, registration statement with the SEC for the PIMCO Foreign Currency Strategy Exchange-Traded Fund (FORX), an actively-managed ETF.
view filing
Source: SEC.gov
Deutsche Bank to Repurchase Three ELEMENTS(SM) Exchange Traded Notes
August 22, 2011--Deutsche Bank announced today the repurchase of all outstanding securities in three ELEMENTSSM Exchange Traded Notes (ETNs) linked to the Benjamin GrahamSM indexes, pursuant to its repurchase right under the terms of the ETNs.
The ETNs are:
ELEMENTSSM Benjamin Graham Total Market Value Index-Total Return ETN (NYSE Arca:BVT)
ELEMENTSSM Benjamin Graham Large Cap Value Index-Total Return ETN (NYSE Arca:BVL)
ELEMENTSSM Benjamin Graham Small Cap Value Index-Total Return ETN (NYSE Arca:BSC)
Holders of the ETNs as of August 23, 2011 (the “repurchase valuation date”) will receive a cash payment in an amount equal to the daily repurchase value on such date. The payment of the repurchase value is expected to be made on August 26, 2011 (the “repurchase date”), the third business day following the repurchase valuation date. The repurchase valuation date and the repurchase date are subject to postponement for certain market disruptions events. The daily repurchase value on the repurchase valuation date will be made available on the product website at www.elementsetn.com as soon as practicable after August 23, 2011. The ETNs are expected to be suspended from trading on August 25, 2011.
Source: Deutsche Bank
EGA Emerging Global Shares files with the SEC
August 19, 2011--EGA Emerging Global Shares has filed a post-effective amendment no.15, registration statement with the SEC for the EGShares China Mid Cap ETF.
view filing
Source: SEC.gov
CFTC.gov Commitments of Traders Reports Update
August 19, 2011--The current reports for the week of August 16, 2011 are now available.
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Source: CFTC.gov
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
August 19, 2011--Standard & Poor's Canadian Index Operations announces the following index changes:
On August 18, 2011, the bid by Canadian Tire Corporation (TSX:CTC.A) to acquire Forzani Group Ltd. (TSX:FGL) expired. Canadian Tire will acquire Forzani Group for $CDN26.50 cash per share.
Forzani Group will be removed from the S&P/TSX Composite and Capped Composite, the S&P/TSX Completion and Equity Completion, the S&P/TSX Equity and Capped Equity,the S&P/TSX SmallCap and Equity SmallCap, the S&P/TSX Capped Consumer Discretionary and the S&P/TSX Composite Dividend Indices effective after the close of Wednesday, August 24, 2011.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
Component Changes Made To Dow Jones China Indexes
August 19, 2011--Dow Jones Indexes, a leading global index provider, today announced component changes in the Dow Jones China Broad Market, Dow Jones Shanghai, Dow Jones CBN China 600 and Dow Jones CBN China 600 Retail Blue-Chip Indexes.
Due to its acquisition by Shanghai Friendship Group Inc Co A (Retail, 600827.SH), Shanghai Bailian Group Co. Ltd. (Retail, 600786.SH) will be deleted from the Dow Jones China Broad Market, Dow Jones Shanghai, Dow Jones CBN China 600 and Dow Jones CBN China 600 Retail Blue-Chip Indexes.
China Avic Avionics Equipment Co. Ltd. (Automobiles & Parts, 600372.SH) will replace Shanghai Bailian Group Co. Ltd. in the Dow Jones CBN China 600 Index.
Hefei Department Store Group Co. Ltd. (Retail, 000417.SZ) will replace Shanghai Bailian Group Co. Ltd. in the Dow Jones CBN China 600 Retail Blue-Chip Index.
No new component will be added to the Dow Jones China Broad Market and Dow Jones Shanghai Indexes at this time.
The changes in the Dow Jones China Broad Market, Dow Jones Shanghai, Dow Jones CBN China 600 and Dow Jones CBN China 600 Retail Blue-Chip Indexes will be effective as of the open of trading on Tuesday, August 23, 2011.
Further information about the Dow Jones China Indexes is available at www.djindexes.com
Source: Dow Jones Indexes
CFTC’s Office of Chief Economist to Host Conference on Commodity Markets
August 19, 2011--The Commodity Futures Trading Commission’s (CFTC) Office of Chief Economist will host a high-level research conference on August 25-26, 2011, to discuss key issues affecting commodity markets. CFTC Chairman Gary Gensler will give opening remarks at 9 a.m. on August 25, 2011.
The first day of the conference will feature presentations of academic papers grouped into three distinct subject areas: commodity index trading, market sentiment, and hedging and arbitrage.
The second day will consist of two academic panels. The first panel, organized jointly with the Energy Information Administration (EIA) of the U.S. Department of Energy, will focus on issues related to the energy markets. The second panel, organized jointly with the Economic Research Service (ERS) of the U.S. Department of Agriculture, will address issues associated with the agricultural markets.
Howard Gruenspecht, Acting Administrator of the EIA, will give opening remarks at the beginning of the first panel. Laurian Unnevehr, Acting Administrator of the ERS, will give opening remarks at the beginning of the second panel.
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Source: CFTC.gov
