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Morgan Stanley-US ETF Weekly Update
September 28, 2015--US ETF Weekly Update
Weekly Flows: $7.7 Billion Net Outflows
ETFs Have Exhibited Net Outflows Seven of the Last 13 Weeks
High-conviction ETF Recommendations Slide: No Changes
ETF Assets Stand at $2.0 Trillion, Flat YTD
Eight ETF Launches Last Week
PIMCO Closes Three ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $7.7 bln last week; ETFs have exhibited net outflows seven of the last 13 weeks
Largest weekly net outflows since the week of 4/27/15
Last week's net outflows were led by US Large-Cap ETFs at $5.5 bln; conversely, International-Developed ETFs posted net inflows of $966 mln, the most of any category we measured
Eight of the 15 categories we measured posted net outflows last week
ETFs have generated net inflows 27 of 39 weeks YTD
ETF assets stand at $2.0 tln, flat YTD
13-week flows remain positive among most asset classes; combined $37.7 bln in net inflows
Fixed Income ETFs generated net inflows of $19.3 bln over the last 13 weeks, the most of any category we measured and meaningfully higher than the next largest category, US Large-Cap ETFs, which had $12.6 bln in net inflows
Fixed Income ETF market share is currently at 17%, up from 15% at this point last year
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares MSCI EMU ETF (EZU) posted net inflows of $623 mln last week, leading all ETFs
The Utilities Select Sector SPDR (XLU) got a renewed bid last week, generating net inflows of $369 mln, accounting for 6% of its current market cap-Interestingly, the SPDR Gold Trust (GLD) also had a solid week, posting net inflows of $221 mln; GLD's net inflows were its largest since the week of 6/22/15
Eight of the 10 ETFs to exhibit the largest net outflows last week were US equity-based
The SPDR S&P 500 ETF (SPY) posted net outflows of $4.8 bln last week, the most of any ETF; SPY gave back a portion of the prior week's $14.6 bln net inflows
Over the last 13 weeks, the Vanguard FTSE Emerging Markets ETF (VWO) had net outflows of $3.3 bln, the most of any ETF
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading surged in August to 30% relative to July's 25% reading; over the last five years, ETF monthly $ volume as a % of listed trading volume averaged 27%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume was down $17 bln last week compared to the prior week and is 5% below its 13-week average; recent market volatility has driven ETF volume higher
US Large-Cap ETFs accounted for 44% of ETF $ volume last week compared to their 13-week average of 46% and their 25% market cap share
US-Listed ETFs: Short Interest Data Updated: Based on data as of 9/15/15
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $12.6 bln
SPY's shares short at 437 mln are at their highest level since 9/15/11 and are up 46% since 6/30/15
The Industrials Select Sector SPDR (XLI) also had a big increase in short interest last period, up $914 mln; XLI's shares short are at their highest level of all time
635 ETFs exhibited short interest increases while 717 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $14.9 bln over the period ended 9/15/15
The average shares short/shares outstanding for ETFs is currently 3.8%, flat from last period
For the seventh consecutive period the Market Vectors Semiconductor ETF (SMH) occupied the top spot as the most heavily shorted ETF as a % of shares outstanding at 570%
Seven of the 10 most heavily shorted ETFs as a % of shares outstanding are sector/industry based (SMH, XRT, XBI, IYR, DRV, XOP, OIH)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only five ETFs exhibited shares short as a % of shares outstanding greater than or equal to 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$8.6 bln in total market cap of ETFs less than 1-year old
Over the last 13 weeks, recently launched Active ETFs generated net inflows of $560 mln, more than any other category; Active ETFs account for 27% of recently launched market share
Notably, 63 International-Developed ETFs were launched over the last year as ETF sponsors have issued products in an area that has exhibited strong net inflows recently
199 new ETF listings and 67 closures YTD
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Source: Morgan Stanley
H.R. 2356, Fair Access to Investment Research Act of 2015
September 28, 2015--Under current law, the Securities Exchange Commission's (SEC's) rules generally prohibit an issuer from offering securities for sale without filing a registration statement with the agency. H.R. 2356 would establish a safe harbor that would allow broker-dealers to issue research reports about certain investment funds without such reports being considered as an offering for sale of shares of those funds.
To be eligible for the safe harbor, the research reports would need to meet certain requirements (for example being distributed with reasonable regularity in the normal course of business).
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Source: Congressional Budget Office (CBO)
Finra Alert-Smart Beta-What You Need to Know
September 25, 2015--Many investors are familiar with index funds, which are mutual funds and exchange-traded funds (ETFs) that seek to track the performance of a particular benchmark index.
A few of the oldest and best-known indices that these funds track, such as the Dow Jones Industrial Average, are price weighted. In other words, the higher the stock price of Company X, the more weight Company X has in determining the value of the index.
Most other widely known indices, including the S&P 500, NASDAQ 100 and Russell 2000, use a company's market capitalization to determine how much weight that particular stock will have in the index. Market cap is the company's share price multiplied by number of shares outstanding. So with a market-cap-weighted index, stocks with a higher market cap value account for a greater share of the overall value of the index.
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Source: Finra
SEC Proposes Liquidity Management Rules For Mutual Funds And ETFs
September 22, 2015--The Securities and Exchange Commission today voted to propose a comprehensive package of rule reforms designed to enhance effective liquidity risk management by open-end funds, including mutual funds and exchange-traded funds (ETFs).
"Promoting stronger liquidity risk management is essential to protecting the interests of the millions of Americans who invest in mutual funds and exchange-traded funds," said SEC Chair Mary Jo White. "These significant reforms would require funds to better manage their liquidity risks, give them new tools to meet that requirement, and enhance the Commission's oversight."
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Source: SEC.gov
'Flash Boys' Heroes Ask For Stock Exchange Status
IEX applies to convert into an exchange like NYSE, Nasdaq
Move could help boost its market share from about 1.4%
September 16, 2015--The heroes of Michael Lewis's ""Flash Boys" are officially amping up their quest to stamp out unfairness in the U.S. stock market.
Brad Katsuyama's IEX Group Inc. has asked for the U.S. government's permission to convert into a stock exchange, a move that would put it on equal footing with the New York Stock Exchange and Nasdaq Stock Market.
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Source: Bloomberg
CBO-Monthly Budget Review for August 2015
September 8, 2015--The federal government's budget deficit amounted to $528 billion for the first 11 months of fiscal year 2015, CBO estimates.
That deficit was $61 billion smaller than the one recorded during the same period last year. Revenues and outlays were both higher than last year's amounts, by 8 percent and 5 percent, respectively. Adjusted for shifts in the timing of certain payments (which otherwise would have fallen on a weekend), the deficit for the 11-month period decreased by $42 billion.
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Source: Congressional Budget Office (CBO)
Direxion Announces Date Extension to October 1st for Reverse Share Splits of Six Leveraged ETFs
September 2, 2015--Direxion Investments has announced it will extend the date for executing reverse share splits for six of its leveraged exchange-traded funds ("ETFs") to October 1, 2015.
The total market value of the shares outstanding will not be affected as a result of these splits, except with respect to the redemption of fractional shares, as outlined below.
Direxion will execute reverse splits of the issued and outstanding shares of the...
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Source: Direxion Investments
New ETF Offers Exposure to Emerging Markets Excluding China
September 2, 2015--Emerging Global Advisors (EGA) today launched its EGShares EM Core ex-China exchange-traded fund (ETF).
The new fund (TICKER: XCEM) provides broad exposure to emerging markets excluding China and Hong Kong, allowing investors to preserve or supplement emerging market portfolios without increasing their exposure to China.
"In today's market environment, some investors have noted that China comprises a significant portion of broad-based emerging market benchmarks.
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Source: Emerging Global Advisors
Brokers fume as U.S. looks to protect investors from expensive duds
September 1, 2015--For most people saving for retirement, buying a non-tradeable real estate investment trust that charges fees and commissions of 11 percent or more doesn't sound like a good deal.
But for a growing number of stockbrokers in a corner of the securities industry known as "independent" broker-dealers, such products are a big part of their income and their firms' revenue.
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Source: Reuters
State Street Global Advisors Announces ETF Share Splits
September 1, 2015--State Street Global Advisors (SSGA), the asset management business of State Street Corporation (NYSE:STT), today announced share splits on 10 SPDR ETFs that offer exposure to companies in specific US industries.
With a share split, the aggregate market value of shares outstanding is not impacted. The splits lower the funds' share prices and increase the number of outstanding shares. The Record Date for the share split will be 9/8/2015 and the Pay Date will be 9/10/2015.
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Source: State Street Global Advisors
