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Morgan Stanley US ETF Weekly Update
March 4, 2014--US ETF Weekly Update
Weekly Flows: $5.7 Billion Net Inflows
Third Consecutive Week of Net Inflows
ETF Assets Stand at $1.7 Trillion, up 1% YTD
Five ETF Launches Last Week
PIMCO Announces Liquidation of Treasury ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $5.7 bln last week, third consecutive week of net inflows
Over the last three weeks, ETFs have generated net inflows of $28.1 bln
Last week's net inflows were led by US Large-Cap ETFs at $1.2 bln; conversely, International - Emerging ETFs posted net outflows of $910 mln, the most of any category we measured
Twelve of the 15 categories we measured posted net inflows last week
ETF assets stand at $1.7 tln, up 1% YTD
13-week flows remain positive among asset classes; combined $18.8 bln in net inflows
International - Developed ETFs have generated $17.5 bln in net inflows over the last 13 weeks; the category has 13% market share, up from 10% at the beginning of 2013; much of the market share gain may have come at the cost of International - Emerging ETFs, which has seen its market share decline from 12% to 7% over this time period
Over the last 13 weeks, Fixed Income ETFs have posted net inflows of $13.0 bln, trailing only International - Developed ETFs; notably, two Treasury ETFs account for 55% of the net inflows in the category
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares US Energy ETF (IYE) posted net inflows of $799 mln this past week, the most of any ETF
IYE's net inflows last week account for nearly 40% of its current market capitalization
US equity ETFs make up eight of the 10 ETFs to post the largest net inflows last week
Notably, the Technology Select Sector SPDR (XLK) exhibited net outflows of $2.0 bln last week, the most of any ETF; since we began tracking weekly flows in the beginning of 2010, this was XLK's largest weekly net outflow
Emerging market equity ETFs continue to experience net outflows; specifically, the iShares MSCI Emerging Markets ETF (EEM) exhibited net outflows of $781 mln last week and over the last 13 weeks, posted net outflows of $8.9 bln
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume remained flat in February at 25%, which is below the five-year average of 28%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume rebounded last week to $337 bln, up from $260 bln the prior holiday shortened week
Leveraged/Inverse ETFs accounted for 10% of ETF $ volume last week, but make up only 2% of ETF market share; this is not surprising as daily return objectives make Leveraged/Inverse ETFs more appropriate for active traders
US-Listed ETFs: Short Interest Data Updated: Based on data as of 2/14/14
The SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $3.5 bln
The iShares US Real Estate ETF (IYR) also had a big jump in short interest ($643 mln increase); IYR's shares short are 47% above their 52- week average
672 ETFs exhibited short interest increases while 580 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $4.1 bln over the period ended 2/14/14
The average shares short/shares outstanding for ETFs is currently 4.1%, down from 4.2% last period
Six of the 10 most heavily shorted ETFs as a % of shares outstanding are sector/industry related
For the fourth consecutive period, the SPDR Oil & Gas Exploration & Production ETF (XOP) was the most heavily shorted ETF with shares short as a % of shares outstanding of 282%
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only nine ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$8.2 bln in total market cap of ETFs less than 1-year old
Fixed Income ETFs account for 24% of the market capitalization of ETFs launched over the past year, the most of any category; 38 Fixed Income ETFs were brought to market over the last year as ETF issuers expand the breadth of fixed income offerings
Over the last 13 weeks, International - Developed ETFs have attracted $513 mln in net inflows, the most of any group
40 new ETF listings and six closures YTD (12 additional closures announced)
requet report
Source: Morgan Stanley
CBOE Holdings Reports February Volume-February ADV Up 37% From A Year Ago And 3% From January-VIX Options And Futures And SPX Weeklys Set Monthly ADV Records
CBOE Holdings Reports February Volume
February ADV up 37% from a year ago and 3% from January
VIX options and futures and SPX Weeklys set monthly ADV records
March 4, 2014--CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that February trading volume for options contracts on Chicago Board Options Exchange(R)(CBOE(R)) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures ExchangeSM (CFE(R)) totaled 113.51 million contracts.
Average daily volume (ADV) was nearly six million contracts, a 37-percent increase from February 2013 and a three-percent increase from January 2014.
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Source: CBOE
Vanguard Announces Lower Expense Ratios for 5 International-Stock ETFs
The largest fund affected is Vanguard FTSE Emerging Markets ETF, whose fee is falling by 17%.
March 3, 2014--Last week, Vanguard revealed that expense ratios for five large exchange-traded funds had fallen between 5% and 20%, depending on the ETF.
All of the affected ETFs, which already were the lowest-priced or second-lowest-priced options in their respective categories, are devoted to international equities. And with the cuts, all of the funds now either rank as the lowest-cost option in their category or are in a tie for being the lowest-cost option in their respective category.
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Source: Morningstar
U.S. Treasury's Miller Urges More Transparency in Swaps Markets
March 3, 2014--U.S. regulators will focus this year on improving transparency in derivatives markets and continue to analyze whether asset-management firms pose a potential risk to economic stability, the U.S. Treasury Department's top domestic-finance official said.
Mary Miller, the undersecretary for domestic finance and acting deputy secretary, said she will emphasize the "need for an effective swaps data reporting regime, one designed to ensure that we have the information necessary to develop a comprehensive picture of market exposures and risks." She was to speak at a conference held by the Institute of International Bankers in Washington today.
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Source: Bloomberg
ISE Holdings Reports Business Activity for February 2014
March 3, 2014--ISE and ISE Gemini(TM) combined represent 16.0% of equity options market share, excluding dividend trades.
ISE and ISE Gemini reported a combined ADV of 2.6 million contracts.
Trading of multi-legged strategy orders on ISE through Implied Order functionality exceeded 25 million contracts.
Dividend trades made up 1.1% of industry volume in February 2014.
The International Securities Exchange Holdings, Inc. (ISE Holdings) today reported a combined average daily volume (ADV) of 2.6 million contracts in February 2014 for its two exchanges, ISE and ISE Gemini. This represents 16.0% of U.S. equity options market share.
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Source: ISE (International Securities Exchange)
Sector SPDR Analyzer + Equal Sector Weight ETF (EQL) -March 2014
March 3, 2014--This month's Select Sector SPDR and Equal Sector Weight ETF Analyzer reports are ready for download..
Daily data updates for these and 750+ ETFs are available at ETF Research Center
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Source: AltaVista Research
PIMCO to Liquidate the PIMCO Broad U.S. Treasury Index Exchange-Traded Fund
Proceeds to Be Distributed to Shareholders in March
February 28, 2014--PIMCO, a leading global investment management firm, announced today that the PIMCO Broad U.S. Treasury Index Exchange-Traded Fund (Ticker: TRSY) will be liquidated (the "Liquidation") on or about March 14, 2014 ("Liquidation Date").
The Board of Trustees of PIMCO ETF Trust determined that the Liquidation was in the best interest of TRSY and its shareholders.
It is expected that March 10, 2014 will be TRSY's last full day of trading on NYSE Arca, Inc. ("NYSE Arca"). Pursuant to this schedule, NYSE Arca is expected to halt trading in shares of TRSY before the market open on March 11, 2014.
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Source: PIMCO
S&P Dow Jones Indices' Market Attributes-Index Dashboard-Latin America
February 28, 2014--Breaking the recent trend, Latin American equities rose in February as the S&P MILA 40 and S&P Latin America 40 posted gains of 5% and 2%, respectively.
Mexico was the lone country in the Latin America BMI to decline (-4%). Performance was mixed among Latin America BMI sectors, with financials and consumer discretionary leading the winners and telecom (-8%) lagging.
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Source: S&P Dow Jones Indices
S&P Dow Jones Indices' Market Attributes-Index Dashboard-Canada
February 28, 2014--This month's highlights include:
Equities in Canada, as with equities in the rest of the world, had a good February. Both the S&P/TSX Composite and S&P/TSX 60 were up 4%. Volatility ticked lower as the S&P/TSX 60 VIX declined 10%.
All ten sectors of the S&P/TSX Composite were up for the month. Among them, materials led with a gain of 6% and telecom, which was more or less flat, was the laggard.
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Source: S&P Dow Jones Indices LLC
S&P Dow Jones Indices' Market Attributes: Index Dashboard US
February 28, 2014--Highlights this month include:
U.S. stocks rebounded from last month's decline as the Dow Jones Industrial Average and S&P 500 both gained more than 4%.
The S&P 500 ended the month with another record close (1859). Volatility ticked lower as the S&P 500 VIX Short-Term Futures index declined 13%.
With the exception of telecom, all sectors of the S&P 500 gained in February. Materials and consumer discretionary were the leaders, gaining 7% and 6%, respectively. The third best sector, health care, also delivered the best sectoral performance over the last 12 months (39%).
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Source: S&P Dow Jones Indices
