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DB Equity Research Equity Research-US ETF Market Monthly Review : Risk-off tone continued and removed $15bn from ETP AUM
May 14, 2012--Net Cash Flows Review
Last week, the risk-off sentiment continued to weigh on the equity markets. The US (S&P 500) retreated by 1.15%. Outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 2.42% and 4.11%, respectively. Moving on to other asset classes, the 10Y Treasury yield retreated by 7bps last week, while the DB Liquid Commodity Index was down by 1.77%. Other sectors followed suit.
The Agriculture sector (DB Diversified Agriculture Index), the WTI Crude Oil, the Gold and the Silver prices fell by 1.67%, 2.40%, 3.83%, and 4.80%, respectively. Last but not least, Volatility (VIX) increased by 3.81% during the same period.
The total US ETP flows from all products registered $0.4bn of inflows during last week vs $1.6bn of outflows the previous week, setting the YTD weekly flows average at +$2.8bn (+$53.6bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$0.5bn, +$1.2bn, and -$0.2bn last week vs. -$4.2bn, +$3.1bn, and -$0.5bn the previous week, respectively.
Within Equity ETPs, regional emerging markets and leveraged short products experienced the largest outflows (-$1.0bn, -$0.5bn respectively); while leveraged vehicles experienced the largest inflows (+$0.5bn). Within Fixed Income ETPs, Sovereign products recorded the largest inflows (+$0.6bn), followed by broad benchmark products (+$0.4bn); while Corporates experienced outflows of $0.2bn. Within Commodity ETPs, broad-based products experienced the largest outflows (-$0.2bn).
Top 3 ETPs & ETNs by inflows: TMW (+$0.26bn), GDX (+$0.2bn), FAS (+$0.15bn)
Top 3 ETPs & ETNs by outflows: EEM (-$1.0bn), JNK (-$0.8bn), SPY (-$0.4bn)
New Launch Calendar: more high yield strategies
There were two new ETFs launched during the previous week. The products were listed on NYSE Arca. The new products come in the form of new multi asset and fixed income ETFs. The first one aims to replicate an asset allocation strategy with focus on high yielding asset classes, while the second one tracks an index of emerging market high yield debt.
Assets Under Management (AUM) Review: $15bn removed from assets on risk-off trade
Total weekly turnover increased by 12.4% to $319bn vs. $284bn in the previous week. Last week’s turnover level, however, is still 15% below last year’s weekly average. The largest increase was on Equity ETP turnover, which rose by $34.4bn or 13.6% to $286.5bn. Commodity ETP turnover followed with an increase of 9.5% ($1.4bn); while Fixed Income ETP turnover experienced a drop of 8.6% (-$1.3bn).
Assets Under Management (AUM) Review:
$23bn removed by the sell-off
Last week’s risk-off mode eroded $15.1bn from ETP assets. ETP AUM shrank by 1.3% to $1.15 trillion from the previous week’s level. YTD growth remains at two-digits with 10.2%. Assets for equity, fixed income and commodity ETPs moved -$12.4bn, +$1.3bn, and -$3.8bn during last week, respectively.
to request report
Source: Deutsche Bank-Equity Research-North America
Nasdaq set to take on US banks and brokerages
May 14, 2012--Nasdaq OMX is moving into direct competition with banks and brokerages, filing plans to make basic trading algorithms available as part of its US equity trading platform.
It also aims to expand its small futures market to trade Treasury futures later this year, joining rival NYSE Euronext in taking on the CME Group in the market for listed interest rate derivatives.
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Source: NASDAQ OMX
Schwab ETFs Struggle in the Shadow of Vanguard
May 14, 2012--Charles Schwab would like to say they have Vanguard ETFs in their sights, but that would require a very powerful telescope.
It isn’t realistic to compare the two ETF providers yet because Vanguard dominates in number, total assets, and even performance. That being said, I commend Schwab’s efforts to promote low-cost index investing and hope they continue.
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Source: Forbes
Morgan Stanley-US ETF Weekly Update
May 14, 2012--US ETF Weekly Update
Weekly Flows: $346 Million Net Inflows
ETF Assets Stand at $1.2 Trillion, up 10% YTD
Two ETF Launches Last Week
Invesco PowerShares Changes Name on China ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs managed to post net inflows of $346 mln last week
Last week’s net flows were primarily driven by Fixed Income ($914 mln in net inflows) and Emerging Market Equity ETFs
($1.3 bln in net outflows)
ETF assets stand at $1.2 tln, up 10% YTD; ETFs have posted net inflows 15 out of 19 weeks YTD ($53.1 bln in net inflows)
13-week flows were mixed among asset classes; combined $19.7 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (39 straight weeks of net inflows) and account for 73% of
ETF net inflows over the past 13 weeks
US Small- & Micro-Cap ETFs exhibited net outflows of $3.1 bln, the most out of any category over the last 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Dow Jones Total Market ETF (TMW) generated net inflows of $260 mln last week, the most of any ETF
TMW’s net inflows last week were significant relative to its $425 mln market cap (shares outstanding more than doubled)
iShares MSCI Emerging Markets Index Fund (EEM) posted net outflows of $976 mln last week and net outflows of $1.7 bln over the last 13 weeks
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 4/30/12
iShares Russell 2000 Index Fund (IWM) posted the largest increase in USD short interest
Despite a surge in IWM’s USD short interest, the fund’s 197 million shares short are well below its 52-week average of 228
million shares short
SPDR S&P 500 ETF (SPY) exhibited the largest decrease in USD short interest (lowest level of shares short since 1/31/11)
The average shares short/shares outstanding for ETFs is currently 5%
Retail continues to be a heavily shorted industry with the SPDR Retail ETF (XRT) leading the way
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100%
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 5/11/12 based on daily change in share counts and daily NAVs.
$6.3 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Fixed Income ETFs generated most net inflows at $882 mln
97 new ETF listings and 17 closures YTD; 2012 launches are on pace with last year’s
Over the past year, many of the successful launches have had an income/dividend orientation
Five different ETF sponsors and three asset classes represented in top 10 most successful launches
PIMCO Total Return ETF (BOND) continues to generate strong net inflows ($393 mln over past four weeks); BOND has a
market cap of more than $800 million in just 2.5 months
Top 10 most successful launches account for 51% of market cap of ETFs launched over the past year
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Source: Morgan Satnley
Brasilia cheers the real's decline
May 14, 2012--For Guido Mantega, Brazil's finance minister, last week marked the culmination of 18 months of hard work spent talking down Brazil's currency, the real.
Battered by a weak domestic and global economic outlook and falling interest rates, the real has depreciated more than 6 per cent this year and touched R$2.0022 to the dollar, cheered on by Mr Mantega and others in President Dilma Rousseff’s team.
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Source: FT.com
Beware 'Leveraged' ETFs .
May 11, 2012--Despite years of warnings about the dangers of "leveraged" exchange-traded mutual funds, many small investors-and, apparently, some investment professionals-may still not be getting the message.
Earlier this month, the Financial Industry Regulatory Authority fined brokers including Citigroup Global Markets, Morgan Stanley, MS -4.17%UBS Financial Services and Wells Fargo Advisors for improperly selling leveraged and inverse ETFs.
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Source: Wall Street Journal
HSBC introduces new fund for US retail investors
May 11, 2012--HSBC Global Asset Management has launched the World Selection Income Strategy Fund intended for US retail investors.
The new primarily invests in third-party and proprietary mutual funds and exchange-traded funds throughout a variety of income-producing asset classes.
It aims to invest in a range of income-producing investments, including US government & investment-grade corporate bonds, high-yield bonds, emerging market bonds, US & international equities and real-estate
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Source: BBR
U.S. Department of the Treasury-Treasury International Capital System (TIC) Homepage Update
May 11, 2012--Treasury International Capital System (TIC) Homepage for U.S. Department of the Treasury. This information has recently been updated, and is now available.
view updates
Source: US Department of the Treasury
CFTC.gov Commitments of Traders Reports Update
May 11, 2012--The current reports for the week of May 8, 2012 are now available.
view updates
Source:CFTC.gov
JPMorgan shares dive after $2bn trading loss
May 11, 2012--Shares in JPMorgan Chase have dived 9% after the biggest US bank, revealed a trading loss of at least $2bn (€1.2bn).
Chief executive Jamie Dimon blamed "errors, sloppiness and bad judgement" for the losses and warned "it could get worse".
In reaction to the loss, the company's credit rating was downgraded by the agency Fitch
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Source: BBC News
