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Morgan Stanley-ETF Weekly Update
November 7, 2011--Highlights:
Weekly Flows: $3.3 Billion Net Outflows
ETF Assets Stand at $1.1 Trillion, up 7% YTD
Launches: 8 New ETFs
Direxion Reverse Share Splits Effective This Week
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Utilities Select Sector SPDR (XLU) posted net inflows of $340 mln last week, the most of any ETF
Amid market volatility and low absolute yield environment, investors have flocked to XLU (net inflows of $2.9
bln YTD, which equates to 40% of XLU’s market cap)
Despite the defensive nature of flows recently, riskier areas such as emerging markets equities and high yield
bonds have exhibited net inflows
US-Listed ETFs: Estimated Flows by Market Segment
US-Listed ETFs: Change in Short Interest
Data Unchanged: Based on data as of 10/14/11
SPY exhibited the largest increase in USD short interest since last updated
$4.4 billion in additional short interest
SPY has been fluctuating around record levels of shares short since mid-August
IWM exhibited the largest decline in USD short interest since last updated
$1.1 billion in reduced short interest
Lowest level of shares short for IWM since 8/31/11
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 11/4/11 based on daily change in share counts and daily NAVs.
$7.0 billion in total market cap of ETFs less than 1 year old
Over past 13 weeks newly launched Fixed Income ETFs generated most net inflows ($519 mln)
213 new ETF listings and 9 liquidations YTD
Newly issued defensive portfolios have been successful in garnering assets
Top 10 account for $3.1 bln in market cap and posted net inflows of $1.0 bln over last 13 weeks
PowerShares S&P 500 Low Volatility Portfolio (SPLV) and iShares High Dividend Equity Fund (HDV)
have been two standout launches over the past year
ETFs posted net outflows of $3.3 bln last week; flows have fluctuated recently
Last week’s net outflows followed the largest weekly net inflows of 2011
Net outflows last week were primarily driven by US Equity ETFs (combined $4.0 bln net outflows)
ETF assets stand at $1.1 tln, up 7% YTD (due to net inflows)
13-week flows were mostly positive among asset classes; combined $31.6 bln net inflows
Fixed Income ETFs have exhibited the greatest net inflows the past 13-weeks ($13.7 bln net inflows)
We estimate ETFs have generated net inflows 26 out of 44 weeks in 2011; net inflows of $95.0 bln YTD
US-Listed ETFs: News Highlights Source: Company Data, Morgan Stanley Smith Barney Research.
Direxion Reverse Share Splits Effective This Week
Direxion recently announced that it will execute reverse share splits on six of its ETFs after the close of business on 11/9/11.
The CUSIPs for the six ETFs will change; however, the value of an investment will remain the same.
request report
Source: Morgan Stanley
Low volatility ETFs launched to stem outflows
November 7, 2011--Fund managers are launching a range of funds designed to deliver lower volatility returns in an effort to stem outflows from investors unnerved by the current uncertain share trading environment.
Since markets began falling at the end of July, Lipper data show that US equity funds have suffered net outflows of $42.3bn, with long-only funds having the biggest redemptions. Equity volatility as measured by the Vix, known as Wall Street’s “fear gauge”, remains highly elevated, with the Vix trading above 30 and well above the long-term average of about 20.
read more
Source: FT.com
Nuveen files with the SEC
November 4, 2011--Nuveen has filed a Form S-1, pre-effective amendment No.2 to registration statement for the Nuveen Long/Short Commodity Total Return Fund.
view filing
Source: SEC.gov
Claymore files with the SEC
November 4, 2011--Claymore has filed a post-effective amendment No. 152, registration statement with the SEC for the Guggenheim BulletShares 2021
Corporate Bond ETF.
view filing
Source: SEC.gov
"The High Test"-Speech of CFTC Commissioner Bart Chilton to the Society of Independent Gasoline Marketers of America Annual Meeting
November 4, 2011--Introduction—I’ve Been Clean
Hi, I'm Bart and I'm a . . . I’m a regulator. I've been clean from doing regulation for 13 days now—fingers crossed! Thank you. Thank you very much. That's nice of you to applaud.
I've been getting my life together, but I couldn't do it alone. I've had a lot of help from my family and friends, my staff, and of course my sponsor: Willie, Willie Makit—Willie is here today. Thank you Willie.
Now that I've been clean for a few weeks, since we had our last public meeting that is, I’ve been reassessing things. I mean regulation, government, politicians, and regulators like me: ugh, is it a waste? Is it all worth it?
read more
Source: CFTC.gov
Direxion files with the SEC
November 4, 2011--Direxion has filed a post-effective amendment, registration statement with the SEC for the
Quantum-ISE Enhanced Broad Market Shares
Quantum-ISE Enhanced Large-Cap Shares
Quantum-ISE Enhanced Small-Cap Shares
view filing
Source: SEC.gov
CFTC Statement Regarding Enforcement Investigation of the Silver Markets
November 4, 2011-- The Commodity Futures Trading Commission today issued the following statement:
“In September of 2008, the Commission announced the existence of an enforcement investigation into the possibility of unlawful acts in silver markets. Since that time, the staff has analyzed over 100,000 documents and interviewed dozens of witnesses and obtained expert advice. It has been a long, detailed, and thorough investigation, and it continues in an appropriate and considered manner.”
Source: CFTC.gov
McGraw-Hill and CME Group to Partner in Index Services Business
Will Contribute Complementary S&P Indices and Dow Jones Indexes Businesses into Joint Venture
S&P/Dow Jones Indices will be a Leading Global Index Company Providing New Products to Clients and Generating Growth for Shareholders of Both Companies
November 4, 2011--McGraw-Hill, one of the world's foremost financial information companies and owner of S&P Indices, and CME Group (NASDAQ: CME), the world's leading and most diverse derivatives marketplace and 90-percent owner of the CME Group/Dow Jones joint venture, announced today an agreement to establish a new joint venture in the rapidly growing index business.
Under the terms of the agreement, which has been approved by the Boards of both companies, McGraw-Hill will contribute its S&P Indices business and the CME Group/Dow Jones joint venture will contribute the Dow Jones Indexes business to create S&P/Dow Jones Indices, a global leader in index services with annual revenue of more than $400 million. Approximately $6 trillion in assets are benchmarked against these leading indices.
McGraw-Hill will own 73 percent of S&P/Dow Jones Indices, CME Group will own 24.4 percent through its affiliates, and Dow Jones will own 2.6 percent. S&P/Dow Jones Indices is expected to be operational in the first half of 2012, subject to regulatory approval and customary closing conditions. The new company will become part of the new McGraw-Hill Markets company following the separation of McGraw-Hill into two public companies, as announced on September 12, 2011.
As part of the new joint venture, S&P/Dow Jones Indices will enter into a new license agreement whereby CME Group will pay S&P Indices a share of the profits of CME Group's equity product complex, which is their trading and clearing business for futures, swaps and options on futures. In addition, the new license agreement expands the products covered under the license to include swaps and extends CME Group's existing exclusive rights (currently in place through December 31, 2017) to the E-mini and other S&P indexed futures.
read more
Source: McGraw-Hill
McGraw-Hill and CME Group to Partner in Index Services Business
Will Contribute Complementary S&P Indices and Dow Jones Indexes Businesses into Joint Venture S&P/Dow Jones Indices will be a Leading Global Index Company Providing New Products to Clients and Generating Growth for Shareholders of Both Companies
November 4, 2011–McGraw-Hill (NYSE: MHP), one of the world’s foremost financial information companies and owner of S&P Indices, and CME Group (NASDAQ: CME), the world’s leading and most diverse derivatives marketplace and 90-percent owner of the CME Group/Dow Jones joint venture that owns Dow Jones Indexes, announced today an agreement to establish a new joint venture in the rapidly growing index business.
Under the terms of the agreement, which has been approved by the Boards of both companies, McGraw-Hill will contribute its S&P Indices business and the CME Group /Dow Jones joint venture will contribute the Dow Jones Indexes business to create S&P/Dow Jones Indices, a global leader in index services with annual revenue of more than $400 million. Approximately $6 trillion in assets are benchmarked against these leading indices.
McGraw-Hill will own 73 percent of S&P/Dow Jones Indices, CME Group will own 24.4 percent through its affiliates, and Dow Jones will own 2.6 percent. S&P/Dow Jones Indices is expected to be operational in the first half of 2012, subject to regulatory approval and customary closing conditions. The new company will become part of the new McGraw-Hill Markets company following the separation of McGraw-Hill into two public companies, as announced on September 12, 2011.
read more
Source: Dow Jones Indexes
S&P GSCI to Raise Brent, Lower WTI Weightings in Index for 2012
November 4, 2011--The Standard & Poor’s GSCI Commodity Index will raise the weighting of Brent crude in 2012 as it reduces that of West Texas Intermediate.
The index weight of Brent crude traded on the ICE Futures Europe exchange will increase to 17.35 percent from 15.93 percent as the share of WTI traded on the New York Mercantile Exchange decreases to 30.25 percent from 32.59 percent, according to a company statement dated yesterday.
read more
Source: Bloomberg Businessweek
