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Morningstar to rate ETF model portfolios

September 22, 2011--Morningstar Inc. is poised to start ranking exchange-traded fund model portfolios, the Chicago-based research firm said at its annual ETF Invest Conference on Thursday.

ETF model portfolios - a way for advisers to provide investors with an actively managed portfolio of exchange-traded funds - have grown in popularity together with ETFs.

Morningstar, which defines ETF managed accounts as portfolios of securities where more than 50 percent is invested in ETFs, tracks more than 330 ETF managed portfolios, with about $22 billion in assets. Nearly a third of those were launched over the past three years.

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Source: Reuters

ISE Price Improvement Mechanism (PIM) Now Accepts Tied-to-Stock Orders

Latest Enhancement Demonstrates Fast and Flexible Release Cycle of OptimiseTM
September 22, 2011 – The International Securities Exchange (ISE) announced that multi-legged orders that include a stock component can now be entered into its Price Improvement Mechanism (PIM). ISE accepts multi-legged strategy orders of up to eight options legs plus a stock leg.

These latest enhancements underscore the new OptimiseTM system’s capability to support a faster time-to-market for upgrades than ISE’s previous trading platform.

“With the new streamlined release cycle for Optimise, we will be able to deliver functionality and performance enhancements more quickly and seamlessly to our member firms,” said Boris Ilyevsky, Managing Director of ISE’s options exchange. “By upgrading PIM to now accept orders that include a stock component, we have further strengthened our industry-leading capabilities for trading multi-legged orders and are delivering yet another benefit of our new trading system.”

In addition to functionality changes, the latest Optimise release also delivered several performance enhancements to further improve the latency profile of the system. With Optimise, new releases are backward compatible, minimizing any technology changes required by member firms.

Multi-legged orders for PIM, like all other ISE crossing orders, can be entered via PrecISE Trade®, FIX and ISE’s Direct Trading Interface (DTI) application. For more information, contact ISE Business Development at bizdev@ise.com.

Source: International Securities Exchange (ISE)

First Trust files with the SEC

September 22, 2011--First Trust has filed a post-effective amendment, registration statement with the SEC for the
First Trust Germany AlphaDEX(R) Fund
First Trust Canada AlphaDEX(R) Fund
First Trust Australia AlphaDEX(R) Fund

First Trust United Kingdom AlphaDEX(R) Fund
First Trust Taiwan AlphaDEX(R) Fund
First Trust Hong Kong AlphaDEX(R) Fund
First Trust Switzerland AlphaDEX(R) Fund

view filing

Source: SEC.gov

DB Global Equity Research: US ETF Market Weekly Review-- ETP AUM recovers $30bn on market reversal

September 22, 2011--Is this really the comeback of risk?
Equities regained attention during last week as the ECB in conjunction with 4 of the main central banks in the developed world stepped in to commit additional liquidity to the financial system through the year. Equity markets in the US (S&P 500) rallied and recorded their second best week for the year (+5.35%).

The total US ETP flows from all products registered $11.5bn of inflows during last week vs $1.7bn of inflows the previous week, setting the YTD weekly flows average at +$2.1bn.

Last week long only ETPs received healthy inflows of $10.8bn following an increase in investors' risk appetite as the equity market rallied underpinned by news of aid for the distressed European financial markets. Long only equity ETPs received almost $10.0bn in new cash, while fixed income and commodity ETPs followed distantly with +$549m and +$455m (Figure 1).

Despite the significant size of last week's flows, we believe that we shouldn't hasten to call this the end of the risk off trade and the comeback to risk. The main reason is that last week's reading is not a pure one as it is probably affected by flows related to the S&P 500 index rebalancing and derivatives expiry activity. Actually, it is possible that as much as $6.0bn of inflows (mostly into SPY) could be related to such activity and thus deemed as temporary. On the other hand, inflows into equity ETPs after adjusting by this abnormal activity would still be above $3.0bn and therefore worth to keep under our risk radar.

Although the usual defensive trades were not reversed during last week, risk-related trades dominated the flows during such period. Among equity sector flows, Domestic (+$762m) and Global (+$180m) Cyclicals overtook Defensives (+$30m); while in the fixed income world High Yield (+$170m) slightly overtook Investment Grade (+$152) funds.

New Launch Calendar: Expanding the offering beyond plain equity
There were 4 new ETFs and 3 new ETNs listed on NYSE Arca during the previous week. The new products cover a broad range of asset classes employing elaborated strategies and focusing in niche sectors.

Turnover Review: exchange trading stabilizes on lower volatility
Total weekly turnover increased by 27.8% to $458bn vs. $358bn in the previous shorter week; while on a daily average basis it remained fairly constant ($89.5bn vs. $91.6bn, respectively). The largest increase was on Equity ETP turnover, which rose by $99bn or 32.2% to $409bn. Fixed Income ETP turnover increased by $629m to $14.9bn last week. Finally, Commodity ETPs products turnover decreased by $1.7bn, totaling $28.2bn at the end of last Friday.

Assets Under Management (AUM) Review: ETP AUM rose by almost $30bn
Strong inflows and a significant market rally took ETP AUM to higher levels. US ETP AUM rose by $29.8bn or 3.0% compared to the previous week and closed at $1.037 trillion or 4.2% up YTD.

to request report

Source: Deutsche Bank - Global Equity Research

What is the Federal Reserve's maturity extension program (referred to by some as "operation twist") and what is its purpose?

September 21, 2011--Under the maturity extension program, the Federal Reserve intends to sell $400 billion of shorter-term Treasury securities by the end of June 2012 and use the proceeds to buy longer-term Treasury securities. This will extend the average maturity of the securities in the Federal Reserve's portfolio.

By reducing the supply of longer-term Treasury securities in the market, this action should put downward pressure on longer-term interest rates, including rates on financial assets that investors consider to be close substitutes for longer-term Treasury securities. The reduction in longer-term interest rates, in turn, will contribute to a broad easing in financial market conditions that will provide additional stimulus to support the economic recovery.

Source: FRB

Exchange Traded Concepts, LLC files with the SEC

September 21, 2011--Exchange Traded Concepts, LLC has filed a Application for an Order to Amend a Prior Order for exemptive relief with the SEC.

view filing

Source: SEC.gov

PowerShares files with the SEC

September 21, 2011--PowerShares has filed a post-effective amendment, registration statement with the SEC for the PowerShares Chinese Yuan Dim Sum Bond Portfolio (DSUM).

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Source: SEC.gov

Direxion Changes Investment Objectives and Strategies of 10 Leveraged Funds

Funds Will Convert from 200% to 300% Exposure
September 21, 2011--The Board of Trustees of the Direxion Shares ETF Trust has approved changes to the names, investment strategies and investment objectives of 10 leveraged funds, based on the recommendation of the funds' adviser, Rafferty Asset Management, LLC.

The funds' investment objectives will seek daily results, before fees and expenses, of 300% or -300% of the performance of the Fund's target index. The funds previously sought daily results of 200% or -200%.

The changes will be effective December 1, 2011 and apply to the following Direxion funds: