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Morgan Stanley ETF Weekly Update
January 5, 2015--Weekly Flows: $5.8 Billion Net Inflows
Thirteenth Consecutive Week of Net Inflows
We Estimate 2014 ETF Net Inflows at $240.4 Billion
High-conviction ETF Recommendations Slide
ETF Assets Stand at $2.0 Trillion
One ETF Launch Last Week
ProShares Announces 17 ETF Closures
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $5.8 bln last week; 13th consecutive week of net inflows
Last week's net inflows were led by US Sector & Industry ETFs at $4.5 bln; conversely, Fixed Income ETFs posted net outflows of $1.2 bln, the most of any category we measured
Eight of the 15 categories we measured posted net inflows last week
We estimate ETFs generated net inflows of $240.4 bln in 2014
ETF assets stand at $2.0 tln; ETF assets were up 18% in 2014
13-week flows remain positive among most asset classes; combined $118.6 bln in net inflows
US Large-Cap ETFs generated net inflows of $49.6 bln over the last 13 weeks, the most of any category, and accounted for 42% of total ETF net inflows
International-Emerging ETFs exhibited net outflows of $2.6 bln over the last 13 weeks, the most of any category, and one of only four sectors to post net outflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Consumer Discretionary Select Sector SPDR (XLY) posted net inflows of $1.7 bln last week, the most of any ETF
In addition to XLY, the First Trust Consumer Discretionary AlphaDEX Fund (FXD) also had a solid week with net inflows of $467 mln
Nine of the 10 ETFs to generate the largest net inflows last week were US equity-based with the lone exception being the WisdomTree Japan Hedged Equity Fund (DXJ)
Despite posting net outflows of $1.3 bln last week, the SPDR S&P 500 ETF (SPY) had net inflows of $29.5 bln over the last 13 weeks, leading all ETFs by a meaningful margin
The iShares Short Treasury Bond ETF (SHV) posted net outflows of $2.2 bln last week, the most of any ETF
Over the last 13 weeks, the iShares MSCI Emerging Markets ETF (EEM) has exhibited net outflows of $3.4 bln, the most of any ETF
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading jumped to 30% in December, up from 23% in November; over the last 5 years, ETF monthly $ volume as a % of listed trading volume averaged 28%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume increased by $39 bln last week compared to the prior week; amid a short trading week, ETF $ volume was 30% below its 13-week average
Fixed Income ETFs accounted for 8% of ETF $ Volume last week, above their 6% 13-week average; Fixed Income ETFs comprise 15% of ETF market cap
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 12/15/14
Energy Select Sector SPDR (XLE) had the largest increase in USD short interest at $1.0 bln
XLE's shares short at 66 mln are at their highest level since 9/30/11 as oil prices have declined dramatically over the past few months
Notably, shares short for the iShares Russell 2000 ETF (IWM) at 106 mln are at their lowest level since 1/15/09
595 ETFs exhibited short interest increases while 774 experienced short interest declines over the last period
Aggregate ETF USD short interest declined by $3.2 bln over the period ended 12/15/14
The average shares short/shares outstanding for ETFs is currently 3.9%, down from 4.2% last period
For the second straight period, the CurrencyShares Euro Trust (FXE) was the most heavily shorted ETF as a % of shares outstanding at 457%
Seven of the 10 most heavily shorted ETFs as a % of shares outstanding are sector based (SMH, XOP, XRT, XBI, IYR, OIH, DRV)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only seven ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$8.0 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 26% of recently launched ETF market share, the most of any ETF category; notably, Active ETFs have posted $307 mln in net outflows over the last 13 weeks coming primarily from the First Trust Enhanced Short Maturity ETF (FTSM)
Over the last 13 weeks, International-Developed ETFs have generated net inflows of $919 mln, the most of any category
190 new ETF listings and 72 closures in 2014 (additional 18 closures announced); this compares to 143 launches and 50 liquidations in 2013
The top 10 most successful launches make up 44% of the market cap of ETFs launched over the past year
Four ETF sponsors and two asset classes (equity and fixed income) were represented in top 10 most successful launches
Interestingly, in 2014, BlackRock launched more ETFs at 29 than any other ETF issuer, accounting for a market cap of $1.7 bln; First Trust, on the other hand, launched only 15 ETFs, but those 15 ETFs have a total market cap of $2.0 bln, the most of any issuer
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Source: Morgan Stanley
CBOE Futures Exchange Reports Record Trading Volume For 2014
January 5, 2015--New All--Time Highs for Exchange-Wide, VIX Futures Trading
Fifth Consecutive Record Year for VIX Futures
Over 50 Million VIX Futures Contracts Traded
Several Records Achieved During 2014
The CBOE Futures Exchange, LLC (CFE®) today reported that annual trading volume for total exchange-wide activity and for futures on the CBOE Volatility Index(R) (VIX(R) Index) reached new all-time highs in 2014, with multiple trading records set during the year.
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Source: CBOE
Altavista-Sector SPDR Analyzer + Equal Sector Weight ETF (EQL), January 2015
January 5, 2015--The monthly update on each of the nine Select Sector SPDRs plus the ALPS Equal Sector Weight ETF.
view the ETF
Analyzer January 2015 Select Sector SPDR Edition
view the ALPS Equal Sector Weight ETF report
Source: AltaVista Research
NASDAQ to Buy Dorsey, Wright & Associates for $225M
January 5, 2015--NASDAQ decided to purchase Dorsey,Wright & Associates, LLC (DWA) for $225 million to strengthen its position as a leading smart beta index provider in the United States.
NASDAQ will become the largest smart beta indexes provider
According to NASDAQ, the acquisition will boost its index portfolio and bring model-based strategies and analysis to support the financial advisory community.
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Source: ValueWeek
Vanguard Sets Record Funds Inflow
Investors Gave Stock Pickers a Vote of No Confidence in 2014
January 4, 2015--Investors gave stock pickers a resounding vote of no confidence in 2014, pouring $216 billion-a record inflow for any mutual-fund firm-into Vanguard Group, the biggest provider of index-tracking products, according to preliminary figures from the mutual-fund group.
Those large inflows accentuate a trend away from fund managers and toward so-called passive investments that mimic indexes and other benchmarks for a fraction of the cost of the typical mutual fund.
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Source: Wall Street Journal
Dodge & Cox stockpicking fund bucks trend
January 4, 2015--As equity market investors moved in droves from active managers to index trackers in 2014, one stockpicking fund that bucked the trend did so in a remarkable way: without spending a cent on marketing.
The Dodge & Cox International Stock Fund is on course to be the year's most popular actively managed US mutual fund, as measured by customer inflows, having taken $10.1bn in the 11 months to November.
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Source: FT.com
Mutual fund fee reform coming-maybe-sooner than you think
January 3, 2015--Canadian regulators will be armed with new research in early 2015 that investor advocates hope will finally prompt a clampdown on the use of embedded commissions on mutual fund sales.
The compensation method is one that some say can lead to biased advice and eat into long-term returns.
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Source: Financial Post
Five ProShares ETFs Join BATS Competitive Liquidity Provider Program
January 2, 2015--ProShares, a premier provider of alternative ETFs, announced today that five ProShares ETFs listed on the BATS Exchange will begin participating in the BATS Competitive Liquidity Provider ("CLP") Program starting today.
These ETFs join two ProShares ETFs already participating in the program.
Fund Name: ProShares Short Term USD Emerging Markets Bond ETF (EMSH) Date of Entry: 1/2/2015
Fund Name: ProShares Investment Grade—Interest Rate Hedged(IGHG)
Date of Entry: 1/2/2015
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Source: ProShares
ISE Reports Business Activity for December and Full Year 2014
January 2, 2015--For full year 2014, ISE and ISE Gemini combined for 16.0% equity options market share, excluding dividend trades, with an ADV of 2.4 million contracts.
ISE Gemini had an ADV of over 500,000 contracts in 2014.
Dividend trades made up 1.6% of industry volume in 2014, the lowest since ISE began tracking the statistic in 2010.
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Source: ISE
CFTC Provides Notice and Clarification of the Reopened Comment Period for its Rulemaking Proposals on Position Limits for Physical Commodity Derivatives and Aggregation
January 2, 2015--The U.S. Commodity Futures Trading Commission (CFTC or Commission) has submitted for publication in the Federal Register a clarification and notice regarding the
reopened comment periods for two Position Limit rulemakings.
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Source: CFTC.gov
