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IMF Working paper-The Rich and the Great Recession
December 16, 2014--Summary: Most papers explaining the macro causes of the U.S. Great Recession focus on the behavior of the middle class: how its saving rate declined in the pre-crisis years, then surged following the crisis.
This paper argues that the saving rate of the rich followed a similar pattern, the result of wealth effects associated with a boom-bust in asset prices. Indeed, the swings in saving by the rich must actually have played the most important role in the consumption boom-bust, since since the top 10 percent account for almost half of income and two-thirds of wealth. In other words, the rich played a critical role in the Great Recession.
view the IMF Working paper-The Rich and the Great Recession
Source: IMF
Morgan Stanley-US ETF Weekly Update
December 15, 2014--US ETF Weekly Update
Weekly Flows: $1.7 Billion Net Inflows
Tenth Consecutive Week of Net Inflows
High-conviction ETF Recommendations Slide
ETFs Have Generated Net Inflows 39 of 50 Weeks YTD
ETF Assets Stand at $1.9 Trillion, Up 14% YTD
Four ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $1.7 bln last week; 10th consecutive week of net inflows
Over the last 10 weeks, ETFs have generated net inflows of $79.4 bln
Last week's net inflows were led by US Sector & Industry ETFs at $3.8 bln; conversely, US Large-Cap ETFs posted net outflows of $2.7 bln, the most of any category we measured
Nine of the 15 categories we measured posted net inflows last week; ETFs have generated net inflows 39 of the 50 weeks YTD totaling $191.5 bln; notably, the fourth quarter is typically the strongest quarter for ETF flows
ETF assets stand at $1.9 tln, up 14% YTD
13-week flows remain positive among most asset classes; combined $90.2 bln in net inflows
US Large-Cap ETFs generated net inflows of $35.5 bln over the last 13 weeks, the most of any category, and $13.5 bln more than the next closest category, Fixed Income ETFs - International - Emerging ETFs exhibited net outflows of $3.4 bln over the last 13 weeks; flows in the category were driven by the iShares MSCI Emerging Markets ETF (EEM), which posted net outflows of $5.7 bln over this period
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares US Financials ETF (IYF) posted net inflows of $747 mln last week, the most of any ETF
In addition to IYF, the Financials Select Sector SPDR (XLF), First Trust Financial AlphaDEX Fund (FXO), and iShares US Real Estate ETF (IYR) all had big weeks, exhibiting a combined $2.2 bln in net inflows
The WisdomTree Europe Hedged Equity Fund (HEDJ) generated net inflows of $316 mln last week and has posted net inflows for 39 consecutive weeks totaling $4.1 bln
The iShares MSCI Emerging Markets ETF (EEM) had net outflows of $1.1 bln last week; EEM has not posted a net inflow in 15 weeks
Despite the drop in oil prices, we note the lack of energy-related ETFs in the exhibit below
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume declined in November to 23% and is the lowest reading since June 2014; 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 $120 bln last week compared to the prior week and is 16% above its 13-week average
International - Emerging ETFs accounted for only 7% of ETF $ volume last week compared to their 13-week average of 9%
US-Listed ETFs: Short Interest Data Updated: Based on data as of 11/28/14
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.8 bln
Notably, the iShares 20+ Year Treasury Bond ETF (TLT) had a $603 mln decline in short interest compared to the prior period; TLT's shares short are at their lowest level since 10/15/13
661 ETFs exhibited short interest increases while 632 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $267 mln over the period ended 11/28/14
The average shares short/shares outstanding for ETFs is currently 4.2%, up from 3.9% last period
The CurrencyShares Euro Trust (FXE) is the most heavily shorted ETF as a % of shares outstanding at 333%
Eight of the 10 most heavily shorted ETFs as a % of shares outstanding are sector based (SMH, XOP, DRV, XRT, XBI, IYR, RKH, BRAF)
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
$8.5 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 32% of recently launched ETF market share, the most of any ETF category
Despite strong relative performance over the last year, US equity ETF issuance has been light
184 new ETF listings and 65 closures YTD (additional three closures announced)
The top 10 most successful launches make up 47% of the market cap of ETFs launched over the past year
Four ETF sponsors and three asset classes (equity, fixed income, and currency) were represented in top 10 most successful launches
While not occupying any of the top most successful launches spots, the SPDR MSCI ACWI Low Carbon Target ETF (CRBN) and the iShares MSCI ACWI Low Carbon Target ETF (CRBN) already have a combined market cap of $214 mln and have been around for less than a month; both ETFs focus on companies with low carbon emissions relative to the broader market
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Source: Morgan Stanley
Goldman files for a new batch of exchange-traded funds
December 15, 2014--Goldman Sachs Group Inc has filed for a slew of new exchange-traded funds, most of them alternative, another step by the Wall Street bank in its pursuit of the fast-growing, nearly $2 trillion U.S. ETF market.
In a filing with the U.S. Securities and Exchange Commission dated Friday, Goldman outlined plans for 11 ETFs, including six funds it dubbed "ActiveBeta" and five hedge fund-themed funds, all of which are passively managed.
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Source: Reuters
SEC's White Vows to Get Tougher on Mutual Funds
December 12, 2014--White outlined three initiatives to put controls on portfolio composition and operational risks within asset management firms
Securities and Exchange Commission Chairwoman Mary Jo White says the Commission is taking a magnifying glass on the regulation of the asset management industry and mutual funds in particular, pointing out that in 2013, 57 million American households, or 46% of those households, are invested in one of the 10,000 U.S. mutual funds that hold more than $63 trillion of assets under management.
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Source: Think Advisor
Morningstar Reports U.S. Mutual Fund and ETF Asset Flows for November 2014
December 12, 2014--Morningstar, Inc. (NASDAQ: MORN), a leading provider of independent investment research, today reported estimated U.S. mutual fund and exchange-traded fund (ETF) asset flows for November 2014. Among U.S. equity funds, the pattern of outflows for actively managed funds and inflows for passive funds continued.
Over the trailing one-year period, active U.S. equity funds lost $91.9 billion, and passive U.S. equity funds gathered $156.1 billion. Morningstar estimates net flow for mutual funds by computing the change in assets not explained by the performance of the fund and net flow for ETFs by computing the change in shares outstanding.
Additional highlights from Morningstar's report about U.S. asset flows in November:
Active taxable-bond funds collected $5.6 billion in November after outflows of $18.7 billion in September and $23.1 billion in October, although most of those outflows were attributable to redemptions from PIMCO Total Return and not representative of the category group in general. Meanwhile, passive taxable-bond funds had inflows for the 12th consecutive month.
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Source: Morningstar, Inc
CFTC.gov Commitments of Traders Reports Update
December 12, 2014--The current reports for the week of December 09, 2014 are now available.
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Source: CFTC.gov
First Bridge Data-'ETF 20/20' Dec Report: The ETMF gets approved, Crude Oil plunges
December 12, 2014--Key Highlights
Our monthly 'ETF 20/20' report analyzes recent Exchange Traded Fund (ETF) trends in the US, using data from the First Bridge global ETF database.
ETF assets ended November 2014 at $1.987T, close to the significant $2T milestone, reinforcing the secular shift towards ETF adoption by investors.
The price of Crude Oil dropped to $65.9/bbl as of end November 2014, the lowest level since May 2010. It has benefited ETFs of energy intensive sectors (e.g. airlines), while putting pressure on energy ETFs and net energy exporters (e.g. Russia).
The SEC approved an application by Eaton Vance for a possible new structure-the Exchange Traded Mutual Fund (ETMF), a hybrid between ETFs and mutual funds.
Real estate will become a separate sector in the GICS industry framework in 2016.
12 new ETFs were launched in the US in November 2014.
Biotech, Indian small cap's and coffee futures were among the best performing ETF categories by total returns in the trailing 12 months, while energy related ETPs (crude oil, natural gas and Russian small caps) were the worst.
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Source: First Bridge Data
Morgan Stanley-Introduction to ETFs: Market Strategies & Applications
December 12, 2014--The Morgan Stanley Wealth Management Introduction to ETFs: Market Strategies & Applications report is now available.
The report provides an introduction to ETFs, highlights ETF growth and applications, as well as high conviction ideas.
request report
Source: Morgan Stanley
Horizons files with the SEC
December 12, 2014--Horizons has filed a post-effective amendment, registration statement with the SEC.
view filing
Source: SEC.gov
Invesco PowerShares Provides Estimated Capital Gains Information for 2014
December 12, 2014--Invesco PowerShares Capital Management, LLC, a leading global provider of exchange-traded funds (ETFs), announced today that it expects to deliver capital gains distributions across 9 of 116 equity and fixed-income ETFs for 2014.
"For another year, the majority of Invesco PowerShares' product line did not have capital gains distributions." said Dan Draper, Managing Director and Head of Invesco PowerShares.
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Source: Invesco PowerShares Capital Management LLC
