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DB-Synthetic Equity & Index Strategy-North America-US ETF Market Monthly Review-July's risk appetite renewal adds $40bn inflows and $95bn in AUM
August 5, 2013--Data in this report is as of Wed, July 31
US ETP assets higher by $95bn
ETP assets in the US rose by $94.9bn to $1.514 trillion (YTD +13.6%) last month. Global ETP industry assets closed at $2.042 trillion (YTD 11.0%)
Flows Review: renewed risk appetite
Liquidity withdrawal concerns were abated during July as Chairman Bernanke reassured markets that QE tapering was still subject to economic readings. In turn, investors replied with a marked comeback to risk.
US ETPs experienced inflows of $40.1bn during July (+2.8% of last month's AUM). This was the third highest monthly inflow reading ever.
Within long-only ETPs, total flows were +$39.6bn in July vs. -$10.5bn in June. Equity, Fixed Income, and Commodity long-only ETPs experienced flows of +$35.9bn, +$4.9bn and -$1.6bn, respectively.
Equity products, which were by far the top destination of new cash, favored the following segments the most: US (+$30.5bn), DM ex US (+$4.3bn), Domestic Cyclicals (+$5.1bn), and Japan (+$1.6bn) ETPs. Within the fixed income side, Corporates (+$3.3bn) and Short Duration (+$2.6bn) products presented the most significant and steady trends. Although Medium Duration products also presented large inflows (+$4.0bn), the trend seemed weaker. Last but not least, commodity ETPs experienced $1.6bn in net redemptions during July, mostly driven by gold (-$1.7bn).
New Launch Calendar: China, target-maturity, dividend growth, emerging markets, factors and short strategies
There were thirteen new ETFs listed during the previous month. Eleven of them were listed in the NYSE Arca, while the remaining two were listed in the NASDAQ. The new products offer exposure to IG corporate bonds with set maturity, China, US Small Caps, US Large Caps based on fundamentals and risk factors, an international active strategy focusing on short selling, and dividend growth strategies within US Small Caps and Emerging Markets.
Turnover Review: Floor activity decreased by 27% in July
ETP turnover totaled $1.184 trillion last month, 26.9% (-$435.8bn) lower than the previous month figure of $1.619 trillion, and 1.3% above last year's monthly average of $1.168 trillion. Equity, Fixed Income and Commodity ETPs turnover decreased by $375.6bn (-26.6%), $42.1bn (-30.9%) and $9.7bn (-18.5%) during July, respectively.
ETP trading made up 26.2% of all US cash equity trading in July, down from last year’s peak of 28.8% in June, and still below its 3-year monthly average of 28.3%.
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Source: Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios-Country Rotation Portfolio Update
US ETF Model Portfolios-Country Rotation Portfolio Update
August 2, 2013--Country Rotation Update as of July 31st, 2013
Global markets rally weighed on the short side of the country portfolios during July.
Market Performance
Global equity markets rallied in July. The MSCI AC World Index (ACWI) gained 4.58% during this period, with most countries recording positive returns.
ETF Country Rotation Portfolio (CRP) Series Performance
Our long portfolios posted positive returns for July. The tercile, quartile, and quintile portfolios recorded gains of 1.44%, 1.71%, and 1.69%, respectively. However the long/short portfolios recorded mixed returns of -1.92%, -0.20% and +0.94% for the tercile, the quartile and the quintile portfolios, respectively. The global market rally was the main drag to the short side of the long/short portfolios, with Italy, Netherlands, and Poland being the most significant drags.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
First Trust Launches Managed Futures ETF
August 2, 2013--First Trust's Morningstar Managed Futures Strategy Fund (FMF) began trading today. The actively managed ETF is entering the ring with WisdomeTree's Managed Futures Strategy Fund (WDTI).
As an actively managed product, FMF won’t be tied to benchmark weightings–its holdings will be drawn from commodity futures, as well as currency and equity futures based on of the Morningstar Diversified Futures Index. Commodity futures will make up about half of its holdings, with equity and currency splitting the remaining half.
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Source: Barron's
CFTC.gov Commitments of Traders Reports Update
August 2, 2013--he updated current reports for the week of July 30, 2013 are now available.
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Source: CFTC.gov
Guggenheim Investments Transitions Guggenheim Canadian Energy Income ETF (ENY) to S&P/TSX Canadian High Income Energy Index
August 1, 2013--Guggenheim Investments, the investment management division of Guggenheim Partners, today announced that Guggenheim Canadian Energy Income ETF (NYSE Arca:ENY) will change its benchmark index to the S&P/TSX Canadian High Income Energy Index as of today.
ENY is the only ETF to offer exclusive exposure to the Canadian energy market. The S&P/TSX Canadian High Income Energy Index is designed to provide exposure to high yielding securities in the Canadian energy sector that meet size and liquidity requirements.
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Source: Guggenheim Investments
VIX Futures Trading Volume Rose 53% In July
Nearly Three Million Contracts Traded During the Month
August 1, 2013--The CBOE Futures Exchange, LLC (CFE(R)) announced today that July 2013 trading volume for futures on the CBOE Volatility Index(R) (VIX(R)) increased 53 percent over July 2012, while year-to-date volume through the end of July has nearly surpassed the total volume for all of 2012.
VIX Futures
July trading volume in VIX futures totaled 2,921,386 contracts, an increase of 53 percent over July's total in 2012 and a decrease of 31 percent from the all-time monthly record sent in June.
Average daily volume in VIX futures during July was 132,790 contracts, an increase of 46 percent over July 2012 and a decrease of 37 percent from June's all-time monthly high.
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Source: CBOE
Goldman blinks but no relief for Wall Street's commodity traders
August 1, 2013--Goldman Sachs' effort to diffuse intensifying pressure over its commodity business by throwing open its metal warehouse doors likely comes too late to head off further scrutiny of Wall Street's commodity trade.
Two weeks of escalating criticism of banks that own commodity assets and trade raw materials has shaken executives and the industry, with little sign of the pressure relenting. Britain's financial watchdog is considering its own investigation of metals warehouses, sources said, and two lawmakers questioned whether power regulators were tough enough.
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Source: Reuters
Fidelity poised to be an ETF juggernaut
With 15 funds in the pipeline, mutual fund giant takes on Pimco, Vanguard
August 1, 2013--Fidelity Investments has only dipped its toe into exchange-traded funds so far, but the groundwork has been laid for a splash that could shake up the ETF industry.
Last week, Fidelity stuffed its product pipeline with 10 passively managed sector ETFs and three actively managed bond ETFs. That brings the total number of ETFs that Fidelity has awaiting approval from the Securities and Exchange Commission to 15.
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Source: Investment News
DB-US ETF Model Portfolios-Diversified Momentum Portfolio Update
August 1, 2013--Diversified Momentum Update as of Jul 31st, 2013
Positive month for most of the momentum sub-portfolios.
Market Performance
The US equity market (SPY) rallied in July. Similarly, the broad US Fixed Income market (BND), and the Commodity market (DBC) advanced by 0.17% and 3.18% during the same period, respectively.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) rose by 1.83% in July. In the meantime, the equity market and our multi asset class benchmark were both up recording gains of 5.17% and 3.27%, respectively.
Portfolio Updates and New Membership
7 of the 20 DMP positions will change for August. In terms of portfolio weights, the asset class weights will remain unchanged. Currencies will continue to be the top allocation with 40%, followed by Commodities with 30%, Treasuries with 20%, and Global Sector with 10%.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
KraneShares Launches China Internet ETF
KraneShares CSI China Internet ETF offers investors exposure to China's rapidly growing internet sector
August 1, 2013--Krane Funds Advisors LLC, a provider of China-focused Exchange Traded Funds (ETFs), today announced the launch on the NASDAQ of KraneShares CSI China Internet ETF (NASDAQ ticker: KWEB), a new ETF that provides exposure to Chinese Internet and Internet-related companies.
“KraneShares CSI China Internet ETF provides US investors with an opportunity to gain exposure to China’s growing internet sector with the cost efficiencies of ETF investing,” said Brendan Ahern, Managing Director of KraneShares. “We see two powerful demographic trends driving China’s internet sector: since 2000, internet spending by urban Chinese has increased 14% annually, and China’s rural population continues to migrate to urban areas, further fueling internet usage.” Ahern cited a McKinsey & Company report that stated China E-Tailing accounted for $190 billion in sales in 2012 and could reach as much as $650 billion by 2020. Mr. Ahern went on to say "we are very fortunate to partner again with China Securities Index Co. of Shanghai, as the index provider for this ETF."
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Source: KraneShares
