Americas ETP News
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Hot Potato: Momentum As An Investment Strategy
August 22, 2013--Momentum investing has important features in common with other factor-based Smart Beta strategies. For example, it has straightforward index or portfolio construction rules that are easily explained and implemented.
And, although momentum investing is emphatically not a contrarian strategy, neither is it necessarily inconsistent with the Smart Beta thesis that prices are noisy and mean-reverting. In this interpretation, momentum investing is a lively game of hot potato—buying rapidly appreciating stocks, holding them for a relatively short period, and selling them before their price trends reverse direction. And in favorable conditions it works very well.
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Source: Research Affiliates
Goldman assessing fallout from options trading glitch
Options trading glitch could cost bank millions-sources
SEC enforcement staff looking into what caused problems
Upgrade of internal inventory system led to bad trades
August 22, 2013--Goldman Sachs Group Inc is assessing the financial damage caused by a trading glitch that led to a flood of erroneous options trades, as U.S. regulators began looking into what caused the problem.
On Tuesday morning, an upgrade of an internal Goldman system affected options on stocks and some exchange-traded funds with listing symbols beginning with the letters H through L.
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Source: Reuters
Bond Funds Lose $30.3 Billion in August in Big 'Shift'
August 21, 2013--U.S.-registered bond mutual and exchange-traded funds lost $30.3 billion to investor redemptions this month, putting them on track for their slowest year since 2004.
The withdrawals for the month through Aug. 19 are already the third-highest on record, following $69.1 billion of withdrawals in June and $42 billion in October 2008, according to a report dated yesterday by TrimTabs Investment Research in Sausalito, California. Bond funds have suffered $4 billion in redemptions this year, on pace for the biggest withdrawals since investors pulled $7 billion in 2004.
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Source: Bloomberg
Minutes Of The Federal Open Market Committee, July 30-31, 2013
August 21, 2013--The Federal Reserve Board and the Federal Open Market Committee on Wednesday released the minutes of the Committee meeting held on July 30-31, 2013.
The minutes for each regularly scheduled meeting of the Committee ordinarily are made available three weeks after the day of the policy decision and subsequently are published in the Board's Annual Report. The descriptions of economic and financial conditions contained in these minutes are based solely on the information that was available to the Committee at the time of the meeting.
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Source: FBR
Goldman trading glitch could cost more than $100 million
August 21, 2013--Goldman Sachs experienced a trading glitch Tuesday that resulted in a large number of erroneous single stock and ETF options trades. Many of the trades may wind up being erased but the error could still cost the firm upwards of $100 million, according to a person familiar with the situation.
"The exchanges are working to resolve the issue," a Goldman spokesman said in a statement. "Neither the risk nor the potential loss is material to the financial condition of the firm."
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Source: CNBC.com
QFA-Inter Quarterly Broadcast Update
August 20, 2013--The word for the month is 'Caution'.
The U.S. equity market has had a great run, but, seasonally it is heading into its most treacherous time of the year. This, is why we have sold off equity indices, growth stocks for the last three months
and have sold a lot of calls on existing stock positions. Our timing could have been a little better but we are extremely sensitive to protecting your principal.
The Fed will likely taper their bond buying program next month. The debt ceiling debate could boost market volatility. Investor sentiment is optimistic. The VIX index suggests investor complacency and the economy is still dealing with the lagged effects of the 2013 tax bite. Looming issues near term include; full dosage of the sequester, middle east crisis and higher unemployment levels in 26 States!
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Source: QFA
Morgan Stanley-US ETF Weekly Update
August 20, 2013--Weekly Flows: $6.5 Billion Net Outflows
Ended Stretch of Seven Consecutive Weeks of Net Inflows
ETF Assets Stand at $1.5 Trillion, up 11% YTD
Seven ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs exhibited net outflows of $6.5 bln last week, ending a stretch of seven consecutive weeks of net inflows
Net outflows were led by US Large-Cap ETFs at $6.1 bln even though only eight of the 61 ETFs in the segment exhibited
outflows; the weakness was driven by the SPDR S&P 500 ETF (SPY), which had net outflows of $6.3 billion last week
International- Developed ETFs posted the highest net inflows last week at $1.8 bln as ETFs providing high
exposure to Europe continued to draw interest
ETF assets stand at $1.5 tln, up 11% YTD; $105.2 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $22.3 bln in net inflows
Despite exhibiting net outflows of $6.1 bln last week, US Large-Cap ETFs still have the highest net inflows over the past 13
weeks at $11.3 bln with the three ETFs tracking the S&P 500 Index accounting for 53% of the inflows
International-Emerging ETFs have posted net outflows of $9.6 bln over the last 13 weeks, the most of any category; the
two largest ETFs in the space account for $7.4 bln in net outflows (77% of the net flows)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares MSCI EAFE ETF (EFA) posted net inflows of $592 mln this past week, the most of any ETF
ETFs providing exposure to Europe (EFA has ~64% exposure to Europe) continue to draw interest, accounting for the four
ETFs with the highest net inflows this past week
The SPDR Gold Trust (GLD) exhibited its first week of net inflows ($195 mln last week) since early December 2012
Interestingly, the iShares 20+ Year Treasury Bond ETF (TLT), one of the longer duration fixed income ETFs available, had
the eighth highest net inflow this past week at $165 mln and it has now exhibited net inflows for four consecutive weeks
We note that Fixed Income ETFs exhibited $1.1 bln in net outflows last, including four of the top 10 net outflows
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 7/31/13
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.3 bln
SPY’s shares short are at their highest level since 3/28/13 and nearly 10% above their one-year average
The Vanguard FTSE Emerging Markets ETF (VWO) is coming off its highest level of shares short ever last period; VWO’s
short interest declined $845 mln and its shares short were down 22 mln
Aggregate ETF USD short interest increased by $187 mln over the period ended 7/31/13
The average shares short/shares outstanding for ETFs is currently 4.3% - For the third consecutive period, three of the 10 most heavily shorted ETFs as a % of shares outstanding have been currency based - Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only six ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets Source: Bloomberg, Morgan Stanley Wealth Management ETF Research. Data estimated as of 8/16/13 based on daily change in share counts and daily NAVs.
$8.2 bln in total market cap of ETFs less than 1-year old
-While the largest and most liquid fixed income ETFs have generally seen significant net outflows over the past 13 weeks,
newly launched fixed income ETFs have exhibited net inflows of $825 mln over the same period
90 new ETF listings and 30 closures/delistings YTD
The top 10 most successful launches make up 64% of the market cap of ETFs launched over the past year
Five ETF sponsors and two asset classes represented in top 10 most successful launches; we note that the representation
of funds with an income orientation is currently six
The FlexShares Quality Dividend Index Fund (QDF) and the PowerShares S&P 500 High Dividend Portfolio (SPHD) are now
among the most successful launches over the past year; while both provide exposure to US dividend-paying stocks, QDF
utilizes a proprietary approach to target higher-quality companies whereas SPHD holds 50 stocks from the S&P 500 Index
that have historically provided high dividend yields and low volatility
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Source: Morgan Stanley
FINRA Warns Investors of Marijuana Stock Scams
August 20, 2013--The Financial Industry Regulatory Authority (FINRA) issued a new Investor Alert called Marijuana Stock Scams to warn investors about potential related scams.
Medical marijuana is legal in almost 20 states, and recreational use of the drug was recently legalized in two states. As a result, the cannabis business has been getting a lot of attention – including the attention of scammers. Like many investment scams, pitches for marijuana stocks may arrive in a variety of ways – from faxes to email or text message invitations, to webinars, infomercials, tweets or blog posts.
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Source: FINRA
Are you ready? New Swap Trading Requirements For Pension Plan Asset Managers
August 20, 2013--The Dodd-Frank Act and its implementing regulations bring significant new regulatory oversight to the over-the-counter (OTC) derivatives markets. As the markets respond, the menu
of derivatives instruments available to asset managers, and
the costs associated with those instruments, will change significantly.
As the first new swap rules have come into effect earlier this year, market participants have started to identify
risks and costs, as well as opportunities, arising from this new
regulatory landscape.
For US pension plans and separately managed accounts, mandatory swap clearing for certain interest rate swaps (IRS) and credit default swaps (CDS) is required by September 9, 2013. This memorandum highlights some of the steps that affected asset managers must take to prepare for clearing and other regulatory requirements.
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Source: Consultant 360 (BNY Mellon)
Horizons ETFs announces unit consolidation for HXT
August 20, 2013--Horizons ETFs Management (Canada) Inc. ("Horizons ETFs"), the manager and trustee of the Horizons S&P/TSX 60TM Index ETF (the "ETF" or "HXT"), listed on the Toronto Stock Exchange ("TSX") under the symbols HXT and HXT.U, has announced today that it intends to consolidate the units of the ETF as indicated in the table below.
Unit Consolidation
After the close of trading on Friday, September 6, 2013 on the TSX, the units of HXT will be consolidated on the basis of the ratio (the "Consolidation Ratio") set out below, and will begin trading on a post consolidated basis on Monday, September 9, 2013,...
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Source: Horizons ETFs Management (Canada) Inc.
