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DB-Synthetic Equity & Index Strategy-North America-US ETF Weekly Review-Market sell-off removed $48bn from US ETP assets
June 25, 2013--Global markets went on free fall following Bernanke's comments suggesting QE tapering. The US (S&P 500) fell by 2.11%; While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 3.75% and 5.46%, respectively.
Moving on to other asset classes, the 10Y US Treasury Yield rose by 38 bps last week; while the DB Liquid Commodity Index was down by 3.29%. Similarly, the Agriculture sector (DB Diversified Agriculture Index), the WTI Crude Oil, Gold and Silver prices retreated by 0.24%, 4.25%, 6.78% and 8.91%, respectively. Last but not least, Volatility (VIX) rose by 10.2% during the same period.
The total US ETP flows from all products registered $4.22bn (-0.3% of AUM) of outflows during last week vs. $0.57bn (-0.0%) of outflows the previous week, setting the YTD weekly flows average at +$2.7bn (+$68.15bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$2.37bn(-0.21%), -$1.4bn (-0.53%) and -$0.62bn (-0.78%) last week vs. +$1.37bn (0.12%), -$1.69bn (-0.63%) and -$0.19bn (-0.24%) in the previous week, respectively.
Among US sectors, Consumer Discretionary (+$0.32bn, +3.6%) and Energy (+$0.14bn, +1.0%) received the top inflows, while Consumer Staples(-$0.60bn, -6.6%) and Utilities (-$0.44bn, -5.5%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: XLF (+$0.5bn), EWZ (+$0.4bn), QQQ (+$0.4bn)
Top 3 ETPs & ETNs by outflows: SPY (-$2.6bn), VWO (-$1.3bn), IWM (-$0.9bn)
New Launch Calendar: high income, global short-term HY and Colombia
There were 3 new ETFs listed during last week on the NYSE Arca. The new products offer access to income, global short-term high yield bonds and the Colombian equity market.
Turnover Review: Floor activity rose by 30.5%
Total weekly turnover increased by 30.5% to $451.62bn vs. $346.01bn from the previous week; Furthermore, last week's turnover level was 67.5% over last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover increased by $93.4bn (+30.7%), $5.2bn (+17.7%) and $6.6bn (+83.2%) during the same period, respectively.
Assets under Management (AUM) Review: assets dropped by 3.3%
Last week’s market sell-off removed $47.7bn (-3.3%) from US ETP assets. As of last Friday, US ETPs had accumulated an asset growth of 5.7% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$36.2bn, -$6.0bn,-$5.6bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy - North America
ISE ETF Ventures and NationsShares(R) Announce Agreement to License and List Options on the Nations VolDex(R) Index
Nations Volatility Index is a More Tradable Measure of Broad Market Volatility.
June 24, 2013--The International Securities Exchange (ISE) today announced that it is the first options exchange to enter into a licensing agreement with NationsShares(R), a leading developer of option-enhanced and option-based indexes, to list options on the Nations VolDex(R) index (ticker: VOLI).
The Nations VolDex measures broad market implied volatility by way of at-the-money SPY options.
"Working with NationsShares is an exciting opportunity for ISE to build upon our established presence in index-based product development," said Kris Monaco, Head of ISE ETF Ventures. "The Nations VolDex will provide market participants with a unique methodology, partly because it uses physically deliverable SPY options, which is different from other available implied volatility measures."
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Source: International Securities Exchange (ISE)
BNY Mellon to Extend Transition Management Services to Large Investment Management Companies Utilizing Outside Asset Managers
Will Provide Same Services Offered to Traditional Asset-Owner Clients Such as Pension Funds
June 24, 2013--BNY Mellon, the global leader in investment management and investment services, is expanding its transition management capabilities to serve large investment management companies that typically utilize outside firms to manage some or all of their investment strategies.
These large investment management companies may utilize networks of sub-advisors to manage investment companies registered under the Investment Company Act of 1940 (40 Act Funds).
BNY Mellon has been providing transition management services to pension funds, sovereign wealth funds, endowments, foundations and other institutional clients since 1983. Now it has formed a registered investment advisor so it can provide its comprehensive suite of services to the large investment management firms, such as insurance companies, that manage registered 40 Act Funds. It should be noted that registration with the U.S. Securities and Exchange Commission does not imply any approval or endorsement by the SEC.
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Source: BNY Mellon
Exchange Traded Concepts Delivers YieldShares High Income ETF (YYY) to Market
First YieldShares ETF Combines the Income Potential of Closed-End Funds with the Flexibility of an ETF
June 24, 2013--Exchange Traded Concepts, LLC ("ETC") announces the launch of the YieldShares High Income ETF (Ticker Symbol: YYY); the most recent exchange-traded fund to begin trading through the firm's accelerated, low-cost, private-label ETF platform.
The YieldShares High Income ETF will seek to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the ISE High IncomeTM Index (High Income Index). The High Income Index TM seeks to measure the performance of the top 30 U.S. exchange-listed closed-end funds (CEFs), as selected and ranked according to factors designed to result in a portfolio that produces high current income.
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Source: Exchange Traded Concepts, LLC
Schwab files with the SEC
June 24, 2013--Sxhwab has filed a post-effective amendment, registration statement with the SEC for the
Schwab U.S. REIT ETF TM.
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Source: SEC.gov
Horizons ETFs Management (USA) LLC Launches Horizons S&P 500(R) Covered Call ETF
Global ETF Innovator Offers Its First ETF in the U.S.
June 24, 2013--Horizons ETFs Management (USA) LLC ("Horizons USA"), a member of the Horizons ETFs Group, one of the largest collective families of ETFs in the world, announced that it has launched the Horizons S&P 500(R) Covered Call ETF ("HSPX"), an exchange traded fund (ETF) that uses an innovative covered call strategy designed to potentially generate additional income from the option-eligible stocks in the S&P 500(R), the most widely followed U.S. large-cap stock index.
The new ETF begins trading today on the New York Stock Exchange under the symbol HSPX (HSPX).
HSPX generally seeks to provide exposure to the performance of the S&P 500(R) Stock Covered Call Index (the "Underlying Index") and will make monthly distributions of dividend and call option income. Horizons USA has an exclusive agreement with Standard & Poor's to offer an ETF in the U.S. based on the Underlying Index.
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Source: Horizons Exchange Traded Funds Inc.
Morgan Stanley-US ETF Weekly Update
June 24, 2013--US ETF Weekly Update
Weekly Flows: $4.2 Billion Net Outflows
ETF Assets Stand at $1.4 Trillion, up 5% YTD
Two ETF Launches Last Week
Exchange Traded Concepts Makes Changes to ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $4.2 bln last week, the fifth consecutive week of net outflows
Over the past five weeks, ETFs have posted a combined $16.7 bln in net outflows
Four of the 15 categories we measured last week posted net outflows in excess of $1 bln; Fixed Income ETFs led the way
exhibiting net outflows of $1.4 bln
Fixed Income ETFs have had net outflows for six consecutive weeks, totaling $9.5 bln; within the Fixed Income ETF category
we have seen investors flock to short duration/floating rate ETFs
ETF assets stand at $1.4 tln, up 5% YTD with asset growth primarily from net inflows; $66.2 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $13.9 bln in net inflows
International – Developed Equity ETFs have generated net inflows of $7.9 bln over the last 13 weeks, the most of any category we
measured; specifically, the two largest Japan ETFs (EWJ, DXJ) accounted for $7.6 bln of the net inflows
International- Emerging Equity and Commodity ETFs have posted a combined $25.8 bln in net outflows over the last 13 weeks, the most of any categories we measured
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The Financials Select Sector SPDR (XLF) posted net inflows of $509 mln, the most of any ETF
Interestingly, the Market Vectors Gold Miners ETF (GDX), which tracks gold mining companies, posted net inflows last week as well as over the past four- and 13-week periods, while the SPDR Gold Trust (GLD), which tracks the physical commodity, continues to exhibit net outflows
Notably, despite a surge in long-term Treasury rates last week, the iShares Barclays 20+ Year Treasury Bond Fund (TLT) generated net inflows of $396 mln; TLT has also posted net inflows of $743 mln over the last 13 weeks, defying outflow expectations
Vanguard FTSE Emerging Markets ETF (VWO) and iShares J.P. Morgan USD Emerging Markets Bond Fund (EMB) posted net outflows over the last one-, four-, and 13-week periods, which is consistent with broader trends that we have seen in both emerging market equity and debt funds given the material underperformance relative to developed markets
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 5/31/13
iShares MSCI Emerging Markets Index Fund (EEM) had the largest increases in USD short interest at $529 mln
EEM’s shares short are at their highest level since 2/15/11
Notably, the iShares MSCI EAFE Index Fund (EFA) is at its lowest level of shares short since 10/31/12
Aggregate ETF USD short interest decreased by $1.8 bln over the period ended 5/31/13
The average shares short/shares outstanding for ETFs is currently 4.3%
The iShares Barclays 20+ Year Treasury Bond Fund (TLT) cracked the top 10 most heavily shorted ETFs as a % of shares outstanding as investors fret rising rates; for contrarian investors, TLTs increase may be a positive sign for rates and a signal that the recent sell-off is overdone
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can
exceed 100% (only three 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 6/21/13 based on daily change in share counts and daily NAVs.
$7.4 bln in total market cap of ETFs less than 1-year old
Newly launched International - Emerging Equity ETFs account for 26% of recently launched market cap followed by Fixed
Income ETFs at 19%; interestingly, outside of the recently launched ETFs, both categories have struggled posting combined net
outflows of $18.3 bln over the past four weeks
Issuance has been light in 2013 relative to the past three years; 55 new ETF listings and 30 closures/delistings YTD
The top 10 most successful launches make up 66% of the market cap of ETFs launched over the past year
Six ETF sponsors and two asset classes represented in top 10 most successful launches; seven have an income orientation
Despite last week’s market volatility, newly launched ETFs continued to take in new money, posting net inflows of $347 mln
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Source: Morgan Stanley
VelocityShares Announces Launch of Two Hedged Equity ETFs
June 24, 2013--VelocityShares LLC, developer of exchange traded products (ETPs) for sophisticated investors, announced the launch of two new exchange traded funds (ETFs) providing a sophisticated long/short volatility strategy combined with a large cap equity allocation.
Each ETF seeks investment results that correspond generally to the performance, before fees and expenses, of its underlying index.
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Source: VelocityShares
S&P Dow Jones Indices Announces Changes to the S&P/TSX Canadian Indices
A Share Update in the S&P/TSX Composite and 60 Indices June 24, 2013--S&P Dow Jones Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
On Monday, June 24, 2013, Valeant Pharmaceuticals International, Inc. (TSX:VRX) announced the closing of a public offering of common shares.
As a result of the increase in the number of shares outstanding of the company, the relative weight of Valeant will increase in the S&P/TSX Composite and Capped Composite and the S&P/TSX 60 and 60 Capped indices. There will be no weight change effective in the S&P/TSX Composite Equal Weight, the S&P/TSX 60 Equal Weight, the S&P/TSX Capped Health Care or the S&P/TSX 60 130/30 Strategy Indices. These changes will be effective after close on Tuesday, July 2, 2013.
Source: S&P Dow Jones Indices
Trading Community Looks To Big Data To Uncover Patterns of Abuse
June 24, 2013--Heralding the next big thing in financial market enforcement, regulators, exchanges and trading firms are turning their attention from specific alerts of insider trading to identifying larger patterns of abuse.
The trading community is applying Big Data and "moving from cross-market to cross-asset surveillance,” explained Bill Nosal, Nasdaq’s associate vice president for business development and Smart products. “Unlike Europe, the U.S. market was designed for transparency. Now technology is providing the basis to look not just across exchanges, but across a given asset such as a security or a futures contract,” said Nosal in an interview last week with Securities Technology Monitor.
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Source:Securities Technology Monitor
