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Morgan Stanley-US ETF Weekly Update
August 5, 2013--Weekly Flows: $4.2 Billion Net Inflows
ETF Assets Stand at $1.5 Trillion, up 15% YTD
Five ETF Launches Last Week
Guggenheim Canadian Energy ETF Changes Benchmark
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $4.2 bln last week, the sixth consecutive week of net inflows
Over the last six weeks, ETFs have generated net inflows totaling $45.2 bln
Net inflows were led by US Large-Cap ETFs at $2.1 bln; conversely, Fixed Income ETFs posted net outflows of $2.0 bln, the most
of any category we measured
ETF assets stand at $1.5 tln, up 15% YTD; $111.4 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $47.2 bln in net inflows
Net inflows of $17.4 bln into the SPDR S&P 500 ETF (SPY) over the last 13 weeks has been a significant contributor to the US
Large-Cap category; US Large-Cap ETFs have exhibited net inflows of $27.3 bln over the last 13 weeks
International – Emerging ETFs have posted net outflows of $8.6 bln over the last 13 weeks, the most of any category; the
category’s market share has shrunk two percentage points to 9% over the past year
Source: Bloomberg, Morgan Stanley Wealth Management ETF Research. Data estimated as of 8/2/13 based on daily change in share counts and daily NAVs.
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Core S&P Mid-Cap ETF (IJH) posted net inflows of $2.0 bln, the most of any ETF
IJH has posted net inflows for 13 consecutive weeks totaling $2.7 bln; over this time period, IJH has outperformed the S&P 500
Index by nearly 150 basis points
Notably, ETFs with European exposure exhibited meaningful net inflows last week; the Vanguard FTSE Europe ETF (VGK),
iShares MSCI EMU ETF (EZU), and Vanguard FTSE Developed Markets ETF (VEA), with 60% allocated to Europe, posted a
combined $1.1 bln in net inflows
The iShares 3-7 Year Treasury Bond ETF (IEI) and the WisdomTree Japan Hedged Equity Fund (DXJ) exhibited their largest
weekly net outflows since we began tracking weekly flows in 2010
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 7/15/13
United States Oil Fund (USO) had the largest increase in USD short interest at $299 mln
USO’s shares short are at their highest level since 10/31/11 and more than 100% above their one-year average
Shares short for the iShares iBoxx $ High Yield Corporate Bond ETF (HYG) have declined for the second straight period amid a
renewed bid for the high yield asset class
Aggregate ETF USD short interest decreased by $3.7 bln over the period ended 7/15/13
The average shares short/shares outstanding for ETFs is currently 4.1% down from 4.6% the prior period
Three of the 10 most heavily shorted ETFs as a % of shares outstanding are currency based; interestingly, over the last month
(6/14-7/15), all three have posted negative returns
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can
exceed 100% (only five 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 8/2/13 based on daily change in share counts and daily NAVs.
$8.7 bln in total market cap of ETFs less than 1-year old
Over the last year, 22 Fixed Income ETFs have come to market, more launches than any other category; recently launched Fixed
Income ETFs have a market cap of $2.0 bln, trailing only International – Emerging with a total market cap of $2.4 bln
81 new ETF listings and 30 closures/delistings YTD
The top 10 most successful launches make up 68% 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 has declined (currently six)
Notably, the iShares 2018 Investment Grade Corporate Bond ETF (IBCC) generated net inflows of $58 mln last week, the most
of any recently launched ETF; last week, IBCC also cracked the top 10 most successful launches over the past year with a market
cap of $166 mln
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Source: Morgan Stanley
NASDAQ Bulletshares-linked ETFs Cross $3B
August 5, 2013--Announced in June, NASDAQ OMX partnered with Accretive Asset Management (AAM) to co-brand and expand the NASDAQ BulletShares(R)Indexes, a pioneering and innovative family of target-maturity corporate and high yield bond indexes.
Assets of the NASDAQ BulletShares-linked Guggenheim ETFs have grown nearly 60% in 2013 ? from $1.7B as of 12/19/2012 to over $3B as of 8/2/2013.
To put this in perspective, U.S. Fixed Income ETF assets were virtually unchanged YTD through 6/30/13 ($243.1B as of year-end 2012 and $243.6B as of the end of the second quarter in 2013*).By contrast, over this same six-month period, the BulletShares ETFs are up $1B.
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Source: NASDAQ OMX
Morgan Stanley-Fund Flows-ETFs Exhibited Net Inflows of $17.0
August 5, 2013--There were 45 new ETFs listed in the US in the second quarter
of 2013. An additional 13 ETFs have been launched since the end of
the second quarter, bringing year-to-date ETF issuance to 77.
However, there have also been 30 closures/delistings this year, and
as of 7/31/13, there were 39 issuers with 1,286 ETFs listed in the US.
Net inflows into US-listed ETFs were $17.0 billion during 2Q13.
This is well below the average quarterly rate of net cash inflows over the past three years of $36.8 billion and the lowest net flows since the first quarter of 2010 (net inflows of $7.7 billion). For the first half of 2013, net inflows into ETFs were $68.6 billion.
The largest net cash inflows this past quarter went into International-Developed ETFs. These ETFs had net cash inflows of $9.0 billion during the second quarter. Demand for Japanese equities was a key contributor to the continued strong flows into this market segment. For the first half of 2013, this segment had net cash inflows of $22.8 billion, the most of any segment. ETFs tracking US large-cap and US sector and industry indices had the next highest net cash inflows this past quarter at $7.2 billion and $7.1 billion, respectively.
Commodity ETFs had the largest net cash outflows in the second quarter of 2013. Net outflows from Commodity ETFs were $14.2 billion, largely driven by outflows to ETFs providing exposure to gold. International-Emerging ETFs had the next highest outflows at $11.8 billion.
US ETF industry assets of over $1.5 trillion are ~14% higher year to date. Despite the growth of the ETF market, it remains concentrated with three providers and 20 ETFs accounting for almost 81% and 43% of industry assets, respectively.
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Source: Morgan Stanley
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
