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DB-Synthetic Equity & Index Strategy- North America-US ETF Weekly Review-ETP assets fall by 1.1% on market plunge
May 28, 2013--Market and Net Cash Flows Review
Equity markets fell during last week. The US (S&P 500) fell by 1.07%; while, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 1.63% and 1.77%, respectively. Moving on to other asset classes, the 10Y US Treasury Yield rose by 6 bps last week; in the meantime broad commodities dropped, with the DB Liquid Commodity Index down by 0.29%.
Similarly, the Agriculture sector (DB Diversified Agriculture Index) and the WTI Crude Oil pulled back by 0.19% and 1.95%, respectively; while Gold and Silver prices moved higher by 1.99% and 0.67%, respectively. Last but not least, Volatility (VIX) rose by 12.37% during the same period.
The total US ETP flows from all products registered $0.28bn (-0.0% of AUM) of outflows during last week vs. $5.24bn (+0.3%) of inflows the previous week, setting the YTD weekly flows average at +$4bn (+$84.15bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$1.35bn (0.12%), $-0.004 (-0.0%), and -$1.61bn (-1.99%) last week vs. +$6.57bn (0.58%), -$0.76bn (-0.27%), and -$0.75bn (-0.89%) in the previous week, respectively.
Among US sectors, Financials (+$1.33bn, +2.2%) and Healthcare (+$0.28bn, +1.0%) received the top inflows, while Consumer Staples (-$0.16bn, -1.58%) and Utilities (-$0.14bn, -1.63%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: FIGY (+$1bn), IWM (+$0.8bn), FBG (+$0.6bn)
Top 3 ETPs & ETNs by outflows: SPY (-$2.5bn), GLD (-$1bn), SPLV (-$0.6bn)
New Launch Calendar:
There were 2 ETFs and 2 ETNs launched during the previous week. The ETFs offer access to forward looking dividend growth (DGRW), and HY bonds with an embedded interest rate hedge (HYHG); while the ETNs offer access to international exposures with focus on yield and blue chip European stocks, respectively.
Turnover Review: Floor activity rose by 30%
Total weekly turnover increased by 30.8% to $359.82bn vs. $275.16bn from the previous week. Actually, last week's turnover level was also 33% over last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover increased by $79.6bn (+33.7%), $1.5bn (+6.9%) and $2.8bn (+19.1%) during the same period, respectively.
Assets under Management (AUM) Review: assets dropped by $17bn
US ETP assets dropped by $17.2bn (-1.1%) totaling $1.502 trillion at the end of the week. As of last Friday, US ETPs have accumulated an asset growth of 12.6% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$15.5bn, -$0.8bn, -$0.8bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
Morgan Stanley-US ETF Weekly Update
May 28, 2013--US ETF Weekly Update
Weekly Flows: $310 Million Net Outflows
ETF Assets Stand at $1.5 Trillion, up 12% YTD
ProShares Announces Share Splits
Mosaic to Purchase QuantShares
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $310 mln last week; first net outflows in five weeks
Last week’s modest ETF net outflows were only the fourth week of net outflows YTD
US Large-Cap ETFs exhibited the largest net outflows this past week at $2.3 bln; specifically, the SPDR S&P 500 ETF (SPY) exhibited net outflows of $2.5 bln
ETF assets stand at $1.5 tln, up 12% YTD; $82.6 bln net inflows YTD
13-week flows were mostly positive among asset classes; combined $47.7 bln in net inflows
Despite exhibiting net outflows last week, Fixed Income ETFs have generated $14.5 bln in net inflows over the last 13 weeks driven by lower duration products
While ETF net inflows have been robust as a whole over the last 13 weeks, Commodity and International – Emerging Market Equity ETFs have posted $23.9 bln in aggregate net outflows over this period driven by gold, broad emerging markets, Brazil,and China
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The iShares Russell 2000 Index Fund (IWM) posted net inflows of $758 mln last week, the most of any ETF
Despite IWM’s large net inflows last week, the fund has exhibited net outflows eight of the last 13 weeks totaling $355 mln
Interestingly, the iShares MSCI USA Minimum Volatility Index Fund (USMV) generated net inflows of $214 mln last week while the PowerShares S&P 500 Low Volatility Portfolio (SPLV) posted net outflows of $625 mln
The WisdomTree Japan Hedged Equity Fund (DXJ) posted its 23rd consecutive week of net inflows; over this time period DXJ has generated net inflows of $8.0 bln and has returned nearly 43%
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 5/15/13
SPDR S&P 500 ETF (SPY) had the largest increases in USD short interest at $1.1 bln
Despite the increase in short interest, SPY’s 240.2 mln shares short are only 6% above their 52-week average
Aggregate ETF USD short interest increased by $2.6 bln over the period ended 5/15/13
The average shares short/shares outstanding for ETFs is currently 4.5%
The CurrencyShares Japanese Yen Trust (FXY) had one of the highest % of shares short relative to shares outstanding at 187% for
the period ended 5/15/13; FXY has consistently been one of the most heavily shorted ETFs since we began tracking the data and
the trade has recently paid off as FXY is down more than 14% YTD on a market price basis
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 5/24/13 based on daily change in share counts and daily NAVs.
$6.8 bln in total market cap of ETFs less than 1-year old
Newly launched International -Emerging Equity ETFs accounted for 24% of the market cap of ETFs launched over the past
year, the most of any category
Issuance has been light in 2013 relative to the past three years; 46 new ETF listings and 27 closures/delistings YTD
The top 10 most successful launches make up 66% of the market cap of ETFs launched over the past year
Seven different ETF sponsors and two asset classes represented in top 10 most successful launches
Seven out of the 10 most successful launches over the past year have an income orientation
The Vanguard Short-Term Inflation-Protected Securities ETF (VTIP) has generated net inflows of $348 mln over the last 13
weeks; notably, longer-dated TIPS ETFs have posted combined net outflows of $1.6 bln over the same time period
The iShares MSCI Frontier 100 Index Fund (FM) cracked the top 10 most successful launches over the past year with a $123 mln
market cap; FM owns securities in countries that have lower market caps and liquidity than emerging markets
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Source: Morgan Stanley
ProShares to Split 15 ETFs
May 26, 2013--ProShares, the largest sponsor of leveraged ETFs, said seven of its ETFs will undergo traditional, forward splits while another eight will be subject to reverse splits.
Maryland-based ProShares made the announcement in a statement released after the close of U.S. markets Friday.
The seven ProShares ETFs that will be split on a forward basis are the following: The ProShares Ultra Consumer Goods (UGE), ProShares UltraPro S&P500 (UPRO), ProShares UltraPro MidCap400 (UMDD), ProShares Ultra Russell3000 (UWC), ProShares Ultra Health Care (RXL), ProShares Ultra Consumer Services (UCC) and the ProShares UltraPro Russell2000 (URTY PROSHARES TRUST ULTRAPRO RUSSELL2000).
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Source: FOX Business News
CFTC.gov Commitments of Traders Reports Update
May 24, 2013--The current reports for the week of May 21, 2013 are now available.
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Source: CFTC.gov
NASDAQ Trades Its First Ever Senior Loan ETF
May 24, 2013--While less than 1% of all ETF assets are in actively managed products, more players are throwing their hat into the ring, including the NASDAQ. The actively-managed ETF provider First Trust launched the first ever senior loan product on the NASDAQ Stock Market this month called the First Trust Senior Loan Fund (FTSL).
"First Trust's actively managed senior loan fund offers investors an opportunity to access yield while having some protection from the eventual rise in interest rates," said Dave LaValle, vice president of transaction services at NASDAQ OMX.
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Source: The Street
U.S. Department of the Treasury Economic Statistics -Monitoring the Economy Update view the US Economic Data- Quarterly 2013 Japan ETFs Fall in U.S. Market as Topix Drops Most Since '11 view more ProShares Launches New High Yield Bond ETF with Built-In Interest Rate Hedge view more FT Portfolios Canada Co. Launches Three ETFs On Toronto Stock Exchange To celebrate the listing of FT Portfolios Canada Co.'s three new ETFs on TSX, Fraser Howell, President and Chief Financial Officer of FT Portfolios Canada Co., will join Amelia Nedovich, Head, Business Development, ETFs and Structured Products, TSX, to open trading this morning at 9:30 a.m. ET.
view more Minutes of the Federal Open Market Committee, April 30-May 1, 2013 view the Minutes of the Federal Open Market Committee April 30-May 1, 2013
May 23, 2013--The U.S. Department of the Treasury Economic Statistics-Monitoring the Economy report have been updated.
view the US Economic Data-Monthly May 2013
Source: US Department of the Treasury
May 23, 2013--Japanese exchange-traded funds, the most popular ETFs in the world this year, fell in U.S. trading as the Topix index posted the biggest drop since the aftermath of the March 2011 tsunami and nuclear disaster.
The iShares MSCI Japan Index Fund, the largest U.S. ETF of Japanese shares, slid 4.2 percent to $11.62 in New York for the biggest drop since 2011. The WisdomTree Japan Hedged Equity Fund, which saw assets rise sevenfold this year, sank 4.3 percent to $50.36. Both have received more cash than any other ETF in 2013. The Bank of New York Mellon Japan ADR Index fell as much as 7.2 percent for the worst drop since 2008.
Source: Bloomberg
May 23, 2013--ProShares, a premier provider of alternative exchange-traded funds (ETFs), today announced the launch of ProShares High Yield-Interest Rate Hedged (BATS: HYHG), a new high yield bond ETF that uses Treasury futures to provide a built-in hedge against rising interest rates.
The value of high yield bonds—like that of all bonds—can be negatively affected by rising rates. HYHG maintains short positions in 2-, 5- and 10-year U.S. Treasury futures contracts to hedge its portfolio against possible rate increases.
Source: ProShares
FT Portfolios Canada Co. to open trading on TSX this morning
May 22, 2013--Toronto Stock Exchange (TSX) today welcomed FT Portfolios Canada Co. to the Exchange. FT Portfolios Canada Co. is a privately owned company and an affiliate of Chicago based First Trust Portfolios L.P. (First Trust), a U.S. registered broker-dealer and U.S.-based exchange traded fund (ETF) sponsor.
"We are proud that FT Portfolios Canada Co. chose to list its products on Toronto Stock Exchange," said Ungad Chadda, Senior Vice President, TSX. “TSX is also proud that we continue to innovate and offer a diverse range of ETFs and other exchange traded products to investors.”
Source: Toronto Stock Exchange (TSX)
May 22, 2013--The Federal Reserve Board and the Federal Open Market Committee on Wednesday released the attached minutes of the Committee meeting held on April 30-May 1, 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.
Source: FRB
