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Morgan Stanley-Preliminary 4Q 2012 ETF Net Cash Flows Estimates
January 2, 2013--We estimate that net cash inflows into US-listed ETFs were $51.8 billion during the fourth quarter of 2012. The report contains our estimates and analysis of 4Q 2012 ETF flows for the US
market.
Once official data are released, we will publish our more comprehensive flow analysis.
The $51.8 billion during 4Q 2012 is above the $35.8 billion average quarterly net cash inflows over the past three years.
For 2012, we estimate ETF net inflows at $185.2 billion, which eclipses the previous high-water mark of $174.6 billion in net cash inflows set in 2007. US-listed ETF assets are now over $1.3 trillion, which is roughly 27% higher than from the end of 2011.
The largest net cash inflows went into ETFs tracking Emerging Markets equity and International Developed Markets equity indices. These segments had net cash inflows of $15.2 and $10.3 billion in 4Q 2012 bringing their total inflows for 2012 to $29.7 and $16.2 billion, respectively. For 2012, ETFs tracking Fixed Income indices had the highest net cash inflows at $50.4 billion, of which $9.1 billion came in the fourth quarter. Currency ETFs was the only segment to post net outflows ($2.6 billion) in 2012.
BlackRock’s net cash inflows of $27.2 billion in 4Q 2012 and $61.8 billion for the full year were the largest of any provider.
As of 12/31/12, BlackRock, State Street and Vanguard accounted for over 79% of ETF assets.
There were 25 ETFs launched and 38 liquidated in the US during 4Q 2012. There were 155 ETFs issued and 82 closures in 2012 (additional 16 liquidations announced for 2013).
As of 12/31/12, there were 37 issuers with 1,239 ETFs. Roughly $9 billion in total ETF market cap is from ETFs issued over the past year. The most successful recent launches (by total assets) have focused on fixed income securities.
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Source: Morgan Stanley
ETFS Physical Silver Shares Shares Cross Above 200 DMA
January 2, 2013--In trading on Wednesday, shares of the ETFS Physical Silver Shares ETF (AMEX: SIVR) crossed above their 200 day moving average of $30.50, changing hands as high as $31.17 per share.
ETFS Physical Silver Shares shares are currently trading up about 3.3% on the day. The chart below shows the one year performance of SIVR shares, versus its 200 day moving average:
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Source: Forbes
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios- Diversified Momentum Portfolio Update
Diversified Momentum Update as of December 31st, 2012
January 2, 2013--Global Sectors Portfolio boosts DMP performance
Market Performance
The US equity market (SPY) swung up and down at the tune of the "Fiscal Cliff" negotiations during December just to end up slightly positive.
The broad US Fixed Income market (BND) was down by 1.07%, and the Commodity market (DBC) retreated similarly by 1.14% during the same period.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) was up by 0.92% in December. While the equity market and our multi asset class benchmark were mixed, with the first up by 0.18% and the second one down by 0.46%, respectively.
Portfolio Updates and New Membership
Most of the portfolios experienced almost a complete membership reconstitution. In terms of portfolio weights, the asset class weights remained unchanged. Global Sectors remain the top allocation with 40%, followed by Currencies, Commodities, and Treasuries with 30%, 20%, and 10%, respectively.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy-North America
ISE Reports it is The Largest Equity Options Exchange in December
ISE is the largest equity options exchange in December 2012 with a market share of 18.6%.
Average daily volume for the full year 2012 was 2.5 million contracts, a decrease of 18.1% over 2011.
Dividend trades make up 10.0% of industry volume in December 2012 and 6.2% of total industry volume for 2012.
January 2, 2013--The International Securities Exchange (ISE) today reported average daily volume of 2.4 million contracts in December 2012, an increase of 6.1% over December 2011.
Total options volume for the month was 47.8 million contracts. ISE was the largest U.S. equity options exchange in December 2012 with market share of 18.6%*.
Average daily volume for full year 2012 was 2.5 million contracts, a decrease of 18.1% over 2011. Total volume for the year was 631.8 million contracts. ISE was the second largest U.S. equity options exchange in 2012 with market share of 18.1%*.
Business highlights for the full year 2012 include:
Corporate
In July, ISE announced that it had filed a Form 1 application for a second exchange license with the Securities and Exchange Commission. ISE plans to launch its second options exchange platform in 2013, pending SEC approval.
ISE announced its partnership with AlphaClone LLC, the leader in hedge fund position replication, to promote AlphaClone's innovative hedge fund position replication index, the AlphaClone Hedge Fund Long/Short Index. This agreement combined the global experience of ISE with AlphaClone's distinct disclosure-based hedge fund replication approach, called cloning. Third-party licensees will be able to leverage ISE’s business development and marketing support to effectively bring AlphaClone’s innovative research and products to market.
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Source: International Securities Exchange (ISE)
Morgan Stanley-Exchange-Traded Funds
December 31, 2012--US ETF Weekly Update
Weekly Flows: $6.2 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 26% YTD
No ETF Launches Last Week
Two Guggenheim BulletShares ETFs Mature
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $6.2 bln last week, the 6th consecutive week of net inflows
Net inflows were led by US Large-Cap and International Equity ETFs, which posted combined net inflows of $5.6 bln
Fixed Income ETFs have posted net outflows for three straight weeks, but posted net inflows of $9.0 bln over the last 13 weeks
ETF assets stand at $1.3 tln (up 26% in 2012) and posted net inflows 41 out of 52 weeks in 2012 ($180.6 bln)
13-week flows were mostly positive among asset classes; combined $50.9 bln net inflows
International Equity ETFs have exhibited net inflows of $25.1 bln over the past 13 weeks
Over the last 13 weeks, US Small- & Micro-Cap and Leveraged/Inverse ETFs have posted net outflows of $2.0 bln and $1.0 bln, respectively, the largest of the categories we measured
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The SPDR S&P 500 ETF (SPY) posted net inflows of $2.4 bln last week, the most of any ETF
SPY has now posted net inflows for six consecutive weeks, totaling $20.5 bln, as investors position for year end (i.e., tax planning and locking in returns), in our opinion
The iShares MSCI Emerging Markets Index Fund (EEM) had another impressive week posting net inflows of $917 mln; over the last 13 weeks, EEM has exhibited net inflows of $8.9 bln, the most of any ETF
The PowerShares QQQ (QQQ) has posted net outflows of $2.5 bln over the last 13 weeks, the most of any ETF
US-Listed ETFs:
Short Interest
Data Updated:
Based on data as of 12/14/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $759 mln
Despite the climb in short interest last period, SPY’s shares short remain 14% below their 52-week average
Aggregate ETF USD short interest increased by $1.2 bln over the past two weeks ended 12/14/12
The average shares short/shares outstanding for ETFs is currently 5.1%
Smaller ETFs by market cap may skew results (three of the top 10 with the highest % of shares short have market caps <$5 mln)
Retail ETFs consistently are some of the most heavily shorted ETFs (shares short as a % of shares outstanding)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only eight 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 Smith Barney Research.
Data estimated as of 12/28/12 based on daily change in share counts and daily NAVs.
$8.9 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 50% of the market cap of ETFs launched over the past year; PIMCO Total Return ETF (BOND) is the largest actively managed ETF with a market cap of $3.9 bln
155 new ETF listings and 82 closures YTD (already 16 announced closures to occur in 2013)
The top 10 most successful launches make up 71% of the market cap of ETFs launched over the past year
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
The four iShares Core ETFs, part of a series of recently launched (October 2012) low-cost, retail-focused ETFs, have a combined market cap of $634 million; in particular, the iShares Core MSCI EAFE ETF (IEFA) and the iShares Core MSCI Emerging
Markets ETF (IEMG) have posted impressive net inflows
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Source: Morgan Stanley
ALPS Launches Alerian MLP Infrastructure Index Fund
December 31, 2012--ALPS-A DST Company announced the launch of the ALPS Alerian MLP Infrastructure Index Fund (NYSE Arca: ALERX) a fund that delivers exposure to the Alerian MLP Infrastructure Index (NYSE: AMZI), a capped, float-adjusted, capitalization-weighted composite of 25 energy infrastructure Master Limited Partnerships that earn the majority of their cash flow from the transportation, storage, and processing of energy commodities.
The Fund employs a "passive management" - or indexing – investment approach designed to track the performance of the Index. The Index is calculated using a capped, float-adjusted, capitalization-weighted methodology intended to give investors a means of tracking the overall performance of the United States energy infrastructure Master Limited Partnership ("MLP") asset class.
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Source: ALPS
CFTC's Division of Swap Dealer and Intermediary Oversight Issues Further No-Action Relief for Certain U.S. Banks Wholly Owned by Non-U.S. Swap Dealers, for Purposes of Making Calculations Under the Swap Dealer Definition
December 31, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) today issued a no-action letter that provides further relief for certain U.S. banks that are wholly owned by non-U.S. swap dealers.
The no-action letter extends the relief provided in CFTC Staff Letter No. 12-61, issued on December 20, 2012, to foreign-owned U.S. banks with differing ownership structures, including state-chartered banks regulated by the Federal Reserve or the Federal Deposit Insurance Corporation.
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter Providing Registration Relief to Certain Introducing Brokers and Commodity Trading Advisors Involved in Swaps Activities
December 31, 2012--The Division of Swap Dealer and Intermediary Oversight (DSIO) of the Commodity Futures Trading Commission announced today in a letter that it is taking a no-action position which provides relief from the requirement to register as an introducing broker (IB) or commodity trading advisor for certain affiliates of a swap dealer or swap counterparty that is within the de minimis exception to the swap dealer definition.
The relief also extends to the affiliates’ employees where the employees engage in certain activity in support of and on behalf of the swap dealer or swap counterparty.
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter Providing Time-Limited Registration Relief to Certain Associated Persons
December 31, 2012--The Division of Swap Dealer and Intermediary Oversight (DSIO) of the Commodity Futures Trading Commission (CFTC) announced in a letter that it is taking a no-action position that extends the temporary registration relief it previously granted in CFTC Letter 12-15 (October 12, 2012) to certain associated persons (AP).
DSIO stated that, subject to certain conditions, it would not recommend that the Commission commence an enforcement action against any person for failure to register as an AP of a futures commission merchant, introducing broker, commodity pool operator, or commodity trading advisor where the requirement to register as an AP is solely because of the person’s involvement with swaps or as a result of the transition of certain contracts on the Intercontinental Exchange, Inc. and the New York Mercantile Exchange to clearing as commodity futures and options transactions.
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Source: CFTC.gov
BMO Covered Call Dow Jones Industrial Average Hedged to CAD ETF Receives Exemption
December 31, 2012--BMO today announced that the BMO Covered Call Dow Jones Industrial Average Hedged to CAD ETF (the BMO ETF) intends to commence investing in reliance on exemptive relief recently granted by the Ontario Securities Commission.
This will provide the BMO ETF with the flexibility to manage its portfolio in a manner that is more consistent with the make-up of the Dow Jones Industrial Average, while still pursuing its covered call option writing strategy in seeking to earn option premiums and mitigate downside risk.
The relief has been granted from the concentration restriction in subsection 2.1(1) of National Instrument 81-102 Mutual Funds, subject to certain conditions and as described in the BMO ETF's prospectus, such that its investment in a constituent issuer of the Dow Jones Industrial Average may exceed 10% of the BMO ETF's net asset value, limited only by that issuer's weight in the Dow Jones Industrial Average.
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Source: BMO Financial Group
