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DB-Synthetic Equity & Index Strategy-North America-US ETF Weekly Review-Equity inflows and market rally push ETP Assets up by 2.9%
November 26, 2012--Market and Net Cash Flows Review
Markets experienced a good relief rally during the shorter Thanksgiving week. The US (S&P 500) soared by 3.62%; while, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 4.81% and 2.70%, respectively.
Moving on to other asset classes, credit outperformed rates; while commodities ended higher across the board with the DB Liquid Commodity Index up by 2.02%, and Silver prices moving up by 5.45%. In the meantime, Volatility (VIX) dropped by 7.74% during the same period.
The total US ETP flows from all products registered $4.6bn (+0.4% of AUM) of inflows during last week vs. $6.71bn (-0.5%) of outflows the previous week, setting the YTD weekly flows average at +$2.9bn (+$136.15bn or +13.0% YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$3.27bn (+0.4%), +$1.31bn (+0.5%), -$0.02bn (-0.0%) last week vs. -$6.68bn (-0.8%), -$0.13bn (-0.1%), +$0.06bn (+0.1%) in the previous week, respectively.
Among US sectors, Materials (+$0.72bn, +7.95%) and Consumer Discretionary (+$0.28bn, +5.00%) received the top inflows, while Utilities (-$0.55bn, -7.36%) and Financials (-$0.39bn, -0.91%) experienced the largest outflows.
Within Equity ETPs, Large Cap products had the largest inflows (+$2.3bn, +1.2%); while US Sector products had the largest outflows of $0.5bn (-0.4%). Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.7bn, +0.7%).
Top 3 ETPs & ETNs by inflows: SPY (+$2.3bn), EEM (+$0.6bn), IWM (+$0.6bn)
Top 3 ETPs & ETNs by outflows: XLU (-$0.5bn), XLF (-$0.3bn), MDY (-$0.2bn)
New Launch Calendar: no new listings
There were no new listings during last week
Turnover Review: Floor activity decreased by 44% on shorter week
Mostly driven by the shorter Thanksgiving week, total weekly turnover decreased by 43.8% to $171bn vs. $304bn from the previous week. Last week's turnover level was 55% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover decreased by $120.9bn (-44.5%), $6.4bn (-38.0%) and $4.3bn (-35.0%), respectively.
Assets under Management (AUM) Review: ETP assets rose by 2.9%
Markets boosted assets by $36bn last week. As of last Friday, US ETPs have accumulated an asset growth of 21.7% YTD. Assets for equity, fixed income and commodity ETPs moved +$33.3bn, +$1.3bn, +$1.9bn during last week, respectively.
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Source: Deutsche Bank -Synthetic Equity & Index Strategy -North America
Legg Mason Wins Approval to Launch Actively Managed ETFs
Van Eck draws up plans for a hedged junk-bond ETF, and Barclays pulls the plug on a volatility ETN.
November 26, 2012--On Friday, Nov. 16, Legg Mason won permission from the SEC to be able to launch actively managed exchange-traded funds.
The announcement paves the way for Legg Mason to move forward with some or all of the three actively managed funds that it presently has in registration with the SEC. Indeed, the firm of late has been updating its filings for three proposed actively managed ETFs--one of which would be an ultra-short duration bond fund, and two of which would be equity ETFs.
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Source: Morningstar
Morgan Stanley--ETF Weekly Update
November 26, 2012--US ETF Weekly Update
Weekly Flows: $4.6 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 22% YTD
No ETF Launches Last Week
Belgium ETF Undergoes Changes
November 26, 2012--US-Listed ETFs: Estimated Flows by Market Segment
Amid positive equity market returns, ETF flows rebounded last week, posting net inflows of $4.6 bln
Net inflows were led by US Large-Cap ETFs, specifically the SPDR S&P 500 ETF (SPY); US Large-Cap ETFs posted net
inflows of $2.1 bln last week and SPY had net inflows of $2.3 bln
ETF assets stand at $1.3 tln (up 22% YTD) and have posted net inflows 36 out of 47 weeks in 2012 ($134.9 bln YTD)
13-week flows were mostly positive among asset classes; combined $44.4 bln net inflows
Fixed Income ETFs have posted net inflows 64 out of the past 67 weeks; including $11.8 bln over the past 13 weeks
International Equity ETFs (Emerging and Developed Markets) have exhibited a combined $16.4 bln in net inflows over the last 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $2.3 bln, the most of any ETF
US Equity ETFs accounted for seven out of the 10 ETFs to post the largest net inflows and eight of the 10 to post the greatest net outflows (10 of 10 if inverse ETFs included)
Over the last 13 weeks, the iShares MSCI Emerging Markets Index Fund (EEM) posted net inflows of $3.7 bln, the most of any ETF
Since Vanguard announced on 10/2/12 plans to change its benchmark on the Vanguard MSCI Emerging Markets ETF (VWO),EEM has posted net inflows of $2.8 bln whereas VWO has exhibited net outflows of $1.0 bln
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 10/31/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.9 bln
Despite an increase in short interest last period, SPY’s shares short remained 26% below their average level over the past year
Aggregate ETF USD short interest increased by $3.9 bln over the past two weeks ended 10/31/12
The average shares short/shares outstanding for ETFs is currently 4.4%
Smaller ETFs by market cap may skew the results (3 of the top 10 with the highest % of shares short have market caps <$25 mln)
Notably, the iShares Barclays 20+ Year Treasury Bond Fund (TLT) cracked the top 10 most heavily shorted ETFs
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only seven 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 11/23/12 based on daily change in share counts and daily NAVs.
$7.8 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 53% 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 $3.7 bln
142 new ETF listings and 76 closures YTD (additional 3 liquidations have been announced)
The top 10 most successful launches make up 72% 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
Interestingly, the iShares Core MSCI Emerging Markets ETF (IEMG), part of a series of recently launched low-cost, retailfocused ETFs by iShares, has accumulated $117 mln in assets in a month; IEMG does not have the liquidity of other Emerging Markets ETFs; however, with an expense ratio of 18 bps, it is one of the lowest cost products in the space
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Consultanats 360-Analytical Insights-Third Quarter 2012 Edition Announcements Findings also revealed nearly one-quarter of responding clients have already implemented these strategies within their investment process, representing more than $200 billion in assets.
Report of the Quarter view more S&P Dow Jones Indices Announces Changes In Canadian Indices-Index Weight Changes Resulting From A Share Issuance Chilean AFPs' Investment in the U.S. Hits Record High
Patricio Eskenazi, International Equities Manager at the brokerage house Penta Corredores de Bolsa, points out that this has not happened overnight. "Everyone has been systematically increasing their exposure to the U.S. for the last two years. In terms of returns, it has been one of the best performing regions in recent times, and when you adjust for risk, the results are much better," he explains. view more
Chicago Mercantile Exchange, Inc. is the third entity for which the Commission has issued provisional registration as a swap data repository – a category of CFTC registered entities created by the Dodd-Frank Act of 2010 to perform a variety of functions related to the collection and maintenance of swap transaction data and information. Chicago Mercantile Exchange, Inc. was provisionally registered as a swap data repository for the interest rate, credit, foreign exchange, and other commodity asset classes.
Source: CFTC.gov
November 21, 2012--Economic Outlook
View the latest market commentary from Chief Economist Richard Hoey.
Market Review
During Q3'12, median home prices in the US increased to $256,900-the highest since March 2007.
The US unemployment rate fell to 7.8% and the US trade deficit dropped 7.1% from May to August.
A recent BNY Mellon study found Public pension plans in the U.S. and Europe incorporate Socially Responsible Investing and Environmental, Social, and Governance concepts into their portfolios at more than twice the rate of corporate plans.
Manager at a Glance enables clients to quickly aggregate multiple areas of performance reporting, succinctly organizing data and creating comprehensive reports. Performance attribution and universe graphs are now available in this report.
Source: BNY Mellon
November 21, 2012--On November 21, 2012, Crescent Point Energy Corp. (TSX:CPG) announced the closing of a bought deal financing of shares. As a result of the increase in the number of shares outstanding of the company, the relative weight of Crescent Point will increase in the S&P/TSX Composite and Capped Composite, the S&P/TSX 60, 60 Capped and Equity 60, the S&P/TSX Equity and Capped Equity, the S&P/TSX Capped Energy, the S&P/TSX Composite Dividend and the S&P/TSX Equity Income 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 60 130/30 Strategy or the S&P/TSX Equal Weight Oil & Gas Indices. These changes will be effective after close on Wednesday, November 28, 2012.
Source: Mondovisione
On the other hand, foreign investors reduce their exposure to government debt
November 21, 2012--A 35% share of all the assets invested abroad by Chilean pension fund managers (AFPs) is in the U.S.
This amounts to some US$56.92bn, the largest figure to date according to the quarterly reports published by the Pensions Superintendence since 2005. Investment in U.S. instruments reached 20.46% this year.
Source: Funds America
