Americas ETP News
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High Frequency Trading Arms Race Has Plenty of Drawbacks.
December 3, 2012--A new paper co-written by the chief economist of the Commodity Futures Trading Commission calls into question the turbocharged arms race behind the controversial practice of high-frequency trading.
In the past few years, the race for speed on Wall Street has accelerated as high-frequency firms compete to get in front of one another—and of more traditional investors—at speeds measured in the millionth of a second. While the race has in some ways made the market more efficient, it is also having less beneficial effects on the market, the paper says.
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Source: Wall Street Journal
ISE Reports Business Activity for November 2012
December 3, 2012--ISE was the second largest equity options exchange in November with market share of 18.2%,
excluding dividend trades.
Dividend trades made up 4.8% of industry volume in November 2012.
The International Securities Exchange (ISE) today reported average daily volume of 2.5 million contracts
in November 2012. This represents a decrease of 11.1% compared to November 2011.
Total options volume for the month was 53.2 million contracts. ISE was the second largest U.S. equity options exchange in November with market share of 18.2%*.
Business highlights for the month of November include:
On November 16, 2012, ISE announced that Marcus Thompson was elected by the Board of Directors for a two-year term. Mr. Thompson, who is a Managing Director within the CFO division of Deutsche Börse AG, will serve as a non-industry director. In his role at Deutsche Börse Group, Mr. Thompson currently is responsible for Financial Accounting & Controlling.
On November 26, 2012, ISE announced that it became the first exchange to confirm a launch date of March 18, 2013 to commence trading in Mini Options. ISE will initially list Mini Options on the following securities: AAPL, AMZN, GLD, GOOG, and SPY.
For the month of November, Implied Order functionality accounted for 6.8% of all non-crossing, multi-legged contract volume executed on ISE.
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Source: ISE (International Securities Exchange)
CME completes Kansas City Board of Trade deal
December 3, 2012--CME Group has completed its acquisition of the Kansas City Board of Trade, the options and futures exchange operator said Monday.
The company said in October that it would be buying the Kansas City Board of Trade for $126 million in cash.
CME said the deal will provide customers of both companies with new trading opportunities and additional products to manage their global wheat price risk. The Kansas City Board of Trade is the leading futures market for hard red winter wheat. CME Group Inc. runs several exchanges, including a key wheat futures and options market.
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Source: Bloomberg BusinessWeek
CFE To Launch S&P 500 Variance Futures On December 10
New Contract Mirrors Quoting
Conventions and Economic Performance of Over-the-Counter S&P 500 Variance Swaps
December 3, 2012--CBOE Futures Exchange, LLC (CFE) announced today that it plans to launch trading in S&P 500 Variance futures on Monday, December 10.
The S&P 500 Variance futures contract, like over-the-counter (OTC) variance swaps, allows users to trade the difference between the implied and realized variance of the S&P 500 Index. CFE's variance futures contract will offer the same quoting conventions and economic performance of OTC variance swaps and will provide the advantages of exchange-traded contracts -- transparency, price discovery and counterparty clearing guarantees.
The new S&P 500 Variance futures contract is designed to offer benefits to both existing OTC users and to customers who have not traditionally participated in the OTC variance swap market.
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Source: CBOE
Morgan Stanley-US ETF Weekly Update
December 3, 2012--Weekly Flows: $18.0 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 24% YTD
Three ETF Launches Last Week
Invesco PowerShares Lowers Fees on Six ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $18.0 bln last week, highest level since we began tracking weekly flows in 2010
Net inflows were led by US cap-focused ETFs (combined $13.4 bln in net inflows); specifically US Large-Cap ETFs posted net inflows of $8.5 bln last week
The 4th quarter of each year is generally when we see ETF inflows at their strongest (over last 8 years, 4Q flows accounted for 43% of annual net inflows, on average)
ETF assets stand at $1.3 tln (up 24% YTD) and have posted net inflows 37 out of 48 weeks in 2012 ($152.9 bln YTD)
13-week flows were mostly positive among asset classes; combined $60.4 bln net inflows
Fixed Income ETFs have posted net inflows 65 out of the past 68 weeks, including $11.8 bln over the past 13 weeks
International Equity ETFs (EM and Developed Markets) have exhibited a combined $18.7 bln in net inflows over the last 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
For the 2nd consecutive week, the SPDR S&P 500 ETF (SPY) posted the largest net inflows
Over the past two weeks, SPY has generated net inflows of $7.8 bln, the most of any ETF
Nine of the 10 ETFs to post the largest net inflows last week were US equity-based (Vanguard captured six of the spots)
Five of the 10 ETFs to exhibit the largest net outflows last week were US fixed-income based (three focused on short maturities)
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 11/15/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.1 bln
SPY’s shares short climbed for the second period in a row and currently reside at their highest level since 6/29/12
Aggregate ETF USD short interest increased by $6.0 bln over the past two weeks ended 11/15/12
The average shares short/shares outstanding for ETFs is currently 4.9%, up from 4.4% in the prior period
Smaller ETFs by market cap may skew results (four of the top 10 with the highest % of shares short have market caps <$25 mln)
Retail ETFs continue to be some of the most heavily shorted ETFs; SPDR Retail ETF (XRT) and Market Vectors Retail ETF (RTH) each have shares short as a % of shares outstanding over 200%
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 Smith Barney Research.
Data estimated as of 11/30/12 based on daily change in share counts and daily NAVs.
$7.9 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 $3.8 bln
145 new ETF listings and 76 closures YTD (three WisdomTree ETFs will liquidate this week)
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
Notably, the iShares Barclays US Treasury Bond Fund (GOVT) posted net outflows of $96 mln last; over the past 13 weeks,
GOVT has exhibited net outflows of $340 mln, by far the most of any recently launched ETF
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Source: Morgan Stanley
Invesco PowerShares to List S&P 500(R)Downside Hedged ETF
December 3, 2012--Invesco PowerShares Capital Management LLC, a leading global provider of exchange-traded funds (ETFs), announced today the anticipated listing of the PowerShares S&P 500(R) Downside Hedged Portfolio (PHDG) for December 6, 2012 on the NYSE Arca.
The new ETF will be a liquid alternative solution providing investors broad US equity market exposure with a downside hedge by dynamically allocating to VIX futures and cash depending on market volatility trends. PHDG will have an expense ratio of 0.39%.
“Today, advisors and their clients are just as interested in protecting their assets as they are in generating positive returns,” said Ben Fulton, Invesco PowerShares managing director of global ETFs. “The PowerShares S&P 500® Downside Hedged Portfolio (PHDG) will expand our range of liquid alternative strategies, and underscores our commitment to provide groundbreaking ETFs that advisors and investors can utilize to reduce correlation, lower volatility, and serve as a downside hedge in falling markets.”
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Source: Invesco PowerShares
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios-Diversified Momentum Portfolio Update
December 3, 2012--Diversified Momentum Update as of November 30th, 2012
Global Sectors Portfolio weighs on DMP performance
Market Performance
Despite the plunge that followed the US elections, the US equity market (SPY) was able to recover most of the lost ground in order to close the month of November with a 0.57% gain.
The broad US Fixed Income market (BND) was practically flat, and the Commodity market (DBC) rallied by almost 2.0% during the same period.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) was down by 0.79% in November. While the equity market and our multi asset class benchmark were up by 0.57% and 0.69%, respectively.
Portfolio Updates and New Membership
Most of the portfolios, with the exception of Commodities, experienced almost a complete membership reconstitution. In terms of portfolio weights, 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 Partners with PureFunds and Factor Advisors to Launch Three New ETFs
The Diamond/Gemstone, Mining Service, and Junior Silver ETFs Track ISE Indexes
December 3, 2012--The International Securities Exchange (ISE) today announced the launch of three new exchange traded funds (ETFs) in partnership with PureFunds: PureFunds(TM) ISE Diamond/Gemstone ETF (NYSEArca: GEMS); PureFunds(TM)ISE Mining Service ETF (NYSEArca: MSXX); and PureFunds(TM)ISE Junior Silver ETF (NYSEArca: SILJ).
All three ETFs track proprietary indexes developed by ISE. The ETFs began trading on November 28th.
“We are excited that PureFunds has selected ISE as the index provider for these new and innovative ETFs,” said Kris Monaco, Head of New Product Development at ISE. “With growth in global demand for hard assets, these sectors-specific ETFs provide investors with an actionable investment vehicle to participate in these important segments of the commodity market.”
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Source: International Securities Exchange (ISE)
New Mining ETFs from FactorShares-GEMS, MSXX, SILJ
December 1, 2012--FactorShares launched three new mining ETFs this past week
GEMS-PureFunds ISE Diamond-Gemstone ETF
MSXX-PureFunds ISE Mining Service ETF
SILJ-PureFunds ISE Junior Silver ETF
GEMS focuses on large-cap companies involved with the mining of gemstones, while SIJL focuses on small-cap companies involved in the mining of silver.
However, MSXX will focus on company stocks that are involved with the mining of any commodity. And all three funds will target companies across the globe.
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Source: etf.about.com
Direxion files with the SEC
November 30, 2012--Direxion has filed a post-effective amendment, registration statement with the SEC for the DIREXION DAILY DOW 30 BULL 2X SHARES/DIREXION DAILY DOW 30 BEAR 2X SHARES.
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Source: SEC.gov
