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Deutsche Bank-Synthetic Equity & Index Strategy-North America-Weekly ETF Market Review -ETP assets shy away from the $1.3 trillion mark on market pullback
October 16, 2012--Net Cash Flows Review
Equity markets suffered a pullback during last week. The US (S&P 500) fell by 2.21%. While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 2.07% and 1.2%, respectively.
Moving on to other asset classes, the 10Y US Treasury Yield dropped by 6bps last week; while the DB Liquid Commodity Index was up by 0.05%. The Agriculture sector (DB Diversified Agriculture Index), Gold and Silver prices retreated by 0.7% , 1.47% and 2.92%, respectively, meanwhile WTI Crude Oil rose 2.2%. Last but not least, Volatility (VIX) rose by 12.63% during the same period.
The total US ETP flows from all products registered $3.38bn of outflows during last week vs $4.35bn of inflows the previous week, setting the YTD weekly flows average at +$3.2bn (+$131.7bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$4.64bn, +$0.96bn, +$0.38bn last week vs.+$2.27bn, +$1.07bn, +$1.14bn in the previous week, respectively.
Within Equity ETPs, Dividend products had the most inflows (+$0.3bn); while Large Cap products had the largest outflows of $5.1bn. Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.4bn); while Sovereign products experienced the only outflows (-$0.1bn). Within Commodity ETPs, Precious Metals products experienced inflows of $0.3bn, while the other sectors experienced less relevant flows.
Top 3 ETPs & ETNs by inflows: GLD (+$0.4bn), XLE (+$0.3bn), IYR (+$0.3bn)
Top 3 ETPs & ETNs by outflows: SPY (-$2.8bn), QQQ (-$1.0bn), OEF (-$0.7bn)
New Launch Calendar: short term liquidity and quantitative strategies
There was 1 new ETF and 1 new ETN listed on the NYSE Arca during the previous week. The new active fixed-income ETF aims to help cash investors reach higher returns and maintain liquidity without excessive volatility, while the new Equity ETN offers exposure to a quantitative strategy that targets undervalued sectors with relative strong price movement.
Turnover Review: Floor activity decreased by 11%
Total weekly turnover decreased by 10.8% to $234bn vs. $262bn from the previous week. Last week's turnover level was 38% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover decreased by $19.4bn (-8.6%), $4.8bn (-24.7%) and $3.6bn (-23.1%), respectively.
Assets under Management (AUM) Review:
ETP assets dropped by 1.7%
After almost reaching the $1.3 trillion mark last week, ETP assets dropped by 1.7% (-$21.9bn) in line with the markets. As of last Friday, US ETPs have accumulated an asset growth of 22.1% YTD. Assets for equity, fixed income and commodity ETPs moved -$22.3bn, +$1.4bn, -$0.9bn during last week, respectively.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
ETF price war expands to BlackRock's iShares ETFs
October 15, 2012--BlackRock Inc.'s iShares unit is reducing the investment fees charged at six of its largest exchange-traded funds as the biggest ETF provider expands a fee-cutting war that's benefiting cost-conscious investors.
The recent expense cuts by iShares, Vanguard, Charles Schwab and other ETF sponsors present a further challenge for traditional mutual funds, which are attracting new cash from investors at a far slower rate than ETFs.
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Source: Boston.com
iShares to Launch Core Series ETFs for Long-Term Buy-and-Hold Investors
Major New Brand Initiative Highlights Why Professional Investors Choose iShares for their ETFs
iShares and BlackRock Integrate U.S. Retail Sales Teams, Greatly Expanding iShares Reach
October 15, 2012--BlackRock, Inc. (NYSE: BLK) announced today that its iShares Exchange Traded Funds (ETFs) business, the world's largest manager of ETFs1, is launching a series of initiatives to enhance the value proposition it delivers to investors both in the U.S. and globally.
These initiatives include:
Creating the iShares Core Series, a suite of 10 U.S. ETFs designed for the needs of long-term, buy-and-hold investors that combines competitive pricing with diversified, tax-efficient products using premier index providers. Launching a major, multi-pronged global brand initiative which recognizes that every investor is unique and communicates the advantages of using the products that eight out of 10 large professional investors choose for their ETFs.2
Integrating the iShares and BlackRock U.S. retail sales teams, creating the largest retail field force in the U.S. asset management industry, to offer financial advisors and distribution partners a fully integrated combination of index and active products and solutions for today's investors.
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Source: BlackRock
EGShares to List New EM ETF on Tuesday
October 15, 2012--Emerging Global Advisors, the New York-based ETF sponsor known for its lineup comprised entirely of emerging markets funds, will introduce the EGShares Emerging Markets CORE ETF on Tuesday October 16.
The new fund will trade on the New York Stock Exchange under the ticker "EMCR," according to a statement from the exchange.
EMCR will track the S&P Dow Jones Emerging Markets Core Index and feature an annual expense ratio of 0.7 percent, according to a Securities and Exchange Commission filing . The Emerging Markets Core Underlying Index is an equally weighted stock market index comprised of 116 leading companies that S&P Dow Jones Indexes determines to be representative of all industries in emerging market countries, according to the filing. Companies must have a market capitalization of at least $1 billion to be included in the index.
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Source: NASDAQ
Invesco PowerShares to Expand Factor-Driven Suite with High Dividend ETF
October 15, 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) High Dividend Portfolio on October 18, 2012 on the NYSE Arca.
The new ETF, based upon the S&P Low Volatility High Dividend index, is expected to trade under the ticker SPHD and will provide access to the 50 securities in the S&P 500 Index that historically have provided high dividend yields with lower volatility.
High Dividend Strategies (Anticipated listing on October 18, 2012):
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Source: Invesco PowerShares
Morgan Stanley-US ETF Weekly Update
October 15, 2012--US ETF Weekly Update
Weekly Flows: $3.4 Billion Net Outflows
First Weekly Net Outflows in Past 11 Weeks
ETF Assets Stand at $1.3 Trillion, up 22% YTD
One ETF Launch Last Week
US-Listed ETFs: Estimated Flows by Market Segment
After 10 consecutive weeks of net inflows, ETFs posted net outflows of $3.4 bln last week
Last week’s net outflows broke a streak whereby ETFs generated net inflows of $52.4 bln over a 10-week period
Net outflows were primarily driven by US Large-Cap Equity ETFs ($4.9 bln in net outflows)
ETF assets stand at $1.3 tln (up 22% YTD) and have posted net inflows 32 out of 41 weeks in 2012 ($130.6 bln YTD)
13-week flows were mostly positive among asset classes; combined $51.5 bln net inflows
Fixed Income ETFs have posted net inflows 59 out of the past 61 weeks; including $10.3 bln over the past 13 weeks
Currency and Leveraged/Inverse ETFs were the only categories that we measured to exhibit net outflows over the past 13 weeks; the two categories exhibited a combined $421 mln in net outflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Gold Trust (GLD) generated net inflows of $430 mln, the most of any ETF
GLD has exhibited net inflows for 11 consecutive weeks (combined $5.1 bln net inflows over the 11-week period)
Despite posting solid positive absolute returns over the last 13 weeks, the PowerShares QQQ (QQQ) posted net outflows of $1.8 bln
over the period, the most of any ETF (four consecutive weeks of net outflows totaling $2.7 bln)
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 9/28/12
SPDR Dow Jones Industrial Average ETF (DIA) had the largest increase in USD short interest at $518 mln
DIA’s shares short climbed to their highest level since 5/31/12, however remain 40% below their 2012 high reached on 4/13/12
Aggregate ETF USD short interest decreased by $4.4 bln over the past two weeks ended 9/28/12
The average shares short/shares outstanding for ETFs is currently 4.9%
Smaller ETFs by market cap may skew the results (4 of the top 10 with the highest % of shares short have market caps <$25 mln)
The top two spots of shares short as a % of shares outstanding were occupied by retail ETFs; since we’ve been measuring the data
point, retail ETFs have consistently been some of the 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 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 10/12/12 based on daily change in share counts and daily NAVs.
$9.1 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs generated the largest 13-week net inflows at $1.3 bln (PIMCO Total Return ETF-BOND had the largest net inflows in the space at $1.1 bln over the period)
132 new ETF listings and 46 closures YTD (additional 27 liquidations have been announced)
Over the past year, many of the successful launches have an income/defensive orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Over the past year, BlackRock has launched 31% of all ETFs and commands 39% of new market share, the most of any sponsor
Top 10 most successful launches account for 75% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
Vanguard taking wraps off short-term Tips ETF
October 14, 2012--Vanguard expects to start selling a short-term Treasury inflation protected securities fund this month.
The new Short-Term Inflation Protected Securities Index Fund, in registration since July, will be sold in retail investor, “Admiral” and institutional shares as well as an exchange traded fund class.
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Source: FT.com
IMF-Regional Economic Outlook Update: Western Hemisphere-Latin America and the Caribbean-October 2012
October 12, 2012--Growth in the Latin America and Caribbean (LAC) region has softened since our April report, reflecting the larger-than-anticipated impact of earlier policy tightening and the somewhat less favorable external environment.
Global downside risks have increased, as the crisis in Europe continues to simmer, and the U.S. fiscal cliff looms. Nevertheless, with slack in many countries limited, and the twin tailwinds of external finance and commodity prices still stimulative, policies need to be carefully calibrated to keep domestic demand and credit growth in check. The key task for many countries remains to strengthen the resilience of their economies by rebuilding fiscal buffers and safeguarding financial stability. Challenges are more pressing in some countries, particularly those in the Caribbean, where the recovery has been held back by weak balance sheets and external demand
view the Regional Economic Update-Latin America and the Caribbean, October 2012
Source: IMF
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter Regarding the Swaps Calculation by Certain Foreign Entities for Purposes of the Swap Dealer and Major Swap Participant Definitions
October 12, 2012--On July 12, 2012, the Commission published for public comment Proposed Cross-Border Interpretive Guidance and a Proposed Cross-Border Exemptive Order, in which the Commission proposed a definition of the term "U.S. person" that would encompass both persons (or classes of persons) located within the United States as well as those that may be domiciled or operating outside the United States.
The proposed definition would provide clarity to market participants in making the calculations required under the swap dealer and major swap participant definitions. The Commission continues to diligently review the many comments received in anticipation of finalizing the guidance and exemptive order.
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Source: CFTC.gov
CFTC Division of Swap Dealer and Intermediary Oversight Issues Letter Providing Time-Limited No-action Relief with Respect to Foreign Exchange Forwards and Foreign Exchange Swaps
October 12, 2012--Today, the Commodity Futures Trading Commission's Division of Swap Dealer and Intermediary Oversight is issuing a letter providing time-limited no-action relief from the obligation to include any foreign exchange swap or foreign exchange forward for purposes of determining if a person is a major swap participant,
or the calculation to determine if an entity is a swap dealer if the Secretary of the Treasury determines at a later date to exempt such swaps or forwards from the definition of the term “swap” under the Commodity Exchange Act (“CEA”).http://www.cftc.gov/PressRoom/PressReleases/pr6389-12" TARGET="_top">view more
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Source: CFTC.gov
