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DB-Global Equity Index and ETF Research-North America-US ETF Investment Ideas-Implementing the House View with ETFs
October 2, 2012-While the central bank actions have encouraged flows into risk assets, the overwhelming policy response highlights just how fragile the outlook remains. Our base case is that growth will bottom out in Q3/Q4 and accelerate in 2013. Downside risks remain, however, which could have knock-on effects in other regions, risking a negative growth and asset price spiral.
Asset Class Views: Fed and ECB easing to provide ‘safety net’ to risky assets
The cross asset class views from DB strategists are moderately bullish on US equities, long gold, bullish on the EUR/USD, bearish on Core rates, and moderately bullish on Credit.
ETF Implementation: Moderate risk-on positioning
We present a number of ETF portfolios which seek to capture the upside of the risk-on trade, while at the same time protect against sudden drops by selecting less correlated asset classes.
Given the current outlook and market conditions which present a more favorable tilt towards risky assets we focus on exploring long positions in US equity, and HY and EM credit. Furthermore, given the USD weakness and relative strength of the EUR and gold we explore long positions on the EUR and gold, and short positions on the USD. At the same time, we also examine short positions on core rates given a possible rise in yields over the next 3-6 months.
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http://pull.db-gmresearch.com/p/577-6A22/34339792/US_ETF_Investment_Ideas.pdf
Source: Deutsche Bank - Global Equity Index and ETF Research
U.S. market players urge caution on designing "kill switches"
October 2, 2012--Brokerage and exchange technology gurus generally endorsed the concept of deploying "kill switches" to stop computer errors before they can unleash havoc on the market, but they warned regulators on Tuesday to ensure they are not set off too easily.
Speaking at a roundtable hosted by the U.S. Securities and Exchange Commission, experts said they recognized the need for more safeguards after a series of scary software glitches.
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Source: Reuters
Vanguard Selects FTSE as Index Benchmark Provider for Six International Stock Index Funds
October 2, 2012--FTSE Group ("FTSE") has been selected by Vanguard, one of the top three US asset management firms, as the index benchmark provider for six international equity index funds with aggregate assets of $170 billion as of August 31.
These funds will transition to benchmarks in the FTSE Global Equity Index Series, replacing MSCI. This transaction represents the largest international index provider benchmark switch ever and includes the world’s largest emerging markets fund, the $67bn Vanguard Emerging Markets Stock Index Fund and its exchange-traded fund (Ticker: VWO). These funds will move to the FTSE Emerging Index.
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Source: FTSE
MSCI Falls Most on Record as Vanguard Dumps Its Indexes
October 2, 2012--MSCI Inc. (MSCI) fell the most on record after being dropped as benchmark provider for 22 index funds by Vanguard Group Inc., the largest U.S. mutual-fund company.
MSCI declined 27 percent to close at $26.21 in New York, the most since it went public in November of 2007, after Vanguard said funds with about $537 billion in assets will replace New York-based MSCI to cut costs for fund shareholders.
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Source: Bloomberg
Trading Activity In VIX Futures Spurs CFE To Busiest Month In History
Several All-Time Highs Reached During Record-Setting Month
October 1, 2012-- The CBOE Futures Exchange, LLC (CFE(R)) announced today that September 2012 was the most-active trading month ever for futures on the CBOE Volatility Index(R) (VIX(R)).
The record trading activity in VIX futures drove total volume at CFE to a new all-time high. During the month, several new trading records -- for both VIX futures and CFE -- were set.
VIX Futures
In September, average daily volume (ADV) in VIX futures reached a new all-time high of 126,345 contracts, which surpassed the previous record ADV of 102,587 contracts during June 2012. September's ADV increased by 170 percent from the 46,784 contracts ADV in September 2011 and rose by 52 percent when compared to the ADV of 83,016 contracts in August 2012. A new single-day volume record for VIX futures was achieved on Thursday, September 13 when 190,081 contracts traded. The previous record had been 159,744 contracts on June 18, 2012.
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Source: CBOE
CBOE Holdings Reports September 2012 Consolidated Trading Volume; 92.9 Million Total Contracts; 4.9 Million Contracts ADV
CBOE Holdings Volume Up 23% from August
--VIX Futures-Busiest Month Ever, ADV Up 170% from Year Ago
October 1, 2012--CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that September 2012 consolidated trading volume for options contracts on the Chicago Board Options Exchange(R) (CBOE(R)) and C2 Options ExchangeSM (C2SM) and futures contracts on CBOE Futures Exchange SM (CFE(R)), totaled 92.9 million contracts.
September 2012 average daily volume (ADV) for the three exchanges, combined, was 4.9 million contracts, a two-percent decrease from 5.0 million contracts ADV in September 2011, and a 23-percent increase from nearly 4.0 million contracts ADV in August 2012.
Year to date through September, consolidated ADV for the three exchanges was 4.7 million contracts, down seven percent from 5.0 million contracts ADV for the same period a year ago.
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Source: CBOE
CFE To Launch S&P 500 Variance Futures On October 4
New Contract Mirrors Quoting Conventions and Economic Performance of Over-the-Counter S&P 500 Variance Swaps
October 1, 2012--CBOE Futures Exchange, LLC (CFE) today announced that it will launch trading in S&P 500 Variance futures on Thursday, October 4, pending regulatory approval.
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 futures contract will offer the same quoting conventions and economic performance of OTC variance swaps, while providing the advantages of exchange-traded contracts -- transparency, price discovery and counterparty clearing guarantees.
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Source: CBOE Futures Exchange
The Method Behind Schwab's ETF Price-Cutting Madness
October 1, 2012--On Sept. 21, discount brokerage Charles Schwab (SCHW) effectively threw down on Wall Street by slashing expenses on each of its 15 exchange-traded funds, some to as low as 0.04 percent.
Investors in Schwab’s U.S. Broad Market (SCHB) and U.S. Large-Cap (SCHX) ETFs will now pay just 40¢ a year for every $1,000 they put into those funds. By specifically comparing these tiny expenses with higher fees docked by Vanguard and State Street (STT) ETFs, Schwab has effectively dared them, and by extension BlackRock, the parent of ETF leader iShares, to follow suit. In two cases, for example, State Street’s SPDRs now charge five times as much as Schwab’s corresponding index ETFs. “In this period of uncertainty in the markets,” said Schwab Chief Executive Walt Bettinger in the announcement, “the expenses investors pay are the only sure thing.”
Industry-provocation is quintessential Charles Schwab. In 1975, when regulators outlawed Wall Street’s fixed commissions, Schwab decided to go discount. In the late 1980s and 1990s, it was a trailblazer in cut-rate telephone and online trading.
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Source: Bloomberg BusinessWeek
S&P Dow Jones Indices Announces Changes to the S&P/TSX Canadian Indices
A Deletion from the S&P/TSX SmallCap Index
October 1, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Pure Energy Services Ltd. (TSX:PSV) have accepted the $CDN11.00 cash per share takeover offer from FMC Technologies,
Inc. (NYSE:FTI). Pure Energy Services will be removed from the S&P/TSX SmallCap and Equity SmallCap Indices effective after the close of Thursday, October 4, 2012.
Source: S&P Dow Jones Indices
First Asset Launches ETFs on Emerging Markets
October 1, 2012--First Asset Exchange Traded Funds is pleased to announce that First Asset Morningstar Emerging Markets Composite Bond Index ETF ("EXM") has closed its offering.
The Fund's common and advisor class units will commence trading on the Toronto Stock Exchange ("TSX") today under the ticker symbols EXM and EXM.A.
EXM has been designed to provide investors with economic exposure to the performance of the Morningstar® Emerging Markets Composite Bond IndexSM, net of expenses. This index includes the most liquid sovereign and corporate bonds issued in U.S. dollars by governments and corporations in Latin America, emerging Europe, Africa, Middle-East and Asia. The common class units of EXM have a management fee of 0.50%.
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Source: First Asset
