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DB-Equity Research-US ETF Market Weekly Review : Strong equity inflows added $6.8bn to ETP assets
July 10, 202--Net Cash Flows Review
Markets corrected part of the previous week rally during last week. The US (S&P 500) dropped by 0.55%. While, outside the US, the MSCI EAFE (in USD) fell by 0.65% and the MSCI EM (USD) rose by 1.05%.
Moving on to other asset classes, the 10Y US Treasury Yield declined by 10bps last week; while the DB Liquid Commodity Index was up by 0.66%. Similarly, the WTI Crude Oil, the Gold, and the Silver prices retreated by 0.60%, 0.85% and 1.34%, respectively; while the Agriculture sector (DB Diversified Agriculture Index) rose by 2.89%. Last but not least, Volatility (VIX) edged a bit higher remaining practically flat during the same period.
The total US ETP flows from all products registered $6.7bn of inflows during last week vs $0.1bn of inflows the previous week, setting the YTD weekly flows average at +$2.9bn (+$79.0bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$8.7bn, -$2.2bn, and +$0.2bn last week vs. -$0.8bn, +$0.9bn, and -$0.0bn the previous week, respectively.
Within Equity ETPs, large cap products experienced the largest inflows (+$4.3bn) followed by US sector ETPs (+$1.7bn); while there were no significant outflows. Within Fixed Income ETPs, Sovereign products had the largest asset leak (-$3.2bn); while Corporates and Sovereign experienced inflows of $0.5bn and $0.4bn, respectively. Within Commodity ETPs, broad diversified products experienced the largest inflows ($0.1bn).
Top 3 ETPs & ETNs by inflows: SPY (+$2.9bn), QQQ (+$1.2bn), VWO (+$0.6bn)
Top 3 ETPs & ETNs by outflows: SHY (-$0.9bn), IEI (-$0.8bn), UST (-$0.6bn)
New Launch Calendar: no new listings
There were no new listings during last week.
Turnover Review: floor activity dropped by 32% on quieter and shorter week
Total weekly turnover dropped by 32% to $192bn vs. $282bn in the previous week. Last week’s turnover level was 49% below last year’s weekly average. Equity ETPs experienced a drop of $84.5bn or 33.9% to $165bn, along with Commodity ETPs which fell by 34.7% (-$4.7bn). In the meantime, Fixed Income ETP turnover slightly rose by 1.7% (+$0.3bn).
Assets Under Management (AUM) Review: strong inflows added $6.8bn
ETP assets added $6.8bn driven by very strong inflows into equity products. ETP assets rose by 0.6% during last week and ended the week at $1.17 trillion despite slightly negative equity markets. Last week’s push put the ETP YTD assets growth at 11.8%. Assets for equity, fixed income and commodity ETPs moved +$8.5bn, -$1.6bn, and -$0.2bn during last week, respectively.
to request report
Source: Deutsche Bank-Equity Research-North America
Morgan Stanley-US ETF Weekly Update
July 9, 2012--US ETF Weekly Update
Weekly Flows: $6.7 Billion Net Inflows
ETF Assets Stand at $1.2 Trillion, up 12% YTD
No ETF Launches Last Week
IndexIQ Announces Closure of South Korea Small Cap ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $6.7 bln last week, following two consecutive weeks of net outflows
Last week’s inflows were primarily driven by US Large Cap ETFs ($4.7 bln in net inflows)
Fixed Income ETFs posted net outflows last week for the first time in 47 weeks ($1.6 bln in net outflows)
ETF assets stand at $1.2 tln, up 12% YTD; ETFs have posted net inflows 20 out of 27 weeks YTD ($78.2 bln in net inflows YTD)
13-week flows were mixed among asset classes; combined $25.5 bln net inflows
Despite their net outflows last week, Fixed Income ETFs have taken in $14.6 bln in net new money over the past 13 weeks
Emerging Market Equity ETFs exhibited net outflows of $3.0 bln the past 13 weeks, the most of any ETF category
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $2.9 bln last week, the most of any ETF
SPY has exhibited strong net inflows over the past 1-, 4-, and 13-week periods; each period has led ETF flows
Seven out of the 10 ETFs to post the largest net outflows last week were US Treasury-oriented and eight out of the 10 were fixed income-oriented
US-Listed ETFs: Short Interest
Data Unchanged:
Based on data as of 6/15/12
iShares Russell 2000 Index Fund (IWM) posted the largest increase in USD short interest
Aggregate ETF USD short interest declined $9.5 bln over the past two weeks ended 6/15/12
SPDR S&P 500 ETF (SPY) short interest declined $6.6 bln last period; SPY’s 244.8 mln shares short is its lowest level since 1/14/11
The average shares short/shares outstanding for ETFs is currently 5%
Market Vectors Retail ETF (RTH) shares short as a % of shares outstanding increased to 607% from 263% from the prior period;
despite the change, we would not draw many conclusions from the large jump given RTH’s small market cap ($20 mln)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only nine 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 7/6/12 based on daily change in share counts and daily NAVs.
$7.3 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Active ETFs generated most net inflows at $1.5 bln (specifically the PIMCO Total Return ETF-BOND)
110 new ETF listings and 17 closures YTD
Over the past year, many of the successful launches have an income/dividend orientation
Five different ETF sponsors and three asset classes represented in top 10 most successful launches
Top 10 most successful launches account for 65% of market cap of ETFs launched over the past year (up from 53% at the beginning of the year)
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Source: Morgan Stanley
Morningstar Quarterly Commentary: Economic Slowdown Sends Markets Lower
July 9, 2012--A midyear slowdown hit the U.S. stock market for a third consecutive year, sending the
Morningstar(r) US Market IndexSM down 3% in the quarter. Economic growth and job creation slowed significantly in the second quarter, but due to the stellar returns of the first quarter, the Morningstar(R) US Market IndexSM is still up 9.3% on the year.
The unemployment rate has fallen to 8.2%, but job creation unexpectedly came to a halt in the second quarter. After averaging 226,000 new jobs per month in the first quarter, the nation
added just 69,000 new jobs in May, much
fewer than necessary to bring the economy to full employment.
Financial firms received a lot of negative press in the quarter, and finished among the worstperforming sectors. First, JPMorgan CEO Jamie Dimon announced that the firm is expected to lose more than $2 billion on a trading loss. A few weeks later, Moody’s downgraded 15 global banks, questioning the banks’ exposure to the volatility in Europe and the weak global economy.
read more
Source: Morningstar
New AdvisorShares Global Alpha & Beta ETF Debuts
July 9, 2012--AdvisorShares-the leader in actively managed ETFs -teamed up with Roger Nusbaum of the "Random Roger" stock market blog in rolling out a new ETF Tuesday: AdvisorShares Global Alpha & Beta ETF (RRGR).
Nusbaum, the ETF's sub-advisor, is chief investment officer of Phoenix-based Your Source Financial, with $148 million in assets. He is a regular contributor on TheStreet.com.
The new ETF uses a go-anywhere tack. The prospectus states he will use a top- down view in investing in bonds, money market instruments, mutual funds, ETFs, stocks of any size and foreign companies listed in the U.S.
view more
Source: Investors.com
.....AdvisorShares Set to Launch the Global Alpha & Beta ETF (NYSE: RRGR)
AdvisorShares Partners with Roger Nusbaum in Bringing Actively Managed ETF to Market
July 9, 2012--AdvisorShares, a leading sponsor of actively managed Exchange Traded Funds (ETFs), announced today that the Global Alpha & Beta ETF (NYSE:RRGR) will open for trading on Wednesday, July 11, 2012.
RRGR is sub-advised by Your Source Financial, a Phoenix, AZ-based investment advisor. Roger Nusbaum, Chief Investment Officer of Your Source Financial, seasoned veteran in ETF analysis and well-known market commentator through his "Random Roger" financial blog will serve as the portfolio manager of RRGR.
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Source: AdvisorShares
CFTC.gov Commitments of Traders Reports Update
July 9, 2012--The current reports for the week of July 3, 2012 are now available.
view updates
Source: CFTC.gov
SEC Approves Rules and Interpretations on Key Terms for Regulating Derivatives
July 9, 2012--The Securities and Exchange Commission late Friday took another step toward regulating the over-the-counter derivatives market by unanimously approving rules and interpretations for key definitions of certain derivative products.
The SEC rules and interpretations further define the terms “swap” and “security-based swap” and whether a particular instrument is a “swap” regulated by the Commodity Futures Trading Commission (CFTC) or a “security-based swap” regulated by the SEC. The SEC action also addresses “mixed swaps,” which are regulated by both agencies, and “security-based swap agreements,” which are regulated by the CFTC but over which the SEC has antifraud and other authority.
view the Final Rules and Interpretations
Source: SEC.gov
Passive performers beat active cousins
July 8, 2012--Managers of institutional US equity accounts have been fighting protracted battles on two business fronts.
One effort is struggling severely, as pension sponsors continue to pull US equity assets out of active management.
read more
Source: FT.com
BM&FBOVESPA:-Institutional investors lead participation in volume of index funds (ETFs) traded on the Exchange in June
July 6, 2012--Institutional investors led with a 34.89% participation of the total volume of index funds (ETFs) traded on the Exchange in June, followed by financial institutions (32.47%), foreign investors (20.19%), individuals (11.60%) and public and private companies (0.84%).
In June, shares of the iShares Ibovespa Index Fund were the most traded on BM&FBOVESPA. The BOVA11 ticker accounted for 95.4% of total volume of ETFs traded on the Exchange.
view the BM&FBOVESPA June Bulletin on ETF activities
Source: BM&FBOVESPA
CFTC's Division of Market Oversight Issues Letter to Market Participants Regarding Compliance with Large Trader Reporting System for Physical Commodity Swaps and Swaptions
Division to Provide Temporary No-Action Relief for Less than Fully Compliant Reporting of Positions Based on Ownership
July 6, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight (Division) issued a letter to market participants providing temporary no-action relief for less than fully compliant reporting of positions based on ownership under the CFTC's large trader reporting system for physical commodity swaps and swaptions.
This temporary relief is intended to provide sufficient time for the industry to transition to fully compliant reporting for positions based on ownership by July 27, 2012. As a condition of this relief, market participants must submit, by July 30, 2012, fully compliant reports dating back to July 2, 2012.
view the Staff No-Action Relief: Temporary No-Action Relief for Less Than Fully Compliant Reporting of Positions Based on Ownership
Source: CFTC.gov
