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New Paper: Strong Risk-adjusted Returns for BXM, BXY and PUT Indexes, while Tail Risk Was Mitigated by CLL Index
by Matt Moran
February 14, 2012--This week the Asset Consulting Group published a new six-page paper "An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns" (available at www.cboe.com/benchmarks).
Key findings of the paper include:
Total Growth. Total growth for indexes since mid-1986 was 1153% for PUT Index, 830% for BXM Index, 807% for S&P 500® Index, and 368% for CLL Index (Exhibits 2 and 6).
Lower Volatility. The PUT, BXM, and CLL indices all had volatility that was about 30 percent lower than the volatility of the S&P 500 Index (Exhibit 4).
Left-tail Risk. Over the past 25 years, the worst monthly loss for the S&P 500 Index was a decline of 21.5 percent, compared to a relatively modest 8.6-percent monthly decline for the CLL Index (Exhibit 8e).
Risk-adjusted Returns. One measure of risk-adjusted returns, the Sortino Ratio, was 0.90 for the PUT Index, 0.75 for BXY, 0.71 for BXM, 0.50 for S&P 500, and 0.31 for CLL Index (Exhibits 10 and 11). Please note that all the indexes had negative skewness.
view An Analysis of Index Option Writing for Liquid Enhanced Risk-Adjusted Returns paper
Source: CBOE
BlackRock announces new head of EMEA iShares Capital Markets
February 14, 2012--BlackRock, has promoted Leland Clemons as head of EMEA iShares Capital Markets, effective immediately. He will report into Joe Linhares, head of iShares, EMEA. Clemons will lead the iShares Capital Markets team whose clients include intermediaries, private banks and wealth managers execute ETP trades more efficiently, and ultimately enhance their investment returns.
Previously Clemons as head of US iShaers Capital Markets at the firm.
The iShares Capital Markets team says that it leverages the scale and trading expertise of BlackRock, in order to help clients navigate the ETP landscape more effectively. The team claims to be positioned to help clients trade more cost efficiently by partnering with broker-dealers, trading venues and data providers across EMEA to identify the best sources of liquidity and trading data. But this new appointment is about leveraging growth opportunities in the ETF space as investing styles change.
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Source: FTSE Global Markets
ProShares files with the SEC
February 14, 2012--ProShares has filed a pre-effective amendment No.1 to Form S-1.
view filing
Source: SEC.gov
iShares files with the SEC
February 14, 2012--iShares has filed a post-effective amendment, registration statement with the SEC for the iShares Asia/Pacific Dividend 30 Index Fund.
view filing
Source: SEC.gov
Are Commission-Free ETFs Really Cheaper?
February 13, 2012--Commission-free exchange-traded funds (ETFs) are a growing trend. While many mutual funds have long been without broker transaction fees, ETFs trade like stocks and most brokers charge a small fee (often under $10) to buy or sell an ETF.
Now many brokers offer select groups of ETFs that can be traded without any trading fees. But as the table below illustrates, the number and selection of commission-free ETFs differs widely.
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Source: Forbes
ISE Introduces Premium Access Connectivity
ISE Introduces Premium Access Connectivity
New 10 Gigabit Connection Offers Ultra-Low Latency to Subscribers
February 13, 2012--The International Securities Exchange (ISE) is now offering a Premium Access connection in its primary data center.
Premium Access subscribers will connect to ISE over Juniper Networks’ high performance, ultra-low latency 10 gigabit Ethernet switches. The introduction of the Juniper switches along with new network cards and a custom load balancing scheme will enable
member firms with a direct connection to ISE to reduce their roundtrip network latency by up to 150
microseconds, or approximately 90 percent.
Robert Cornish, ISE’s Technology Strategy and Infrastructure Officer, said, “As part of our data center and connectivity strategy, we are constantly evaluating ways to use innovative technologies and designs to lower latency and maximize performance. Premium Access offers member firms the ability to reduce their latency by accessing the exchange gateways and market data feeds through our ultra-low latency infrastructure.”
To learn more or to subscribe to Premium Access, please contact ISE Technology Member Services at
tms@ise.com. Fees for Premium Access are subject to SEC approval.
Source: International Securities Exchange (ISE)
DB Global Equity Research: US ETF Market Monthly Review:$3.5bn inflows added last week driven by EM equity and Corporate debt ETPs
February 13, 2012--Net Cash Flows Review
Equity markets were mostly down last week following a 5-week rally. The US (S&P 500) was slightly down (0.17%); other developed and emerging markets outside the US did similarly; the MSCI EAFE (in USD), and the MSCI EM (in USD) were down by 0.29% and 0.58% during the week, respectively.
Moving on to other asset classes, the 10Y Treasury yield dropped by 1bps last week, while the DB Liquid Commodity Index increased by 0.33%. Other sectors were mixed. The Agriculture sector (DB Diversified Agriculture Index), Gold, and Silver prices declined by 1.98%, 0.25%, and 0.27%, respectively; while the WTI Crude Oil price rose by 0.85%. Last but not least, Volatility (VIX) spiked over 20 recording a 21.6% increase during the week. ETP inflows saw another strong week during last week taking the YTD cash flow figure to $33.6bn. The total US ETP flows from all products registered $3.5bn of inflows during last week vs $1.4bn of inflows the previous week, setting the YTD weekly flows average at +$5.6bn. ETP markets experienced positive flows across all asset classes, with the exception of Currency, during last week. Equity, Fixed Income, and Commodity ETPs all experienced decent flows of +$2.0bn, +$1.5bn, and +$0.4bn last week vs. +$0.3bn, +$0.6bn, and +$0.7bn the previous week, respectively. Within Equity ETPs, Emerging Markets regional products experienced the largest inflows (+$2.0bn), followed by US Sector ETPs (+$0.9bn); while Large Cap vehicles experienced the largest outflows (-$1.5bn). Within Fixed Income ETPs, Corporate products experienced the largest inflows (+$1.7bn), while Sovereign ETPs had the largest outflows (-$0.8bn). Within Commodity ETPs, Precious Metals products recorded the largest inflows (+$0.2bn).
New Launch Calendar: more emerging market and inflation exposure
There were 10 new ETFs and 8 new ETNs listed during the previous week. The new ETFs offer additional emerging market exposure, and breakeven inflation access; while the ETNs focus on single commodity long and short leveraged exposures (See Figure 18 for details).
Turnover Review: ETP trading remained low in spite of volatility
Total weekly turnover dropped by 13% to $278bn vs. $319bn in the previous week, still about 26% down from last year’s weekly average of $375bn. The largest decline was on Equity ETP turnover, which decreased by $36.4bn or 13.2% to $240bn. Fixed Income and Commodity ETP turnover followed with a plunge of 6.2% (-$1.3bn) and 14.4% (-$2.9bn), respectively.
Assets Under Management (AUM) Review: assets remained stable
Last week, total ETP assets remained technically flat at $1.16 trillion, with mixed pressure from downside markets and healthy inflows. Assets for equity, fixed income and commodity ETPs moved -$3.2bn, +$1.5bn, and -$0.9bn during last week, respectively. As of last Friday, total assets had grown by 10.5% or $110bn YTD.Last week, total ETP assets remained technically flat at $1.16 trillion, with mixed pressure from downside markets and healthy inflows. Assets for equity, fixed income and commodity ETPs moved -$3.2bn, +$1.5bn, and -$0.9bn during last week, respectively. As of last Friday, total assets had grown by 10.5% or $110bn YTD.
to request report
Source: Deutsche Bank - Global Equity Research
Morgan Stanley-US ETF Weekly Update
February 13, 2012--Highlights
Weekly Flows: $3.4 Billion Net Inflows
ETF Assets Stand at $1.2 Trillion, up 10% YTD
10 ETF Launches Last Week
Guggenheim Solar ETF Announces 1 for 10 Reverse Split
United States Natural Gas Fund Announces 1 for 4 Reverse Split
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows for the eighth consecutive week ($44.9 bln in net inflows over the period)
ETFs generated net inflows of $3.4 bln last week, led by International – Emerging Market Equity ($2.4 bln net inflows)
Since we began measuring weekly flows in the beginning of 2010, this is the 2nd longest streak for ETFs posting consecutive weekly net inflows (longest streak is 11 weeks from 8/30/10-11/12/10)
ETF assets stand at $1.2 tln, up 10% YTD
13-week flows were mostly positive among asset classes; combined $51.5 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (26 consecutive weeks of net inflows)
Leveraged/Inverse ETFs is one of three categories to exhibit net outflows the past 13 weeks (net outflows of $2.2 bln)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Vanguard MSCI Emerging Markets ETF (VWO) posted net inflows of $1.3 bln last week, most of any ETF
Emerging Market Equity and Corporate Bond ETFs continued to exhibit strong net inflows accounting for the top six
highest net inflows last week
Only 12% of ETFs exhibited net outflows last week
For the third consecutive week, SPDR S&P 500 ETF (SPY) posted net outflows ($5.2 bln net outflows over the 3 weeks)
US-Listed ETFs: Short Interest Data Updated:
EEM exhibited the largest increase in USD short interest since last updated
$241 million in increased short interest and the highest level of shares short since 10/31/11
Despite the increase in short interest, EEM has generated double-digit price returns YTD
Financials make up 3 of the 10 most heavily shorted ETFs (defined as shares short/shares outstanding)
SPDR Retail ETF (XRT) continues to be the most heavily shorted ETF as a % of shares outstanding, but is down from 459% over the prior period
Based on multiple borrowings and the ability to continuously create new shares, short interest as a % of market cap can exceed 100%
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 2/10/12 based on daily change in share counts and daily NAVs.
$7.5 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched US Dividend Income ETFs generated most net inflows at $821 mln
40 new ETF listings in 2012; 225 new ETF listings and 26 liquidations in 2011
Over past year, many of the successful launches have a dividend/income orientation
6 different ETF sponsors and 2 asset classes represented in top 10 most successful launches
Top 10 most successful launches account for 61% of market cap of ETFs launched over the past year.
request report
Source: Morgan Stanley
U.S. Department of the Treasury Economic Statistics - Monitoring the Economy Update
February 13, 2011--The Office of Economic Policy monitors key economic indicators to produce the following summary tables of monthly and quarterly U.S. economic statistics
view the U.S. ECONOMIC STATISTICS - MONTHLY DATA
Source: US Department of the Treasury
CFTC.gov Financial Data for Futures Commission Merchants Update
February 13, 2012--Selected FCM financial data as of December 31, 2011 (from reports filed by February 10, 2012) is now available.
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Source: CFTC.gov
