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DB Global Equity Research: US ETF Market Weekly Review :Strong flows and equity market add $29bn to ETP AUM
August 31, 2011--Risk off trade pause or risk reversal?
Equity markets took a breather last week after having experienced four straight weeks of losses. Risky assets rallied towards Friday anticipating some sort of auspicious policy announcement (e.g. QE3) during Bernanke’s Jackson Hole speech. Although explicit additional stimulus expectations were not met on Friday, equity markets in the US (S&P 500) ended the week up by 4.74%.
The total US ETP flows from all products were $8.2bn of inflows last week vs $1.1bn of inflows the previous week, setting the YTD weekly flow avg. at +$1.9bn.
Maybe it was the fact that investors decided to book some profits on the recent Gold surge, or maybe it was the fact that markets expected a repetition of last year’s Jackson Hole speech with its corresponding QE3 announcement. Anyhow the reality is that after 4 weeks of outright risk off trade, long-only ETP flow patterns were significantly reversed during last week (Figure 1). Long only equity ETPs received almost $11.0bn inflows by the end of Friday, while Gold ETPs experienced the largest weekly outflows (-$3.5bn) since the recent gold surge began. At the same time Fixed Income ETPs had positive flows of $829m
Another hint of potential change in risk appetite was perceived among US-focused sector ETPs grouped by business cycle sensitivity. Cyclical sectors dominated the flows last week with +$1.3bn for the Global ones and +$941m for the Domestic ones. However, Defensive sectors remained positive with $340m of inflows. It is worth to add that the strong inflows received by the cyclical sectors could easily have been in response to the previous week sell-off when Global and Domestic sectors experienced outflows of $1.5bn and $2.9bn, respectively.
Despite the magnitude of last week’s risk surge, it is still too soon to call a risk reversal; thus additional cash flow data should confirm whether last week’s flows were a pause in the risk off trade or its reversal.
New Launch Calendar:
No new listings & 3 ETN delistings
There were no new listings in the US during last week. Meanwhile, Deutsche Bank AG repurchased three of their ELEMENTS ETNs (BVT, BVL, and BSC).
Turnover Review: floor activity decreases on lower volatility
Total weekly turnover decreased by 5.1% to $490bn vs. $516bn in the previous week. The largest decrease was on Equity ETP turnover which fell by $49.2bn or 10.8% to $407bn. Fixed Income ETP turnover decreased by $4.4bn to $17.5bn last week. Finally, Commodity ETPs products turnover increased by 83.0% totaling $62.1bn at the end of last Friday.
Assets Under Management (AUM) Review:
AUM back to positive growth
Driven by strong flows and a rally in the US equity market, US ETP AUM gained $28.5bn or 2.9% as compared to the previous week and closed at $1.01 trillion or 1.5% up YTD.
to request report
Source: Deutsche Bank - Global Equity Research
U.S. Department of the Treasury TIC Annual and Benchmark Surveys Update
August 31, 2011--The U.S. Department of the Treasury TIC Annual and Benchmark Surveys have been updated and is now available.
view updates
Source: US Department of the Treasury
PowerShares files with the SEC
August 31, 2011--PowerShares has filed a post-effective amendment, registration statement with the SEC for the PowerShares Dynamic Banking Portfolio (PJB)
PowerShares Dynamic Biotechnology & Genome Portfolio
(PBE)
PowerShares Dynamic Building & Construction Portfolio
(PKB)
PowerShares Dynamic Energy Exploration & Production Portfolio
(PXE)
PowerShares Dynamic Food & Beverage Portfolio (PBJ)
PowerShares Dynamic Insurance Portfolio (PIC)
PowerShares Dynamic Leisure and Entertainment Portfolio
(PEJ)
PowerShares Dynamic Media Portfolio (PBS)
PowerShares Dynamic Networking Portfolio (PXQ)
PowerShares Dynamic Oil & Gas Services Portfolio (PXJ)
PowerShares Dynamic Pharmaceuticals Portfolio (PJP)
PowerShares Dynamic Retail Portfolio (PMR)
PowerShares Dynamic Semiconductors Portfolio (PSI)
PowerShares Dynamic Software Portfolio (PSJ)
view filing
Source: SEC.gov
Dow Jones Indexes’ Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index To Begin Decreasing Its Equity Allocation To 25% From 100%
Index Signals 'Dead Cross,' or Downward-Trending Market Condition
Remaining 75% of Allocation to Move to Short-Term U.S. T-Bills
August 31, 2011-- Dow Jones Indexes, a leading global index provider, today announced its Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index's equity allocation is set to gradually decrease over the next five days to 25% from 100%, with the difference moving to the cash-index component, short-term U.S. T-Bills.
The index's quantitative and rules-based algorithm has signaled the start of a downward-trending market condition. The indication, called a "Dead Cross", occurs when a market's 50-day moving average crosses below its 200-day moving average.
The Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index applies the "Moving Average Crossover System" to U.S. large-cap equity securities. Based on a risk-based methodology, the index is designed to dynamically reallocate component weights between an underlying equity index and a cash index according to the occurrence of "Golden Cross" and "Dead Cross" signals. During Dead Cross periods, a portion of the index is allocated toward the underlying equity index and a portion toward the cash index; during Golden Cross periods, the index tracks only the underlying equity index.
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Source: Dow Jones Indexes
Preliminary Annual Report on U.S. Holdings of Foreign Securities
August 31, 2011--– Preliminary data from an annual survey of U.S. portfolio holdings of foreign securities at year-end 2010 were released today and posted on the Treasury web site at link. Final survey results, which will include additional detail as well as revisions to the data, will be reported on October 31, 2011.
The survey was undertaken jointly by the U.S. Department of the Treasury, the Federal Reserve Bank of New York, and the Board of Governors of the Federal Reserve System.
A complementary survey measuring foreign holdings of U.S. securities also is conducted annually. Data from the most recent such survey, which reports on securities held on June 30, 2011, are currently being processed. Preliminary results are expected to be reported on February 29, 2012.
Overall Preliminary Results The survey measured the value of U.S. holdings of foreign securities at year-end 2010 of approximately $6.8 trillion, with $4.6 trillion held in foreign equities, $1.7 trillion in foreign long-term debt securities (original term-to-maturity in excess of one year), and $0.4 trillion held in foreign short-term debt securities. The previous such survey, conducted as of year-end 2009, measured the value of U.S. holdings of $6.0 trillion, with $4.0 trillion held in foreign equities, $1.6 trillion in foreign long-term debt securities, and $0.4 trillion held in foreign short-term debt securities.
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Source: US Department of the Treasury
Debate Heats Up Over Commodities Holdings
August 31, 2011--A battle is heating up over whether investors in oil and other commodities markets should be required to lift the veil of secrecy that shrouds their trading bets.
The debate has simmered in the three years since oil prices spiked to record highs in 2008, sparking concerns that speculators were driving the move. But it intensified in recent weeks after The Wall Street Journal published confidential regulatory data that identified some of the biggest players in commodities markets, and big chunks of their positions, during that historic rally.
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Source: Wall Street Journal
Pimco files with the SEC
August 31, 2011-Pimco has filed a post-effective amendment no. 34, registration statement with the SEC for the PIMCO ETF Trust.
view filing
Source: SEC.gov
SPDR files with the SEC
August 31, 2011--SPDR has filed a post-effective amendment No. 69, registration statement with the SEC for the following:
SPDR Dow Jones Total Market ETF (TMW)
SPDR Dow Jones Large Cap ETF (ELR)
SPDR S&P® 500 Growth ETF (SPYG)
SPDR S&P 500 Value ETF (SPYV)
SPDR Dow Jones Mid Cap ETF (EMM)
SPDR S&P 400 Mid Cap Growth ETF (MDYG)
SPDR S&P 400 Mid Cap Value ETF (MDYV))
SPDR S&P 600 Small Cap ETF (SLY))
SPDR S&P 600 Small Cap Growth ETF (SLYG))
SPDR S&P 600 Small Cap Value ETF (SLYV))
SPDR Global Dow ETF (DGT))
SPDR Dow Jones REIT ETF (RWR))
SPDR S&P Bank ETF (KBE))
SPDR S&P Capital Markets ETF (KCE))
SPDR S&P Insurance ETF (KIE))
SPDR S&P Mortgage Finance ETF (KME))
SPDR S&P Regional Banking ETF (KRE))
SPDR Morgan Stanley Technology ETF (MTK))
SPDR S&P Dividend ETF (SDY)
view filing
Source: SEC.gov
SEC Seeks Public Comment on Asset-Backed Issuers and Mortgage-Related Pools Under Investment Company Act
August 31, 2011--The Securities and Exchange Commission today voted unanimously to request public comment on the treatment of asset-backed issuers as well as real estate investment trusts (REITs) and other mortgage-related pools under the Investment Company Act.
Through an advance notice of proposed rulemaking, the SEC is seeking public input on possible amendments the agency might consider proposing to Rule 3a-7, which excludes certain issuers of asset-backed securities from having to comply with the requirements of the Investment Company Act. An advance notice of proposed rulemaking provides the public the opportunity to weigh in even before the SEC develops a formal rule proposal.
view concept release-Companies Engaged in the Business of Acquiring Mortgages and Mortgage-Related Instruments
Source: CFTC.gov
SEC Seeks Public Comment on Use of Derivatives by Mutual Funds and Other Investment Companies
August 31, 2011 – The Securities and Exchange Commission today voted unanimously to seek public comment on a wide range of issues raised by the use of derivatives by mutual funds and other investment companies regulated under the Investment Company Act.
The SEC is seeking public input through a concept release, which is a Commission-approved document that poses an idea or ideas to the public to get their views. The Commission will use the comments received in response to this concept release to help determine whether regulatory initiatives or guidance is needed that would continue to protect investors and fulfill the purposes underlying the Investment Company Act.
view concept release-Use of Derivatives by Investment Companies under the Investment Company Act of 1940
Source: SEC.gov
