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DB Global Equity Research: North America-US ETF Market Weekly Review : Volatility hits markets erasing $27bn from AUM
August 4, 2011--New money follows safe haven during equity market sell-off
Risky assets around the globe experienced a widespread sell-off as fear overtook the markets following no real solution or agreement on the US debt ceiling debate during last week. Not enough, a dimmer economic outlook for the second half contributed to the bearish momentum as well. Equity markets in the US (S&P 500) plunged by 3.92%, the largest weekly drop in about 1 year.
The total US ETP flows figure was $1.9bn of outflows during last week vs $4.2bn of inflows the previous week, setting the YTD weekly flows average at +$2.3bn. US ETP AUM lost $27bn, closing at $1.09 trillion or 9.7% up YTD.
Long only equity ETPs recorded $3.2bn of outflows last week vs $3.4bn of inflows the previous week. From a geographic allocation perspective, US-focused ETPs concentrated the bulk of the outflows (-$3.3bn), followed by DM ex US ETPs with -$125m; while Global and EM ETPs experienced inflows of $188m, and $20m in the same period, respectively.
Long-only fixed Income ETPs recorded inflows of $153m last week. Sub-Sovereign ETPs received $278m in inflows, followed by Corporates funds with $120m. Commodity ETPs recorded inflows of $1.1m last week. At a sector level, Precious Metals ETPs recorded the largest inflows with $1.2bn; while Energy ETPs registered the largest outflows with $122m.While we saw significant outflows last week, long only ETPs gathered healthy inflows during July amounting to $13.2bn. The bulk of the flows was concentrated among the three main asset classes with Equity (+$6.8bn) leading the ranking, followed by Commodity (+$3.5bn) and Fixed Income (+$2.7bn). Among the main themes for July we had US-focused Equity (+$4.0bn), Gold (+$3.6bn), and Fixed Income (+$2.7bn) ETPs (Figure 1)
The dynamics of the flows were driven by Volatility which, with an increase of 52.9%, took over the markets during July. We believe that these flow patterns suggest that investors are, at the moment, confused regarding the outlook for US equities and are limiting themselves to follow the market while at the same time seeking protection.
New Launch Calendar: quiet week No new ETPs were launched during last week.
Turnover Review: Floor activity picks up on volatility comebackTotal weekly turnover increased by 13.3% to $375bn vs. $331bn in the previous week. The largest increase was on Equity ETP turnover which rose by $46bn or 16.5% to $331bn. Similarly, Fixed Income products turnover increased by 23.3% totaling $16.1bn at the end of last Friday. On the other side, Commodity ETPs turnover dropped by $5.2bn to $25.3bn last week mainly driven by Gold and Silver products.
Assets Under Management (AUM) Review: fear removes $27bn from assets
Fear took over the markets as the debt ceiling issue remained unresolved during last week. ETP AUM dropped by $27bn or 2.5% falling to $1.09 trillion as of the end of last Friday. Assets on a YTD basis have recorded a $96bn (9.7%) increase.
to request report
Source: Deutsche Bank - Equity Research
CBOE VIX Tail Hedge Index, Ticker “VXTH”, Now Live
August 4, 2011--CBOE has introduced a new benchmark index designed to cope with extreme downward movements in stock indexes -- the CBOE VIX Tail Hedge IndexSM (VXTHSM).
The VXTH Index tracks the performance of a hypothetical portfolio that -
Buys and holds a portfolio of stocks designed to replicate the performance of the S&P 500® index (the total return index, with dividends reinvested), and
Buys one-month 30-delta call options on the CBOE Volatility Index® (VIX)®. New VIX calls are purchased monthly and the weight of the VIX calls depends on the level of forward volatility. This has the effect of reducing hedging costs and monetizing VIX option profits when extreme volatility levels are reached. This monetizing of the VIX option position in turn means that overall capital can be preserved.
The design of the index is expected to provide an efficient tail risk hedge as well as a consistent benchmark for other tail hedge strategies.
Source: CBOE
Knight Capital to cut workforce by 6%
August 4, 2011--Knight Capital Group, one of the largest market-making firms in the world, has announced it will cut 6 per cent of its workforce as its restructures its business due to a broad decline in trading activity.
At the same time, Chicago Board Options Exchange, the US options market, said it was slashing expenses despite seeing a boost in trading of its volatility indices.
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Source: FT.com
Market Vectors® Emerging Markets Local Currency Bond ETF Celebrates One-Year Anniversary
First-of-Its-Kind ETF Has Longest Track Record in Its Investment Category; Fund Recently Passed the $500 Million AUM Threshold
August 4, 2011--)--New York-based asset manager Van Eck Global is marking the one-year anniversary of its Market Vectors Emerging Markets Local Currency Bond ETF (NYSE Arca: EMLC), the first U.S.-listed exchange-traded fund (ETF) which seeks to track an index designed to provide investors with exposure to bonds issued in local currencies by emerging market governments. The Fund, which launched on July 22, 2010, recently passed the $500 million assets under management (AUM) threshold.
EMLC is up 6.22 percent from January 1 through June 30 of this year; 13.51 percent since inception (7/22/10 through 6/30/11). This compares favorably to both its ETF competitors and to many active fund managers covering the same space.
“In the year since we launched EMLC, we’ve seen a tremendous amount of interest from the marketplace in adding transparent, cost-efficient exposure to emerging market debt,” said Ed Lopez, Marketing Director with Van Eck Global. “And as we head into the second year of the Fund’s existence, we believe investors and advisors will continue to explore the opportunities that a vehicle like EMLC can provide, not only from a yield perspective, but also with regard to the added potential benefits of U.S. Dollar diversification.”
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Source: Van Eck Global
BM&FBOVESPA Announces July 2011 Market Performance - Number Of ETF Trades Grows 25% From June
August 4, 2011--BOVESPA Segment
In July 2011, equity markets (BOVESPA segment) traded BRL 119.63 billion, in 11,016,993 trades, with daily averages of BRL 5.69 billion and 524,619 trades, in comparison to June when total volume reached BRL 124.19 billion, in 10,187,883 trades, with daily averages of BRL 5.91 billion and 485,137 trades.
Equities
The most traded stocks in July were: Vale PNA, with BRL 13.44 billion; Petrobras PN with BRL 8.18 billion; Itauunibanco PN, with BRL 5.63 billion, OGX Petróleo ON, with BRL 4.79 billion; and Bradesco PN, with BRL 4.05 billion.
ETFs
The financial volume registered in July by the eight BM&FBOVESPA Exchange-Traded Funds (ETFs) reached BRL 667.75 million in 31,997 trades, from 25,701 and BRL 598.43 million the previous month.
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Source: Mondovisione
BM&FBOVESPA opens bidding process to select Market Makers for Options on the Stock of BM&FBOVESPA and Usiminas and Options on the BOVESPA Index
Institutions have until September 26, 2011 to send in proposals
August 3, 2011-- BM&FBOVESPA announces the start of the selection process for up to three market makers for options on the stock of BM&FBOVESPA S.A (BVMF3) and Usinas Siderúrgicas de Minas Gerais S.A. – Usiminas (USIM5) and for options on the BOVESPA Index (IBOV). This is the second stage of the Bidding Program to select market makers in equity options and BOVESPA Index options, developed by the Exchange.
Institutions that are interested in taking part – including nonresident ones – have until September 26, 2011 to deliver proposals. The winners will be announced on October 11, 2011 .
The winners for each of the objects of the competitive bidding process will be the three proposals that present the lowest maximum volatility spreads, defined as the percentage calculated on the basis of the ratio between the implied volatilities of the bid and offer prices for each option.
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Source: BM&FBOVESPA
Maple Group Extends Expiration of Offer to September 30, 2011
July 3, 2011--Maple Group Acquisition Corporation ("Maple"), a corporation whose investors comprise 13 of Canada's leading financial institutions and pension funds, today announced that it has extended its offer to acquire a minimum of 70% and a maximum of 80% of the shares of TMX Group Inc. ("TMX Group") (TSX: X) to September 30, 2011 unless further extended or withdrawn. The offer is part of an integrated acquisition transaction, valued at approximately $3.8 billion, to acquire 100% of TMX Group shares.
During this extension, Maple intends to continue to work on obtaining the required regulatory approvals for the TMX Group acquisition, including from the securities regulatory authorities and the Competition Bureau. If the required regulatory approval process has not been completed by September 30, Maple's current intention would be to further extend its offer. Maple remains committed to its offer and is confident it can secure all necessary regulatory approvals by late fall.
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Source: Maple Group Acquisition Corporation
IndexIQ Announces July 2011 Performance of its IQ Hedge Family of Investable Benchmark Hedge Fund Replication Indexes
Aug 03, 2011--IndexIQ, a leading developer of index-based alternative investment solutions, today announced the performance of its proprietary family of hedge fund replication and alternative beta indexes.
Designed as investable benchmarks that replicate the performance characteristics of sophisticated hedge fund strategies, the IQ Hedge(TM) benchmark indexes were originally introduced on March 30, 2007, and have been calculating live since that date. IQ Hedge is the first family of investable benchmark indexes covering hedge fund replication/alternative beta strategies.
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Source: IndexIQ
Report to the Secretary of the Treasury from the Treasury Borrowing Advisory Committee of the Securities Industry and Financial Markets Association
August 3, 2011--Dear Mr. Secretary:
When the Committee last met in early May, the pace of economic growth had downshifted noticeably. Since then, growth has continued to disappoint, as second quarter real GDP advanced at only a 1.3% annual rate following a downward-revised pace in the first quarter of 0.4%. Growth was held back in the first half of the year, in part, by some temporary headwinds, including the drag from higher energy prices and the supply disruptions following the Tohoku earthquake.
The fading of these drags may allow for somewhat better growth in the second half of the year. Nonetheless, the recent step-down in consumer sentiment and the slowdown in the pace of employment growth have tempered expectations regarding the vigor of the anticipated rebound.
The disappointment in second quarter growth was a result of domestic demand only advancing at a modest 0.5% annual rate; net exports and inventory building both made positive contributions to growth last quarter. Real consumer spending barely increased last quarter, edging forward at a 0.1% annual rate, which was the slowest pace in the two year-old current expansion. Nominal consumer spending advanced at a 3.2% rate, but the large coincident rise in consumer prices meant that the increase in dollar outlays was matched by a very small increase in volumes purchased. In addition to the drag from higher food and energy prices, survey measures of consumer attitudes indicate increased caution on the part of households, particularly regarding the health of the labor market.
Home buying has remained fairly stable at depressed levels. Construction activity appears to have increased somewhat in the multifamily sector, but homebuilding in the larger single-family sector is mired at historically very low levels. House prices have declined modestly over the last three months, though the pace of decline has become less severe and there is some evidence that prices for non-distressed properties may be modestly increasing.
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Source: US Department of the Treasury
Pimco files with the SEC
August 3, 2011--Pimco has filed a Post-Effective Amendment No. 32 to the Registration Statement of PIMCO ETF Trust on Form N-1A is being filed pursuant to Rule 485(a) to register the PIMCO Australia Bond Index Fund, PIMCO Canada Bond Index Fund, and
PIMCO Germany Bond Index Fund, each a new series of the Registrant.
view filing
Source: SEC.gov
