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Emerging Markets Week in Review -11/22/2010 - 11/26/2010
November 29, 2010--The Dow Jones Emerging Markets Sector Titans Composite Index slid 2.35% last week on concerns that a bailout of Ireland will fail to cure Europe's debt crisis and North and South Korea exchanged artillery fire.
Technology and Consumer, the two best performing sectors this year, declined the least, falling 0.40% and 1.09% respectively. Financials and Industrials were down the most after declining by 3.99% and 3.90% respectively.
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Source: Emerging Global Advisors
BofA Merrill Lynch Global Research Introduces Global Financial Stress Index
November 29, 2010--BofA Merrill Lynch Global Research has introduced the Global Financial Stress Index (GFSI), a comprehensive, cross-market gauge of risk, hedging demand and investment flows. The index is designed to help investors identify market risks earlier and more accurately than commonly used risk indicators, such as the VIX index.
The GFSI composite index aggregates over twenty measures of stress across five asset classes and various geographies, measuring three separate kinds of financial market stress: risk, as indicated by cross-asset measures of volatility, solvency and liquidity; hedging demand, implied by the skew of equity and currency options; and investor appetite for risk, as measured by trading volumes as well as flows in and out of equities, high-yield bonds and money markets.
Back-testing of the GFSI since 2000 illustrates that sharp rises in the index over short periods of time would have had a high degree of accuracy in forecasting sell-offs in assets, particularly global equities, commodities and U.S. high-yield bonds.
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Source: Bank of America Merrill Lynch
CFTC.gov Commitments of Traders Reports Update
November 29, 2010--The CFTC.gov Commitments of Traders Reports have benn updated for the week of November 23, 2010 are now available.
view updates
Source: CFTC.gov
ProShares files with the SEC
November 29, 2010--ProShares has filed a post effective amendment, registration statement with the SEC for
ProShares RAFI® Long/Short Fund.
view filing
Source: SEC.gov
FaithShares files with the SEC
November 29, 2010--FaithShares has filed a post effective amendment, registration statement with the SEC for
FaithShares Baptist Values Fund (FZB; NYSE Arca)
FaithShares Catholic Values Fund (FCV; NYSE Arca)
FaithShares Christian Values Fund (FOC; NYSE Arca)
FaithShares Lutheran Values Fund (FKL; NYSE Arca)
FaithShares Methodist Values Fund (FMV; NYSE Arca)
view filing
Source: SEC.gov
iShares files with the SEC
November 29, 2010--iShares has filed a post effective amendment, registration statement with the SEC for
iShares Barclays 0-5 Year TIPS Bond Fund.
view filing
Source: SEC.gov
U.S. International Reserve Position
November 26, 2010--The Treasury Department today released U.S. reserve assets data for the latest week. As indicated in this table, U.S. reserve assets totaled $136,426 million as of the end of that week, compared to $136,117 million as of the end of the prior week.
I. Official reserve assets and other foreign currency assets (approximate market value, in US millions)
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November 5, 2010 |
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A. Official reserve assets (in US millions unless otherwise specified) 1 |
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136,426 |
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(1) Foreign currency reserves (in convertible foreign currencies) |
Euro |
Yen |
Total |
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(a) Securities |
9,932 |
15,978 |
25,910 |
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of which: issuer headquartered in reporting country but located abroad |
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0 |
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(b) total currency and deposits with: |
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(i) other national central banks, BIS and IMF |
14,754 |
7,849 |
22,603 |
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ii) banks headquartered in the reporting country |
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0 |
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of which: located abroad |
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0 |
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(iii) banks headquartered outside the reporting country |
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0 |
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of which: located in the reporting country |
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0 |
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(2) IMF reserve position 2 |
13,233 |
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(3) SDRs 2 |
58,471 |
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(4) gold (including gold deposits and, if appropriate, gold swapped) 3 |
11,041 |
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--volume in millions of fine troy ounces |
261.499 |
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(5) other reserve assets (specify) |
5,167 |
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--financial derivatives |
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--loans to nonbank nonresidents |
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--other (foreign currency assets invested through reverse repurchase agreements) |
5,167 |
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B. Other foreign currency assets (specify) |
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--securities not included in official reserve assets |
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--deposits not included in official reserve assets |
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--loans not included in official reserve assets |
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--financial derivatives not included in official reserve assets |
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--gold not included in official reserve assets |
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--other |
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Source: U.S. Department of the Treasury
DB Global Equity Index & ETF Research: US ETP Market Weekly Review: A flat week for the market with bearish flavor for ETPs
November 25, 2010--Market Review
Last week QE2 was put on the back burner for a while as financial markets remained expectant on political leaders and regulators discussions relative to relief efforts and a bailout package to aid the distressed Irish economy. Global equity markets experienced increased volatility during the week, with a bearish flavor in the first half of the week following corrections towards the end of the week for an almost-flat ending.
The S&P 500 was up 0.04%, the MSCI World was down 0.08% and the MSCI EM decreased by 0.82%. The USD appreciated 0.13% against the Euro, and Gold ($) and WTI Crude Oil ($) prices were down by 1.16% and 3.94%, respectively. US ETP flows added to the bearish flavor, with $3.7 bn being extracted from the industry vs $5.5 bn inflows on the previous week. The weekly average ETP flows stands at +$2.2 bn year to date.
Equity ETP flows bewildered by Global Financial Turmoil
QE2 criticism started on Nov 12th fueled the equity outflows trend into last week. US Equity ETPs experienced $3.5 bn outflows vs $4.5 bn inflows on the previous week.
A closer look at the daily flows reveals that the flight could have been worse. As of last Thursday close, Long US and Long EM Equity ETPs had recorded outflows for $6.3 bn and $0.9 bn, respectively. However the Equity Markets were able to correct some loses helped by positive developments on the other side of the Atlantic, releasing significant pressure on the US and pulling up emerging markets as well. Long US and Long EM Equity ETPs recovered $3.1 bn and $0.4 bn in flows on Friday, respectively.
In addition, it is worth noting that the outflow from Long Equity EM ETPs is the first weekly outflow for this segment in the last 3 months, Figure 2. Although this may just be a small step back in the underlying bullish flow trend for EM Equity, this could also be a wearing-out alert for the EM trend.
Fixed Income ETP allocations under overhaul?
Fixed Income ETPs experienced $910 mm outflows last week. An event seldom seen in the past 2 years. This was preceded by almost-flat inflows of $5 mm on the previous week, suggesting that this might be a bit more than just a 1-week isolated event.
A closer look at one of the main categories driving the sturdy inflows trend into Fixed Income ETPs over the current year (i.e. Corporates), provides the following insight:
Investors have begun to revise their asset allocations, moving towards riskier assets in pursue of higher returns. High Yield FI ETPs may have served as an intermediate vehicle providing higher returns than Investment Grade Securities, at a lower risk than equities (Figures 3). The risk/return appetite increase, underpinned by flows data (Figure 3), also suggests that investors may be losing interest in medium and long term corporate debt securities.
Another highlight for the week was the $238 mm that poured into Active Fixed Income ETPs. Active debt oriented products have gathered $1.2 bn since their recent inception. Among the 7 available products, Enhanced Short Duration and Emerging Markets Debt in Local Currency themes have been the favorites. This and other developments suggest that the Fixed Income ETP segment might experience increased activity both in flows and new products in the near future as investors rearrange their objectives and implement their new strategies, and providers prepare to meet the new demand.
Almost every commodity shines but gold
Commodity ETPs gathered $544 mm in fresh money for the previous week. With winter coming to the developed world right around the corner, energy related ETPs took the 1st place prize back home. Crude Oil and Natural Gas ETPs received $295 mm and $102 mm, respectively.
Within the Precious Metals space, Silver ($129 mm), Platinum ($33 mm) and PM baskets ($28 mm) received inflows, however Gold registered outflows for $39 mm. Agriculture Overall ETPs were the lonely companion of Gold in the outflows bench with -$74 mm.
New Launch Calendar
The launch calendar was mute last week. No new listings in the US.
Turnover Review
Avg. Daily Turnover decreased by 1.4% and totaled $65 bn at the end of the week. Fixed Income ETPs turnover recorded the largest absolute increase ($250 mm or 9.3%), while Equity ETPs turnover experienced the largest absolute decrease ($1.2 bn or -2.1%).
Assets Under Management (AUM) Review
US ETPs AUM decreased shyly by 0.8%, backing down to $947 bn at the end of the week. This pullback was mainly driven by outflows from Equity and Fixed Income ETPs. Year to date US ETPs AUM has increased $166 bn or 21.2%.
To request a copy of the report
Source: Deutsche Bank Global Equity Index & ETF Research
CFTC to Hold Open Meeting on Sixth Series of Proposed Rules under the Dodd-Frank Act
November 24, 2010--The Commodity Futures Trading Commission (CFTC) will hold a public meeting on Wednesday, December 1, 2010, at 9:30 a.m. to consider the issuance of proposed rulemakings under the Dodd-Frank Wall Street Reform and Consumer Protection Act on the following topics:
Core principles and other requirements for designated contract markets;
General regulations for derivatives clearing organizations;
Information management requirements for derivatives clearing organizations;
Reporting, recordkeeping and daily trading records requirements for swap dealers and major swap participants; and
Further definition of “swap dealer,” “security-based swap dealer,” “major swap participant” and “eligible contract participant.
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Source: CFTC.gov
CFTC Staff to Host Public Roundtable to Discuss Disruptive Trading Practices
November 24, 2010--Staff of the Commodity Futures Trading Commission (CFTC) will hold a public roundtable on December 2, 2010, from 9:30 am to 3:30 pm to discuss issues related to disruptive trading practices. The roundtable will assist the CFTC in the understanding and implementation of Section 747 of the Dodd-Frank Wall Street Reform and Consumer Protection Act.
The roundtable will be held in the Lobby Level Hearing Room at the CFTC’s Headquarters, Three Lafayette Centre, 1155 21st Street, NW, Washington DC. The discussion will be open to the public with seating on a first-come, first-served basis. Members of the public may also listen by telephone and should be prepared to provide their first name, last name and affiliation.
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Source: CFTC.gov
