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Morgan Stanley Exchange-Traded Funds International Equity: EM Allocation Update
November 29, 2010--Introduction
Morgan Stanley & Co.’s Global Emerging Market (EM) Strategy team, led by Jonathan Garner, maintains an EMbased
country allocation model. The model seeks to outperform the MSCI EM Index over a six- to 12-month time
horizon. This model might be attractive to investors seeking exposure to EM equities tilted toward favorite countries. Investors who are more aggressive may utilize the model’s
overweight and underweight recommendations to go long or short a particular country.
For more details on the
methodology Garner uses to construct his model, please see his May 18, 2007 and June 25, 2009 notes.
Varieties of investment vehicles are available to implement the EM country allocation model. However, we believe ETFs offer significant advantages due to their trading flexibility, diversification, relatively low cost, tax efficiency and transparency.
Garner maintains a cautious tactical view for EM equities. Strong EM outperformance, relative to developed markets, combined with technical signals and fund flows starting to indicate an overbought market lead to Garner’s more cautious near-term outlook for EM. Consistent with his view and recent changes to the inflation outlook, which carry risks to equity performance, by Morgan Stanley & Co.’s Asia economics team, Garner updated several relative model weights, which effectively reduced the model’s aggregate risk position from 725 bps to 385 bps. We note that Garner’s recent changes result in a 10% increase to the core MSCI EM ETF component of our optimized ETF model.
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Source: ETF Research-Morgan Stanley
Morgan Stanley Exchange-Traded Funds: US ETF Weekly Update
November 29, 2010--Highlights
Weekly Flows: $4.1 Billion Net Inflows
ETFsTraded $214 Billion Last Week
No ETF Launches
Eaton Vance Purchases ETF Developer
US-Listed ETFs: Estimated Flows by Market Segment
ETFs bounced back last week, posting net inflows of $4.1 billion
US Small-& Micro-Cap ETFs took in the most new money, generating net inflows of $2.5 blnlast week
ETF assets stand at $941 bln; up 21% YTD
13-week flows were mostly positive among asset classes
$50.3 bln net inflows into ETFs over past 13 weeks (57% into EM& US Large-Cap Equity)
We estimate ETFs have posted net inflows 34 out of 47 weeks YTD
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Vanguard Mid-Cap ETF (VO) posted net inflows of $1.3 blnlast week, the most of any ETF
Mid-and Small-Cap ETFs occupied 6 of the top 10 spots for largest net inflows last week
For the second straight week, SPY posted outflows; but over 13-wk period has taken in most new money
US-Listed ETFs: ETF Dollar Volume
Market share of monthly ETF volume as % of listed volume has doubled over 5 yrs
Amid shortened trading week, ETFsposted lightest trading week since September
US Large-Cap ETFsaccount for majority of weekly trading volume (43% market share)
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Source: ETF Research-Morgan Stanley
Citi Wins Mandate to Provide Securities Lending Services for Global X Funds Exchange Traded Funds
November 29, 2010--)--Citi today announced that it has won a mandate to provide third-party securities lending services for Global X Funds’ family of exchange traded funds.
Citi provided the right combination of leading expertise, risk management capabilities and flexibility to tailor its securities lending program to the specific characteristics and requirements of Global X Funds,” says Bruno Del Ama, CEO, Global X Funds. “The global reach of Citi’s transaction services business is a great complement to our global asset management business.”
Added Neeraj Sahai, Global Head, Securities and Fund Services, Citi: “We greatly look forward to strengthening our relationship with Global X Funds by leveraging our capabilities both across Securities and Fund Services and across the entire Citi enterprise.”
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Source: Citi
Claymore Securities Launches ETF Suite Tracking The Wilshire 5000SM, Wilshire 4500 And Wilshire US REIT Indexes
November 29, 2010--Claymore Securities, Inc. today announced the launch of an ETF suite designed to track three of Wilshire Associates’ broad market indexes: the Wilshire 5000 Total Market ETF (NYSE Arca: WFVK), the Wilshire 4500 Completion ETF (NYSE Arca: WXSP), and the Wilshire US REIT ETF (NYSE Arca: WREI). The Wilshire Indexes, developed by Wilshire Associates Incorporated, (“Wilshire ®”), a global independent investment and consulting services firm, have been in existence for more than 35 years and are used extensively by institutional and active money managers as performance benchmarks.
“This is an exciting addition to our growing portfolio of ETF products, extending our line-up into broad-based domestic equities.” commented William Belden, Managing Director, Claymore Securities, Inc. “Leveraging the expertise of Wilshire and their widely followed indexes, investors now have an opportunity to access the U.S. equity and REIT markets with the inherent benefits of ETF investing—efficiency, transparency and flexibility.”
“We are delighted to be working with Claymore to launch these products,” said Dennis A. Tito, founder Chairman and Chief Executive Officer of Wilshire Associates who is credited with developing the Wilshire 5000 in 1974 “Utilizing Wilshire’s investment technology and performance measurement heritage, we created the Wilshire 5000 index as a tool for our institutional investment professionals and their clients to measure, understand and explain the market. Each index developed since that time was created to measure a specific section of the securities market in a way that was meaningful for investors,” he noted.
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Source: Claymore Securities
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
