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US regulators give banks time to spin off swap trading
January 3, 2013--Banks could have up to three extra years to comply with a new U.S. rule requiring firms that receive federal deposit insurance to spin off some of their swaps trading into separate arms, U.S. regulators said on Thursday.
The Office of the Comptroller of the Currency said it would "consider favorably" requests for transition periods before banks must comply with the so-called "swaps push-out" rule.
Under the rule, included as part of the 2010 Dodd-Frank financial oversight law, banks that receive deposit insurance and other government backstops have to set up separate arms to trade certain swaps.
First Trust files with the SEC
January 3, 2013--First Trust has filed an amendment no.4 to a application for exemptive relief with the SEC.
view filing
US ETFs enjoy record breaking 2012
January 3, 2013--Record levels of new cash poured into US listed exchange traded funds and products last year as BlackRock regained the title of fastest growing ETF manager from its rival Vanguard for the first time since 2009.
US listed ETFs (funds and products) gathered net inflows of $187.2bn in 2012, up 58.1 per cent on last year’s inflows of $118.4bn, and surpassing the previous all-time high for annual inflows of $176bn set in 2008, according to ETFGI, the consultancy.
Vanguard's head of equities steps down as new CIO steps in
Buckley replaces Sauter but equity hole opens with departure of Bhagat
January 3, 2013--The start of the New Year marked the official passing of the chief investment officer's torch at The Vanguard Group Inc. and left the firm with a hole at the top of its equity investment division.
Tim Buckley has assumed the role of chief investment officer following the retirement of Gus Sauter, which went into effect Dec. 31. Mr. Sauter had served as chief investment officer since the position was created in 2003.
Minutes of the Federal Open Market Committee, December 11-12, 2012
January 3, 2013--The Federal Reserve Board and the Federal Open Market Committee on Thursday released the attached minutes of the Committee meeting held on December 11-12, 2012.
A summary of economic projections made by Federal Reserve Board members and Reserve Bank presidents for the December 11-12, 2012 meeting is also included as an addendum to these minutes.
The minutes for each regularly scheduled meeting of the Committee ordinarily are made available three weeks after the day of the policy decision and subsequently are published in the Board's Annual Report. Summaries of economic projections are released on a quarterly schedule. The descriptions of economic and financial conditions contained in these minutes and in the Summary of Economic Projections are based solely on the information that was available to the Committee at the time of the meeting.
view Minutes of the Federal Open Market Committee
December 11-12, 2012
OneChicago Announces Trading Volume for December 2012
Volume in December up 142% as compared to the same period in 2011
Total 2012 volume tops 6.3 million, up 74% above prior year levels
January 2, 2013--OneChicago, LLC (OCX), an equity finance exchange, today announced that December 2012 volume of 1,291,562 was up 168% over November 2012.
December 2012 highlights include:
1,272,739 Exchange Futures for Physicals (EFPs) and blocks were traded. December 2012 EFPs and blocks activity represented $5.6 billion in notional value.
CFTC Announces Real-Time Public Reporting of Swap Transactions and Swap Dealer Registration Began December 31, 2012
January 2, 2013--The Commodity Futures Trading Commission (CFTC) today announced that both real-time public reporting of swap transactions and swap dealer registration, pursuant to reforms enacted by Congress, began on December 31, 2012.
“Two of the most significant Dodd-Frank reforms began implementation this week,” said CFTC Chairman Gary Gensler. “Real-time reporting brings transparency to the formerly opaque swaps market. Also this week, the largest entities dealing in the swaps market became provisionally registered as swap dealers.
“With these historic reforms, the public, for the first time, can see the price and volume of swap transactions, just as it has benefitted from transparency for decades in the securities and futures markets. The public also will benefit as swap dealers now will be subject to common-sense standards for sales practices, recordkeeping and business conduct rules that will help lower risk to the rest of the economy.”
US Equity Performance-Dow Jones Industrial Average-2012 Year In Review
January 2, 2013--At A Glance
When All is Said & Done-The Dow Jones Industrial Average finished the year at 13,140.14, up 886.58 or 7.26%. This level is off 1,024.39 or 7.23% from the DJIA's record close of 14,164.53, which was hit on October 9, 2007.
Eight of the last ten years have enjoyed annual gains, though of course, the loss of nearly 34% in 2008 continues to leave a mark.
Leader & Laggard - The leading individual contributor to the DJIA in 2012 was Home Depot (HD), which added 151.31 of the total 886.58 in index points gained on the year. The greatest individual detractor was McDonald’s (MCD) dragging down the DJIA by 91.38 points.
Industry Performance - The leading contributing industry to 2012 performance was Financial Services followed by Consumer Services and Industrials, industries which tend to outperform in recovering markets; the worst performer was Technology.
The Good - The biggest Single Day Gain (Point & Percent) – up 286.84 or +2.37% - was June 6, spurred by comments from policy makers raised investors’ hopes that further stimulus money was forthcoming.
The Bad - The biggest Single Day Loss (Point & Percent ) – down 312.94 or -3.26% - was November 7, following President Obama’s reelection, concerns about resolution of the “Fiscal Cliff”, and continued concerns about economic weakness in Europe.
Changes - There was one addition/deletion to the DJIA in 2012: on September 24, UnitedHealth Group replaced Kraft Foods.
2012 Trading Volume Reaches New All-Time High At CBOE Futures Exchange
January 2, 2012--The CBOE Futures Exchange, LLC (CFE®) announced today that both total exchange-wide trading activity and trading volume in futures on the CBOE Volatility Index(R)(VIX(R)) reached new all-time highs during 2012.
In a record-setting year, a host of new milestones were achieved at the exchange.
2012 Volume
Total CFE trading volume in 2012 set a new record with 23.89 million contracts traded, an increase of 98 percent from 12.04 million contracts traded in 2011, the previous annual record. The year 2012 marked the third consecutive year of record exchange-wide trading activity for CFE. Average daily volume (ADV) at CFE also reached a new high for a third straight year in 2012. The 95,571 contracts per day doubled the 47,782 contracts traded per day in 2011.
Total 2012 VIX futures volume set a new record with 23.79 million contracts traded, an increase of 98 percent from the 12.03 million contracts traded in 2011, which stood as the previous annual record.
.....S&P Dow Jones Indices Announces Changes to the S&P/TSX Canadian Indices
An Addition to the S&P/TSX Capped REIT Index
January 2, 2013--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Granite Real Estate Inc. (GRT.TO) have approved the conversion of the company to a REIT structure.
The new name of the company will be Granite REIT and the new ticker symbol will be "GRT.UN". There is no consolidation of capital. Granite REIT will be added to the S&P/TSX Income Trust and the S&P/TSX Capped REIT indices.
U.S. Department of the Treasury Economic Statistics-Monitoring the Economy Update
January 2, 2013--The Economic Statistics-Monitoring the Economy for U.S. Department of the Treasury have been updated and are now available.
view updates
Forefront-2013 ETF Trends to Watch
Investors in 2013 will further define the value proposition of an ETF by their more discriminating purchases
January 2, 2013--The evolution of ETP market undoubtedly will prove to be full of many conflicting developments in 2013. For example, fee compression can have a negative affect on industry innovation as product breakeven levels get harder to reach.
Separately, the evolution of the active space could prove disappointing as “alpha expectations” may not be achieved smoothly. The 600 basis points of outperformance by PIMCO’s BOND set expectations very high. (See Trend #2 and #3 for further details) Nevertheless, we have never been more bullish on the industry. Broadly speaking our biggest hope for the evolution of the industry and the prediction we feel is most important for 2013 is that net inflows diversify away from broad categories. We will monitor the concentration of AUMs of the top 100 funds as a percentage of the overall industry AUMs as well as whether the number of ETFs with AUMs of between $250 million and $2 Billion expands beyond 110 Funds.
Morgan Stanley-Preliminary 4Q 2012 ETF Net Cash Flows Estimates
January 2, 2013--We estimate that net cash inflows into US-listed ETFs were $51.8 billion during the fourth quarter of 2012. The report contains our estimates and analysis of 4Q 2012 ETF flows for the US
market.
Once official data are released, we will publish our more comprehensive flow analysis.
The $51.8 billion during 4Q 2012 is above the $35.8 billion average quarterly net cash inflows over the past three years.
For 2012, we estimate ETF net inflows at $185.2 billion, which eclipses the previous high-water mark of $174.6 billion in net cash inflows set in 2007. US-listed ETF assets are now over $1.3 trillion, which is roughly 27% higher than from the end of 2011.
The largest net cash inflows went into ETFs tracking Emerging Markets equity and International Developed Markets equity indices. These segments had net cash inflows of $15.2 and $10.3 billion in 4Q 2012 bringing their total inflows for 2012 to $29.7 and $16.2 billion, respectively. For 2012, ETFs tracking Fixed Income indices had the highest net cash inflows at $50.4 billion, of which $9.1 billion came in the fourth quarter. Currency ETFs was the only segment to post net outflows ($2.6 billion) in 2012.
BlackRock’s net cash inflows of $27.2 billion in 4Q 2012 and $61.8 billion for the full year were the largest of any provider.
As of 12/31/12, BlackRock, State Street and Vanguard accounted for over 79% of ETF assets.
There were 25 ETFs launched and 38 liquidated in the US during 4Q 2012. There were 155 ETFs issued and 82 closures in 2012 (additional 16 liquidations announced for 2013).
As of 12/31/12, there were 37 issuers with 1,239 ETFs. Roughly $9 billion in total ETF market cap is from ETFs issued over the past year. The most successful recent launches (by total assets) have focused on fixed income securities.
ETFS Physical Silver Shares Shares Cross Above 200 DMA
January 2, 2013--In trading on Wednesday, shares of the ETFS Physical Silver Shares ETF (AMEX: SIVR) crossed above their 200 day moving average of $30.50, changing hands as high as $31.17 per share.
ETFS Physical Silver Shares shares are currently trading up about 3.3% on the day. The chart below shows the one year performance of SIVR shares, versus its 200 day moving average:
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios- Diversified Momentum Portfolio Update
Diversified Momentum Update as of December 31st, 2012
January 2, 2013--Global Sectors Portfolio boosts DMP performance
Market Performance
The US equity market (SPY) swung up and down at the tune of the "Fiscal Cliff" negotiations during December just to end up slightly positive.
The broad US Fixed Income market (BND) was down by 1.07%, and the Commodity market (DBC) retreated similarly by 1.14% during the same period.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) was up by 0.92% in December. While the equity market and our multi asset class benchmark were mixed, with the first up by 0.18% and the second one down by 0.46%, respectively.
Portfolio Updates and New Membership
Most of the portfolios experienced almost a complete membership reconstitution. In terms of portfolio weights, the asset class weights remained unchanged. Global Sectors remain the top allocation with 40%, followed by Currencies, Commodities, and Treasuries with 30%, 20%, and 10%, respectively.
