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SSgA to launch commodities-free managed futures fund
September 25, 2012--State Street Global Advisors is planning a managed futures fund focused on fixed-income, equity and currency futures investments.
SSgA said the volatility of its SSARIS Managed Futures fund should be lower because it is avoiding commodities.
Morgan Stanley-US ETF Weekly Update
September 24, 2012--Weekly Flows: $9.6 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 23% YTD
Two ETF Launches Last Week
Global X to Liquidate Four ETFs
Schwab Lowers ETF Expense Ratios
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $9.6 bln last week, the eighth consecutive week of net inflows
All but one category that we measured last week exhibited net inflows; the Leveraged/Inverse group was the lone category to
post net outflows ($193 mln in net outflows)
US Equity ETFs generated $4.8 bln in net inflows last week, capturing 50% of net inflows (in-line with market share)
ETF assets stand at $1.3 tln (up 23% YTD) and have posted net inflows 30 out of 38 weeks YTD ($122.1 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $50.5 bln net inflows
US Large-Cap ETFs have generated net inflows of $8.7 bln over the last 13 weeks, the most of any category
Fixed Income ETFs have posted net inflows 56 out of the past 58 weeks; including $8.2 bln over the past 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $1.4 bln, the 3rd consecutive week of net inflows
Supported by the expectation and implementation of Quantitative Easing, SPDR Gold Trust (GLD) has posted net inflows eight consecutive weeks ($3.8 bln in net inflows over the period)
Over the last 13 weeks, four Treasury ETFs (spanning the curve) posted a combined $5.3 bln in net outflows (SHY, IEI, TLT, IEF)
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 8/31/12
iShares Dow Jones US Real Estate Index Fund (IYR) had the largest increase in USD short interest at $312 mln
SPDR Gold Trust (GLD) exhibited the largest decrease in short interest ($575 mln); GLD’s shares short have declined materially
over the last two periods (15.0 mln shares from 21.8 mln shares) and currently sits below its 1-year average of 16.9 mln shares
Aggregate ETF USD short interest declined by $5.6 bln over the past two weeks ended 8/31/12
The average shares short/shares outstanding for ETFs is currently 4.5%
Smaller ETFs by market cap may skew the results (4 of the top 10 with the highest % of shares short have market caps <$25 mln); for example, the % of shares short for Market Vectors Retail ETF (RTH), a $21 mln fund, declined 287% since our last update
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only five ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research.
Data estimated as of 9/21/12 based on daily change in share counts and daily NAVs.
$10.0 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs generated the largest 13-week net inflows at $1.3 bln (PIMCO Total Return ETF-BOND had the
largest net inflows at $1.2 bln)
128 new ETF listings and 44 closures YTD (additional 29 liquidations have been announced)
Over the past year, many of the successful launches have an income/defensive orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
SPDR Barclays Capital Short Term High Yield Bond ETF (SJNK) recently cracked the top 10 most successful launches; investors have flocked to the fund due to its duration and competitive yield relative to longer-dated high yield bond funds
Top 10 most successful launches account for 70% of market cap of ETFs launched over the past year
Agencies Release a Regulatory Capital Estimation Tool to Assist in Assessing the Potential Effects of Recently Proposed Regulatory Capital Rules
September 24, 2012--The federal banking regulatory agencies on Monday announced the availability of a regulatory capital estimation tool to help community banking organizations and other interested parties evaluate recently published regulatory capital proposals.
The tool will assist these organizations in estimating the potential effects on their capital ratios of the agencies' Basel III Notice of Proposed Rulemaking (NPR) and Standardized Approach NPR.
In June 2012, the Federal Reserve Board, the Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency approved joint proposals for comment that would revise their current regulatory capital standards. The public comment period for these proposals ends on October 22, 2012. The Basel III NPR focuses primarily on strengthening the level of regulatory capital requirements and improving the quality of capital. The Standardized Approach NPR proposes a number of enhancements to the risk-sensitivity of the agencies' capital standards.
Regulatory changes prompt exchanges to tweak products
September 24, 2012--IntercontinentalExchange's plan to "futurize" cleared over-the-counter energy swaps by moving them onto central order books sparked much discussion in the market.
Changes in regulation worldwide are prompting exchanges to look at their offerings and consider alternatives. CME Group, for example, announced a plan to roll out hybrid interest-rate swaps futures.
DB-Global Equity Index and ETF Research-North America-US ETF Market Weekly Review : Equity ETPs received $6.7bn inflows
September 24, 2012--Net Cash Flows Review
Markets retreated during last week, following a two-week rally. The US (S&P 500) fell by 0.38%. While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 0.87% and 0.71%, respectively.
Moving on to other asset classes, the 10Y US Treasury Yield fell by 11bps last week; while the DB Liquid Commodity Index was down by 3.64%. Similarly, the Agriculture sector (DB Diversified Agriculture Index), the WTI Crude Oil and Silver dropped by 3.35%, 6.17% and 0.38%; meanwhile Gold rose by 0.15%. Last but not least, Volatility (VIX) dropped by 3.65% during the same period.
The total US ETP flows from all products registered $9.62bn of inflows during last week vs $14.97bn of inflows the previous week, setting the YTD weekly flows average at +$3.2bn (+$123.0bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$6.72bn, +$1.42bn, +$1.49bn last week vs. +$12.79bn, +$1.37bn, +$0.84bn in the previous week, respectively.
Within Equity ETPs, US Sector products had the most inflows (+$1.7bn); while Developed non-US Country products had the largest outflows (-$0.2bn). Within Fixed Income ETPs, Corporate products had the largest inflows (+$1.2bn); while Sovereign products experienced the only outflows (-$0.3bn). Within Commodity ETPs, Precious Metals products experienced inflows of +$1.3bn, while the other sectors experienced less relevant flows.
Top 3 ETPs & ETNs by inflows: SPY (+$1.4bn), GLD (+$0.9bn), XLF (+$0.7bn) Top 3 ETPs & ETNs by outflows: QQQ (-$0.8bn), TLT (-$0.3bn), XLI (-$0.3bn)
New Launch Calendar: China+dividend and option-strategies
There were 2 new Equity ETFs listed during the previous week. One of them was listed in the NYSE Arca and offers exposure to an active asset allocation strategy by employing a “Buy-Write” or “Covered Call” overlay; while the other was listed in the NASDAQ Exchange and offers access to a China dividend strategy.
Turnover Review: Floor Activity Decreased by 14%
Total weekly turnover decreased by 14.0% to $251bn vs. $292bn from the previous week. Moreover, last week's turnover level was 34% below last year's weekly average. Equity ETP turnover decreased by $32.8bn, or 13.3%, to $214bn. Concurrently, Fixed Income and Commodity ETPs turnover fell by 28.5% (-$5.7bn) and 6.4% (-$1.4bn), respectively.
Assets under Management (AUM) Review:
ETP Assets edged $1.4bn higher
Despite the market pullback, inflows were enough to offset the decline. As of last Friday, US ETPs have accumulated an asset growth of 23.5% YTD, reaching $1.292 trillion. Assets for equity, fixed income and commodity ETPs moved -$1.4bn, +$1.6bn, +$1.3bn during last week, respectively.
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S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Deletion From The S&P/TSX Venture Composite Index
September 24, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
September 24, 2012--On September 21, 2012, the shareholders of Andean American Gold Corp. (TSXVN:AAG) and Lupaka Gold Corp. (TSX:LPK) approved the previously announced business combination whereby Lupaka Gold will acquire Andean American Gold.
Andean American shareholders will receive 0.245 shares of Lupaka Gold for each share held. Andean American Gold will be removed from the S&P/TSX Venture Composite Index after the close of trading on Tuesday, September 25, 2012.
T. Rowe Price files with the SEC
September 24, 2012--T. Rowe Price has filed an amednment no.4 to the application for exemptive relief with the SEC.
view filing
FQF files with the SEC
September 21, 2012--FQF has filed a post-effective amendment, registration statement with the SEC for the
QuantShares U.S. High Dividend Absolute Return Fund
QuantShares U.S. Low Beta Absolute Return Fund
QuantShares U.S. Relative Value Fund
QuantShares U.S. Low Beta Fund
QuantShares U.S. High Quality Fund
QuantShares U.S. High Momentum
view filing
ISE Weekly Listings September 21, 2012
September 21, 2012--The International Securities Exchange listed new options classes during the week beginning September 17, 2012 as
described below.
Effective Monday, September 17, 2012, the ISE listed options on the following products along with their related symbols:
Bin 7 - Timber Hill LLC Equity Equity
Medicines Co. (Symbol: MDCO, Trading Symbol(s): MDCO) will trade on a January expiration cycle with exercise and position limits of 75000. Millennial Media Inc. (Symbol: MM, Trading Symbol(s): MM) will trade on a February expiration cycle with exercise and position limits of 75000. STERIS Corp. (Symbol: STE, Trading Symbol(s): STE) will trade on a March expiration cycle with exercise and position limits of 75000. Dun & Bradstreet Corp. (Symbol: DNB, Trading Symbol(s): DNB) will trade on a February expiration cycle with exercise and position limits of 75000. Bin 10 - Morgan Stanley & Co. LLC Equity
Charles Schwab cuts fees on ETFs by up to 60%
September 21, 2012--Charles Schwab Corp. has slashed fees on 15 of its proprietary exchange-traded funds, reducing expense ratios by 25% to roughly 60% in a move designed to
attract more investors, and one that follows BlackRock Inc.'s disclosure that it plans cuts of its own.
During a conference call with members of the media, Marie Chandoha, president of Charles Schwab Investment Management, said the weighted average on Schwab's lineup of ETFs would now be 7.7 basis points, down from 12.9 basis points.
VelocityShares Plans Three Emerging Markets ADR ETFs
September 21, 2012--Investors who buy the U.S.-listed American depositary receipts of emerging-market companies such as Petrobras (PBR) or China's Sinopec (SNP) may soon have three new broad, index-tracking options.
VelocityShares and ALPS ETF Trust just filed plans with regulators for three Nasdaq-listed emerging-markets exchange-traded funds, each of which would hold ADRs. Here’s the filing for the would-be VelocityShares Emerging Markets DR ETF, VelocityShares Russia Select DR ETF and VelocityShares Emerging Asia DR ETF.
Global X Funds To Liquidate 4 ETFs
September 21, 2012--Global X Funds, the New York-based provider of exchange-traded funds (ETFs), today announced the scheduled liquidation of the following Global X Funds ETFs:
Global X Aluminum ETF (NYSE: ALUM)
Global X Auto ETF (NYSE: VROM)
Global X NASDAQ 500 ETF (NASDAQ: QQQV)
Global X NASDAQ 400 Mid Cap ETF (NASDAQ: QQQM)
The Funds combined represent less than 1% of the assets of the Global X Funds. The Board of Trustees of Global X Funds unanimously determined on September 20, 2012 that it was in the best interests of the Funds and their shareholders to liquidate each of the Funds.
The Funds will cease trading at the end of the trading day on October 18, 2012 and will liquidate on October 26, 2012. Any person holding shares in the Funds as of the liquidation date of October 26, 2012 will receive a cash distribution equal to the net asset value of their shares as of that date. Global X Management Company, LLC, the adviser to the Funds, will bear all fees and expenses that may be incurred in connection with the liquidation of the Funds and the distribution of cash proceeds to investors, other than brokerage fees and expenses.
For additional information about the liquidation, shareholders of the Funds may call 1-888-GX-FUND-1 (1.888.493.8631
ProShares files with the SEC
September 21, 2012--ProShares has filed a pre-effective amendment no. 1 to Form S-1, registration statement with the SEC.
view filing
State Street files with the SEC
September 20, 2012--Satate Street has filed a post-effective amendment no.3, registration statement with the SEC for the
SPDR SSgA US Minimum Volatility ETF
SPDR SSgA Global Minimum Volatility ETF
view filing
ISE and MEB Options Introduce Spread Crawler
A New Tool that Provides Insight on Real-Time Spread Orders via Instant Message
September 20, 2012--
The International Securities Exchange (ISE) today announced that it has partnered with MEB Options to introduce Spread CrawlerTM, a new tool that provides powerful insight through Instant Messaging (IM) into the entire universe of real-time actionable spread orders.
This unique product aggregates streaming spread book data from all options exchanges and transmits individual, user-defined spread orders to subscribers via IM. Spread Crawler simplifies the monitoring of live spread book feeds, while displaying spreads that satisfy customized pre-defined parameters.
“Our partnership with MEB Options represents the first step in expanding ISE’s product offerings to include a suite of unique trading tools and analytical capabilities,” said Gary Katz, President and CEO of ISE. “MEB has developed a simple but powerful user tool that supports this high-growth segment of the options market, and we are extremely gratified that they selected ISE as a partner to expand the reach of this compelling product offering.”
