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Treasury International Capital Data for July 2012
September 18, 2012--The U.S. Department of the Treasury today released Treasury International Capital (TIC) data for July 2012. The next release, which will report on data for August 2012, is scheduled for October 16, 2012.
The sum total in July of all net foreign acquisitions of long-term securities, short-term U.S. securities, and banking flows was a monthly net TIC inflow of $73.7 billion. Of this, net foreign private inflows were $59.0 billion, and net foreign official inflows were $14.7 billion.
Foreign residents increased their holdings of long-term U.S. securities in July – net purchases were $60.2 billion. Net purchases by private foreign investors were $37.7 billion, and net purchases by foreign official institutions were $22.5 billion.
At the same time, U.S. residents decreased their holdings of long-term foreign securities, with net sales of $6.8 billion.
PowerShares DB G10 Currency Harvest Fund (DBV) Exits Short USD Position in Carry Trade Strategy
September 17, 2012--In a move which highlights the dynamic nature of global floating rates and subsequently the carry trade, PowerShares DB G10 Currency Harvest Fund (DBV) has rotated out of its short US dollar position and into a short euro position.
DBV had been short the US dollar since June of 2009. This is the first time the fund has been short the euro.
For more information, visit powershares.com.
DB-Global Equity Index and ETF Research-North America-US ETF Investment Ideas: Enhancing returns & income with Dividend ETFs
September 17, 2012--A comprehensive guide for US-focused Dividend ETF investing
Introducing our new US ETF Investment Ideas Series
In this new research series we explore different investment ideas originated among our DB research colleagues and we provide an implementation layer using ETFs.
We have developed a multi dimensional framework for analyzing and comparing ETFs with the objective of providing recommendations and useful information to help our readers find the best product for their specific needs.
Sustainable growth and income through dividend-focused companies In general, dividend-focused companies are mature companies, with a more stable business model, and higher tilt towards the Value style in comparison to their peers; most of these companies have defensive profiles, and offer attractive yields and sustainable growth making them very attractive for the current environment. In recent reports, Deutsche Bank strategists have highlighted the importance of dividend growth and the fact that dividend-focused companies remain attractive despite currently trading at a premium to the S&P 500.
Not all Dividend ETFs are created equal There are 21 dividend ETFs tracking US stocks which share the same broad idea, however they can be significantly different depending on their focus and weighting criteria. Dividend ETFs can focus on dividend payment, dividend yield, dividend growth, or a combination of them. In addition, they further differentiate themselves by employing specific weighting methodologies involving dividends paid ($), dividend yield (%), or other more common approach (e.g. market cap or equal).
ETF Recommendations: sustainable growth and income
We have found that such themes are better represented by ETFs with focus on dividend growth and/or dividend yield, rather than just on dividend payment. Moreover we have seen that, in general, those ETFs which include dividend-related criteria (e.g. dividend paid or yield) in their weighting methodology offer a better dividend play than those that employ other weighting methods. Actually, those that utilize non-dividend-related weighting methodologies or focus just on dividend payments tend to be more similar to a Value play with higher correlation to the standard equity benchmarks instead. We recommend DVY and SDY as a growth/income investment, and HDV, VYM, and DHS as income-oriented choices.
The following link will be available for 90 days. For more information, please click on the link for the full PDF. If you have any trouble viewing the link, copy and paste the link in a browser.
http://pull.db-gmresearch.com/p/514-B29D/98632580/US_ETF_Investment_Ideas.pdf
Crucial MiFID vote faces delay as MEP talks drag
September 17, 2012--The U.S. Commodity Futures Trading Commission is in contact with futures exchanges over a brief plunge in oil prices on Monday afternoon, a top regulator at the agency said, adding that it is unclear if high-frequency trading played a role.
"Our people are aware of it. They are in contact with CME and ICE and are going to get to the bottom of it," Commissioner Scott O'Malia told Reuters.
DB-Global Equity Index and ETF Research- North America-US ETF Market Weekly Review: ETP AUM near $1.3 trillion with $15bn in inflows
September 17, 2012--Net Cash Flows Review
Markets moved higher last week. The US (S&P 500) edged higher by 1.94%. While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 3.71% and 4.71%, respectively.
Moving on to other asset classes, the 10Y US Treasury Yield rose by 21bps last week; while the DB Liquid Commodity Index was up by 2.55%. Similarly, the Agriculture sector (DB Diversified Agriculture Index) advanced by 1.51% and the WTI Crude Oil, Gold and Silver prices moved higher by 2.68%, 2.00% and 2.90%, respectively. Last but not least, Volatility (VIX) rose by 0.90% during the same period.
The total US ETP flows from all products registered $14.97bn of inflows during last week vs $5.02bn of inflows the previous week, setting the YTD weekly flows average at +$3.1bn (+$113.35bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$12.79bn, +$1.37bn, +$0.84bn last week vs. +$5.02bn, -$0.81bn, +$0.59bn in the previous week, respectively.
Within Equity ETPs, Large Cap products had the most inflows (+$5.2bn); while Leveraged products had the largest outflows (-$0.3bn). Within Fixed Income ETPs, Corporate products had the largest inflows (+$1.1bn); while Sovereign products experienced the only outflows (-$0.4bn). Within Commodity ETPs, Precious Metals products experienced inflows of +$0.8bn, while the other sectors experienced less relevant flows.
Top 3 ETPs & ETNs by inflows: SPY (+$4.5bn), VWO (+$1.3bn), EWZ (+$0.7bn) Top 3 ETPs & ETNs by outflows: EWJ (-$0.3bn), LQD (-$0.2bn), GDX (-$0.1bn)
New Launch Calendar: iShares launched new Frontier Market ETF There was 1 new Equity ETF listed during the previous week. The new product from iShares was listed in the NYSE Arca and offers exposure to Frontier Markets.
Turnover Review: Floor Activity Increased by 34.7%
Total weekly turnover increased by 34.7% to $292bn vs. $217bn from the previous week. However, last week's turnover level was 23% below last year's weekly average. Equity ETP turnover increased by $63.4bn, or 34.6%, to $247bn. Concurrently, Fixed Income and Commodity ETPs turnover rose by 31.0% ($4.7bn) and 38.1% ($5.9bn), respectively.
Assets under Management (AUM) Review: Assets Rose by 3.5%
As of last Friday, US ETPs have accumulated an asset growth of 23.6% YTD. Assets for equity, fixed income and commodity ETPs moved +$36.8bn, +$2.0bn, +$4.7bn during last week, respectively. Last week, total US ETP AUM reached a new all-time high of $1.293 trillion, keeping the trend seen during the last couple of weeks.
The following link will be available for 90 days. For more information, please click on the link for the full PDF. If you have any trouble viewing the link, copy and paste the link in a browser.
http://pull.db-gmresearch.com/p/576-25DF/2535781/US_ETF_Market_Weekly_Review_17_Sept.pdf
Semi-Annual Changes To The NASDAQ Clean Edge Green Energy Index
September 17, 2012--The NASDAQ OMX Group, Inc. (Nasdaq:NDAQ) and Clean Edge, Inc. announced today the results of the semi-annual evaluation of the NASDAQ® Clean Edge(R) Green Energy Index (Nasdaq:CELS), which will become effective prior to market open on Monday, September 24, 2012.
The following two securities will be added to the Index:Enphase Energy, Inc. (Nasdaq:ENPH) and KiOR, Inc. (Nasdaq:KIOR)
The Index is designed to track the performance of clean-energy companies that are publicly traded in the U.S. The Index includes companies engaged in the manufacturing, development, distribution, and installation of emerging clean-energy technologies such as solar photovoltaics, biofuels and advanced batteries. The five major sub-sectors that the index covers are Renewable Electricity Generation, Renewable Fuels, Energy Storage & Conversion, Energy Intelligence and Advanced Energy-Related Materials. The securities must also meet other eligibility criteria which include minimum requirements for market value, average daily share volume, and price. The NASDAQ® Clean Edge® Green Energy Index is re-ranked semi-annually in March and September.
For more information about the NASDAQ® Clean Edge® Green Energy Index, including detailed eligibility criteria, visit https://indexes.nasdaqomx.com/.
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices-A Deletion From S&P/TSX Venture Indices
September 17, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The Toronto Stock Exchange announced today in the Daily Bulletin that the units of Pure Industrial REIT (TSXVN:AAR.UN) will graduate to trade on TSX at the open of trading on Wednesday, September 19, 2012.
The ticker symbol will remain "AAR.UN" and the CUSIP number will remain 74623T 10 8. The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Tuesday, September 18, 2012.
Pure Industrial REIT is also a constituent of the S&P/TSX Venture Select Index. The company will be removed from this index effective after the close of Friday, September 21, 2012, at which time it will be listed on TSX.
The company is also a constituent of the S&P/TSX Venture 30 Index.
According to methodology, it will remain in this index while trading on TSX until the next semi-annual review of the index in February, 2013.
House Dems propose taxing equity trades to fund new federal programs
September 17, 2012--Rep. Keith Ellison (D-Minn.) and six other House Democrats have introduced legislation that would impose a transaction tax on all stock, bond and derivatives trades made by Wall Street firms, which Ellison said would raise "billions" to pay for infrastructure and jobs programs.
"The American public provided hundreds of billions to bailout Wall Street during the global fiscal crisis yet bore the brunt of the crisis with lost jobs and reduced household wealth," Ellison said Monday. "This is a phenomenally wealthy nation, yet our tax and regulatory system allowed the financial titans to amass great riches while impoverishing the systems that enable inclusive prosperity.
Morgan Stanley-US ETF Weekly Update
September 17, 2012--US ETF Weekly Update
Weekly Flows: $14.9 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 23% YTD
One ETF Launch Last Week
Guggenheim Mega Cap ETF Changes Name
US-Listed ETFs: Estimated Flows by Market Segment
Last week, ETFs posted their largest net inflows ($14.9 bln) since Oct-11, the seventh consecutive week of
net inflows; however, only 25% of ETFs exhibited net inflows while 64% of ETFs had no net flows
Net inflows were primarily driven by equity-focused ETFs with US Large-Cap ETFs leading the pack ($5.6 bln)
ETF assets stand at $1.3 tln (up 23% YTD) and have posted net inflows 29 out of 37 weeks YTD ($112.5 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $39.6 bln net inflows
US Sector & Industry, International – Developed, and International – Emerging have led equity-focused ETF net inflows;
Conversely, Currency ETFs were the only market segment to post net outflows over the past 13 weeks (aggregate $225 mln)
Fixed Income ETFs have generated net inflows of $7.5 bln the past 13 weeks and have posted net inflows 55 out of the past 57
weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Vanguard MSCI Emerging Markets ETF (VWO) generated the second highest net inflows last week ($1.3 bln)
Interestingly, VWO has exhibited net inflows of $11.1 bln YTD versus just $1.1 bln for iShares MSCI Emerging Markets Index Fund(EEM); both ETFs track the same underlying index
Last week’s top 10 ETFs to post the largest net inflows were biased toward markets that should benefit from the Federal Reserve’s announcement to extend asset purchases (i.e., equities & high yield bonds – increasing investor risk appetite; gold – rising inflation)
US-Listed ETFs: Short Interest
Data Updated: 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); GLDs 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 six 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 9/14/12 based on daily change in share counts and daily NAVs.
$9.7 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 flows at $1.2 bln; next highest was the First Trust North American Energy Infrastructure Fund – EMLP at $60.8 mln)
126 new ETF listings and 44 closures YTD (additional 25 liquidations have been announced)
Over the past year, many of the successful launches have an income / defensive orientation
ETFs focusing on fixed income (inclusive of active ETFs) account for ~54% of the market cap of ETFs launched over the past year, while equity ETFs focusing on risk-adjusted returns and equity income ETFs make up ~16% and ~8%, respectively
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Top 10 most successful launches account for 69% of market cap of ETFs launched over the past year
iPath Short ETNs SFSA, ROSA Hit Early Termination Trigger
September 14, 2012--Two Barclays iPath ETN products triggered their early automatic termination and redemption features on September 7, 2012.
The defining moments occurred when the intraday indicative note values of iPath Short Extended S&P 500 TR Index ETN (SFSA) and iPath Short Extended Russell 1000 TR Index ETN (ROSA) dropped to levels of $10 or less.
Redemption values of $9.9312 for SFSA and $9.8168 for ROSA were determined by the closing indicative values on the trigger day. Today (9/13/12) was their last day of trading, and cash payments equal to the redemption values will be made on September 14, 2012.
SEC Charges New York Stock Exchange for Improper Distribution of Market Data
NYSE Agrees to Settle Charges by Paying First-Ever SEC Financial Penalty Against An Exchange
September 14, 2012--The Securities and Exchange Commission today brought first-of-its-kind charges against the New York Stock Exchange for compliance failures that gave certain customers an improper head start on trading information.
SEC Regulation NMS (National Market System) prohibits the practice of improperly sending market data to proprietary customers before sending that data to be included in what are known as consolidated feeds, which broadly distribute trade and quote data to the public. This ensures the public has fair access to current market information about the best displayed prices for stocks and trades that have occurred.
SEC Called On Once More To Answer For Favoring Big Firms
September 14, 2012--Everyone has the feeling that the Securities and Exchange Commission is taking it easy on big firms. But until now, there hasn’t been an empirical study that backs up that claim.
Now, there is.
Berkeley Law professor Stavros Gadinis recently released the results of a study he conducted analyzing SEC enforcement actions against broker-dealers, covering over 400 cases in 1998 and from 2005-2007. He found that bigger firms were treated with a lighter hand than smaller ones.
First Trust files with the SEC
September 14, 2012--First Trust has filed a amendment No. 3 to a application for exemptive relief with the SEC.
view filing
Van Eck files with the SEC
September 14, 2012--Van Eck has filed a post-effective amendment, registration statement with the SEC.
view filing
CFTC.gov Commitments of Traders Reports Update
September 14, 2012--The current reports for the week of September 11, 2012 are now available.
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