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DB Equity Research Equity Research-North America US ETF Market Weekly Review : Strong inflows & markets push ETP assets close to $1.2 trillion
March 19, 2012--Net Cash Flows Review
Last week, was a very positive one for equity markets. The US (S&P 500) recorded its best week for the year by rising 2.43%. Other developed and emerging markets outside the US did alike; the MSCI EAFE (in USD) rose by 2.43%, while the MSCI EM (in USD) increased by 0.35% during the week. Moving on to other asset classes, the 10Y Treasury yield soared by 27bps last week, while the DB Liquid Commodity Index was up by 0.57%.
Other sectors were mixed. The Agriculture sector (DB Diversified Agriculture Index) climbed by 0.52%; while WTI Crude Oil, Gold, and Silver prices were down by 0.32%, 3.13%, and 5.15%, respectively. Last but not least, Volatility (VIX) dropped by 15.4% during the same period.
The total US ETP flows from all products registered $14.4bn of inflows during last week vs $1.8bn of inflows the previous week, setting the YTD weekly flows average at +$4.8bn (+$53.3bn YTD in total cash flows).
Driven by SPY inflows (+$10.2bn), which may be related to the S&P 500 quarterly rebalancing week, equity flows dominated the CF scoreboard. Equity, Fixed Income, and Commodity ETPs experienced flows of +$13.1bn, +$1.1bn, and -$0.0bn last week vs. +$0.8bn, +$1.1bn, and -$0.1bn the previous week, respectively.
Within Equity ETPs, Large Cap products experienced the largest inflows (+$9.7bn), followed by US Sector ETPs (+$3.1bn); while Small Cap vehicles experienced the largest outflows (-$0.9bn). Within Fixed Income ETPs Corporates recorded the largest inflows (+$0.8bn); while Sovereign had the largest outflows (-$0.5bn).
Within Commodity ETPs, flows were practically muted across the board. Top 3 ETPs & ETNs by inflows: SPY (+$10.2bn), XLF (+$1.0bn), VXX (+$0.7bn) Top 3 ETPs & ETNs by outflows: IWM (-$0.9bn), QQQ (-$0.6bn), TLT (-$0.5bn)
New Launch Calendar: More income investment vehicles
There were four new ETFs listed on NYSE Arca during the previous week. The new funds provide additional ways to implement income-seeking strategies in the Equity and Fixed Income space.
Turnover Review: floor activity tries to gain momentum
Total weekly turnover rose by 6.8% to $318bn vs. $297bn in the previous week. The largest increase was on Equity ETP turnover, which rose by $10.4bn or 4.0% to $259bn. Fixed Income and Commodity ETP turnover followed with increases of 41.5% (+$6.2bn) and 16.2% (+$3.2bn), respectively.
Assets Under Management (AUM) Review: testing the $1.2 trillion level
Strong equity markets and inflows sent ETP assets up to almost $1.2 trillion; the total ETP assets added $24.6bn or 2.1% from the previous week’s AUM level. With practically $1.20 trillion in assets ETPs keep consolidating what has been a remarkable growth YTD (+14.7%). Assets for equity, fixed income and commodity ETPs moved +$26.3bn, +$0.2bn, and -$2.0bn during last week, respectively.
Morgan Stanley-US ETF Weekly Update
March 19, 2012--Weekly Flows: $14.4 Billion Net Inflows
ETF Assets Stand at $1.2 Trillion, up 15% YTD
Four ETF Launches Last Week
Eight Guggenheim ETFs to Cease Trading This Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs generated net inflows for the fourth consecutive week ($14.4 bln last week)
Last week’s net inflows were the largest of 2012 and the most since the week of 10/24/11
Net inflows were primarily driven by US Large-Cap ETFs last week ($10.1 bln); specifically, the SPDR S&P 500 ETF (SPY) posted net inflows of $10.2 bln
ETF assets stand at $1.2 tln, up 15% YTD; ETFs have posted only one week of aggregate net outflows YTD
13-week flows were mostly positive among asset classes; combined $64.4 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (31 straight weeks of net inflows)
Fixed Income ETFs currently make up 17% of ETF market capitalization; up from 14% a year ago
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $10.2 bln last week, the most of any ETF
SPY’s net inflows may have been driven by the S&P 500 Index’s quarterly rebalancing (takes place 3rd Friday of March); instead of implementing the changes to the index themselves, portfolio managers benchmarked to the index often buy SPY
prior to a rebalance (SPY rebalances for them); it would not be surprising to see net outflows in SPY over coming weeks
Over the past 13 weeks the Vanguard MSCI Emerging Markets ETF (VWO) has exhibited net inflows of $6.1 bln, the most of any ETF; VWO is currently the third largest ETF by market capitalization
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 2/29/12
SPDR S&P 500 ETF (SPY) posted the largest increase in USD short interest for the 2nd consecutive period
Despite SPY’s increase in shares short, SPY’s shares short are still well below their all-time high reached on 9/15/11
ProShares Ultra Silver (AGQ) posted the largest drop in USD short interest since last updated; AGQ’s decline is noteworthy
because it only has a market cap of $915 million (typically larger funds account for the biggest changes in this exhibit)
Financials-focused ETFs make up 3 of the 10 most heavily shorted ETFs (shares short/shares outstanding)
The average shares short/shares outstanding for ETFs is currently 5%
Based on multiple borrowings and the ability to continuously create new shares, short interest as a % of market cap can exceed 100%
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 3/16/12 based on daily change in share counts and daily NAVs.
$9.0 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched US Custom ETFs generated most net inflows at $881 mln (PowerShares S&P 500 Low Volatility Portfolio accounted for 87% of the net inflows)
69 new ETF listings and 8 closures YTD; at this point last year, only 40 ETFs had come to market
Over past year, many of the successful launches have an income/dividend orientation
7 different ETF sponsors and 3 asset classes represented in top 10 most successful launches
iShares Barclays US Treasury Bond Fund (GOVT) cracked the top 10 most successful launches list last week with net inflows of $284 mln; GOVT’s net inflows were surprising given the surge in Treasury rates last week
Top 10 most successful launches account for 59% of market cap of ETFs launched over the past year
Brazil vows to deploy 'arsenal' in currency war
Finance minister pledges bold action to safeguard economic competitiveness
March 17, 2012--Brazil’s finance minister Guido Mantega has stepped up his attack on rich country economic policies that he says have opened the flood-gates to harmful capital flows to the developing world.
Writing exclusively in today’s Emerging Markets, Mantega says the economic competitiveness of emerging nations must not fall victim to ultra-loose monetary policies being pursued by the US, Europe and Japan in response to the global crisis.
And he reiterated his pledge that Brazil will take tough action to combat the ill effects of such policies.
CFTC Releases Staff Analysis of Market Data Related to Single-Name and Index Credit Default Swaps
March 16, 2012--The staffs of the Commodity Futures Trading Commission (CFTC) and Securities and Exchange Commission (SEC) have released analyses of market data related to single-name and index credit default swap (CDS) transactions.
The analyses, which were conducted by the staff of the SEC’s Division of Risk, Strategy and Financial Innovation and shared with the CFTC’s Office of Chief Economist, are available for review as part of the comment files for rules the Commissions jointly proposed to further define the terms “swap dealer,” “security-based swap dealer,” “major swap participant,” “major security-based swap participant” and “eligible contract participant.” The rules were proposed in December 2010 as one part of the implementation of Title VII of the Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank Act”). For access to the information, please see the Related Links.
Analysis of this data may supplement other information considered in connection with the final rules defining the terms noted above, and it is made available to allow the public to consider this supplemental information. The CFTC and SEC staffs expect that the Commissions will consider the adoption of the final rules in the next several weeks.
view the Comments for Proposed Rule 75 FR 80174
FocusShares files with the SEC
March 16, 2012--FocusShares has filed a post-effective amendment, registration statement with the SEC.
view filing
CFTC.gov Commitments of Traders Reports Update
March 16, 2012--The current reports for the week of March 13, 2012 are now available.
view updates
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
March 16, 2012--Standard & Poor's will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of RuggedCom Inc. (TSX:RCM) have accepted the $CDN33.00 cash per share offer from Siemens Canada Limited.
RuggedCom will be removed from the S&P/TSX SmallCap, Equity SmallCap and Clean Technology Indices effective after the close of Wednesday, March 21, 2012.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
New Russell ETFs offer high dividend yield exposure
ETFs use transparent, rules-based indexes and quality screens that aim to identify financially strong companies
March 15, 2012--Global asset manager Russell Investments launched two high dividend yield exchange-traded funds (ETFs) today on the NYSE Arca, expanding on its line-up of next-generation solutions with focused exposure to quality companies that demonstrate higher dividend yields.
The Russell High Dividend Yield ETFs are yield-focused products that seek to deliver more predictable returns, while offering an alternative to currently lower yielding fixed income products.
The Russell High Dividend Yield ETF (HDIV) and Russell Small Cap High Dividend Yield ETF (DIVS) seek to track the market capitalization-weighted Russell U.S. Large Cap High Dividend Yield and Russell U.S. Small Cap High Dividend Yield Indexes, respectively. Each of these new ETFs is composed of dividendpaying companies with quality characteristics such as their ability to pay a higher dividend yield, exhibit sustained dividend growth and deliver earnings stability. The quality characteristics of each company are then evaluated by measures of financial strength including positive cash flow, return on equity and analyst forecasts for earnings growth. Once the universe is screened for financially strong securities, the constituents are selected to help maximize dividend yield.
Rydex lineup intact after Guggenheim takeover
March 15, 2012--With the dust having settled on the Guggenheim-Rydex acquisition, a clearer picture of how the Rydex brand fits under the Guggenheim umbrella has emerged.
Guggenheim Investments rebranded most of the legacy Rydex products under its name to coincide with the closure of the Rydex ownership change February 29.
The new names are part of a number of changes the firm is making to its retail investment lineup. The integration spans open- and closed-end funds, exchange traded funds, unit investment trusts and variable insurance products.
State Street Global Advisors Launches Short Term High Yield Bond SPDR® Exchange Traded Fund
March 15, 2012--State Street Global Advisors (SSgA), the asset management business of State Street Corporation (NYSE: STT), today announced that the SPDR® Barclays Capital Short Term High Yield Bond ETF (Symbol: SJNK) began trading on the NYSE Arca.
The new SPDR ETF offers investors access to high yield corporate bonds with short durations, which tend to be less volatile and sensitive to changes in interest rates than debt securities with longer durations. The fund’s annual expense ratio is 0.40 percent.
The SPDR Barclays Capital Short Term High Yield Bond ETF seeks to track the performance of the Barclays Capital 0-5 Cash Pay Constrained High Yield Index. The Index includes publicly issued U.S. dollar denominated, non-investment-grade, fixed rate, taxable corporate bonds that have a remaining maturity of less than 5 years, are rated high-yield (Ba1/BB+/BB+ or below) using the middle rating of Moody’s Investors Service Inc., Fitch, Inc., or Standard & Poor’s Inc., and have $350 million or more of issuance. As of March 5, 2012 there were approximately 351 securities in the Index with an average modified adjusted duration of approximately 2.06 years.
Treasury International Capital Data for January
March 15, 2012--The U.S. Department of the Treasury today released Treasury International Capital (TIC) data for January 2012. The next release, which will report on data for February 2012, is scheduled for April 16, 2012.
Foreign residents increased their holdings of long-term U.S. securities in January – net purchases were $94.7 billion. Net purchases by private foreign investors were $60.8 billion, and net purchases by foreign official institutions were $34.0 billion.
At the same time, U.S. residents decreased their holdings of long-term foreign securities, with net sales of $6.3 billion.
Taking into account transactions in both foreign and U.S. securities, the net foreign purchases of long-term securities were $101.0 billion. After including adjustments, such as estimates of unrecorded principal payments to foreigners on U.S. asset-backed securities, the overall net foreign acquisition of long-term securities is estimated to have been $84.4 billion in January.
Foreigners decreased their holdings of U.S. Treasury bills by $36.9 billion. Foreign holdings of all dollar-denominated short-term U.S. securities and other custody liabilities decreased by $34.1 billion.
Banks’ own net dollar-denominated liabilities to foreign residents decreased by $31.5 billion.
In sum, the net foreign acquisition of long-term securities, the change in foreign holdings of short-term U.S. securities, and banking flows yielded monthly net TIC inflows of $18.8 billion. Of this, net foreign private inflows were $13.5 billion, and net foreign official inflows were $5.3 billion.
Columbia Management Investment Advisers files with the SEC
March 15, 2012--Columbia Management Investment Advisers has filed a post-effective amendment, registration statement with the SEC for the Columbia ETF Trust.
view filing
Swaps Industry Debates Bankruptcy Code Fix to Protect Customers
March 15, 2012--Derivatives industry executives and a U.S. regulator differed over whether to change the bankruptcy code to protect customers from sharing in losses from a brokerage failure.
CME Group Inc. (CME) has backed a plan to allow pension funds and other big asset managers to deal directly with a clearinghouse rather than with a bank brokerage to avoid customers being caught in bankruptcy proceedings that can result in clients losing money, said Tim Doar, a managing director at the world’s biggest futures exchange. A simpler solution to this problem would be to change the U.S. bankruptcy laws, said Dan Maguire, head of U.S. operations for LCH.Clearnet Ltd’s Swap Clear service.
Quebec and Ontario regulators moving closer to approving Maple bid for TMX Group
March 15, 2012--Securities regulators in Quebec and Ontario are moving closer to approving a takeover offer for the company that operates the Toronto Stock Exchange by the Maple Group consortium of financial institutions.
The Autorite des marches financiers said it intends to approve the transaction, saying Maple has provided commitments that it believes will maintain the integrity and efficiency of the financial markets as well as the continuity of derivatives operations in Quebec.
"We're satisfied with the results of discussions to date with Maple and with the scope of the undertakings that Maple will be required to provide," said regulator CEO Mario Albert.
BMO ETFs Surpass $5 Billion in Assets Under Management in Under Three Years
Assets under management have grown more than 30 per cent in first two months of 2012
BMO ETFs led Canadian ETF industry in growth in 2011; ranked #1 in customer loyalty
BMO ETFs growth being driven by fixed income, strategic non-indexed and yield-oriented equity ETF offerings
March 14, 2012--BMO ETF Report: new product offerings, innovation and price competition will drive industry growth in 2012
First introduced in 2009, BMO Financial Group's ETF business under BMO Asset Management Inc. (BMO AM) has grown to 44 funds.
"Our growth can be attributed to the strength of our team, a commitment to ongoing product innovation and our ability to draw on the strength and stability of the BMO brand," said Kevin Gopaul, Vice President and CIO, BMO AM. "We are delighted that the success we had in 2011 has carried over into this year as well."
