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Deutsche Bank-United States-Synthetic Equity & Index Strategy-US ETF Market Weekly Review
Equity ETPs capture $5.0bn during
last week
October 20, 2015--Market and Net Cash Flows Review
The US (S&P 500) edged higher by 0.90%; while, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 0.29% and 0.71%, respectively. In the meantime, performance was mostly positive across US sectors. The Utilities (+2.30%) and the Healthcare (+1.92%) recorded the largest increases; while, the Industrials (-1.51%) and the Materials (-0.15%) sectors recorded the only decreases.
The DB Liquid Commodity Index fell by 2.15%; similarly, the Agriculture sector (DB Diversified Agriculture Index) and the WTI Crude Oil fell by 0.26% and 4.78%, respectively; meanwhile, Gold and Silver prices rose by 1.73% and 1.41%, respectively.
Moving into other asset classes, the 10Y US Treasury Yield decreased 8bps ending at 2.04%. Last but not least, Volatility (VIX) dropped by 11.89% during the same period.
The total US ETP flows from all products registered $5.8bn (+0.3% of AUM) of inflows during last week vs. $17.1bn (+0.9%) of inflows the previous week, setting the YTD weekly flows average at +$3.8bn (+$160.9bn YTD in total cash flows). Equity, Fixed Income, and Commodity ETPs experienced flows of +$5.0bn (+0.3%), +$0.5bn (+0.2%), and +$0.3bn (+0.6%) last week vs. +$10.7bn (+0.7%), +$6.2bn (+1.8%), and +$0.1bn (+0.2%) in the previous week, respectively. Among US sectors, Energy (+$0.5bn, +1.4%) and Information Technology (+$0.4bn, +1.1%) received the top inflows, while Materials (-$0.3bn, -3.1%) and Healthcare (-$0.2bn, -0.3%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: EZU (+$0.7bn), XLE (+$0.5bn), LQD (+$0.5bn)
Top 3 ETPs & ETNs by outflows: XLF (-$0.5bn), MDY (-$0.4bn), SHY (-$0.3bn)
New Launch Calendar: Cancer Immunotherapy
There was one new ETF listed during the last week. The fund offers thematic exposure to companies that develop therapies to treat cancer, tracking the Loncar Cancer Immunotherapy Index.
Turnover Review: Floor activity decreased by 19.1%
Total weekly turnover decreased by 19.1% to $327.6bn vs. $404.9bn from the previous week. However, last week's turnover level was 1.8% over last year's weekly average. Equity, Fixed Income, and Commodity ETPs turnover decreased by $65.9bn (-18.5%), $11.0bn (-32.5%), and $0.1bn (-0.8%) during the same period, respectively.
Asset under Management (AUM) Review: Assets increased by $16.2bn
US ETP assets rose by $16.2bn (+0.8%) totaling $2.083 trillion at the end of the week. As of last Friday, US ETPs had accumulated an asset growth of +5.2% YTD. Assets for Equity, Fixed Income, and Commodity ETPs moved +$13.9bn, +$1.5bn, and +$0.8bn during last week, respectively.
view report.
Source: Deutsche Bank-Synthetic Equity & Index Strategy-Markets Research-North America-United States-US ETF Market
Bob Dochterman Joins Reality Shares as Executive Vice President
Financial Veteran is Latest Senior Addition to Growing ETF Provider
October 20, 2015--Reality Shares, Inc., which provides institutional strategies for exchange-traded fund (ETF) investors, today announced that financial industry veteran Bob Dochterman has joined the firm as an Executive Vice President.
Dochterman, who has been involved with Reality Shares as an investor, brings more than 25 years of experience in marketing, sales, distribution and business development to the firm.
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Source: Reality Shares, Inc.
CSOP Asset Management Launches its two new Exchange Traded Fund (ETF) products
CSOP MSCI China A International Hedged ETF (Ticker: CNHX) and CSOP China CSI 300 A-H Dynamic ETF (Ticker: HAHA) on NYSE Arca
October 20, 2015--
A pioneering Renminbi ("RMB") hedged ETF to capture the investment opportunity brought by MSCI's inclusion of China A-shares and the first ETF to combine A and H shares into one ETF on the CSI 300.
CSOP Asset Management Limited ("CSOP" or the "Company"), the leading offshore Chinese asset manager with the largest Renminbi Qualified Foreign Institutional Investor ("RQFII") quota, announced that after its debut ETF product CSOP FTSE China A50 ETF (ticker "AFTY"), its two new ETF products in the U.S.-CSOP MSCI China A International Hedged ETF (ticker "CNHX") and CSOP China CSI 300 A-H Dynamic ETF (Ticker "HAHA") will begin trading on NYSE Arca.
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Source: CSOP Asset Management Limited
CBO-Overview of the Debt Limit and Extraordinary Measures
October 19, 2015--The debt limit-commonly referred to as the debt ceiling-is the maximum amount of debt that the Department of the Treasury can issue to the public and to other federal agencies. That amount is set by law and has been increased over the years in order to finance the government's operations.
In March 2015, the debt ceiling was reached, and since then, the Secretary of the Treasury has taken a number of "extraordinary measures," as authorized by law, to borrow additional funds without breaching the debt ceiling.
view Overview of the Debt Limit and Extraordinary Measures
Source: Congressional Budget Office (CBO)
SEC Staff Publishes Private Funds Statistics Report
October 16, 2015--The Securities and Exchange Commission staff today published a report that provides private fund industry statistics and trends, reflecting aggregated data reported by private fund advisers on Form ADV and Form PF.
Most of the data in the more than 50 separate tables and figures is being made public for the first time.
view the SEC Staff Report: Private Funds Statistics
Source: SEC.gov
Federal Debt and the Statutory Limit, October 2015
October 14, 2015--If the debt limit remains unchanged, CBO projects, the Treasury's cash balance will be entirely depleted sometime in the first half of November, at which time the government would be unable to fully pay its obligations.
view the Federal Debt and the Statutory Limit, October 2015
Source: Source: Congressional Budget Office (CBO)
CFTC Further Implements Trade Execution Requirement
October 14, 2015--The U.S. Commodity Futures Trading Commission's (CFTC or Commission) Division of Market Oversight (Division) announced today further extension of time-limited no-action relief for swaps executed as
part of a package transaction in the categories, that currently receive relief under CFTC Letter 14-13
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Source: CFTC.gov
SSgA launching more ETFs with DoubleLine
October 14, 2015--State Street Global Advisors is launching two more exchange traded funds with DoubleLine Capital.
The rollouts-the SPDR DoubleLine Short Term Total Return Tactical and SPDR DoubleLine Emerging Markets Fixed Income ETFs-will be subadvised by DoubleLine managers including chief executive Jeffrey Gundlach, according to preliminary filings last week.
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Source: FT.com
Merk Insight: Gold for Bear Market?
October 13, 2015--While some continue dancing, the music might have already stopped: are we already in a bear market in stocks? In this context, we study past bear markets to see whether gold may serve as a valuable diversifier for what's ahead.
Are we in a bear market?
A "bear market" is frequently defined as a decline of at least 20% in the S&P 500 index. Trouble is that by the time pundits provide their seal of approval that we are indeed in a bear market, the index has already lost 20% from its peak. Many of them will likely have told investors to buy the dips all the way down.
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Source: Merk Investments
Morgan Stanley-US ETF Weekly Update
October 12, 2015--Weekly Flows: $17.0 Billion Net Inflows
First Weekly Net Inflows in Three Weeks
Substantial High Yield Bond Net Inflows
High-conviction ETF Recommendations Slide: No Changes-ETF Assets Stand at $2.1 Trillion, up 5% YTD
Nine ETF Launches Last Week
AdvisorShares Closes ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $17.0 bln last week; first weekly net inflows in three weeks
Last week's net inflows were led by US Large-Cap ETFs at $8.2 bln; conversely, Leveraged/Inverse ETFs posted net outflows of $882 mln, the most of any category we measured
Twelve of the 15 categories we measured posted net inflows last week
ETFs have generated net inflows 28 of 41 weeks YTD
ETF assets stand at $2.1 tln, up 5% YTD
13-week flows remain positive among most asset classes; combined $37.8 bln in net inflows
Fixed Income ETFs generated net inflows of $26.1 bln over the last 13 weeks, the most of any category we measured and meaningfully higher than the next largest category, International - Developed ETFs, which had $10.0 bln in net inflows
International - Emerging ETFs have exhibited net outflows of $7.5 bln over the last 13 weeks, but have shown some stabilization the past four weeks with net inflows of $1.6 bln
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $5.9 bln last week, leading all ETFs
Over the last 4-week period, SPY has generated net inflows of $12.5 bln
The SPDR Barclays High Yield Bond ETF (JNK) and the iShares iBoxx $ High Yield Corporate Bond ETF (HYG) posted a combined $2.9 bln in net inflows last week; this accounts for 12% of the funds' total market caps
The iShares Russell 2000 ETF (IWM) also had a big week, with net inflows of $1.5 bln; IWM's flows tend to be erratic as it is often viewed as the small-cap trading vehicle of choice for institutions on both the long and short side
Conversely, the iShares Nasdaq Biotechnology ETF (IBB) exhibited net outflows of $561 mln last week, the most of any ETF; up until July, biotech stocks had been on a tear from a performance standpoint, only recently showing cracks
Despite a recent surge in oil prices, the Energy Select Sector SPDR (XLE) and the Alerian MLP ETF (AMLP) posted modest net outflows last week of $362 mln and $181 mln, respectively; interestingly, over the last 13 weeks both ETFs have actually generated small net inflows
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume was down slightly in September to 29% relative to August's 30% reading; over the last five years, ETF monthly $ volume as a % of listed trading volume averaged 27%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume was down $78 bln last week compared to the prior week and is 3% below its 13-week average; recent market volatility has driven ETF volume higher
US Large-Cap ETF volume accounted for 40% of ETF $ volume last week compared to its 13-week average of 45% and its 25% market cap share
US-Listed ETFs: Short Interest Data Updated: Based on data as of 9/30/15
iShares Nasdaq Biotechnology ETF (IBB) had the largest increase in USD short interest at $671 mln
IBB's shares short at 12 mln are at their highest level since 9/15/08
On the other hand, the SPDR S&P 500 ETF (SPY) had the biggest decline in USD short interest last period at $12.5 bln; despite the decline, SPY's shares short are still 30% above their 52-week average
644 ETFs exhibited short interest increases while 733 experienced short interest declines over the last period
Aggregate ETF USD short interest decreased by $16.9 bln over the period ended 9/30/15
The average shares short/shares outstanding for ETFs is currently 3.7%, down from 3.8% last period
For the eighth consecutive period the Market Vectors Semiconductor ETF (SMH) occupied the top spot as the most heavily shorted ETF as a % of shares outstanding at 636%
Eight of the 10 most heavily shorted ETFs as a % of shares outstanding are industry based (SMH, XRT, XBI, IYR, SOXX, DRV, XME, XOP)
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 or equal to 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$9.0 bln in total market cap of ETFs less than 1-year old
Over the last 13 weeks, recently launched Active ETFs generated net inflows of $580 mln, more than any other category; Active ETFs account for 28% of recently launched market share
Notably, 64 International - Developed ETFs were launched over the last year as ETF sponsors have issued products in an area that has exhibited strong net inflows recently
218 new ETF listings and 72 closures YTD
The top 10 most successful launches make up 54% of the market cap of ETFs launched over the past year
Eight ETF sponsors and three asset classes (equity, fixed income, and commodity) were represented in top 10 most successful launches
The Goldman Sachs ActiveBeta Emerging Markets Equity ETF (GEM), which was launched at the end of September, cracked the top 10 most successful launches last week with $157 mln in net inflows; GEM tracks an index of emerging market equities selected based on value, momentum, quality, and volatility characteristics
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Source: Morgan Stanley
