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High-Frequency Trading Helps Canadian Markets, Regulator Says
December 9, 2015--IIROC says HFT has 'mostly positive' impact on stock market
Study finds speed traders boost liquidity, improve prices
High-frequency trading--the often-criticized practice of light-speed buying and selling--has mostly helped the Canadian stock market, according to the regulatory body that oversees dealers who trade the shares.
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Source: Bloomberg
CFTC.gov Swaps Report Update
December 9, 2015--CFTC's Weekly Swaps Report has been updated, and is now available.
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Source: CFTC.gov
Invesco PowerShares Celebrates 10th Anniversary of First Smart Beta Portfolio, PowerShares FTSE RAFI US 1000 (PRF)
PowerShares, Research Affiliates Commemorate Milestone with NYSE Bell Ringing
December 9, 2015--Invesco PowerShares Capital Management, LLC, a
leading global provider of exchange-traded funds (ETFs), today joined index provider Research Affiliates to ring the New York Stock Exchange opening bell to recognize the 10th anniversary of the PowerShares FTSE RAFI US 1000 Portfolio (PRF),
the first fundamental index strategy ETF
that may have been the starting point for the "smart beta" industry as we know it today.
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Source: Invesco
DB Markets Research-Synthetic Equity & Index Strategy-United States-US ETF Compass
December 9, 2015--YTD Flows ahead of last year driven by strong $26bn inflows on November
November saw very strong equity flows (+$25bn), despite weak performance across asset classes
Although November was a weak month for most asset classes across equities, rates, credit, and commodities, ETPs still registered $26bn in inflows. At a broad asset class level, the dollar was the main winner with the bullish USD ETF (UUP) up 3.3% for the month. Small Caps (+3.3%) and Banks (4.6%-6.6%) in the US were also strong.
Global equity markets were 0.5% down in the same period; however Equity ETFs received very strong inflows (+$25bn), mostly driven by ETFs with US (+$19.6bn) and Global ex-US regional (+$4.2bn) focus. As of Nov 30th, the industry reached $2.13 trillion in assets for an YTD growth of 7.6%.
Smart Beta and Currency Hedge products continue to dominate new listings
Last month launches were dominated by low risk, multi-factor, and currency hedged equity ETFs. Actually since the beginning of the year, Smart Beta and Currency Hedged Equity ETFs have raised $63bn and $46bn in cash, respectively.
Low Risk ETFs organic growth has been six times faster than the rest of Equity ETFs in the last 12M
During the last 12 months we have seen resurgence in the Low Risk theme with this group of ETFs recording a relative organic growth 6 times larger than the rest of Equity ETFs excluding Low Risk products. Moreover, on an absolute basis, Low Risk ETFs gathered $9.6bn of inflows in the same period, reaching a level of assets of $23.8bn as of the end of November.
Expect big inflows from December's ETF Seasonal effect
ETFs have exhibited clear seasonality patterns in the last 15 years, particularly in the case of SPY. Based on seasonal patterns and recent flow trends, we could easily see about $10bn-$15bn of inflows going into SPY, and another strong month of $20bn-$25bn inflows for ETFs in December
The time of the "Tax-Loss-Harvests" has arrived
Using capital losses to offset capital gains within the fund has been a common method used by investors to improve the tax-efficiency of a fund. We provide two lists of ETFs which can provide suitable implementation for stock-ETF and ETF-ETF replacement strategies, respectively.
Systemic risk from Leveraged & Inverse ETFs is misunderstood and overstated
Even under the worst (and very unlikely) scenario in which Leveraged and Inverse ETFs would have to redeem their assets all at once, we believe that the impact would not pose a systemic risk for the following reasons: (1) Actual assets and levered notional are relatively small compared to the rest of the markets, (2) many exposures offset each other, reducing the actual market activity required to liquidate positions, and (3) assets are highly diversified across hundreds of securities which in most cases are highly liquid.
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Source: Deutsche Bank Markets Research-Equity & Index Strategy
SSGA broadens SPDR line-up with three smart beta ETFs
December 8, 2015--State Street Global Advisors (SSGA), the asset manager behind the SPDR brand of exchange-traded funds, has launched three smart beta ETFs based on FTSE Russell indices.
The ETFs offer core US equity exposure to investors looking for an opportunity to improve risk-adjusted returns.
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Source: etfstrategy.co.uk
Testimony on "Oversight of the Financial Stability Oversight Council" by Chair Mary Jo White SEC
December 8, 2015--Testimony on "Oversight of the Financial Stability Oversight Council" by
Chair Mary Jo White U.S. Securities and Exchange Commission, Before the
Committee on Financial Services
United States House of Representatives.
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Source: financialservices.house.go
Nasdaq to Acquire Chi-X Canada
Expands Equity Trading Beyond U.S. and Nordics
December 8, 2015--Nasdaq (Nasdaq:NDAQ) today announced that it will acquire Chi-X Canada, an Alternative Trading System for Toronto Stock Exchange (TSX) and TSX Venture Securities, from Chi-X Global.
The acquisition will provide Nasdaq with direct access to the Canadian equities market. The deal is expected to close in the first quarter of 2016, and be accretive to the company's earnings at closing, excluding transaction-related costs.
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Source: Nasdaq.com
Direxion Uses ISE-REVERE Natural GasTM Index (index ticker: FUM) For New Leveraged ETF
December 8, 2015--ISE ETF Ventures today announced that it has licensed the ISE-REVERE Natural Gas Index (index ticker: FUM) to Direxion Investments for a new exchange-traded fund (ETF) that seeks to achieve 300 percent of the inverse of FUM's daily performance.
The ETF launched on December 3 on NYSE Arca.
"The current global economic climate has forced many investors to closely monitor how different commodities perform on a daily basis," said Kris Monaco, Head of ISE ETF Ventures.
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Source: ISE (International Securities Exchange)
First Trust Announces Changes to Investment Objectives for Twelve AlphaDEX(R) ETFs
December 8, 2015--On or about April 8, 2016, each of the index exchange-traded funds listed below (each, a "Fund") will change its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of a new corresponding NASDAQ AlphaDEX(R) Equity Index (each, a "New Index").
Each New Index is a modified equal-dollar weighted index developed and maintained by The NASDAQ OMX Group, Inc. ("NASDAQ") that is designed to generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology.
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Source: First Trust Advisors L.P.
Morgan Stanley-US ETF Weekly Update
December 8, 2015--Weekly Flows: $8.1 Billion Net Inflows
Ninth Consecutive Week of Net Inflows, Totaling $67.6 Billion
High-conviction ETF Recommendations Slide: No Changes
ETF Assets Stand at $2.1 Trillion, up 8% YTD
Nine ETF Launches Last Week
Guggenheim Makes Changes to Income ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $8.1 bln last week; ninth consecutive week of net inflows, totaling $67.6 bln
Last week's net inflows were led by International-Developed ETFs at $2.6 bln; conversely, Commodity ETFs posted outflows of $603 mln, the most of any category we measured
Thirteen of the 15 categories we measured posted net inflows last week
ETFs have generated net inflows 36 of 49 weeks YTD-ETF assets stand at $2.1 tln, up 8% YTD
13-week flows remain positive among most asset classes; combined $80.3 bln in net inflows
US Large-Cap ETFs have posted $20.9 bln in net inflows over the last 13 weeks, the most of any segment that we measured; Fixed Income ETFs have also had a strong 13 weeks, generating net inflows of $17.0 bln
Commodity ETFs are the one area of the market that have exhibited net outflows over the last 13 weeks, at $490 mln
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares MSCI EMU ETF (EZU) posted net inflows of $840 mln last week, leading all ETFs
Over the last 13 weeks, EZU has generated net inflows of $3.6 bln, trailing only the iShares Core US Aggregate Bond ETF (AGG), which had net inflows of $4.1 bln, over the same time period
The Financials Select Sector SPDR (XLF) posted net inflows of $744 mln last week as investors pile into the sector in anticipation of Fed rate hikes
Conversely, the SPDR Gold Trust (GLD) had net outflows of $535 mln last week as investors flee the metal; GLD has exhibited net outflows for six consecutive weeks totaling $2.0 bln
Four US Treasury-based ETFs, the iShares 20+ Year Treasury Bond ETF (TLT), iShares 3-7 Year Treasury Bond ETF (IEI), iShares 7-10 Year Treasury Bond ETF (IEF), and SPDR Barclays 1-3 Month T-Bill ETF (BIL) posted a combined $1.1 bln in net outflows last week
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume was down in November to 25% relative to October's 26% 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 up $232 bln last week and rebounded from the prior week's shortened trading schedule; last week's ETF $ volume was 14% above its 13-week average
US Large-Cap ETFs accounted for 44% of US-listed trading volume last week and compares to the category's 25% market cap share
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Source: Morgan Stanley
