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BMO Insurance Launches New Guaranteed Investment Funds
New funds offer maturity guarantee on principal with automatic monthly resets to lock in gains, balanced ETF investment options and death benefit guarantee
December 2, 2013--BMO Insurance today introduced BMO Guaranteed Investment Funds (GIFs)-segregated funds which are designed to help Canadians reach their retirement saving goals while protecting their hard-earned dollars.
The funds are an ideal choice for pre-retirees and retirees who seek to accumulate wealth for retirement by investing in the market while benefitting from deposit guarantees which provide market downside protection. Deposit guarantees are effective on a future "maturity date" selected by the client (15 to 25 years) or on the death of the annuitant.
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Source: BMO Financial Group
Invesco launches web-based Portfolio Illustrator
December 2, 2013--Invesco Distributors, Inc. announced today the launch of Invesco Portfolio Illustrator, a web-based tool providing financial advisors the ability to build a proposal of Invesco mutual funds and ETFs, as well as the universe of both products in a single report.
"In a complex investment world advisors told us they needed an easy-to-understand
portfolio proposal that they can present to their clients to help make sense of it all," said
Joanna Irwin, Head of Client Marketing. "We developed Invesco Portfolio Illustrator to
help them create a simple, clear portfolio proposal for their clients in minutes."
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Source: Invesco
CFTC Announces Weekly Swaps Report
December 2, 2013--The current reports for the week of November 26, 2013 are now available.
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Source: CFTC.gov
Morgan Stanley-US ETF Weekly Update
December 2, 2013--Weekly Flows: $6.8 Billion Net Inflows
$161.6 Billion Net Inflows YTD
ETF Assets Stand at $1.7 Trillion, up 23% YTD
No ETF Launches Last Week
AdvisorShares ETF Undergoes Changes
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows for the third consecutive week ($6.8 bln in net inflows last week)
Last week's net inflows were led by US Large-Cap ETFs at $5.0 bln; specifically, the SPDR S&P 500 ETF (SPY) generated net inflows of $3.9 bln, accounting for 78% of the category's net inflows
ETFs have exhibited net inflows 33 out of 48 weeks YTD
ETF assets stand at $1.7 tln, up 23% YTD; $161.6 bln net inflows YTD
2013 net inflows are ahead of last year's pace (at this point last year, ETFs had posted only $152.9 bln in net inflows)
13-week flows remain mostly positive among asset classes; combined $70.5 bln in net inflows
International - Developed ETFs generated net inflows of $24.4 bln over the last 13 weeks, the most of any category we measured; International
Developed ETFs accounted for 35% of ETF net inflows over the past 13 weeks
Net inflows into International - Developed ETFs over the last 13 weeks make up 12% of the category's current market cap; over the last 13 weeks we've seen strong demand into European ETFs
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $3.9 bln this past week, the most of any ETF
Over the last 13 weeks, SPY has exhibited net inflows of $13.1 bln, the most of any ETF; SPY is up more than 11% over this time period on a total return basis
Notably, the Financials Select Sector SPDR (XLF) has generated net inflows for three consecutive weeks, totaling $1.0 bln
Eight of the top 10 ETFs to post the largest net outflows focus on equities, seven of which track US indices
The Vanguard FTSE Emerging Markets ETF (VWO) exhibited another week of net outflows; VWO has posted net outflows eight of the last 13 weeks, totaling $3.0 bln
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume dropped to 24% in November (had been essentially flat the prior four months)
ETF monthly $ volume as a % of listed trading volume is at its lowest level since May 2008
Amid a holiday shortened week, ETFs traded only $164 bln last week, down $111 bln from the prior week
International - Developed ETFs accounted for only 6% of ETF $ volume last week, but make up 13% of ETF market share
US-Listed ETFs: Short Interest Data Updated: Based on data as of 11/15/13
The SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $5.1 bln
SPY's shares short (268.0 mln) are 13% above their one-year average
591 ETFs exhibited short interest increases while 604 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $7.9 bln over the period ended 11/15/13
The average shares short/shares outstanding for ETFs is currently 4.1%, down slightly from last period
Six of the 10 most heavily shorted ETFs as a % of shares outstanding are industry based
The SPDR Retail ETF (XRT) regained the top spot as the most heavily shorted ETF with a shares short as a % of shares outstanding of 277%
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only seven ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$6.2 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 25% of market capitalization of ETFs launched over the past year, the most of any category; over the last 13 weeks, recently launched Active ETFs have generated net inflows of $422 mln
133 new ETF listings and 48 closures/delistings YTD
The top 10 most successful launches make up 49% of the market cap of ETFs launched over the past year
Eight ETF sponsors and two asset classes represented in top 10 most successful launches; we note that the representation of funds with an income orientation is currently five (down from seven at the end of the second quarter)
Two BlackRock factor ETFs, iShares MSCI USA Momentum Factor ETF (MTUM) and iShares MSCI USA Quality Factor ETF (QUAL), posted a combined $151 mln in net outflows last week; despite large outflows, MTUM and QUAL remain two of the top 10 most successful launches over the past year
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Source: Morgan Stanley
ISE and ISE Gemini Report Business Activity for November 2013
December 2, 2013--ISE and ISE Gemini(TM) combined represent 18.2% of equity options market share, excluding dividend trades.
ISE and ISE Gemini reported a combined ADV of 2.6 million contracts.
ISE Gemini ADV increased by 3.2% from October 2013 to November 2013.
Dividend trades made up 2.5% of industry volume in November 2013.
The International Securities Exchange (ISE) today reported a combined average daily volume (ADV) of 2.6 million contracts in November 2013 for its two exchanges, ISE and ISE Gemini. This represents 18.2% of U.S. equity options market share.
Business highlights for the month of November include:
On November 4, ISE and ISE Gemini were the first exchanges to announce a listing date of November 15 for options on Twitter (NYSE: TWTR).
On November 11, ISE announced that 5,328 Foreign Exchange (FX) Options contracts were traded, the highest single-day FX Options volume, year-to-date.
On November 19, ISE Gemini announced that it traded its 20 millionth contract.
On November 26, ISE Gemini announced that it completed its fourth successful rollout, with total listings at approximately one thousand products.
For the month of November, Implied Order functionality accounted for 5.8% of all non-crossing, multi-legged contract volume executed on ISE.
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Source: International Securities Exchange (ISE)
Working Paper-Liquidity Improvement, Exchange-Traded Funds Flows and Mispricing
December 1, 2013--Abstract:
Exchange traded funds (ETFs) provide an ideal platform to examine the impact of liquidity improvement-the difference between the liquidity of an ETF and that of its underlying portfolio -on fund flows and pricing efficiency. This is because both the ETF and its underlying portfolio are traded, and the open-end structure of the ETF via the share creation and redemption process adds a second layer of liquidity.
We document that liquidity improvement in spreads and in turnover are positive for the average fund, but in price impact it is negative. There is also considerable cross-sectional variations. Our main finding is that liquidity improvement strongly predicts ETF net inflows. Further, we find that while improvement in spreads is equally significant for both institutional and retail investors, improvement in price impact and in turnover matter much more for institutional investors. Finally, we show that mispricing is significantly smaller for funds with high ETF liquidity and underlying portfolio liquidity.
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Authors: Markus S. Broman-York University-Schulich School of Business
Pauline M. Shum
-New York University- Schulich School of Business
Source: http://papers.ssrn.com
Build America Bonds' Scarcity Vexes ETFs
Liquidity could become an issue down the road. Here's how to handle the problem.
November 30, 2013--Remember Build America Bonds? Interest-rate worries have put this roughly $180 billion corner of the taxable muni market on track for its first-ever annual loss.
Created as part of President Obama's 2009 stimulus plan, BABs are generally high-quality infrastructure bonds with above-average yields, so the drop will strike some as a chance for bargain-hunting.
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Source: Barron's
S&P Dow Jones Indices' Market Attributes-Index Dashboard -Latin America
November 29, 2013--This month's highlights include:
Latin American equities continued their year-to-date losses in November. The S&P MILA 40 and S&P Latin America 40 declined 7% and 4%, respectively. Mexico was the only BMI country to post a gain (3%). Peru was the worst performer this month as well as so far this year, down 30%.
The U.S. equity market continued to chug along in November. The Dow Jones Industrial Average and S&P 500 added another 4% and 3%, respectively. Both indices hit new highs during the month and, more significantly, broke through new thresholds (16,000 for DJIA and 1800 for S&P 500). Developed markets were flat, up less than 1%, but emerging markets had a less rosy month, declining 2%.
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Source: S&P Dow Jones Indices
S&P Dow Jones Indices' Market Attributes-Index Dashboard Canada
November 29, 2013--This month's highlights include:
November was a tepid month for Canadian equities. The S&P/TSX Composite and S&P/TSX 60 both climbed less than 1%, following a 5% jump last month.
The U.S. equity market continued to chug along in November. The Dow Jones Industrial Average and S&P 500 added another 4% and 3%, respectively. Both indices hit new highs during the month and, more significantly, broke through new thresholds (16,000 for DJIA and 1800 for S&P 500).
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Source: S&P Dow Jones Indices
Horizons ETFs Announces Closure of Certain ETFs
November 29, 2013--Horizons ETFs Management ( Canada ) Inc. ("Horizons ETFs" or the "Manager") announced today that it will be terminating certain exchange traded funds ("ETFs") effective at the close of business on Friday, January 31, 2014 (the "Termination Date"). The ETFs being terminated (collectively, the "Terminated ETFs") are as follows:
Horizons BetaPro COMEX(R) Copper Bull Plus ETF Ticker: HKU
Horizons BetaPro COMEX(R) Copper Bear Plus ETF Ticker: HKD
Horizons Australian Dollar Currency ETF Ticker: ASD
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Source: Horizons ETFs Management (Canada) Inc