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DB-Synthetic Equity & Index Strategy-North America-US ETF Market Weekly Review-Mild inflows of $0.3bn into US listed ETPs amid mixed markets
August 12, 2013--Data in this report is as of Fri, Aug 9
Market and Net Cash Flows Review
Markets were mixed during last week. The US (S&P 500) fell by 1.07%; while, outside the US, the MSCI EAFE (in USD) rose by 0.34% and the MSCI EM (USD) dropped by 0.34%. In the meantime, performance was mostly negative across US sectors; Materials (+0.88%) and Real Estate (+0.16%) recorded the only increases; The DB Liquid Commodity Index fell by 0.73%; similarly, the WTI Crude Oil dropped by 0.91%; meanwhile, the Agriculture sector (DB Diversified Agriculture Index), Gold and Silver prices rose by 1.59%, 0.20% and 3.27%, respectively.
Moving into other asset classes, the 10Y US Treasury Yield dropped 17bps ending at 2.57%. Meanwhile on the FX side the USD strengthened against all major currencies. The Euro, the British Pound, the Swiss Franc and the Japanese Yen depreciated 0.50%, 1.33%, 0.72% and 2.76%, respectively. Last but not least, Volatility (VIX) rose by 11.94% during the same period.
The total US ETP flows from all products registered $0.3bn (+0.0% of AUM) of inflows during last week vs. $4.2bn (+0.3%) of inflows the previous week, setting the YTD weekly flows average at +$3.6bn (+$113.7bn YTD in total cash flows). Equity, Fixed Income and Commodity ETPs experienced flows of +$1.2bn (+0.1%), -$0.8bn (-0.3%) and -$0.0bn (-0.0%) last week vs. +$7.2bn (+0.6%), -$2.5bn (-0.9%) and -$0.5bn (-0.7%) in the previous week, respectively.
Among US sectors, Healthcare (+$0.2bn, +0.9%) and Industrials (+$0.1bn, +1.0%) received the top inflows, while Financials (-$0.6bn, -1.0%) and Materials (-$0.3bn, -3.1%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: VEA (+$0.6bn), SPY (+$0.4bn), VGK (+$0.4bn)
Top 3 ETPs & ETNs by outflows: IWM (-$0.9bn), XLF (-$0.6bn), DIA (-$0.4bn)
New Launch Calendar: MLP and broad commodities
There were two new ETPs listed during the previous week on the NYSE Arca. Global X Funds listed MLPX, which offers exposure to US MLPs and Energy infrastructure corporations; meanwhile, BlackRock launched a new ETV (CMDT) which offers broad exposure to commodities while minimizing the cost of rolling each futures contract.
Turnover Review: Floor activity decreased by 20.7%
Total weekly turnover decreased by 20.7% to $215.4bn vs. $271.6bn from the previous week; Furthermore, last week's turnover level was 20.1% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover decreased by $42.8bn (-18.3%), $12.0bn (-45.7%) and $1.4bn (-15.1%) during the same period, respectively.
Assets under Management (AUM) Review: assets dropped by $7.4bn
As of last Friday, US ETPs had accumulated an asset growth of +14.3% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$6.9bn, -$0.7bn and +$0.3bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
Target-date retirement ETFs miss the mark-Commentary-John Prestbo: Attractive investments in theory, but not in practice
August 12, 2013--Target-date funds appeal to a lot of people-although a "set it and forget it" approach is inappropriate for any investment- but exchange-traded funds probably aren't the best way to own them.
The idea of target-date funds couldn’t be simpler: Pick a fund with a year in its name that corresponds to when you’ll likely retire. (The funds typically are launched in five-year intervals, now stretching out to 2055 or 2060.) When that date is far off, the fund is heavy in stocks and focuses on growing assets.
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Source: MarketWatch
BMO Investments Inc. Launches New SelectTrust(TM) and ETF Portfolios
Two new managed investment solutions designed to provide diversified market and asset exposure, each through a series of six risk-differentiated portfolios
August 12, 2013--BMO Investments Inc. (BMOII) today introduced two new managed solutions: SelectTrust(TM) Portfolios and ETF Portfolios in a trust structure.
Each new investment solution offers a series of six risk-differentiated portfolios, expanded to include new conservative options: fixed income, security, conservative, balanced, growth and equity growth. Each individual portfolio combines actively managed funds and/or passively managed ETFs for increased diversification.
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Source: BMO Investments Inc.
CFTC Issues Final Rules to implement Enhanced Risk Management Standards for Systemically Important Derivatives Clearing Organizations
August 12, 2013--The Commodity Futures Trading Commission (CFTC) approved final rules to implement enhanced risk management standards for systemically important derivatives clearing organizations (SIDCO).
The adoption of these rules is an important first step in making the CFTC’s rules for SIDCOs fully consistent with the Principles for Financial Market Infrastructures, thereby enabling them to continue to be Qualifying Central Counterparties for purposes of international bank capital standards.
view more SPDR University Latest Commentary-Weekly Market Report-August 9, 2013 THE WEEK IN REVIEW
After slipping over the last four months, non-manufacturing activity
rebounded sharply in July, regaining all the ground lost since
February. The NON-MANUFACTURING PURCHASING MANAGERS’ INDEX
(PMI) jumped 3.8 points to 56.0, comfortably above the 50.0 mark
that differentiates between expansion and contraction. Large gains
in business activity and new orders easily offset modest declines
in inventories and employment. So far, the July data have been
decidedly mixed, with employment disappointing and car sales
slipping slightly, but jobless gains improving and the two PMIs
jumping into the mid-50s. The best interpretation may be that while
July will be a lackluster month, momentum will pick-up as the third
quarter progresses.
SPOTLIGHT: Housing starts should regain traction in the US. The eurozone recession should finally end. Japanese GDP is expected to rise
robustly for the second consecutive quarter. view more CFTC.gov Commitments of Traders Reports Update FRB Working paper-Are Leveraged and Inverse ETFs the New Portfolio Insurers? view the FRB Working paper-Are Leveraged and Inverse ETFs the New Portfolio Insurers? SEC Issues Risk Alert On Options Trading Used To Evade Short-Sale Requirements view more iShares Launches The iShares Dow Jones-UBS Roll Select Commodity Index Trust "Many investors look to commodities to diversify beyond stocks and bonds, but when investing in commodity funds that typically hold futures contracts, the buying and selling of contracts can detract from fund performance. By using an innovative index the iShares Dow Jones-UBS Roll Select Commodity Index Trust seeks to minimize the costs of changing or 'rolling' futures contracts, enabling the Trust to ultimately provide investors efficient access to diversified commodities," said Ravi Goutam, Head of Americas Product for iShares at BlackRock.
view more Cash lure to stop firms deserting ETFs view more
Source: CFTC.gov
August 9, 2013--ECONOMIES: The trade deficit narrows sharply in the US. Home prices continue to rise in Canada. The Old Lady provides more forward rate
guidance. Further signs of improvement in the eurozone. The BoJ leaves policy unchanged, while the RBA eases.
MARKETS: Equities were generally offered, but with little conviction. Bonds little changed outside of Japan and Aussie. USD was widely
offered, while GBP caught an impressive bid. Oil offered on higher refinery rates.
US
NEXT WEEK PREVIEWED
Source: SSgA
August 9, 2013--The updated current reports for the week of August 6, 2013 are now available.
view updates
Source: CFTC.gov
August 9, 2013--Abstract: This paper studies Leveraged and Inverse Exchange Traded Funds (LETFs) from a financial stability perspective. Mechanical positive-feedback rebalancing of LETFs resembles the portfolio insurance strategies, which contributed to the stock market crash of October 19, 1987 (Brady Report, 1988).
I show that a 1% increase in broad stock-market indexes induces LETFs to originate rebalancing flows equivalent to $1.04 billion worth of stock. Price-insensitive and concentrated trading of LETFs results in price reaction and extra volatility in underlying stocks. Implied price impact calculations and empirical results suggest that they contributed to the stock market volatility in the 2008-2009 financial crisis and in the second half of 2011 when the European sovereign debt crisis came to the forefront. Although LETFs are not as large as portfolio insurers of the 1980s and have not been proven to disrupt stock market activity, their large and concentrated trading could be destabilizing during periods of high volatility.
Source: FRB
August 9, 2013--The Securities and Exchange Commission today issued a Risk Alert to help market participants detect and prevent options trading that circumvents an SEC short-sale rule.
The SEC’s Office of Compliance Inspections and Examinations (OCIE) issued the alert after its examiners observed options trading strategies that appear to evade certain requirements of the short-sale rule. The alert describes the strategies used by some customers, broker-dealers and clearing firms, summarizes related enforcement actions, and notes practices that some firms have found to be effective in detecting and preventing trading intended to evade the rule, known as Regulation SHO.
Source: SEC.gov
August 9, 2013--BlackRock, Inc. (NYSE: BLK) announced today that its iShares Exchange Traded Funds (ETFs) business, the world's largest manager of ETFs 1, has launched the iShares Dow Jones-UBS Roll Select Commodity Index Trust (NYSE Arca: CMDT) on the NYSE Arca.
It is the first exchange traded product based on the Dow Jones-UBS Roll Select Commodity Index, which currently tracks 22 commodities futures contracts, including agriculture, energy and metals, and is designed to minimize the costs of closing expiring futures contracts and replacing them for new ones.
Source: BlackRock
August 8, 2013--On Wall Street, it seems money talks. Three years after the "flash crash" that sent prices of exchange traded funds reeling,
US stock exchanges say they have worked out a way to motivate the financial firms that are supposed to ensure smooth trading in ETFs: pay them more....
Source: FT.com
