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Morgan Stanley-US ETF Weekly Update
June 24, 2013--US ETF Weekly Update
Weekly Flows: $4.2 Billion Net Outflows
ETF Assets Stand at $1.4 Trillion, up 5% YTD
Two ETF Launches Last Week
Exchange Traded Concepts Makes Changes to ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $4.2 bln last week, the fifth consecutive week of net outflows
Over the past five weeks, ETFs have posted a combined $16.7 bln in net outflows
Four of the 15 categories we measured last week posted net outflows in excess of $1 bln; Fixed Income ETFs led the way
exhibiting net outflows of $1.4 bln
Fixed Income ETFs have had net outflows for six consecutive weeks, totaling $9.5 bln; within the Fixed Income ETF category
we have seen investors flock to short duration/floating rate ETFs
ETF assets stand at $1.4 tln, up 5% YTD with asset growth primarily from net inflows; $66.2 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $13.9 bln in net inflows
International – Developed Equity ETFs have generated net inflows of $7.9 bln over the last 13 weeks, the most of any category we
measured; specifically, the two largest Japan ETFs (EWJ, DXJ) accounted for $7.6 bln of the net inflows
International- Emerging Equity and Commodity ETFs have posted a combined $25.8 bln in net outflows over the last 13 weeks, the most of any categories we measured
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The Financials Select Sector SPDR (XLF) posted net inflows of $509 mln, the most of any ETF
Interestingly, the Market Vectors Gold Miners ETF (GDX), which tracks gold mining companies, posted net inflows last week as well as over the past four- and 13-week periods, while the SPDR Gold Trust (GLD), which tracks the physical commodity, continues to exhibit net outflows
Notably, despite a surge in long-term Treasury rates last week, the iShares Barclays 20+ Year Treasury Bond Fund (TLT) generated net inflows of $396 mln; TLT has also posted net inflows of $743 mln over the last 13 weeks, defying outflow expectations
Vanguard FTSE Emerging Markets ETF (VWO) and iShares J.P. Morgan USD Emerging Markets Bond Fund (EMB) posted net outflows over the last one-, four-, and 13-week periods, which is consistent with broader trends that we have seen in both emerging market equity and debt funds given the material underperformance relative to developed markets
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 5/31/13
iShares MSCI Emerging Markets Index Fund (EEM) had the largest increases in USD short interest at $529 mln
EEM’s shares short are at their highest level since 2/15/11
Notably, the iShares MSCI EAFE Index Fund (EFA) is at its lowest level of shares short since 10/31/12
Aggregate ETF USD short interest decreased by $1.8 bln over the period ended 5/31/13
The average shares short/shares outstanding for ETFs is currently 4.3%
The iShares Barclays 20+ Year Treasury Bond Fund (TLT) cracked the top 10 most heavily shorted ETFs as a % of shares outstanding as investors fret rising rates; for contrarian investors, TLTs increase may be a positive sign for rates and a signal that the recent sell-off is overdone
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can
exceed 100% (only three ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets Source: Bloomberg, Morgan Stanley Wealth Management ETF Research. Data estimated as of 6/21/13 based on daily change in share counts and daily NAVs.
$7.4 bln in total market cap of ETFs less than 1-year old
Newly launched International - Emerging Equity ETFs account for 26% of recently launched market cap followed by Fixed
Income ETFs at 19%; interestingly, outside of the recently launched ETFs, both categories have struggled posting combined net
outflows of $18.3 bln over the past four weeks
Issuance has been light in 2013 relative to the past three years; 55 new ETF listings and 30 closures/delistings YTD
The top 10 most successful launches make up 66% of the market cap of ETFs launched over the past year
Six ETF sponsors and two asset classes represented in top 10 most successful launches; seven have an income orientation
Despite last week’s market volatility, newly launched ETFs continued to take in new money, posting net inflows of $347 mln
request report
Source: Morgan Stanley
VelocityShares Announces Launch of Two Hedged Equity ETFs
June 24, 2013--VelocityShares LLC, developer of exchange traded products (ETPs) for sophisticated investors, announced the launch of two new exchange traded funds (ETFs) providing a sophisticated long/short volatility strategy combined with a large cap equity allocation.
Each ETF seeks investment results that correspond generally to the performance, before fees and expenses, of its underlying index.
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Source: VelocityShares
S&P Dow Jones Indices Announces Changes to the S&P/TSX Canadian Indices
A Share Update in the S&P/TSX Composite and 60 Indices June 24, 2013--S&P Dow Jones Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
On Monday, June 24, 2013, Valeant Pharmaceuticals International, Inc. (TSX:VRX) announced the closing of a public offering of common shares.
As a result of the increase in the number of shares outstanding of the company, the relative weight of Valeant will increase in the S&P/TSX Composite and Capped Composite and the S&P/TSX 60 and 60 Capped indices. There will be no weight change effective in the S&P/TSX Composite Equal Weight, the S&P/TSX 60 Equal Weight, the S&P/TSX Capped Health Care or the S&P/TSX 60 130/30 Strategy Indices. These changes will be effective after close on Tuesday, July 2, 2013.
Source: S&P Dow Jones Indices
Trading Community Looks To Big Data To Uncover Patterns of Abuse
June 24, 2013--Heralding the next big thing in financial market enforcement, regulators, exchanges and trading firms are turning their attention from specific alerts of insider trading to identifying larger patterns of abuse.
The trading community is applying Big Data and "moving from cross-market to cross-asset surveillance,” explained Bill Nosal, Nasdaq’s associate vice president for business development and Smart products. “Unlike Europe, the U.S. market was designed for transparency. Now technology is providing the basis to look not just across exchanges, but across a given asset such as a security or a futures contract,” said Nosal in an interview last week with Securities Technology Monitor.
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Source:Securities Technology Monitor
Vanguard's $500bn ETF gamble is already showing signs of paying off
June 23, 2013--Vanguard's evangelisation of the low-cost model for investing is legendary, and the company is not afraid to make bold moves to further its efforts.
It will do so even when its actions cause big shockwaves in the US mutual fund industry-as the asset manager’s chief executive, William McNabb, found out six months ago.
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Source: FT.com
CFTC's Division of Clearing and Risk Issues Extension of Time-Limited No-Action Relief from Required Clearing for Swaps Entered into by Certain Cooperatives
June 21, 2013--The Commodity Futures Trading Commission (Commission) Division of Clearing and Risk (DCR) today announced the issuance of a time-limited, no-action letter granting relief from required clearing under section
2(h)(1)(A) of the Commodity Exchange Act and part 50 of the Commission’s regulations for certain swaps entered into by qualifying cooperatives.
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Source: CFTC.gov
Market Vectors Announces Reverse Share Split of Seven ETFs
June 21, 2013--Market Vectors ETF Trust announced today that its Board of Trustees has approved reverse share splits of seven ETFs.
The effective date of the split will be at market open on July 1, 2013. The Funds will continue to trade on the NYSE Arca under their current ticker symbols, but their current CUSIP numbers will be discontinued and the Funds’ new CUSIP numbers will be as follows, effective July 1, 2013.
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Source: Market Vectors ETFs
Volume In CBOE's S&P 500 Index Options Beats All-Time High Set In 2010
Nearly 2.3 Million Contracts Change Hands on Thursday, June 20
June 21, 2013-- The Chicago Board Options Exchange(R)(CBOE(R)) today reported that trading volume in S&P 500(R) Index options (SPXSM) contracts on Thursday, June 20 established a new daily record of 2,282,029 contracts traded.
Thursday's SPX record surpassed the previous daily volume record of 2,187,004 contracts set on May 20, 2010.
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Source: CBOE
iShares Launches Columbia Capped ETF To Tap "New Brazil"
June 21, 2013--iShares, BlackRock's exchange-traded funds business, has launched a new iShares MSCI Colombia Capped ETF, complementing the iShares Latin and South American ETF line-up, which is the largest in terms of number of funds in the US.
The new iShares MSCI Colombia Capped ETF is designed to track the MSCI All Colombia Capped Index, which is a broad-based Colombia equity market index. The index includes companies that are headquartered or listed in Colombia and have the majority of their operations based in Colombia.
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Source: Wealth Briefing
Announcing the Morningstar Global Allocation Index
June 20, 2013--Morningstar Indexes is pleased to announce the launch of the Morningstar(R) Global Allocation IndexSM-an index representing a diverse, multi-asset class portfolio of liquid asset classes that reflects the global investment opportunities available to an investor with a moderate risk profile.
The allocation within each asset class in the Morningstar Global Allocation Index is built from existing Morningstar Indexes and driven by methodology from Ibbotson Associates—a division of Morningstar Investment Management and 30 year leader of asset allocation research.
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Source: Morningstar
