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Morgan Stanley-US ETF Weekly Update
July 1, 2013--Weekly Flows: $3.2 Billion Net Inflows
2Q13 Flows: $15.6 Billion Net Inflows
ETF Assets Stand at $1.4 Trillion, up 6% YTD
Nine ETF Launches Last Week
Vanguard Completes Benchmark Transitions
Van Eck Announces Reverse Share Splits on Seven ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $3.2 bln last week, the first net inflows in six weeks - Net inflows were led by US Sector & Industry ETFs ($2.0 bln), while net outflows were driven by Commodity ETFs ($1.1 bln) - Fixed Income ETFs have posted net outflows for seven consecutive weeks, totaling $10.0 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 6% YTD; $69.4 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $15.6 bln in net inflows - International-Developed Equity ETFs have generated net inflows of $8.9 bln over the last 13 weeks, the most of any category we measured; specifically, the two largest Japan ETFs (EWJ, DXJ) accounted for $7.7 bln of the net inflows - Commodity ETFs have posted net outflows of $14.3 bln over the last 13 weeks; in particular, one ETF, the SPDR Gold Trust (GLD), has exhibited net outflows of $11.6 bln over this period (GLD accounts for 57% of Commodity market cap)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The iShares Dow Jones US Real Estate Index Fund (IYR) posted net inflows of $747 mln, the most of any ETF
The iShares MSCI Emerging Markets Index Fund (EEM) bounced back last week, generating net inflows of $723 mln; despite the
strong week, EEM has posted net outflows of $6.9 bln over the last 13 weeks, the second most of any ETF
The WisdomTree Japan Hedged Equity Fund (DXJ) posted another strong week of net inflows ($439 mln); DXJ has taken in $4.2
bln in net new money over the last 13 weeks, the most of any ETF
Fixed Income flows have recently stumbled; specifically, the iShares Barclays TIPS Bond Fund (TIP) has exhibited $3.3 bln in net
outflows over the last 13 weeks, the most of any Fixed Income ETF
US-Listed ETFs: Short Interest Data Updated: Based on data as of 6/14/13
iShares MSCI Emerging Markets Index Fund (EEM) had the largest increase in USD short interest at $2.4 bln
EEM’s shares short are at their highest level of all time
Notably, the 26.8 mln shares short on the iShares FTSE EPRA/NAREIT Developed Real Estate ex-US Index Fund (IFGL) are also
at an all-time high
Aggregate ETF USD short interest increased by $8.7 bln over the period ended 6/14/13
The average shares short/shares outstanding for ETFs is currently 4.9%
The CurrencyShares Euro Trust (FXE) continues to be one of the most heavily shorted ETFs as a % of shares outstanding;
interestingly, over the past year, FXE has actually posted a 2.4% market price return
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can
exceed 100% (only six 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 6/28/13 based on daily change in share counts and daily NAVs.
$7.4 bln in total market cap of ETFs less than 1-year old
ETFs launched over the past year exhibit a median market cap of only $12 mln
Newly launched International Equity ETFs account for 42% of recently launched market cap and make up 43% of net inflows of
recently launched ETFs over the last 13 weeks
Issuance has been light in 2013 relative to the same period last year; 64 new ETF listings and 30 closures/delistings YTD vs. 110
new ETF listings and 17 closures over the same period in 2012
The top 10 most successful launches make up 66% of the market cap of ETFs launched over the past year
Seven ETF sponsors and two asset classes represented in top 10 most successful launches; seven have an income orientation
Last week, the PowerShares S&P 500 High Dividend Portfolio (SPHD) returned to the top 10 most successful launches list over
the past year; SPHD owns stocks that historically have provided high dividend yields and low volatility
request report
Source: Morgan Stanley
Mirae's Horizons scaling US ETF fortress
July 1, 2013--After growing to $7bn in assets under management in Canada and Asia, the exchange traded fund arm of Mirae Asset Global Investments has turned its attention to growing south of the Canadian border.
Horizons ETFs Management rolled out its first US product last week, ahead of plans to break into the Latin American market with a Colombia-domiciled ETF. These new markets are key to its belief that it can double to triple ETF assets under management in the next three to five years.
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June 2013 Is Busiest Month On Record For VIX Futures Trading At CBOE Futures Exchange VIX Futures view more Emerging Global Advisors Launches the First Emerging Markets Dividend Growth ETF: EGShares Emerging Markets Dividend Growth ETF (Ticker: EMDG) view more
ISE Reports Business Activity for June 2013 The International Securities Exchange (ISE) today reported an average daily volume of 2.7 million contracts in June 2013. This represents an increase of 9.3% compared to June 2012. Total options volume for the month was 54.3 million contracts. ISE was the second largest U.S. equity options exchange in June with a market share of 16.7%*.
Business highlights for the month of June include:
On June 10, ISE announced the addition of three new members to its Board of Directors, and also announced six members were re-elected.
On June 11, members of ISE joined PureFunds to ring the Opening Bell® at the New York Stock Exchange, celebrating PureFunds' three exchange-traded funds.
On June 24, ISE announced that it was the first options exchange to enter into a licensing agreement with NationsShares®, a leading developer of option-enhanced and option-based indexes, to list options on the Nations VolDex® index (ticker: VOLI).
On June 27, ISE announced the launch of its partnership with BlueStar Indexes to develop a family of indexes and use them as the basis for exchange-traded products (ETPs) and other index-linked vehicles. view more DB-US ETF Model Portfolios-Diversified Momentum Portfolio Update
The US equity market (SPY) hit a speed bump in June. Similarly, the broad US Fixed Income market (BND), and the Commodity market (DBC) retreated by 1.84% and 2.82% during the same period, respectively.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) rose by 1.49% in June. In the meantime, the equity market and our multi asset class benchmark were both down recording losses of 1.85% and 2.04%, respectively.
Portfolio Updates and New Membership
request report db X-trackers in US growth push view more It's Splitsville for These ETFs view more Horizons ETFs announces final valuation for terminated ETF Horizons Active North American Value ETF-Class E
view more WisdomTree Launches Japan Hedged SmallCap Equity Fund (DXJS) And United Kingdom (U.K.) Hedged Equity Fund (DXPS)
Following U.S. Federal Reserve Chairman Ben Bernanke’s June 19 statements on potential Fed tapering purchases of U.S. bonds, interest rates rose and the U.S. dollar strengthened on expectations of an improving U.S. economy. Bernanke seems to have signaled the period of extraordinary monetary accommodation in the U.S. is coming to an end. view more
Source: FT.com
Total Volume Tops Four Million Contracts
ADV Up 105% Versus Year Ago
July 1, 2013--The CBOE Futures Exchange, LLC (CFE(R)) announced today that June 2013 was the most-active trading month for futures on the CBOE Volatility Index(R) (VIX(R)) in exchange history.
New records for total trading volume and average daily volume (ADV) were set during the month and for the second quarter of the year.
Trading volume of VIX futures at CFE totaled a record 4,213,488 contracts during June, eclipsing the previous high of 4,056,760 contracts in April 2013. June's volume increased 96 percent versus the 2,154,055 contracts traded in June 2012 and rose 31 percent when compared to the 3,212,399 contracts traded in May 2013. June marked the second month in CFE history in which total monthly volume in VIX futures exceeded four million contracts traded.
Source: CBOE
Emerging Global Advisors collaborated with FTSE to design an index that provides exposure to emerging market companies' increasing dividend payouts
July 1, 2013--Emerging Global Advisors today launched the EGShares Emerging Markets Dividend Growth ETF (Ticker: EMDG), the first emerging markets (EM) dividend growth exchange-traded fund (ETF), which aims to provide investors with a total return approach to investing in quality companies within the FTSE Emerging All Cap ex Taiwan Universe that have achieved consistent dividend growth over the past five years.
Dividend growth is an important investment theme among U.S. investors. Rapid growth of EM-headquartered companies has created a potential opportunity for dividend growth investors to obtain exposures in emerging markets. As a result of the maturation of many EM companies, more of them have initiated or increased dividend payouts, distributing a greater proportion of their profits to shareholders.
Source: Emerging Global Advisors (EGA)
July 1, 2013--ISE was the second largest equity options exchange in June with a market share of 16.7%, excluding dividend
Dividend trades made up 0.9% of industry volume in June 2013, the lowest monthly level on record since June 2010 when ISE started publishing daily statistics on the dividend trade practice.
For the month of June, Implied Order functionality accounted for 6.7% of all non-crossing, multi-legged contract volume executed on ISE.
Source: International Securities Exchange (ISE)
July 1. 2013--Diversified Momentum Update as of Jun 28th, 2013
Most momentum portfolios delivered positive returns under June's market stress.
Market Performance
8 of the 20 DMP positions will change for July. In terms of portfolio weights, the asset class weights will suffer the following changes: Currencies will be the new top allocation with 40% (vs. 30%), followed by Commodities with 30% (vs. 40%), Treasuries with 20% (vs. 10%), and Global Sector with 10% (vs. 20%).
Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
July 1, 2013--db X-trackers, the exchange-traded fund arm of Deutsche Bank, plans to almost double its US-listed ETFs over the next year, as it looks to grow in the region.
It currently has 12 ETFs listed in the US and $400m to $500m in assets under management, and plans to increase this to about 20 ETFs over the next 12 months. Martin Kremenstein, Deutsche Asset & Wealth Management Americas head of passive investments, said:
Source: Financial News
When ETF sponsors decide to do a split or reverse split, they're catering to traders. And that can cause headaches for the retail investor.
June 29, 2013--It's one of the quirks of the exchange-traded-fund market: Share splits. They seem to crop up several times a year, pumping up or deflating the number of shares of a fast-moving ETF, altering the market price and shocking investors who aren't paying attention.
About all you need to know: Treat any such ETF—especially a reverse splitter—with caution. Better yet, avoid it entirely.
Source: Barron's
June 28, 2013--Horizons ETFs Management (Canada) Inc. ("Horizons ETFs") and its affiliate AlphaPro Management Inc. (the "Manager") previously announced, by way of a press release dated April 26, 2013, that the Horizons Active North American Growth ETF (the "ETF") would be terminated effective upon the close of business today, June 28, 2013.
The ETF's final net asset value ("Final NAV") per unit is as follows:
Source: Horizons ETFs Management (Canada) Inc.
Evolving U.S. Fed and Central Bank Policies in Japan and United Kingdom Highlight Efficacy of Currency Hedged Exposure
DXJS Targets Japanese Small Caps for Domestic Demand
DXPS in Focus as Governor Mark Carney Assumes Leadership of Bank of England
June 28, 2013--WisdomTree, an exchange-traded fund ("ETF") sponsor and asset manager, today announced the launch of the WisdomTree Japan Hedged SmallCap Equity Fund (DXJS) and the United Kingdom (U.K.) Hedged Equity Fund (DXPS) on the NASDAQ Stock Market.
DXJS is designed to provide exposure to small capitalization stocks within Japanese equity markets while hedging exposure to the yen. DXPS is designed to provide exposure to United Kingdom equity markets while hedging exposure to the British pound.
Source: WisdomTree
