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Morgan Stanley-US ETF Weekly Update
March 4, 2013--US ETF Weekly Update
Weekly Flows: $2.7 Billion Net Inflows
ETF Assets Stand at $1.4 Trillion, up 5% YTD
Three ETF Launches Last Week
Direxion Announces Share Splits
State Street Announces Changes to Infrastructure ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $2.7 bln last week
Last week's net flows were driven by US Large-Cap ETFs (+$2.5 bln) on the plus side and Commodity ETFs (-$1.4 bln) on the negative; 11 out of the 15 categories exhibited net inflows
ETF assets stand at $1.4 tln, up 5% YTD; $37.6 bln net inflows YTD
13-week flows were mostly positive among asset classes; combined $66.2 bln in net inflows
International Equity ETFs have posted net inflows of $31.2 bln over the last 13 weeks, which equates to 47% of ETF net inflows over this period, while the segment accounts for only 22% of ETF market cap
Commodity and Currency ETFs are the two categories that we measured to exhibit net outflows over the last 13 weeks (combined $4.3 bln in net outflows)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The top 3 ETFs to post net inflows last week track the S&P 500, generating a combined $3.3 bln in net inflows
Not only did the ETFs that track the S&P 500 Index have a strong last week, over the past 13 weeks they have posted a combined $12.1 bln in net inflows (18% of all ETF net inflows)
Despite a difficult last week, the iShares MSCI Emerging Markets Index Fund (EEM) has generated net inflows of $7.5 bln over the last 13 weeks, the most of any ETF
The SPDR Gold Trust (GLD) has not posted a weekly net inflow in 13 weeks and over this time period has exhibited net outflows of $5.1 bln; GLD’s market cap has declined from $74.3 bln to $63.5 bln over the past 13 weeks
US-Listed ETFs:
Short Interest
Data Updated: Based on data as of 2/15/13
SPDR S&P 500 ETF (SPY) had the largest increases in USD short interest at $2.1 bln
Notably, the SPDR Barclays High Yield Bond ETF (JNK) exhibited its highest level of shares short since inception; JNK had 26.2
mln shares short as of the period ended 2/15/13, up 82% since the last period
Aggregate ETF USD short interest increased by $4.3 bln over the period ended 2/15/13 and has now increased $7.0 bln the last two periods; despite the increase in short interest, financial markets have remained resilient
The average shares short/shares outstanding for ETFs is currently 4.8%
Interestingly, the top 10 ETFs most heavily shorted as a % of shares outstanding does not change much; certain areas of the market
such as retail, currency, and real estate seem to consistently make the list
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only four 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 Smith Barney Research.
Data estimated as of 3/1/13 based on daily change in share counts and daily NAVs.
$10.2 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 51% of the market cap of ETFs launched over the past year; PIMCO Total Return ETF (BOND) is the largest actively managed ETF with a market cap of $4.4 bln; BOND hit its one-year anniversary on 3/1
Issuance is off to a slow start in 2013; 15 new ETF listings and 16 closures YTD (nine announced closures)
The top 10 most successful launches make up 74% of the market cap of ETFs launched over the past year
Six different ETF sponsors and two asset classes represented in top 10 most successful launches
Seven out of the 10 most successful launches over the past year have an income orientation
The First Trust Multi-Asset Diversified Income Index Fund (MDIV) cracked the top 10 most successful launches last week; MDIV has a market cap of $147 mln and has benefitted from the search for yield; MDIV owns dividend-paying equities, REITs,
MLPs, preferreds, and high yield debt
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Source: Morgan Stanley
Vanguard cuts costs on intl equities ETF
March 4, 2013--March 4, 2013--Vanguard has reduced the headline cost of its All-World ex-US Shares Index Exchange Traded Fund (ETF) from 0.18% to 0.15%.
According to the index fund specialist, the management expense ratio on the product has fallen by an average of 10 basis points since it was listed for trading on the ASX in 2009.
The move follows similar fee cuts across seven of its flagship Australian-domiciled wholesale index funds and two other cross-listed ETFs.
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Source: Financial Standard
XTF Capital Corp.: Distribution Press Release
March 4, 2013--Canadian Convertible Liquid Universe ETF (TSX:CXF)(TSX:CXF.A) announces a distribution of $0.0417 per Common Unit and $0.0354 per Advisor Unit for the month ending January 31, 2012.
The distribution will be paid on or before February 2, 2012 to unitholders of record on January 30, 2012. The ex-dividend date is January 26, 2012.
Source: XTF Capital Corp.
U.S. Bancorp Names Business Development Officer
March 4, 2013--U.S. Bancorp Fund Services expanded its exchange-traded fund (ETF) administration and unit investment trusts (UIT) division support services with the addition of Mike Castino.
Castino joins U.S. Bancorp Fund Services as a business development officer for its exchange-traded funds (ETFs) division. He is based in U.S. Bank’s Naperville, Illinois, office.
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Source: Plan Sponsor
Horizons ETFs Announces ETF Closures
March 1, 2013--Horizons Exchange Traded Funds Inc. ("Horizons ETFs") and its affiliate Horizons ETFs Management ( Canada ) Inc. (the "Manager") announced today that they will be terminating certain exchange traded funds ("ETFs") effective at the close of business on Friday, May 31, 2013 (the "Termination Date").
The ETFs being terminated (collectively, the "Terminated ETFs") are as follows:
ETF: Horizons BetaPro US Dollar Bull Plus ETF
Ticker: HDU
Horizons BetaPro US Dollar Bear Plus ETF
Ticker: HDD
Effective immediately, no further direct subscriptions for units of the Terminated ETFs will be accepted.
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Source: Horizons Exchange Traded Funds
Vanguard Readies Emerging Markets Bond ETF in Q2
March 1, 2013--Vanguard is expanding its family of bond offerings with plans to introduce a Vanguard Emerging Markets Government Bond Index Fund and its ETF Shares by the end of the second quarter of 2013.
"Our research shows that emerging markets bonds have presented low correlations with domestic and developed market bonds, and have the potential to add value for certain risk-tolerant investors holding an otherwise broadly diversified portfolio," said Vanguard CEO Bill McNabb. "Nevertheless, we do caution investors against simply investing on the basis of the higher yields offered by emerging markets bonds, as the higher yields are accompanied by higher risks, including greater volatility and higher correlation to equity markets, as well as political risk."
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Source: Fox Business
CFTC.gov Commitments of Traders Reports Update
March 1, 2013--The current reports for the week of February 26, 2013 are now available.
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Source: CFTC.gov
ISE Reports it is The Largest Equity Options Exchange in February 2013
ISE was the largest equity options exchange in February with market share of 18.1%, excluding
dividend trades.
Dividend trades made up 4.4% of industry volume in February 2013.
March 1, 2013--The International Securities Exchange (ISE) today reported average daily volume of 2.7 million contracts
in February 2013.
This represents an increase of 1.3% compared to February 2012. Total options volume for the month was 51.5 million contracts. ISE was the largest U.S. equity options exchange in February
with market share of 18.1%*.
Business highlights for the month of February include:
On February 6, ISE and IndexIQ announced their partnership agreement to support and promote new exchange traded products (ETPs) focusing on physical commodities.
On February 15, ISE announced that it received the "Most Innovative Exchange Technology-Options" award at the Wall Street Letter 2013Institutional Trading Awards.
On February 21, ISE announced that Hauke Stars, Chief Information Officer of Deutsche Borse AG, was elected to ISE's Board of Directors.
For the month of February, Implied Order functionality accounted for 7.3% of all non-crossing, multi-legged contract volume executed on ISE.
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Source: International Securities Exchange (ISE)
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios-Diversified Momentum Portfolio Update
March 1, 2013--Diversified Momentum Update as of February 28th, 2013
Flat month for our DMP, Global Sectors offset by the other asset classes.
Market Performance
The US equity market (SPY) recorded another positive month following January's rally. The broad US Fixed Income market (BND) was up by 0.34%; while the Commodity market (DBC) retreated by 4.71% during the same period.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) was flat in February. In the meantime, the equity market and our multi asset class benchmark were mixed with the market up by 1.28% and the benchmark slightly down (-0.20%).
Portfolio Updates and New Membership
All sub-portfolios experienced some degree of turnover, with the overall DMP changing over half of its positions. In terms of portfolio weights, the asset class weights remained the same. Currencies continue to be the top allocation with 40%, followed by Global Sectors, Treasuries, and Commodities with 30%, 20%, and 10%, respectively.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
ISE Names Chief Technology Officer
March 1, 2013--The International Securities Exchange (ISE) announced today that Rob Cornish has been appointed Chief Technology Officer (CTO).
“ISE is pleased to appoint Rob Cornish to the position of Chief Technology Officer,” said Gary Katz, President and Chief Executive Officer of ISE. “Rob’s leadership and guidance have played a key role in the development of our technology strategy. This CTO appointment recognizes that, as well as his significant accomplishments and contributions to ISE’s technology innovation.”
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Source: International Securities Exchange (ISE)
