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DB-Synthetic Equity & Index Strategy-US ETF Market Monthly Review-ETPs added $23bn in AUM while investors 'cherry pick' risky assets
May 7, 2013--US ETP assets higher by $23bn
ETP assets in the US rose by $23.4bn to $1.472 trillion (YTD +10.4%) last month. Global ETP industry assets closed at $2.001 trillion (YTD +8.8%)
Flows Review: "cherry picking" risky assets
US ETP experienced inflows of $9.6bn during April (0.7% of last year’s AUM).
Within long-only ETPs, total flows were +$8.1bn in April vs. +$16.3bn in March. Equity, Fixed Income, and Commodity long-only ETPs experienced flows of +$9.1bn, +$6.8bn, and -$8.0bn, respectively.
Investors were not willing to give up risky assets just yet, but they have definitely become more selective in their elections. April’s strong equity flows set the YTD flows at +$57.9bn. Developed markets (+$11.7bn) flows, with special emphasis in the US (+$8.2bn) remain in uptrend while EM equity flows saw outflows of $2.9bn during last month. Outside the US, Japan ETPs continue to attract significant new assets (+$4.2bn, +$9.7bn YTD); meanwhile, Dividend ETPs kept capturing investors’ attention, with $2.9bn in fresh cash. Sector wise investors parked on defensives and away from cyclicals during the same period. Fixed income ETPs experienced strong inflows of $6.9bn (+$14.6bn YTD), with a tilt towards quality and a strong preference towards short-termed debt. Last but not least, long-only ETPs which offer exposure to commodities saw what’s now, by far, their worst month on record, with strong outflows of $8.0bn, mostly due to Gold ETPs (-$7.6bn) outflows.
New Launch Calendar: income, EM, leverage and quantitative strategies
There were twenty new ETPs and one new ETN listed during the previous month. Seventeen of them were listed in the NYSE Arca, while the remaining four where listed in the Nasdaq. The new products offer exposure to IG corporate bonds with set maturity, senior loans, international income-generating equity strategies, country and broad emerging markets, a silver option-based income strategy, and a set of quantitative factor (momentum, value and size) and active strategies focusing in US equities.
Turnover Review: Floor activity increased by 30% in April
ETP turnover totaled $1.388 trillion last month, 30.7% (+$326bn) higher than the previous month figure of $1.062 trillion, and 18.8% above last year’s monthly average of $1.168 trillion. Equity, Fixed Income and Commodity ETPs turnover increased by 29% (+$265.3bn), 15% (+$11.4bn) and 114% (+$49.4bn) during April
ETP trading made up 28.0% of all US cash equity trading in April, down from last year’s peak of 28.8% in June, and still below its 3-year monthly average of 28.6%.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
CBO-Monthly Budget Review for April 2013
May 7, 2013--The federal government ran a budget deficit of $489 billion in the first seven months of fiscal year 2013 (that is, from October 2012 through April 2013), according to CBO's estimates.
That amount is $231 billion less than the shortfall recorded during the same period last year, primarily because revenue collections have been much greater than they were at this point in 2012. In contrast, federal spending so far this year has been slightly lower than what it was last year at this time.
view the CBO Monthly Budget Review for April 2013
Source: Congressional Budget Office (CBO)
IMF Regional Economic Outlook: Western Hemisphere-Latin America and the Caribbean
May 6, 2013--Growth in Latin America is set to pick up to about 3½ percent in 2013, broadly in line with potential. The region continues to benefit from favorable external financing conditions and relatively high commodity prices, but these tailwinds are unlikely to last forever.
The key challenges for policymakers today are preserving macroeconomic and financial stability, and building strong foundations for sustained growth in the future. More prudent fiscal policy would help ease pressure on capacity constraints, mitigate the widening of current account deficits, and prepare the economies better to deal with adverse external shocks. Exchange rate flexibility and prudential measures should continue to be used to discourage speculative capital flows. Sustaining strong output growth will require structural reforms to raise productivity growth.
view the IMF Regional Economic Outlook: Western Hemisphere-Latin America and the Caribbean
Source: IMF
DB-Synthetic Equity & Index Strategy-North America-US ETF Trade Alert-Adjusting your Dividend ETF positions
Understanding the risks in your Dividend ETF positions
May 6, 2013--Some dividend strategies seem crowded, expensive and too exposed to defensives. We prefer growth over yield, or a more selective approach to yield.
Dividend Yield seems crowded according to our DB Quant colleagues
Although crowded doesn’t mean that the trade is going to underperform right away, it does pose a risk in the case that a market shock pushes investors out of the trade at the same time. (See Cahan et al, 3 May 2013)
Dividend Yield ETFs are expensive and more concentrated on defensives
We believe that dividend ETFs with focus on dividend growth or payment, trading cheap, and with less exposure to defensives provide protection against a rotation away from defensives or investors exiting the yield trade all at once.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios-House View Portfolio Update
May 6, 2013--House View Update as of May 3rd, 2013
Positioning for the summer. Dividend growth, Banks, Tech, and duration boost.
Market Performance
Since the launch of our House View portfolio (HVP) on October 2, 2012, the US equity market (SPY) and the US Fixed Income market (BND) are up by 13.09% and 0.57%, respectively; while the Commodity market (DBC) has lost 8.01%.
Model Performance
Our HVP is up by 7.21% since its launch, and 3.47% higher since the last rebalancing on Mar 6, 2013. In the meantime, the equity market and our multi asset class benchmark are also up by 13.09% and 4.95% since the launch of our HVP, respectively.
Portfolio Updates and New Membership
Four new positions to equity and one to credit. Equity positions: one on dividend growth, two sector tilts, and one international. Credit position: long duration high yield. Positions funded by replacement of dividend and high yield positions, and reductions in China, US large caps, and US Divs. (Figure 2).
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Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
Direxion Appoints Patrick Rudnick As Chief Financial Officer
May 6, 2013-- Direxion, a leader in alternative investment solutions, announces that Patrick Rudnick has been appointed Chief Financial Officer of Direxion.
Mr. Rudnick was most recently a Vice President in the Fund Administration division of U.S. Bancorp Fund Services, where he oversaw the fund servicing operations including financial reporting, compliance, board reporting and expense oversight for Direxion Funds and Direxion Shares, and other clients for several years.
In his new role, Mr. Rudnick will report to Eric Falkeis, Chief Operating Officer of Rafferty, and oversee the financial, compliance, and risk oversight aspects of Direxion's business. He will also join Direxion's senior planning team.
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Source: Wall Street Journal
S&P 500 Buyback Index Launched by S&P Dow Jones Indices
May 6, 2013-- S&P Dow Jones Indices announced today the launch of the S&P 500(R) Buyback Index which is designed to measure the performance of the top 100 stocks with the highest buyback ratio in the S&P 500.
"Buybacks can be seen as an important indicator of corporate health," says
Vinit Srivastava, Senior Director of Strategy Indices at S&P Dow Jones
Indices. "Much like dividends, corporate buybacks is another method that companies use to return value back to shareholders. In 2012, S&P 500 companies bought back $399 billion worth of stock, and continue to hold record amounts of cash."
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Source: Bloomberg
U.S. Department of the Treasury Economic Statistics-Monitoring the Economy Update
May 6, 2013-- The U.S. Economic Statistics- Monthly Data has been updated and is now available.
view the U.S. Economic Statistics- Monthly Data Update
Source: US Department of the Treasury
Morgan Stanley-ETF Weekly Update
May 6, 2013--US ETF Weekly Update
Weekly Flows: $4.8 Billion Net Inflows
ETF Assets Stand at $1.5 Trillion, up 11% YTD
Three ETF Launches Last Week
Global X Announces Reverse Splits on Six ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $4.8 bln last week; 2nd consecutive week of net inflows
Last week’s net inflows were led by Fixed Income ETFs ($2.7 bln); conversely, Commodity ETFs posted the largest net outflows at $1.0 bln, extending the recent stretch of net outflows
ETF assets stand at $1.5 tln, up 11% YTD; $64.2 bln net inflows YTD
13-week flows were mostly positive among asset classes; combined $33.1 bln in net inflows
Despite talk of a “great rotation” to equity from fixed income we have yet to see it materialize in ETFs; Fixed Income ETFs have
generated net inflows of $13.9 bln over the last 13 weeks, the most of any category we measured
International - Developed Equity ETFs have posted material net inflows over the last 13 weeks ($10.6 bln); the category’s ETF
market share has risen by 2 percentage points as assets are up 54% over the past 52 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The iShares Barclays 3-7 Year Treasury Bond Fund (IEI) posted net inflows of $1.5 bln, the most of any ETF
The two ETFs to generate the largest net inflows last week were long US Treasuries; IEI and the ProShares Ultra 7-10 Year
Treasury (UST) had a combined $2.5 bln in net inflows
For the 20th straight week, the WisdomTree Japan Hedged Equity Fund (DXJ) posted net inflows; over this time period, DXJ
generated net inflows of $6.1 bln
Despite showing some price stability last week, the SPDR Gold Trust (GLD) exhibited another week of net outflows; over the last 13
weeks, GLD has posted net outflows of $12.8 bln, the most of any ETF
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 4/15/13
SPDR Gold Trust (GLD) had the largest increases in USD short interest at $980 mln
GLD’s 22.9 mln shares short are 19% above their one-year average
GLD has experienced a barrage of net outflows over the past 13 weeks ($12.1 bln)
Aggregate ETF USD short interest increased by $2.7 bln over the period ended 4/15/13
The average shares short/shares outstanding for ETFs is currently 4.3%
The CurrencyShares Euro Trust (FXE) had the most shares short as a % of shares outstanding at 193% for the period ended
4/15/13; second occurrence YTD when FXE has been the most heavily shorted
Retail, currency, and financial ETFs seem to consistently make the list as the most heavily shorted ETFs
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
Source: Bloomberg, Morgan Stanley Wealth Management ETF Research. Data estimated as of 5/3/13 based on daily change in share counts and daily NAVs.
$6.2 bln in total market cap of ETFs less than 1-year old
Newly launched International- Emerging Equity ETFs accounted for 24% of the market cap of ETFs launched over the past
year, the most of any category, including $802 mln in net inflows over the last 13 weeks
Issuance has been light in 2013 relative to the past three years; 42 new ETF listings and 27 closures/delistings YTD
The top 10 most successful launches make up 66% of the market cap of ETFs launched over the past year
Seven different ETF sponsors and two asset classes represented in top 10 most successful launches
Eight out of the 10 most successful launches over the past year have an income orientation
PowerShares S&P 500 High Dividend Portfolio (SPHD) cracked the top 10 most successful launches over the past year with a
$125 mln market cap; SPHD owns 50 large-cap stocks that have historically provided high dividend yields and low volatility
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Source: Morgan Stanley
Growth surge lures pioneers from ETFs' first wave
May 6, 2013--Two veterans of the rough and tumble effort to build exchange traded fund ventures have decided the time is right to make their return to developing products.
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Source: FT.com
