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Morgan Stanley-US ETF Weekly Update
December 3, 2012--Weekly Flows: $18.0 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 24% YTD
Three ETF Launches Last Week
Invesco PowerShares Lowers Fees on Six ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $18.0 bln last week, highest level since we began tracking weekly flows in 2010
Net inflows were led by US cap-focused ETFs (combined $13.4 bln in net inflows); specifically US Large-Cap ETFs posted net inflows of $8.5 bln last week
The 4th quarter of each year is generally when we see ETF inflows at their strongest (over last 8 years, 4Q flows accounted for 43% of annual net inflows, on average)
ETF assets stand at $1.3 tln (up 24% YTD) and have posted net inflows 37 out of 48 weeks in 2012 ($152.9 bln YTD)
13-week flows were mostly positive among asset classes; combined $60.4 bln net inflows
Fixed Income ETFs have posted net inflows 65 out of the past 68 weeks, including $11.8 bln over the past 13 weeks
International Equity ETFs (EM and Developed Markets) have exhibited a combined $18.7 bln in net inflows over the last 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
For the 2nd consecutive week, the SPDR S&P 500 ETF (SPY) posted the largest net inflows
Over the past two weeks, SPY has generated net inflows of $7.8 bln, the most of any ETF
Nine of the 10 ETFs to post the largest net inflows last week were US equity-based (Vanguard captured six of the spots)
Five of the 10 ETFs to exhibit the largest net outflows last week were US fixed-income based (three focused on short maturities)
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 11/15/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.1 bln
SPY’s shares short climbed for the second period in a row and currently reside at their highest level since 6/29/12
Aggregate ETF USD short interest increased by $6.0 bln over the past two weeks ended 11/15/12
The average shares short/shares outstanding for ETFs is currently 4.9%, up from 4.4% in the prior period
Smaller ETFs by market cap may skew results (four of the top 10 with the highest % of shares short have market caps <$25 mln)
Retail ETFs continue to be some of the most heavily shorted ETFs; SPDR Retail ETF (XRT) and Market Vectors Retail ETF (RTH) each have shares short as a % of shares outstanding over 200%
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 Smith Barney Research.
Data estimated as of 11/30/12 based on daily change in share counts and daily NAVs.
$7.9 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 53% 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 $3.8 bln
145 new ETF listings and 76 closures YTD (three WisdomTree ETFs will liquidate this week)
The top 10 most successful launches make up 72% of the market cap of ETFs launched over the past year
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Notably, the iShares Barclays US Treasury Bond Fund (GOVT) posted net outflows of $96 mln last; over the past 13 weeks,
GOVT has exhibited net outflows of $340 mln, by far the most of any recently launched ETF
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Source: Morgan Stanley
Invesco PowerShares to List S&P 500(R)Downside Hedged ETF
December 3, 2012--Invesco PowerShares Capital Management LLC, a leading global provider of exchange-traded funds (ETFs), announced today the anticipated listing of the PowerShares S&P 500(R) Downside Hedged Portfolio (PHDG) for December 6, 2012 on the NYSE Arca.
The new ETF will be a liquid alternative solution providing investors broad US equity market exposure with a downside hedge by dynamically allocating to VIX futures and cash depending on market volatility trends. PHDG will have an expense ratio of 0.39%.
“Today, advisors and their clients are just as interested in protecting their assets as they are in generating positive returns,” said Ben Fulton, Invesco PowerShares managing director of global ETFs. “The PowerShares S&P 500® Downside Hedged Portfolio (PHDG) will expand our range of liquid alternative strategies, and underscores our commitment to provide groundbreaking ETFs that advisors and investors can utilize to reduce correlation, lower volatility, and serve as a downside hedge in falling markets.”
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Source: Invesco PowerShares
DB-Synthetic Equity & Index Strategy-North America-US ETF Model Portfolios-Diversified Momentum Portfolio Update
December 3, 2012--Diversified Momentum Update as of November 30th, 2012
Global Sectors Portfolio weighs on DMP performance
Market Performance
Despite the plunge that followed the US elections, the US equity market (SPY) was able to recover most of the lost ground in order to close the month of November with a 0.57% gain.
The broad US Fixed Income market (BND) was practically flat, and the Commodity market (DBC) rallied by almost 2.0% during the same period.
Model Portfolio Performance
Our Diversified Momentum Portfolio (DMP) was down by 0.79% in November. While the equity market and our multi asset class benchmark were up by 0.57% and 0.69%, respectively.
Portfolio Updates and New Membership
Most of the portfolios, with the exception of Commodities, experienced almost a complete membership reconstitution. In terms of portfolio weights, Global Sectors remain the top allocation with 40%, followed by Currencies, Commodities, and Treasuries with 30%, 20%, and 10%, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
ISE Partners with PureFunds and Factor Advisors to Launch Three New ETFs
The Diamond/Gemstone, Mining Service, and Junior Silver ETFs Track ISE Indexes
December 3, 2012--The International Securities Exchange (ISE) today announced the launch of three new exchange traded funds (ETFs) in partnership with PureFunds: PureFunds(TM) ISE Diamond/Gemstone ETF (NYSEArca: GEMS); PureFunds(TM)ISE Mining Service ETF (NYSEArca: MSXX); and PureFunds(TM)ISE Junior Silver ETF (NYSEArca: SILJ).
All three ETFs track proprietary indexes developed by ISE. The ETFs began trading on November 28th.
“We are excited that PureFunds has selected ISE as the index provider for these new and innovative ETFs,” said Kris Monaco, Head of New Product Development at ISE. “With growth in global demand for hard assets, these sectors-specific ETFs provide investors with an actionable investment vehicle to participate in these important segments of the commodity market.”
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Source: International Securities Exchange (ISE)
New Mining ETFs from FactorShares-GEMS, MSXX, SILJ
December 1, 2012--FactorShares launched three new mining ETFs this past week
GEMS-PureFunds ISE Diamond-Gemstone ETF
MSXX-PureFunds ISE Mining Service ETF
SILJ-PureFunds ISE Junior Silver ETF
GEMS focuses on large-cap companies involved with the mining of gemstones, while SIJL focuses on small-cap companies involved in the mining of silver.
However, MSXX will focus on company stocks that are involved with the mining of any commodity. And all three funds will target companies across the globe.
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Source: etf.about.com
Direxion files with the SEC
November 30, 2012--Direxion has filed a post-effective amendment, registration statement with the SEC for the DIREXION DAILY DOW 30 BULL 2X SHARES/DIREXION DAILY DOW 30 BEAR 2X SHARES.
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Source: SEC.gov
Getco and Virtu Bid for Embattled Knight Capital
November 30, 2012--November 30, 2012--Getco proposes merger that would pay Knight shareholders $3.50/share for about half of outstanding shares
Virtu Financial privately submits all-cash offer to pay shareholders about $3/share, according to source
Knight confirms receipt of Getco offer but says it doesn't comment on interactions with shareholders
The fight for control of brokerage Knight Capital Group Inc. (KCG) heated up Wednesday, with a formal merger offer from one rival trading firm and a competing bid from another, according to people familiar with the negotiations.
High-frequency trading firm Getco LLC's parent firm, Getco Holding Co., in a public filing before the market opened, proposed a merger that would pay Knight shareholders $3.50 a share for roughly half of the shares outstanding upfront, with additional compensation in shares of the combined company.
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Source: NASDAQ
Advisors turn to ETFs for Risk Management
November 30, 2012--Financial advisors expect to see increased use of exchange-traded funds (ETFs) in client portfolios, while aversion to risk remains high, according to a recently released Invesco Ltd. market study of U.S. registered investment advisors (RIAs).
Invesco's Canadian subsidiary, Invesco Canada, offers 14 ETFs under the PowerShares Canada brand.
Advisors surveyed believe ETFs will make up 24 percent of portfolio allocations over the next 12 months and 33 percent over the next three years, representing a 10 percent increase over results reported in Invesco's survey of advisors in 2011.
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Source: Invesco Canada Ltd
CFTC.gov Commitments of Traders Reports Update
November 30, 2012--The current reports for the week of November 27, 2012 are now available.
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Source: CFTC.gov
AdvisorShares is Launching Four Gold ETFs With Minimal Dollar Exposure
November 30, 2012-- AdvisorShares, known for its line-up of actively-managed exchange-traded funds, is launching four new gold ETFs that will allow investors to play the yellow metal while at the time minimzing exposure to the U.S. dollar.
Gartman Gold/Yen ETF (GYEN): This actively-managed ETF will offer exposure to gold prices denominated in Japanese yen, offering a creative way to maintain exposure to gold without direct exposure to the dollar.
Gartman Gold/British Pound ETF (GGBP): This actively-managed ETF will offer exposure to gold prices denominated in British pounds.
Gartman Gold/Eu Euro ETF (GEUR): This actively-managed ETF will offer exposure to gold prices denominated in euros.
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Source: Barron's
