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Morgan Stanley-ETF Weekly Update
April 16, 2012--US ETF Weekly Update
Weekly Flows: $6.3 Billion Net Outflows
Only the 3rd Week This Year ETFs Have Posted Net Outflows
ETF Assets Stand at $1.2 Trillion, up 11% YTD
Two ETF Launches Last Week
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US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted weekly net outflows for only the 3rd time this year
Last week’s net outflows were primarily driven by US Large-Cap ETFs; the SPDR S&P 500 ETF (SPY), in particular, exhibited
net outflows of $3.9 bln
ETF assets stand at $1.2 tln, up 11% YTD; ETFs have posted net inflows 12 out of 15 weeks YTD ($46.5 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $34.6 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (35 straight weeks of net inflows)
Fixed Income ETFs currently make up 18% of ETF market capitalization, up from 14% at the beginning of 2011
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Energy Select Sector SPDR (XLE) generated net inflows of $410 mln last week, the most of any ETF
Despite posting net outflows as a whole, only 16% of ETFs exhibited net outflows last week
SPY not only posted net outflows last week, but YTD has exhibited net outflows of $5.3 bln; notably, SPY’s flows tend to be
volatile and are not always indicative of underlying market sentiment
US-Listed ETFs: Short Interest Data Updated: Based on data as of 3/30/12
SPDR Dow Jones Industrial Average ETF (DIA) posted the largest increase in USD short interest
DIA’s shares short are at their highest levels since 12/15/11
For the second consecutive period, SPY had the largest decline in USD short interest
The average shares short/shares outstanding for ETFs is currently 5%
CurrencyShares Euro Trust (FXE) has seen its short interest ratio jump recently despite its shares short declining; the reason is
FXE’s shares outstanding dropped more than 50% from the prior period
Based on multiple borrowings and the ability to continuously create new shares, short interest as a % of market cap can exceed 100%
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 4/13/12 based on daily change in share counts and daily NAVs.
$7.2 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Fixed Income ETFs generated most net inflows at $739 mln
83 new ETF listings and 16 closures YTD; 39 of the ETFs launched YTD were issued by iShares
Over the past year, many of the successful launches have an income/dividend orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
PowerShares S&P 500 Low Volatility Portfolio (SPLV) posted meaningful net outflows last week ($187 mln net outflows);
ex-SPLV, US Custom ETFs launched over the past year would have exhibited net inflows last week
Top 10 most successful launches account for 54% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
DB Equity Research Equity Research-North America:Market correction and outflows removed $17bn from ETP AUM
April 16, 2012--Net Cash Flows Review
Last week, markets extended the correction recording their third negative week in the last four weeks. The US (S&P 500) lost 1.99%. Other developed and emerging markets outside the US did similarly; the MSCI EAFE (in USD) dropped by 1.15%, while the MSCI EM (in USD) declined by 0.93% during the week. Moving on to other asset classes, the 10Y Treasury yield retreated by 17bps last week, while the DB Liquid Commodity Index was down by 1.24%. Other sectors were mixed.
The Agriculture sector (DB Diversified Agriculture Index), WTI Crude Oil and Silver prices fell by 1.27%, 0.46% and 1.09%, respectively; while the Gold price edged higher by 1.33%. Last but not least, Volatility (VIX) advanced by 17.07% during the same period.
The total US ETP flows from all products registered $6.3bn of outflows during last week vs $1.2bn of inflows the previous week, setting the YTD weekly flows average at +$3.1bn (+$47.0bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$6.8bn, +$0.9bn, and -$0.3bn last week vs. +$0.8bn, +$0.4bn, and +$0.0bn the previous week, respectively.
Within Equity ETPs, US Sector products experienced the largest inflows (+$0.6bn); while Large Cap vehicles experienced the largest outflows (-$5.8bn), followed by Reginal EM ETPs (-$0.6bn). Within Fixed Income ETPs, Sovereign products recorded the largest inflows (+$0.6bn), followed by Sub-Sovereign products (+$0.1bn). Within Commodity ETPs Crude Oil products experienced the largest outflows (-$0.1bn).
Top 3 ETPs & ETNs by inflows: XLE (+$0.4bn), TLT (+$0.3bn), SCPB (+$0.2bn)
Top 3 ETPs & ETNs by outflows: SPY (-$3.9bn), QQQ (-$1.0bn), EEM (-$0.6bn)
New Launch Calendar: 2 new listings on NYSE
There were two new ETP listings during the previous week. Both were listed on NYSE Arca. One of the products provides exposure to high yield corporate debt which has been downgraded, and the other ETP provides exposure to a portfolio of diversified agriculture products.
Turnover Review: total and daily floor activity increases on rising volatility
Total weekly turnover increased by 32.7% to $332bn vs. $250bn in the previous shorter week. Similarly, average daily turnover was also higher recording $66.4bn vs. $62.5bn in the previous one. The largest increase was on Equity ETP turnover, which rose by $78.1bn or 35.8% to $296bn. Fixed Income and Commodity ETP turnover followed with increases of 17.7% (+$2.8bn) and 1.8% (+$0.3bn), respectively.
Assets Under Management (AUM) Review: markets lost 1.5%
Volatile markets and negative flows resulted in a pull-back in ETP assets of $17.5bn. ETP AUM fell by 1.5% to $1.16 trillion from the previous week’s level. YTD growth remains strong at 11.4%. Assets for equity, fixed income and commodity ETPs moved -$20.7bn, +$1.6bn, and +$1.7bn during last week, respectively.
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Source: Deutsche Bank-Equity Research-North America
BNY Mellon ADR Index Monthly Performance Review is Now Available-March 2012
April 16, 2012--The BNY Mellon ADR Index Monthly Performance Review March 2012 is now available.
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Source: BNY Mellon
Invesco Canada launches nation's first senior loan ETF; Yet another first for Canadian investors
April 16, 2012--In an effort to meet the growing investor demand for increased yield and protection against the threat of rising interest rates, Invesco Canada is proud to launch the latest addition to its innovative lineup of exchange-traded funds (ETFs): PowerShares Senior Loan (CAD Hedged) Index ETF [TSX: BKL].
Canada's first senior loan ETF, Invesco Canada's latest offering provides access to an asset class that has historically delivered higher yield than other fixed-income securities of equal or higher credit quality and provided investors with an added measure of security against borrower default. In addition, the low duration of senior loans may help to reduce a portfolio's overall interest-rate sensitivity.
"With this new ETF, Invesco Canada is helping to open up an asset class that has traditionally been traded exclusively by institutional investors," said Michael Cooke, Head of Distribution for PowerShares Canada. "Senior Loans are a great way for investors to diversify their fixed-income portfolios by offering low correlation to other fixed-income segments."
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Source:Invesco Canada
JP Morgan lodges fresh copper ETF filing with NYSE
April 13, 2012--Investment bank JPMorgan has lodged a filing to list a copper-backed exchange-traded fund (ETF)with NYSE Euronext.
J.P. Morgan Commodity ETF Services lodged a proposal to list and trade shares of JPM XF Physical Copper Trust in a filing dated April 2, 2012.
view fiing
Source: Reuters
FlexShares files with the SEC
April 13, 2012--FlexShares has filed a first amended and restated application for exemptive relief with the SEC.
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Source: SEC.gov
CSA and IIROC announce implementation of dark liquidity framework
April 13, 2012--The Canadian Securities Administrators (CSA) and the Investment Industry Regulatory Organization of Canada (IIROC) are implementing a new regulatory framework for the use of orders entered without pre-trade transparency (dark orders).
To implement the framework, amendments have been made to National Instrument 21-101 Marketplace Operation and to the Universal Market Integrity Rules (UMIR), approved by the CSA on March 30, 2012. The framework is comprised of the following key elements:
Visible order priority –Visible orders will have execution priority over dark orders on the same marketplace at the same price;
Meaningful price improvement – In order to trade with a dark order, smaller orders must receive a minimum level of price improvement, which is defined as one trading increment or half a trading increment for securities with a bid-ask spread of one trading increment; and
Minimum size – IIROC has the ability to designate a minimum size for dark orders. It is not doing so at this time, but the CSA and IIROC will monitor market developments closely to consider whether and when IIROC should implement a minimum size.
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Source: IIROC
United States Commodity Funds LLC Launches the United States Agriculture Index Fund (USAG)
April 13, 2012--The United States Commodity Funds LLC, a sponsor of exchange traded commodity funds, listed for trading on the New York Stock Exchange Arca, a new exchange traded
commodity index fund, United States Agriculture Index Fund, under the ticker "USAG".
The United States Agriculture Index Fund (USAG) is an exchange traded product (“ETP”) that seeks to
reflect the performance of a portfolio of agriculture futures contracts fully collateralized with U.S. Treasury
Bills. The investment objective of USAG is for the daily changes in percentage terms of its units’ net
asset value (“NAV”) to reflect the daily changes in percentage terms of the SummerHaven Dynamic
Agriculture Index Total ReturnSM, less USAG’s expenses. USAG issued units may be purchased and
sold on the NYSE Arca.
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Source: United States Commodity Funds LLC,
US Department of the Treasury-Factsheet: The Crossroads Fund
April 13, 2012--The Crossroads Fund was created to promote regional economic integration and investment in infrastructure to accelerate economic growth. By improving cross-border infrastructure and economic integration, Central American countries can: (i) reduce production costs, improving export competitiveness and lowering the cost of goods for local consumers; (ii) encourage businesses to scale by expanding into neighboring markets,
reducing dependence on remittance flows and goods and services exports to North America; and (iii) improve regional security through domestic job creation. High transport and logistics costs have prevented Central America from fully benefiting from the growth potential of two decades of existing economic integration with its neighbors and the United States through trade liberalization.
The United States, Canada, and Mexico established the targeted Crossroads Fund to provide innovative new financing instruments and technical assistance to catalyze public investment into strategic infrastructure projects. The seed investment by Crossroads will lead to a meaningful reduction in transport and logistics costs and are expected to generate higher formal sector employment, more trade and foreign direct investment, and reduce inequality and violence through spreading opportunity to remote populations.
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Source: US Department of the Treasury
Diamonds as a Commodity
Could diamonds be the new gold?
April 13, 2012--A small number of investment professionals around the world are competing behind the scenes to turn the gem into a commodity that would be available to investors in the way that gold has been traded through funds on exchanges.
Trading in diamonds is limited in the United States to the retail market for engagement rings and other jewelry and the back-room bargaining among merchants in places like Manhattan’s diamond district on West 47th Street.
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Source: NY Times
