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State Street US ETF Snapshot: February 2012
March 14, 2012--SNAPSHOT OVERVIEW
1,231 Exchange Traded Funds (ETFs)—with assets totaling $1,183BN—were managed by 36 ETF managers as of February 29, 2012.
Month over month, ETF assets increased by more than $44BN, up 3.9%.
2012 Investment Themes
◦As a result of commitments from the Federal Reserve, the European Central Bank and the Bank of England to maintain a low rate environment, investors around the globe will continue to face the need to generate income in their portfolios. In addition, with significant headwinds rippling through the Eurozone and other developed markets, emerging markets can expand the opportunity set for investors seeking growth.
For more on this please see our SPDR® ETF 2012 Investment Themes featured on www.spdru.com.
•State Street recently launched two new ETFs that track innovative MSCI® Equity Indices.
SPDR MSCI ACWI IMI ETF [ACIM]: Click here for complete product information.
◦SPDR MSCI EM 50 ETF [EMFT]: Click here for complete product information.
•For more information, including product fact sheets and related whitepapers, visit www.spdrs.com.
ETF Industry Detail
Asset Classes — Overall
The S&P 500® gained 4.3% while the MSCI EAFE® increased 5.7%. Commodities were positive, with the S&P® GSCI® up 6.1% and Gold rising 1.5%. U.S. Bonds were slightly negative with the Barclays U.S. Treasury Index losing 0.7% while the Barclays U.S. Aggregate Index was essentially flat.
FLOWS
ETF flows nearly topped $12BN in February. The International - Emerging category had the most significant inflows with $4.6BN entering the category. The Size - Large Cap category had $4.8BN in outflows, a reverse from the $4.8BN in inflows it had in January.
Manager and Fund Detail
The top three managers in the US ETF marketplace were: BlackRock, State Street and Vanguard. Collectively, they account for approximately 83% of the US listed ETF market.
The top three ETFs in terms of dollar volume traded for the month were the SPDR® S&P 500 [SPY], iShares Russell 2000 [IWM] and PowerShares QQQ [QQQ].
The top three ETFs in terms of assets for the month were the SPDR S&P 500 [SPY], SPDR Gold Shares [GLD] and Vanguard Emerging Markets [VWO].
For more information visit www.spdrs.com
Source: State Street Global Advisors
Dow Jones Indexes To Launch Dow Jones Pring U.S. Business Cycle Index
New Index Designed to Reflect Martin J. Pring's Proprietary Investment Strategy, Tactically Rebalancing Asset Classes Based on U.S. Economic Business Cycle
March 14, 2012--Dow Jones Indexes, a leading global index provider, today announced the launch of the Dow Jones Pring U.S. Business Cycle Index, a gauge designed in collaboration with Pring Research to reflect its proprietary investment strategy that tactically allocates among stock, bond, commodity and cash segments based on the phase of the economic business cycle.
The index will closely track the investment strategy developed by Pring Research’s Principal and President, Martin J. Pring, an award-winning author who has devised a rules-based methodology with the goal of achieving higher risk-adjusted returns relative to multi-asset or “blended” benchmarks.
“In building this new index with Pring Research’s proprietary investment strategy at its core, we have created a unique tool for measuring an investment strategy that dynamically changes the mix of several asset classes depending on the current stage of the U.S. economic business cycle,” said Dow Jones Indexes’ President, Michael A. Petronella.
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Source: Dow Jones Indexes
CFE and CBOE to Launch Futures and Options on Crude Oil ETF Volatility Index
EXPANSION OF TRADABLE VOLATILITY INDEX PRODUCTS
March 14, 2012--CBOE Holdings, Inc., announced today that Chicago Board Options Exchange (CBOE) and CBOE Futures Exchange (CFE) will each launch a new volatility index product based on the CBOE Crude Oil ETF Volatility Index (OVX) in coming weeks.
CBOE Crude Oil ETF Volatility Index security futures (OV) will begin trading on CFE on Monday, March 26, and options on the OVX Index will begin trading on CBOE on Tuesday, April 10.
OVX Index products, based on listed options prices of the United States Oil Fund, LP (USO) — the ninth most-actively-traded ETF options contract in the U.S. last year — will allow traders to hedge volatility risk associated with crude oil futures prices.
CBOE began disseminating values on the OVX Index in 2008. The OVX Index calculation is derived from applying CBOE's VIX® methodology to the prices of CBOE-listed options on USO.
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Source: CBOE
CBOE Introduces "VIX of VIX" Benchmark Index: Provides a Gauge for Measuring Volatility of the VIX Index Itself
March 14, 2012--The Chicago Board Options Exchange (CBOE) announced today that it began publishing values for the CBOE "VIX of VIX" Index (ticker: VVIX(SM)) this morning.
As its name implies, the CBOE's VIX of VIX Index tracks the volatility of the CBOE Volatility Index (the VIX Index), the world's most widely-followed market volatility index.
"Volatility traders are intrigued with the ability to formulate new strategies based on the relationship between the VIX Index and the volatility of the VIX Index," CBOE Chairman and CEO William J. Brodsky said. "The fact that our customers were looking for a way to measure the volatility of the VIX shows just how far the VIX Index has come. We're thrilled to introduce a product that tracks the volatility of the world's most- watched volatility index."
VVIX reflects the market's consensus of expected volatility of the 30-day forward price of the VIX Index and provides new information for investors looking to formulate trading strategies based on the relationship between the VIX® Index and the volatility of the VIX Index.
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Source: CBOE
CFTC to Hold Open Meeting to Consider One Final Rule
March 13, 2012--The Commodity Futures Trading Commission (CFTC) will hold a public meeting on Tuesday, March 20, 2012, at 9:30 a.m., to consider one Final Rule: Customer Clearing Documentation, Timing of Acceptance for Clearing, and Clearing Member Risk Management.
What: Open meeting to consider one final rule under the Dodd-Frank Act
Where: CFTC Headquarters Conference center, Three Lafayette Centre, 1155 21st Street, NW, Washington, DC 20851
When: Tuesday, March 20, 2012, 9:30 a.m.
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Source: CFTC.gov
CFTC Vacates CME Clearing Europe Limited Registration as a Derivatives Clearing Organization
March 13, 2012--At the request of CME Clearing Europe Limited (CMECEL), pursuant to Section 7 of the Commodity Exchange Act, the Commodity Futures Trading Commission issued an Order on March 13, 2012,
vacating the registration of CMECEL as a derivatives clearing organization.
The Order of Vacation is available on the CFTC’s website (see Related Links).
Source: CFTC.gov
Yorkville Launches Industry First High Income MLP ETF (YMLP)
Focuses On High Distribution Commodity MLPs, No Overlap with Existing MLP ETF
March 13, 2012--Yorkville ETF Advisors announces the Yorkville High Income MLP ETF begins trading today, becoming the first exchange-traded fund to deliver exposure to high income, commodity-based master limited partnerships (MLPs).
The firm's extensive research and asset management experience in MLPs was the basis of this first to market product. YMLP was developed to capture the investment opportunity in commodity sector MLPs, which historically have provided higher yields and faster distribution growth than the more popular infrastructure sector, according to Yorkville Capital Management, LLC.
"YMLP shatters today's MLP ETF mold by intentionally focusing on the untapped commodity sectors of the MLP asset class, due to their favorable income characteristics," asserts Darren Schuringa, CFA, Managing Partner at Yorkville ETF Advisors. "The Yorkville High Income MLP ETF (YMLP) is designed to track the Solactive High Income MLP Index, which strives to deliver high income and growth of income. We are pleased that YMLP delivers on our commitment to provide investment strategy-based ETFs."
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Source: Yorkville ETF Advisors, LLC
Morgan Stanley-US ETF Weekly Update
March 13, 2012--Weekly Flows: $1.8 Billion Net Inflows
ETF Assets Stand at $1.2 Trillion, up 12% YTD
One ETF Launch Last Week
No News Items Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs generated net inflows for the third consecutive week ($1.8 bln last week)
Net inflows last week were led by US Small- & Micro-Cap ETFs ($1.3 bln net inflows), while US Sector & Industry ETFs posted
the largest net outflows ($1.3 bln net outflows)
ETF assets stand at $1.2 tln, up 12% YTD; ETFs have posted only one week of net outflows YTD
13-week flows were mostly positive among asset classes; combined $48.5 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (30 straight weeks of net inflows)
Currency ETFs have exhibited the largest net outflows over the past 13 weeks; market cap has declined about 18% over thepast 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Russell 2000 Index Fund (IWM) posted net inflows of $1.6 bln last week, the most of any ETF
IWM’s net inflows last week followed a stretch of 3 straight weekly net outflows ($2.8 bln in net outflows over that period)
The SPDR Barclays Capital High Yield Bond ETF (JNK) posted net outflows for the first time in 15 weeks; high yield bond
ETFs have been one of the beneficiaries of the "risk on" trade and yield chasing
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 2/29/12
SPDR S&P 500 ETF (SPY) posted the largest increase in USD short interest for the 2nd consecutive period
Despite SPY’s increase in shares short, SPY’s shares short are still well below their all-time high reached on 9/15/11
ProShares Ultra Silver (AGQ) posted the largest drop in USD short interest since last updated; AGQ’s decline is noteworthy
because it only has a market cap of $915 million (typically larger funds account for the biggest changes in this exhibit)
Financials-focused ETFs make up 3 of the 10 most heavily shorted ETFs (shares short/shares outstanding)
The average shares short/shares outstanding for ETFs is currently 5%
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 3/9/12 based on daily change in share counts and daily NAVs.
$8.1 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched US Dividend Income ETFs generated most net inflows at $725 mln
65 new ETF listings and 8 closures YTD; at this point last year, only 35 ETFs had come to market
Over past year, many of the successful launches have an income/dividend orientation
6 different ETF sponsors and 2 asset classes represented in top 10 most successful launches
Northern Trust has 3 ETFs that occupy the list of the top 10 most successful launches over the past year (FlexShares ETFs)
Top 10 most successful launches account for 60% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
SEI Selected To Provide Operational Outsourcing For New Turnkey ETF Platform Offered By Exchange Traded Concepts
Company’s Distribution and Operational Depth Critical Part of New Platform to Help Managers Quickly Launch ETFs
March 13, 2012--SEI today announced that it has been selected by Exchange Traded Concepts (ETC) to provide a comprehensive suite of back-office services for the firm’s recently launched turnkey ETF platform.
SEI will be the distribution and operational engine behind the ETC platform, which is designed to help investment managers enter the growing ETF market quickly without the large capital expenditure typically associated with building an institutional-quality infrastructure.
Yorkville ETF Advisors, LLC will be the first firm to launch an ETF, the Yorkville High Income MLP ETF, on ETC’s platform. SEI will provide operational outsourcing for Yorkville ETF Advisors, LLC and subsequent managers who launch on ETC’s platform. SEI will also provide ETC with a complete outsourcing solution that includes back-office services such as fund administration, fund accounting, and investor servicing, and offer an index receipt agency and custody solutions. Leveraging off its significant market share, SEI will also provide distribution services, daily and monthly portfolio measurement, and authorized participant (AP) processing in a straight-through electronic processing environment. SEI’s flexible infrastructure, its deep ETF sector expertise, and trading support for over 55 percent of the U.S. ETF market were highlighted as the key decision factors in ETC’s selection.
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Source: SEI
State Street Launches Media Center for Key Economic and Market Sentiment Indicators
March 13, 2012--State Street Global Markets, the investment research and trading arm of State Street Corporation (NYSE: STT), today announced the launch of an online media research center that will provide timely access to select economic indicators including inflation indices for the US and Argentina and global investor confidence.
The new website will function as a media resource for direct access to the State Street PriceStats Inflation Indices for the United States and Argentina, available on a daily basis as well as State Street’s monthly Investor Confidence Index for North America, Asia-Pacific and Europe. The Argentina Index was the inaugural country specific inflation indicator developed by PriceStats in 2007; and beginning on February 25th, the Economist magazine began incorporating it into their weekly summary of country economic statistics in place of the Argentine government’s official Consumer Price Index (CPI) releases. The US Inflation index has also proven to anticipate short-term trends in inflation.
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Source: State Street Corporation
