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May 2013 - Global S&L ETF / ETP Report

Friday 31st May '13


Global Assets Under Management 

  • The global Short & Leveraged (S&L) ETP industry grew further in May, with AUM up $690 million or 1.4%. 
  • YTD, global S&L ETP AUM is up $5.1 billion or 12% to $49.3 billion (as of May 31st 2013) 
  • 58% of AUM is held in short products with leverage factors ranging between -1x to -3x. However the leverage factor with the most assets is +2x, with 33% of AUM. 42% of AUM is held in long products with leverage factors ranging between +1.5x to +3x 
  • In terms of S&L asset allocation, equity ETPs are by far the most popular with 66% of AUM, followed by Debt with 20% and Commodities with 9% 
  • The largest individual S&L ETPs are short US treasuries and long US equities 

Short & Leverage Equities (Global) 
  • Currently there is $32.7 billion of AUM held in S&L equity ETPs of which 51% is held in long ETPs and 49% is held in short ETPs 
  • S&L equity ETPs experienced $451 million of outflows in May, with US, European and South Korean equities were the major losers. YTD however, net flows totalled $3.8 billion
  • Since the start of the year, there has been a relatively constant decline in long equity positions and an increase in short equity positions
  • May was no different with outflows of $1.2 billion from long equity ETPs and inflows of $715 million into short equity ETPs. This translates to $4 billion net short flows in May (after taking leverage factor into account)
  • The major outlier has been Japan, which experienced $570 million of inflows, primarily into long ETPs 
Short & Leverage Equities (Europe)

Currently there is $4.2 billion of AUM held in S&L equity ETPs tracking Europe or European countries of which 42% is held in long ETPs and 58% is held in short ETPs, with the largest positions being in German, French, Italian and broad European equities
S&L European equities experienced $267 million of outflows in May. France, Russia and Sweden were the biggest losers
Investors are becoming more bearish in the major European equity markets. Italian and Spanish equities also turned, after becoming increasingly bullish for the first few months of the year 

Short & Leverage Debt (Global)
  • Currently there is $10.0 billion of AUM held in S&L debt ETPs of which 13% is held in long debt ETPs and 87% is held in short debt ETPs
  • There was $1.2 billion of inflows into debt ETPs in May with $2.1 billion of net inflows YTD
  • Despite investors expecting interest rates to rise, $1.1 billion (92%) of the inflows in May were attributable to long debt ETPs. This is in stark contrast to the earlier months, where long debt ETPs suffered outflows and short debt ETPs experienced inflows
  • US debt holds the largest amount of AUM, with German and European debt a distant second and third. The Lyxor Double Short Bund ETF is the largest S&L ETP in Europe 
  • All the main debt ETP markets are net short, consistent with investor’s expectation of an increase in rates 
Short & Leverage Commodities (Global)
  • Currently there is $4.2 billion of AUM held in S&L commodity ETPs of which 55% is held in long commodity ETPs and 45% is held in short commodity ETPs
  • There was $238 million of inflows into commodity ETPs in May, consisting of $63m outflows from long commodity ETPs and $301 million of inflows into short commodity ETPs. YTD, there has been $208 million of net inflows
  • The S&L commodity ETPs with the most assets are those on gold, silver, oil and natural gas 
  • Precious Metals: S&L gold ETPs have seen the largest increase into short ETPs, with outflows from long gold ETPs (equivalent to net notional flows of $287m short after leverage is taken into account). Despite often being associated with gold, silver was bullish, seeing $133m net long flows in May
  • Energy: long oil ETPs saw outflows while short oil ETPs saw inflows in May, equivalent to net short flows of $501 million. Natural Gas experienced net long flows of $127m 
  • Silver has the largest net long position while copper has the largest net short position

If you would like a copy of the full report, please click here.