P4: ETF Funds: Latest Developments for Risk Management and Investment

Investment Symposium March 2012 P4: ETF Funds: Latest Developments for Risk Management and Investment Allan Levin Steve Mickle Moderator Allan Levin Deutsche Bank Fixed Income Exchange Traded Products March 2012 FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION Fixed Income ETFs Overview — Exchange Traded Funds are listed investment funds, just like stock — Fixed Income ETFs allow investors to obtain exposure to various indices and market sectors through a cash investment. — Much of the liquidity in ETFs is generated by Authorized Participants (“APs”) who have the ability to create shares of a fund and pass them on to investors. Some Notable ETF Providers iShares PowerShares StateStreet Vanguard ProShares Direxion Deutsche Bank Available Asset Classes Treasury Inflation Agency MBS Corporate Specialty Products Multi-Sector Inverse & Leveraged Deutsche Bank Allan Levin Investment Symposium / 26 March 2012 FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION 1 Fixed Income ETP Market has been Growing Rapidly Now make up about 20% of the US ETF Market Deutsche Bank 3/15/2012 2:16:34 PM Allan Levin Investment Symposium / 26 March 2012 FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION 2 2010 DB Blue template Some of the Largest ETFs are Fixed Income Six of the Largest 20 ETPs are Fixed Income ETFs Deutsche Bank 3/15/2012 2:16:34 PM Allan Levin Investment Symposium / 26 March 2012 FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION 3 2010 DB Blue template US ETPAUM by Investment Focus – Fixed Income Approximately $210 Billion in Total as at February 2012 Market Share Govt/Corp 6.2% Mortgage 2.3% Muni 4.8% Inflation 13.0% High yield 13.3% Source: Deutsche Bank, BlackRock Investment Institute, Bloomberg, Reuters Active 1.0% Government 21.0% Aggregate 14.5% Convertible 0.4% Corporate 20.0% Emerging markets 3.6% Deutsche Bank 3/15/2012 2:16:34 PM Allan Levin Investment Symposium / 26 March 2012 FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION 4 2010 DB Blue template Sample of Active Fixed Income ETFs Selected Large Fixed Income ETFs Sector Total AUM $Bn Largest AUM $Bn ADV $mm Aggregate Corporates High Yield Inflation EM Mortgage Muni Treasury Gov’tCorp 30 AGG 14.8 130 42 LQD 19.8 205 28 HYG 14.3 271 27 TIP 22.5 150 8 PCY 1.5 19 5 MBB 4.7 46 11 MUB 2.8 41 44 TLT* 3.3 903 13 BSV 7.6 54 * TLT has the largest ADV, but has lower AUM than SHY ($10.5Bn) Source: BlackRock Investment Insitute, Bloomberg Deutsche Bank 3/15/2012 2:16:34 PM Allan Levin Investment Symposium / 26 March 2012 FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION 5 2010 DB Blue template 2011 Exceptional Growth in Fixed Income ETPs Strong Flows into Corporate ETFs — $48bn of new asset gathering in the US — $22bn of Inflows into Corporate Debt (esp IG), $9.5bn into Agg., $6bn into EM — ETFs received 2.8x higher flows than the ten-fold larger mutual fund industry — 42 New Fixed Income ETFs Listed in the US in 2011. Launches included Inflation-linked, International & Actively Managed Source: BlackRock Investment Institute, Bloomberg, National Stock Exchange (NSX), Deutsche Bank Deutsche Bank 3/15/2012 2:16:34 PM Allan Levin Investment Symposium / 26 March 2012 FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION 6 2010 DB Blue template 2011 was an Excellent Year for Treasuries & TIPS Eight of the Ten Best Performing ETPs (14 of the 20 Best ETPs) TOP 20 ETPs by performance ETP Name 2011 Issuer Asset Class Ticker TER Perf% PowerShares DB 3x Long 25+ Year Treasury Bond ETN Deutsche Bank AG Fixed Income ETN LBND US 0.95% 117.80% Daily 30-Year Treasury Bull 3X Direxionshares Fixed Income ETF TMF US 0.95% 107.60% Daily India 2x Bear Shares Direxionshares Equity ETF INDZ US 0.95% 78.70% ProShares Ultra 20+ Year Treasury PIMCO 25+ Year Zero Coupon U.S. Treasury Index Vanguard Extended Duration ETF iPath US Treasury 10-year Bull ETN Daily 10-Year Treasury Bull 3X iPath US TSY Long Bond Bull ETN ProShares PIMCO Vanguard iPath (Barclays) Direxionshares iPath (Barclays) Fixed Income ETF UBT US Fixed Income ETF ZROZ US Fixed Income ETF EDV US Fixed Income ETN DTYL US Fixed Income ETF TYD US Fixed Income ETN DLBL US ... - tailieumienphi.vn