Boost: Short & Leveraged ETFs/ETPs Global Flows Report

Global Assets Under Management: The total global AUM of Short & Leveraged (S&L) ETPs at the end of November 2014 is $58 billion, down 5% from the end of October and flat from the end of December 2013…

•  45% of AUM is held in short products with leverage factors ranging between -1x to -3x.  55% of AUM is held in long products with leverage factors ranging between +1.5x to +3x. The leverage factor with the most assets is +2x, with 36% of AUM.   

•  In terms of S&L asset allocation, equity ETPs are the most popular with 69% of AUM, followed by debt with 16% and commodities with 6%. The remainder is allocated between currency and alternative ETPs.

•  The largest individual S&L ETPs are short US government debt and leveraged US equities.

Short & Leverage Equities: Global

•  Currently there is $40.1 billion of AUM held in S&L equity ETPs, a decrease of 4.7% from October. 67% of equity ETPs globally is held in leveraged (long) ETPs, 33% in short ETPs.  

•  AUM in S&L US equity ETPs (including Size and Style but excluding Sectors as objective4) was $16.3 billion. US

sector focused equity ETPs had $6 billion in AUM.  

•  Investors selling long ETPs drove the $2.5 billion of outflows in S&L equity ETPs globally, a stark reversal from previous month’s inflows of $3 billion.

•  The outflows amounted to $1.6 billion from Japanese equities, $451 million from US equities and $335 million from South Korean equities. For Japan and South Korean equities, the bearish ETP flows represent a reversal from investors’ bullish repositioning in October.

Short & Leverage Equities: Europe

•  Currently there is $5.8 billion of AUM held in S&L equity ETPs tracking Europe (including Size and Style but excluding Sectors as objective5), of which $2.3 billion is tracking Europe as a region while $3.5 billion tracks European country focused markets. The AUM of ETPs tracking European equity sectors is only $70 million.

•  Sentiment in European country focused equity ETPs was bearish, marked by $195 million outflows from long ETPs and $139 million inflows into short ETPs. The direction of flows contrast previous month’s bullish repositioning.

•  French, German, Italian and Swedish equity ETPs saw a combined $182 million outflows from long ETPs and a combined $139 million inflows into short ETPs.  

•  The bullish positioning in Russian equities, marked by inflows into long ETPs and outflows from short ETPs, suggests S&L investors to have positioned as contrarians to take advantage of the depreciation of the rouble.

Short & Leverage Debt: Global

•  The AUM of S&L debt ETPs globally is currently $9.3 billion and is down 10% from October and 19% from the end of December. With 97% of AUM held in short ETPs, S&L investors remain overwhelmingly bearishly positioned in debt.

•  $6.5 billion of ETPs track US focused debt, which is 70% of AUM tracking debt globally. This is followed by Europe with $1.6bn, or a share of 18%, most of which is focused on German government debt. The remaining 12% of AUM in S&L debt ETPs is allocated in debt of Asia and Middle East.

•  $8.3 billion in debt ETPs is government debt and $0.7 billion is corporate debt and preferred stock. The remaining $0.3 billion in AUM is held as a blend of government and corporate debt and alternative (sector focused) debt.

•  Unsure about the direction of US interest rates, S&L investors redeemed $362 million of long ETPs and $254 million of short ETPs tracking US debt. Contrasting the outflows from US debt ETPs were the $47 million inflows



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