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Transcript of Weekly Flow Report 20100901
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Copyright 2010 TrimTabs Investment Research. All rights reserved.
WEEKLY FLOW REPORT
CHARLES BIDERMAN
CHIEFEXECUTIVEOFFICER
VINCENT DELUARD
JAMES PADINHA
SEPTEMBER1,201
VOLUME 7,NUMBER1
+1(415)331-440
Love and Loathing on Main Street
TrimTabs Demand Index Hits New Interim High on August 30Mutual fund investors continue to spit up stocks and inhale bonds. U.S. equity mutual funds redeemed $14.8 billion (0.4% assets) in August, the fourth straight monthly outflow, even though the S&P 500 returned a beefy 6.9% in July. Bond mutufunds hauled in $32.0 billion (1.3% of assets), the largest inflow since March. Bond funds posted an inflow of at least $billion (0.8% of assets) in all but one month since April 2009.
ETF investors are bearish. U.S. equity ETFs redeemed $12.4 billion in August, the largest outflow since January, and 2leveraged short U.S. equity ETFs posted an inflow of 1.2% of assets in the past week. From a contrarian perspective, the flows are bullish. Hedge fund managers, however, are not. Only 17% of the 104 managers we surveyed in the past twweeks are bullish on the S&P 500, sharply lower than 34% in our previous survey. Meanwhile, cash as a share of equmutual fund assets sits at a fresh record low, and short interest increased in August for the first time since June. There ougto be a proverb about dark hours and dawn.
The TrimTabs Demand Index (TTDI), which uses the relationship between 21 flow and sentiment variables and S&P 50returns to time the market, hit a new interim high of 92.4 on Monday, August 30 (readings greater than 50 are bullish). U.equity ETF outflows (a bullish contrary indicator), a record low cash balance at equity mutual funds (a bullish leadinindicator), and a low level of retail money market fund assets (a bullish leading indicator) are juicing the index.
U.S. Equity Mutual Funds Continue to Bleed. ETF Investors Dump Longs and Add Shorts (Bullish from a Contrarian
Perspective). Mom and Pop Love Bonds Even More Than They Loathe Stocks.
Retail investors loathe domestic stocks. U.S. equity mutual funds posted an outflow of $4.2 billion (0.1% of assets) in tweek ended August 25remarkably, this marks the eighteenth straight weekly outflowand we estimate they redeeman additional $4.5 billion (0.1% of assets) on the following four trading days. Even the S&P 500s beefy 6.9% Ju
increase did not lure investors to feed in August
equity funds shed $14.8 billion (0.4% of assets) for the month. The hamom and pop have for stocks is hardly new. Equity mutual funds posted only three monthly inflows in the past yeThey also posted three straight annual outflows between 2007 and 2009, and they are on track to do so again in 2010.
Only 21% of respondents to the latest American Association of Individual Investors survey are bullish on stocks, mulower than the long-term average of 39%. About half of respondents are bearish, sharply higher than the long-teraverage of 30%.
ETF investors, too, are bearish. U.S. equity ETFs redeemed $12.4 billion in August, the largest outflow since January, an2X leveraged short U.S. equity ETFs posted an inflow of 1.2% of assets in the past week. Our research shows that ETflows are an excellent leading contrary indicator; that ETF investors are dumping longs and adding shorts is bullish fequities. Meanwhile, TLT posted a huge outflow (10.6% of assets) in the past week, while XLU posted a heavy inflo(7.4% of assets).
Retail investors are smitten with bonds. Bond mutual funds posted an inflow of $7.2 billion (0.3% of assets) in the weended August 25, the eighth straight $5+ billion weekly inflow, and we estimate they took in an additional $5.2 billi
(0.2% of assets) on the following four trading days. These funds hauled in $32.0 billion (1.3% of assets) in August, tlargest inflow since March, and they have posted an inflow of at least $20 billion (0.8% of assets) in all but one monsince April 2009.
Long-Term Treasury bond funds posted a fat inflow of 1.5% of assets in the past week, while Specialty-Precious Metequity funds posted a heavy inflow of 0.7% of assets. Light bulbs tempt moths, and the performance of these funds shin
brightly. The former are up a phenomenal 20.0% this year, and the latter are up a terrific 18.5%.
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NYSE Short Interest Increases for First Time since June. Cash as Share of Equity Mutual Fund Assets Hits Record Low
Short interest at New York Stock Exchange (NYSE) member firms increased 0.4% (59 million shares) in the first half August, the first increase since June, after decreasing to the lowest level since January in the second half of July. Shointerest is typically a contrary indicator, so short sellers increasing bets for the first time in two months is bullish.
Margin debt at NYSE member firms increased 2.1% ($4.8 billion) in July after decreasing 2.2% ($5.1 billion) in June. TJuly increase of 2.1% is much smaller than the S&P 500s increase of 6.9%. We reckon margin debt increased in Auguin response to the markets surge in July.
Cash as a share of equity mutual fund assets fell to 3.4% in July, a record low. It did not drop solely because stock pricrebounded. Cash holdings fell $3.5 billion, or 2.0%, to $169.6 billion. Mutual fund cash is historically a leading indicato
Hedge Funds Post Estimated Outflow of $2.9 Billion in July. Fixed Income Funds Extend Fantastic Run.
Based on a survey of 954 funds, we estimate that hedge funds posted an outflow of $2.9 billion (0.2% of assets) in Juafter redeeming $2.7 billion (0.2% of assets) in June. Flows are typically quiet in August, but we expect redemptions resurface in September. Hedge funds have posted an inflow of only $1 billion in 2010 after redeeming $172 billion 2009 and $150 billion in 2008. We boldly forecast that the lost $321 billion will not return anytime soon.
Funds of hedge funds redeemed $670 million (0.1% of assets) in July. Funds of funds posted only five inflows in the pa
25 months, and assets sit at the lowest level since February 2005. Funds of funds are performing poorlythey are dow0.1% in 2010, while hedge funds are up 1.8%.
Commodity trading advisors (CTAs) are faring much better. They posted an inflow of $3.9 billion (1.7% of assets) July, the fifth straight inflow as well as the twelfth in 14 months. CTAs sport a year-to-date return of 3.2%.
Strategy choices show that hedge fund investors were risk averse in July. Emerging Markets funds redeemed $1.9 billi(1.0% of assets), the third straight outflow. Distressed Securities funds, which also exhibit high volatility, posted outflow of $800 million (0.7% of assets).
On the other end of the spectrum, Fixed Income funds remain popular. These funds posted an inflow of $1.2 billion (0.8of assets) in July, the fifth inflow in six months as well as the second-largest inflow (Event Driven) of any strategy. Floware clearly chasing standout performance. Fixed Income funds are up 7.7% in 2010, far and away the best performance any hedge fund strategy, and they posted a negative return in only one of the past 19 months.
The consolidation of the hedge fund industry continues. Mega funds (those with greater than $5 billion in assets) haposted an inflow of $7.7 billion in 2010, while very small funds (those with less than $200 million in assets) have postean outflow of $18.3 billion (15.7% of assets). Nearly all the money that very small funds took in between January 20and July 2008 evaporated in the past two years.
Only 17% of the 104 hedge fund managers we surveyed in the past two weeks are bullish on the S&P 500, down fro34% in our previous survey. Bearish sentiment skipped to 47% from 33%.
Hedge fund managers are upbeat on 10-year Treasuries. Bullish sentiment clocks in at 36%, while bearish sentiment reaonly 17%. Managers are split about the U.S. dollar, and most want the Bush tax cuts extended to all taxpayers.
ContentsSpecial Focus: Hedge Funds Post Estimated Outflow of $2.9 Billion (0.2% of Assets) in July 2010.....Funds of Hedge Funds Continue to Struggle. CTAs Sport Year-to-Date Return of 3.2%..................... ........ .............4Extremely Cautious Managers Miss Julys Rally. Hedge Fund Performance and Market Returns Show Disconnect...5
Investors Risk Averse in July. Fixed Income Funds on Fire. Hedge Fund Industry Continues to Consolidate.
Data Tables and Graphs ...........................................................................................................................................................Mutual Fund and Exchange-Traded Fund Flows .............................................................................................................................................Futures Flows ................................................................................................................................................................................................ Hedge Fund Flows ......................................................................................................................................................................................... Short Interest ..................................................................................................................................................................................................Demand Index ................................................................................................................................................................................................
Datasets and Research Notes .........................................................................................................................................................................
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Hedge Funds Post Outflow of $2.9 Billion (0.2% of Assets) in July. Industry Assets Sink to Eight-Month Low.
Based on a survey of 954 hedge funds, we estimate that the hedge fund industry posted an outflow of $2.9 billion (0.2% oassets) in July after redeeming $2.7 billion (0.1% of assets) in June. Industry assets fell for the third straight month to land $1.53 trillion, the lowest level since November 2009. Assets sit 4.0% south of the recent peak of $1.60 trillion in Apbecause performance has been poor. The industry posted negative returns of 3.2% in May and 0.8% in June and got baonly 1.5% in July.
Hedge fund flows are typically quiet in August. We project redemptions will resurface in September, which is historicalone of the worst months of the year for flows. Hedge funds have posted an inflow of only $1 billion in 2010 after redeemin$172 billion in 2009 and $150 billion in 2008. We boldly forecast that the lost $321 billion will not return anytime soon.
Funds of Hedge Funds Continue to Struggle. CTAs Sport Year-to-Date Return of 3.2%.
We estimate that funds of hedge funds redeemed $670 million (0.1% of assets) in July after posting an inflow of $341 millioin June. Funds of funds posted only five inflows in the past 25 months, and assets sit at the lowest level since February 200Funds of funds are performing poorly. They are down 0.1% in 2010, while hedge funds are up 1.8%.
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1,600
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2,000
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-250
-200
-150
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-50
0
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$Bil
lion
$Bil
lion
Hedge Funds Assets, Flows, and Performance
Flows (LHS)
Net Performance (LHS)
Assets (RHS)
-80
-60
-40
-20
0
20
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-8%
-6%
-4%
-2%
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Jan-07 Mar-07 May-07 Jul-07 Sep-07 Nov-07 Jan-08 Mar-08 May-08 Jul-08 Sep-08 Nov-08 Jan-09 Mar-09 May-09 Jul-09 Sep-09 Nov-09 Jan-10 Mar-10 May-10 Jul-10
$
Billion
Funds of Hedge Funds: Flows and Returns
Flows
Returns
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Commodity trading advisors (CTAs) are faring much better. They posted an inflow of $3.9 billion (1.7% of assets) in Julthe fifth straight inflow as well as the twelfth in 14 months. CTAs hit a new high-water mark in June and sport a year-to-dareturn of 3.2%.
Extremely Cautious Managers Miss Julys Rally. Hedge Fund Performance and Market Returns Show Disconnect.
Hedge fund performance and market returns showed a disconnect in recent months. The S&P 500 plunged 13.6% in Mand June, while hedge funds were down only 3.9%. The S&P 500 rebounded 6.9% in July, while hedge funds returned on1.5%. The chart below plots rolling 12-month betas to illustrate this disconnect. The betas of Equity Long-Short funds aEquity Long Bias funds fell to nil and 0.46, respectively, in July.
-12%
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
Jan-07 May-07 Sep-07 Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10
CTAs: Flows and Returns
Flow/Assets
Return
-0.20
0.00
0.20
0.40
0.60
0.80
1.00
Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10
Twelve-Month Correlation between Hedge Fund Flows and Returns
Equity Long Bias
Equity Long Short
Equity Market Neutral
Hedge Fund Industry
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These results square with our sentiment surveys, which showed neutral to bearish sentiment on equities in the past thremonths, and with Commitments of Traders reports, which show a neutral position on E-mini S&P futures. Similarly, tdecrease in margin debt in the past four months proved larger than the decrease in the S&P 500, which suggests many fundlevered down.
We attribute the caution to two factors. First, policymakers are not the only market participants who feel the economoutlook is unusually uncertain. Our sentiment surveys reveal that hedge fund managers have particularly muddy viewabout inflation, economic growth, and monetary policy. Second, it was only recently (April) that the hedge fund industfinally recovered fully from the 2008 bloodbath. Many managers had to get by without performance fees for two years, they might be anxious to preserve even small gains.
But managers will have to put their cash to work if they aim to attract fresh coin. The results of our August sentiment survhave us wondering if managers will be placing bets primarily from the short side.
Investors Risk Averse in July. Fixed Income Funds on Fire. Hedge Fund Industry Continues to Consolidate.
Strategy choices show that hedge fund investors were risk averse in July. Emerging Markets funds redeemed $1.9 billi(1.0% of assets), the third straight outflow. Distressed Securities funds, which also exhibit high volatility, posted an outfloof $800 million (0.7% of assets).
On the other end of the spectrum, Fixed Income funds remain popular. These funds posted an inflow of $1.2 billion (0.8% assets) in July, the fifth inflow in six months as well as the second-largest inflow (Event Driven) of any strategy. Flows aclearly chasing standout performance. Fixed Income funds are up 7.7% in 2010, far and away the best performance of ahedge fund strategy, and they posted a negative return in only one of the past 19 months.
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J-09 F-09 M-09 A-09 M-09 J-09 J-09 A-09 S-09 O-09 N-09 D-09 J-10 F-10 M-10 A-10 M-10 J-10 J-10 A-10
S&P500Close
NetLongP
ositionofSpeculativeTradersasa%
OpenInterest
Net Position of Speculative Traders on E-Mini S&P 500 Futures
Net Position of Speculative Traders
S&P 500
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The hedge fund industry has recently been consolidating. Mega funds (those with greater than $5 billion in assets) haposted an inflow of $7.7 billion in 2010, while very small funds (those with less than $200 million in assets) have posted outflow of $18.3 billion (15.7% of assets). Nearly all the money that very small funds took in between January 2000 aJuly 2008 evaporated in the past two years.
4.4%
1.9%
3.6%
-0.4%
-0.8%
-0.4%
-0.1%
1.8%
7.7%
-0.4%
2.5%
3.7%
3.1%
-1.9%
-4% -2% 0% 2% 4% 6% 8%
Convertible Arbitrage
Distressed Securities
Emerging Markets
Equity Long Bias
Equity Long Only
Equity Long-Short
Equity Market Neutral
Event Driven
Fixed Income
Macro
Merger Arbitrage
Multi-Strategy
Other
Sector Specific
Hedge Fund Returns
2010 Year-to-Date
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Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10
$Bil
lion
Cumulative Hedge Fund Flows by Size Bracket
Less than $200 Million
$200 million to $500 million
$500 million to $1 bn
$1 bn to $2 bn
$2 bn to $5 bn
Above $5 bn
-0.3
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-20 -15 -10 -5 0 5 10 15
Convertible Arbitrage
Distressed Securities
Emerging Markets
Equity Long Bias
Equity Long Only
Equity Long-Short
Equity Market Neutral
Event Driven
Fixed Income
Macro
Merger Arbitrage
Multi-Strategy
Other
Sector Specific
$ Billion
Hedge Fund Flows
2010 Year-to-Date
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Mutual Fund and ETF Flows 1 of 5
All data are as of Tuesday, August 31, 2010
MF Flow ETF Flow MF Flow ETF Flow MF Flow ETF Flow MF Flow ETF Flow
2005 135.6 49.6 30.8 26.4 104.8 23.2 31.3 6.8
2006 159.5 54.3 11.0 29.8 148.5 24.5 60.6 5.1
2007 94.5 125.5 -43.4 81.6 137.9 43.9 111.6 12.6
2008 -245.1 140.1 -162.4 120.8 -82.7 19.4 33.8 20.6
2009 17.3 22.0 -32.5 -13.5 49.8 35.5 467.2 48.5
2010 YTD -15.2 5.1 -42.1 -11.2 26.9 16.3 215.1 22.4
Last Twelve Months -39.4 38.9 -85.9 4.4 46.5 34.4 370.8 35.4
Aug-09 3.9 2.9 -2.0 3.8 5.9 -0.9 42.9 2.8
Sep-09 -10.5 0.5 -11.3 -2.2 0.7 2.7 47.5 3.6
Oct-09 -7.1 3.3 -14.9 -4.1 7.8 7.4 45.9 2.5
Nov-09 -2.8 6.0 -8.8 1.6 6.0 4.4 36.2 4.5
Dec-09 -3.8 23.9 -8.9 20.3 5.1 3.7 26.1 2.5
Jan-10 16.9 -19.2 6.8 -19.9 10.1 0.7 27.3 2.6
Feb-10 0.7 1.6 -4.5 4.3 5.1 -2.7 26.6 2.2
Mar-10 11.5 12.7 3.1 11.0 8.4 1.7 37.2 4.0
Apr-10 13.2 7.1 5.0 2.3 8.2 4.8 28.1 1.3
May-10 -24.8 1.0 -19.1 -0.5 -5.7 1.5 14.5 1.4
Jun-10 -5.6 5.6 -7.5 3.8 1.9 1.8 20.6 4.8
Jul-10 -10.4 4.4 -11.1 0.3 0.7 4.2 30.0 4.6
Aug-10 MTD -16.6 -8.2 -14.9 -12.4 -1.8 4.2 30.8 1.5
Last Week (Est.) -7.0 0.6 -4.7 0.8 -2.3 -0.2 7.0 0.4
Notes:
Mutural Fund Flow (est) is a TrimTabs estimate based on i) flows tracked via TrimTabs dail y survey, ii) market returns,
Flow = (Assets(t))-(Asset(t-1)*(NAV(t)/NAV(t-1))).
All Equities US Equities Int. Equities Bonds$ billions
-30%
-25%
-20%
-15%
-10%
-5%
0%
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20%
%o
fAssets
Trackable Mutual Funds: Cumulative Flows to Total AssetsQ3 2008 to Date
US INTL BOND
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Mutual Fund and ETF Flows 2 of 5
-5,000
0
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Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10
$millions
Long ETF: Cumulative Flow by Asset Class
US INTL Bond Commodity
-500
0
500
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Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10
$millions
Short ETF: Cumulative Flow by Asset Class
US INTL Commodity
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Mutual Fund and ETF Flows 3 of 5
All data are as of Tuesday, August 31, 2010
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From - 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To - 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
US Equities Funds 2,515 445,990 -1,684 -0.4% -993 -487 -369 -188 838 -782
International Equities Funds 630 87,179 -642 -0.7% -243 -155 -236 -143 -72 -101
Fixed-Income Funds 917 224,657 2,759 1.2% 863 806 675 1,058 564 714
Municipal Bond Funds 504 103,347 955 0.9% 257 361 234 303 163 172
Alternative Funds 94 24,050 160 0.7% 125 9 32 7 -9 226
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Specialty-Financial 36 1,520 -3 -0.2% -2 -1 -1 1 2 -2
Specialty-Health 46 2,835 -14 -0.5% -9 -12 -4 4 14 2
Specialty-Natural Res 48 7,750 -6 -0.1% -19 -4 -2 14 -3 0
Specialty-Real Estate 89 10,854 143 1.3% 17 59 38 41 7 1
Specialty-Technology 47 6,187 -27 -0.4% -9 -10 -5 -9 -27 70
Specialty-Utilities 37 4,317 -37 -0.9% -15 -11 -13 -5 -5 -11
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Large Value 345 68,433 -102 -0.1% -127 -102 77 -35 -36 -127
Large Blend 567 141,460 -434 -0.3% -227 -66 -143 -82 563 -256
Large Growth 452 81,975 -486 -0.6% -196 -129 -173 -113 112 -225
Mid-Cap Value 98 14,090 -55 -0.4% -39 -13 -12 7 88 -7
Mid-Cap Blend 112 23,158 -302 -1.3% -135 -92 -46 -41 8 -77
Mid-Cap Growth 194 38,005 -151 -0.4% -79 -25 -68 8 24 -46Small Value 92 8,693 -72 -0.8% -87 3 -7 4 33 -16
Small Blend 138 17,158 -118 -0.7% -66 -44 -10 1 41 -69
Small Growth 214 19,555 -20 -0.1% -1 -38 -2 18 20 -18
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Latin America Stock 9 1,227 -9 -0.7% -7 -1 -1 1 3 2
Japan Stock 23 79 0 -0.2% 0 0 0 0 0 0
Europe Stock 37 2,031 -19 -0.9% -10 -7 -2 -5 -8 -11
Diversified Pacific/Asia 7 295 -6 -2.2% -1 0 -3 -2 -2 1
Pacific/Asia ex-Japan Stk 34 2,821 -56 -2.0% -18 -13 -17 -49 -14 -4
Diversified Emerging Mkts 76 14,981 51 0.3% -20 16 -18 87 103 0
Past 4 Wks
Mutual Funds - By SpecialtyPast 4 Wks
Mutual Funds - By Size and StylePast 4 Wks
Mutual Funds - By Geographic Regions
Past 4 WksMutual Funds - By Category
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Mutual Fund and Mutual Fund and ETF Flows 4 of 5
ETF Flows 4 of 5All data are as of Tuesday, August 31, 2010
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Emerging Markets Bond 23 1,524 19 1.3% 4 6 4 0 9 6
Long-Term Bond 13 1,251 9 0.7% 5 5 2 0 -7 7
Short-Term Bond 104 28,577 784 2.7% 201 260 212 236 118 206
Intermediate-Term Bond 297 88,294 1,071 1.2% 252 342 315 423 208 185
High Yield Bond 132 32,400 454 1.4% 120 130 88 228 144 205
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Bear Market 33 1,425 13 0.9% 12 6 3 1 -20 230
Long-Short 37 13,387 35 0.3% 43 -27 17 -1 17 56
Specialty-Precious Metals 24 9,238 113 1.2% 70 30 12 7 -6 -60
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
US Equities Funds 538 463,605 -12,595 -2.7% -1,745 -1,090 -12,907 2,722 8,421 -2,869
International Equities Funds 150 198,394 3,802 1.9% -880 1,119 960 3,486 1,477 603
Fixed-Income Funds 87 136,355 1,408 1.0% 554 839 223 125 704 1,539
Alternative Funds 80 81,530 1,193 1.5% 442 483 493 1,193 -787 110
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Consumer Discretionary 14 3,424 -233 -6.8% -7 -373 190 -233 39 247
Consumer Staples 11 6,189 -17 -0.3% 113 -12 -52 -17 323 145
Energy 29 14,100 -373 -2.6% 140 -22 -204 -373 119 -29
Financials 41 27,854 9 0.0% 186 349 -80 9 510 -175
Health Care 22 7,812 -475 -6.1% -121 -122 -179 -475 -1 424
Industrials 16 6,119 -526 -8.6% -87 -234 -651 -526 82 511
Information Technology 33 9,610 -507 -5.3% -132 -123 79 -507 94 99
Materials 15 13,923 -590 -4.2% 88 -27 -308 -590 163 -31
Telecommunications 6 1,249 67 5.4% 7 24 36 67 50 0
Utilities 14 5,800 204 3.5% 330 -282 134 204 335 31
ETFs - By Category (Excluding Short ETFs)Past 4 Wks
ETF: By Industry
Past 4 Wks
Mutual Funds - By Fixed-Income TypePast 4 Wks
Mutual Funds - Alternative Mutual FundPast 4 Wks
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Mutual Fund and ETF Flows 5 of 5
All data are as of Tuesday, August 31, 2010
Fund and ETF Flows 4 of 5
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Large Value 23 22,926 -269 -1.2% 71 39 -413 -269 82 29
Large Blend 110 181,537 -13,074 -7.2% 78 -2,589 -9,615 -13,074 3,376 5,619
Large Growth 26 23,340 -129 -0.6% -138 -56 -43 -129 57 61
Mid-Cap Value 10 5,359 -50 -0.9% -17 -14 -15 -50 -41 97
Mid-Cap Blend 25 25,586 96 0.4% 36 4 -340 96 272 270
Mid-Cap Growth 11 5,715 -326 -5.7% -110 -138 -55 -326 -31 113
Small Value 7 3,271 -59 -1.8% -26 0 -24 -59 -13 2
Small Blend 23 10,993 53 0.5% 50 -22 109 53 105 29
Small Growth 7 2,862 -13 -0.5% 36 -11 -44 -13 14 -2
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks AgFrom 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Latin America Stock 6 14,002 223 1.6% 28 20 3 223 136 25
Japan Stock 10 4,410 -496 -11.2% -175 -18 -125 -496 -64 -74
Europe Stock 25 8,748 50 0.6% -29 23 -85 50 89 176
Diversified Pacific/Asia 5 928 -10 -1.1% -1 8 8 -10 0 0
Pacific/Asia ex-Japan Stk 29 31,355 -67 -0.2% -213 -149 18 -67 405 426
Diversified Emerging Mkts 21 75,614 3,286 4.3% 64 1,180 459 3,286 1,533 1,005
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Long-Term Bond 11 29,541 139 0.5% 90 76 48 139 32 160
Short-Term Bond 7 17,988 471 2.6% 393 6 95 471 -90 -191
Intermediate-Term Bond 13 18,288 611 3.3% 96 192 121 611 84 121
High Yield Bond 5 12,264 746 6.1% 145 193 64 746 358 249
Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag
From 3-Aug 24-Aug 16-Aug 6-Aug 29-Jul 22-Jul 14-Jul
To 31-Aug 31-Aug 23-Aug 13-Aug 5-Aug 28-Jul 21-Jul-10
($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow
Bear Market 66 17,336 398 2.3% 180 365 -96 398 101 420
Specialty-Precious Metals 14 64,195 794 1.2% 262 118 589 794 -888 -311
ETFs - Alternative ETFPast 4 Wks
Past 4 Wks
ETFs - By Geographic Regions
Past 4 Wks
ETFs - By Fixed-Income TypePast 4 Wks
ETFs - By Size and Style
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Futures Flows 1 of 2
All data are as of Tuesday, August 31, 2010
$ million Flows Notional Flows Notional S&P 500 V
Thu, Jul 15 -1,271 85,105 -1,227 153,414 0.1% 2.4%
Fri, Jul 16 -549 83,889 -375 152,287 -2.9% 4.4%
Mon, Jul 19 695 81,240 1,724 148,099 0.6% -1.1%
Tue, Jul 20 143 81,988 1,036 149,920 1.1% -7.9%
Wed, Jul 21 -131 83,388 -711 153,254 -1.3% 7.1%
Thu, Jul 22 -391 82,006 -387 150,244 2.3% -3.9%
Fri, Jul 23 15 83,449 -754 153,218 0.8% -4.7%
Mon, Jul 26 759 84,455 -1,428 154,281 1.1% -2.9%
Tue, Jul 27 738 85,897 725 154,100 -0.1% 1.8%
Wed, Jul 28 -241 86,743 -606 155,020 -0.7% 4.6%
Thu, Jul 29 -693 85,815 689 153,186 -0.4% -0.5%
Fri, Jul 30 -690 84,725 -2,423 153,166 0.0% -2.6%
Mon, Aug 2 1,873 84,136 1,023 150,924 2.2% -6.3%
Tue, Aug 3 1,079 87,809 -892 155,177 -0.5% 2.8%
Wed, Aug 4 715 88,614 -667 153,802 0.6% -1.9%
Thu, Aug 5 181 89,828 750 154,001 -0.1% -0.5%
Fri, Aug 6 -101 89,921 292 154,600 -0.4% -1.6%
Mon, Aug 9 281 89,500 -70 154,342 0.5% 1.8%
Tue, Aug 10 -285 90,269 423 155,117 -0.6% 1.0%
Wed, Aug 11 -308 89,511 1,936 154,727 -2.8% 13.5%
Thu, Aug 12 -299 86,428 -232 151,867 -0.5% 1.3%
Fri, Aug 13 -564 85,666 -908 150,824 -0.4% 2.0%
Mon, Aug 16 569 84,856 1,775 149,482 0.0% -0.5%
Tue, Aug 17 472 85,504 1,603 151,396 1.2% -6.8%
Wed, Aug 18 -1,069 86,929 -1,797 154,686 0.1% 1.1%
Thu, Aug 19 599 85,667 3,898 152,548 -1.7% 7.5%
Fri, Aug 20 -4,774 85,052 -1,518 154,284 -0.4% -3.6%
Mon, Aug 23 670 80,202 1,833 152,622 -0.4% 0.7%
Tue, Aug 24 779 85,033 3,493 153,786 -1.5% 7.0%
Wed, Aug 25 903 84,551 216 154,999 0.3% -2.8%
Thu, Aug 26 285 85,841 1,310 155,924 -0.8% 2.5%
Fri, Aug 27 216 85,328 515 155,785 1.7% -10.7%
Mon, Aug 30 170 87,088 802 159,119 -1.5% 11.0%
Tue, Aug 31 116 85,735 2,157 157,138 0.0% -4.0%
S&P 500 E-Minis Market
Futures: Daily Flows into S&P 500 and E-minis Futures
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Futures Flows 2 of 2
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
30.0
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
$b
illion
Number of Days Since Last Expiration
Futures: Cumulative Flows into S&P 500 and E-Minis Futures Contracts
All Maturities, Quarter-to-Date
F lo ws i nto "O n- th e-R un " C on tr ac ts L ast Q uar te r Fl ow s L ast Y ear Fl ow s
March 22 Aug 31
Last Week Two Weeks Ago Three Weeks Ago Four Weeks Ago Five Weeks Ago Six Weeks Ago
24-Aug 18-Aug 11-Aug 4-Aug 28-Jul 21-Jul
$ million 31-Aug 24-Aug 18-Aug 11-Aug 4-Aug 28-Jul
S&P 500 -0.2% -3.9% 0.4% -3.4% 1.9% 3.4%Vix Index -5.1% 11.7% -3.2% 14.3% -8.4% -5.4%
Expiration Month
June 2010 0 0 0 0 0 0
September 20 10 4,517 8,169 -1,270 2,293 -2,584 -1,746
December 2010 1,926 -3,185 798 810 2,601 128
March 2011 28 0 1 0 -7 13
June 2011 220 -3 20 0 5 36
All Maturities 6,691 4,981 -451 3,103 15 -1,569
24-Aug 17-Aug 10-Aug 3-Aug 27-Jul 20-Jul
S&P 500 Futures
Speculative Long 5.3% 6.7% 6.5% 6.3% 6.5% 6.0%
Speculative Short 19.7% 15.6% 12.9% 11.6% 13.3% 16.1%
Hedging Long 71.3% 69.8% 69.2% 69.4% 69.7% 69.8%
Hedging Short 64.1% 63.4% 66.5% 65.7% 62.9% 60.4%
E-minis Futures
Speculative Long 15.1% 13.0% 11.1% 10.4% 11.1% 12.6%
Speculative Short 12.2% 11.2% 11.9% 12.0% 12.1% 12.3%
Hedging Long 76.8% 75.6% 76.9% 76.0% 75.4% 74.4%
Hedging Short 78.8% 79.3% 78.9% 78.4% 77.5% 77.0%
Data are avai labl e on a weekly bas is. All numbers a re the ratios of futures over total open interest.
Futures: Commitments of Traders
Futures: Flow into S&P 500 and E-minis Futures
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Hedge Fund Flows 1 of 2Note: Estimates based on a survey of 954 hedge funds in July.
Hedge Fund Flows by Strategies
Jul-10 Jul-10 Jul-10 Year-to-Date Year-to-Date Year-to-Date Last 12
Months
Last 12
Months
Last 12
Months
Jul-10
$ billion Flow Flow/TNA Return Flow Flow/TNA Return Flow Flow/TNA Return Total As
Convertible Arbitrage -0.4 -1.2% 1.4% -0.3 -1.0% 4.4% 2.1 6.1% 19.6% 3
Distressed Securities -0.8 -0.6% 0.7% 2.2 1.7% 1.9% 11.2 8.7% 16.7% 11
Emerging Markets -1.9 -1.0% 3.3% -2.8 -1.5% 3.6% 2.4 1.2% 25.0% 18
Equity Long Bias 0.2 0.1% 1.9% 4.9 3.4% -0.4% 7.9 5.5% 12.5% 14
Equity Long Only 0.3 0.5% 6.5% 2.2 3.8% -0.8% 2.9 5.0% 17.1% 6
Equity Long-Short -0.4 -0.2% 1.1% -3.7 -2.1% -0.4% 7.4 4.1% 6.3% 17
Equity Market Neutral 0.0 -0.1% 0.0% -0.4 -1.5% -0.1% -0.4 -1.4% 1.4% 3
Event Driven 1.9 0.9% 0.3% 12.4 5.6% 1.8% 17.3 7.8% 16.6% 22
Fixed Income 1.2 0.8% 1.2% 2.6 1.6% 7.7% 6.2 3.8% 21.9% 16
Macro 0.3 0.3% -0.9% 2.2 2.4% -0.4% 6.1 6.6% 5.4% 9
Merger Arbitrage -0.2 -0.9% 1.2% 0.0 0.0% 2.5% 1.3 4.8% 7.9% 2
Multi-Strategy -1.4 -0.9% 0.9% -18.3 -11.0% 3.7% -30.0 -18.1% 12.1% 16
Other -0.5 -2.0% 0.6% -0.3 -1.0% 3.1% 1.5 5.9% 5.4% 2
Sector Specific -0.9 -1.1% 1.8% 0.1 0.1% -1.9% 2.6 3.0% 8.5% 8
Hedge Fund Industry -2.9 -0.2% 1.5% 0.9 0.1% 1.8% 38.3 2.5% 13.3% 153
Funds of Funds -0.7 -0.1% 0.6% -10.9 -2.1% -0.1% -21.0 -4.0% 7.1% 52
CTAs 3.9 1.7% -0.1% 6.3 2.8% 3.2% 22.9 10.1% 4.8% 22
Direct Investment In HF -2.2 11.8 59.3
$ billionHedge Fund
IndustryFunds of Funds All CTAs
March-09 -25.2 -45.6 -4.38
April-09 -44.5 -26.1 -0.87
May-09 5.0 -9.2 -3.55
June-09 -7.3 -11.3 10.86
July-09 -18.2 -6.1 1.80
August-09 17.3 2.8 3.64
September-09 1.3 -6.9 4.00
October-09 6.5 -0.6 3.65
November-09 15.0 4.1 4.20
December-09 -2.6 -9.5 1.14
January-10 -14.9 -9.9 -1.19
February-10 14.8 -0.6 -1.59
March-10 4.3 0.2 1.60
April-10 -2.5 -0.6 0.45
May-10 4.7 0.2 1.85
June-10 -2.7 0.3 1.32
July-10 -2.9 -0.7 3.85
Hedge Fund Flows by Type
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Short Interest Flows 1 of 1
All data are as of August 13, 2010Short Interest Flow
$ billions Russell 3000 S&P 500 Large Core Large Growth Large Value Mid-Cap Core Mid-Cap Growth Mid-Cap Value Small Core Small Growth Small Va
2000 N/A 45.68 N/A N/A N/A N/A N/A N/A N/A N/A
2001 N/A 41.09 N/A N/A N/A N/A N/A N/A N/A N/A
2002 N/A 25.83 N/A N/A N/A N/A N/A N/A N/A N/A
2003 N/A -22.42 N/A N/A N/A N/A N/A N/A N/A N/A
2004 N/A -11.49 N/A N/A N/A N/A N/A N/A N/A N/A
2005 N/A 13.60 N/A N/A N/A N/A N/A N/A N/A N/A
2006 N/A 8.44 N/A N/A N/A N/A N/A N/A N/A N/A
2007 40.47 32.20 9.66 -9.59 6.82 12.50 1.69 11.65 0.98 1.36 6
2008 89.33 56.42 6.27 6.30 24.69 5.31 12.79 15.32 3.55 11.40 3
2009 -49.46 -32.62 -13.24 -8.95 -3.32 -4.88 -6.71 -2.82 -2.99 -3.44 -2
2010 21.08 11.07 2.54 3.03 2.40 1.08 3.31 1.48 3.44 3.21 0
Sep-09 -7.87 -3.78 -2.20 1.27 -1.03 -1.18 -0.98 -1.37 -0.56 -0.99 -0
Oct-09 -9.44 -10.06 -2.46 -0.87 -4.60 -0.37 -0.99 -0.06 -0.55 -0.32 0
Nov-09 -2.37 -8.40 -0.34 -3.18 -4.31 -0.20 -0.33 1.26 1.44 1.75
Dec-09 -9.04 -4.30 -1.66 -2.13 3.63 -1.90 -0.77 -3.26 -0.69 -0.29 -
Jan-10 0.96 -3.63 -3.25 -0.90 1.19 -0.05 -0.88 0.56 1.76 1.38
Feb-10 10.02 4.67 0.88 3.01 -1.60 1.25 1.45 1.14 0.73 1.84
Mar-10 -6.16 -2.76 0.13 -3.13 1.43 0.10 -0.29 -2.19 -0.37 -0.67 -
May-10 -0.28 0.17 0.69 0.24 -0.18 -0.45 0.39 -0.11 0.06 0.33 -0Jun-10 14.51 11.94 3.95 3.56 1.84 1.34 1.79 0.74 0.61 0.39 -0
Jul-10 1.41 0.38 0.42 0.51 -0.42 -1.59 0.50 0.52 0.93 0.16 0
Aug-10 0.62 0.30 -0.28 -0.26 0.13 0.48 0.34 0.82 -0.28 -0.22 -0
3/31/2010 -8.16 -4.24 0.81 -3.32 0.16 -0.57 -1.59 -2.30 0.01 -0.64 -0
4/15/2010 0.05 -0.20 -0.07 0.27 0.00 0.07 -0.22 -0.14 0.13 0.16 0
4/30/2010 -11.05 -5.65 -0.77 -0.60 -0.83 -2.40 -2.31 -2.61 -0.72 -0.59 -0
5/14/2010 0.38 0.21 -0.14 0.09 0.00 -0.35 0.08 -0.01 0.47 0.57 -0
5/31/2010 -0.66 -0.04 0.83 0.15 -0.18 -0.10 0.32 -0.10 -0.42 -0.24 -0
6/15/2010 15.99 12.90 4.10 3.62 1.84 1.28 1.76 0.87 0.44 0.78 0
6/30/2010 -1.48 -0.96 -0.15 -0.06 0.00 0.06 0.03 -0.13 0.17 -0.40 -0
7/15/2010 3.08 0.64 1.11 0.65 -0.57 -1.01 0.98 0.20 0.85 0.47 0
7/30/2010 -1.67 -0.26 -0.69 -0.14 0.15 -0.58 -0.48 0.32 0.08 -0.31 0
8/13/2010 0.62 0.30 -0.28 -0.26 0.13 0.48 0.34 0.82 -0.28 -0.22 -0
Short interest data are available on a bi-weekly basis. All dates reflect t he settlement date. Data bec omes available around two weeks after set tlement date.
Except for S&P 500, data st arts from November 2007
$ billions Do llar Short Days t o Cove r F low -Volume Do llar Short Days t o Cove r F low -Volume Do llar Short Days t o Cove r F low-Volume Do llar Short Days t o Cove r F low-Vo
Consumer Disc retionary 64.30 3.35 0.60% 65.84 3.30 0.26% 65.51 3.05 0.33% 60.60 2.56 -0
Consumer Staples 21.92 2.66 0.10% 21.92 2.66 0.10% 21.96 2.47 0.67% 20.94 2.18 0
Energy 30.61 1.93 -0.56% 30.61 1.93 -0.56% 30.12 1.76 -0.56% 34.17 1.75 0
Financials 67.61 2.88 -0.16% 67.61 2.88 -0.16% 66.17 2.62 -0.09% 64.20 2.22 -0
Health Care 39.34 2.97 0.44% 39.34 2.97 0.44% 40.73 2.95 0.62% 41.42 2.72 0
Industrials 43.38 3.28 0.13% 43.38 3.28 0.13% 42.09 2.99 0.10% 39.85 2.56 -0
Information Tec hnology 62.42 1.94 0.37% 62.42 1.94 0.37% 65.13 1.90 0.46% 59.55 1.63 0
Materials 16.13 2.19 -0.10% 16.13 2.19 -0.10% 15.82 1.94 -0.33% 14.94 1.63 -0
Telecommunications 6.02 2.36 0.23% 6.02 2.36 0.23% 5.88 2.20 0.27% 5.64 1.98 0
Utilities 11.83 3.59 0.71% 11.83 3.59 0.71% 11.62 3.33 0.79% 10.69 2.79 0
Short interest data are available on a bi-weekly basis. All dates reflect the settlement date. Data becomes available around two weeks after settlement date.
6/30/20107/15/20107/30/20108/13/2010
Short Interest by Sector
Ticker Name Ticker Name Ticker Name Ticker Name
NWL NEWELL RUBBERMAID INC FRX FOREST LABORATORIES INC FRX FOREST LABORATORIES INC GENZ GENZYME CORPFRX FOREST LABORATORIES INC FIS FIDELITY NATIONAL INFORMATIO FIS FIDELITY NATIONAL INFORMATIO MCK MCKESSON CORP
FIS FIDELITY NATIONAL INFORMATIO TIF TIFFANY & CO CEG CONSTELLATION ENERGY GROUP FRX FOREST LABORATORIES INC
TIF TIFFANY & CO CEG CONSTELLATION ENERGY GROUP TIF TIFFANY & CO DHR DANAHER CORP
WPO WASHINGTON POST -CL B WPO WASHINGTON POST -CL B ESRX EXPRESS SCRIPTS INC JNS JANUS CAPITAL GROUP INC
CPB CAMPBELL SOUP CO PNW PINNACLE WEST CAPITAL VAR VARIAN MEDICAL SYSTEMS INC ESRX EXPRESS SCRIPTS INC
HSY HERSHEY CO/THE CPB CAMPBELL SOUP CO WPO WASHINGTON POST -CL B MDP MEREDITH CORP
CTL CENTURYTEL INC VAR VARIAN MEDICAL SYSTEMS INC CMA COMERICA INC SWY SAFEWAY INC
WFMI WHOLE FOODS MARKET INC SVU SUPERVALU INC JCP J.C. PENNEY CO INC WPO WASHINGTON POST -CL B
ZMH ZIMMER HOLDINGS INC CMS CMS ENERGY CORP AEP AMERICAN ELECTRIC POWER CTL CENTURYTEL INC
Short interest data are available on a bi-weekly basis. All dates reflect the set tlement date. Data becomes available around two weeks after set tlement date.
Top 10 Highest Shorted Stocks by Flow-Volume Ratio6/30/20107/15/20107/30/20108/13/2010
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Demand Index 1 of 2
The TrimTabs Demand Index Closed at 90.06 on August 31 down from 92.41 on August 30, which is very Bullish.
The TrimTabs Demand Index (TTDI) measures demand conditions on the US stock market. It is bounded between 0 (very bearish) and 100 (very bu
Over the past nine years, it has correlated extremely well with stock prices movements
For more information on the TTDI, contact Vincent Deluard ([email protected])
AAII Sentiment Survey % Bull - % Bear -7.30% 16.90 0.44 -1.49
Hedge Fund Sentiment Survey % Bull - % Bear 0.38% 61.16 0.74 0.85
Equity Mutual Funds Flows Flow/TNA -0.01% 47.03 -0.93 0.26
Bond Mutual Funds Flows Flow/TNA 0.05% 88.99 0.28 1.11
Long Equity ETFs Flows Flow/TNA 0.00% 14.42 -2.94 9.99
Short Equity ETFs Flows Flow/TNA 0.32% 35.40 -1.61 2.25Equity Futures Flows Flow/TNA 0.47% 57.95 0.45 0.37
Level of net Position of Speculative Traders on Equity futures (long-Short)/Open Interest -11.79% 32.21 -0.26 0.44
Change Net Position of Speculative Traders on Equity Futures (long-Short)/Open Interest 1.72% 55.64 -0.68 -0.36
Level of Short Interest on S&P 500 Stocks Stdev Units -0.83 79.17 -0.78 -2.16
Change in Short Interest on S&P 500 stocks % Change -0.24% 66.54 -1.21 -1.91
Put/Call Ratio Level Put/Calls 0.91 21.34 -0.47 1.30
Put Call ra tio Change % Change 1.14% 42.13 -1.03 0.78
Margin Debt % Change 0.00% 47.38 1.76 -0.47
Credit Balance in Margin Account % Change 0.00% 54.65 1.39 0.66
Flows into Hedge Funds Flow/Assets 0.02% 31.70 -0.18 0.31
VIX Index Close Price 24.57 35.21 -0.39 0.55
Individual Investors Active Stock Allocation % Change 0.44% 86.12 0.53 1.95
Retail Money Market Fund Assets $ Billion 725.05 81.49 1.33 4.31
Cash Bala nce of Equity Mutual Funds % of Assets 0.33% 99.96 1.03 5.30
Excess margin Debt % Margin Debt - % SP Ret 0.00% 51.68 1.79 0.31
(1) 2-Month Moving Average
(2) 0= Extreme Fe ar, 100= Extreme Greed
(3) Measured by individually regressing each component against S&P 500 returns since Jan 2000
The TrimTabs Demand Index Closed at 90.06 on August 31 down from 92.41 on August 30, which is very Bullish.
Variable Unit Current Value (1) Indexed Value (2) Regression T-Stat (3) Impact on the Index
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Demand Index 2 of 2
Long Equity ETFs Flows 10
Cash Bala nce of Equity Mutual Funds 5
Retail Money Market Fund Assets 4
Short Equity ETFs Flows 2
Individual Investors Active Stock Allocation 2
Put/Call Ratio Level 1
Bond Mutual Funds Flows 1
Hedge Fund Sentiment Survey 1
Put Call ratio Change 1
Credit Balance in Margin Account 1
VIX Index 1
Level of net Position of Speculative Traders on Equity futures 0
Equity Futures Flows 0
Flows into Hedge Funds 0
Excess margin Debt 0
Equity Mutual Funds Flows 0
Change Net Position of Speculative Traders on Equity Futures 0
Margin Debt -1
AAII Sentiment Survey -2
Change in Short Interest on S&P 500 stocks -2
Level of Short Interest on S&P 500 Stocks -2
Impact of Each Demand Measure on the TTDI on August 31
Demand Measures Bearish Bullish
Long Equity ETFs Flows 14
Cash Bala nce of Equity Mutual Funds 100
Retail Money Market Fund Assets 82
Short Equity ETFs Flows 35
Individual Investors Active Stock Alloc ation 86
Put/Call Ratio Level 21
Bond Mutual Funds Flows 89
Hedge Fund Sentiment Survey 61
Put Call ratio Change 42
Credit Balance in Margin Account 55
VIX Index 35
Level of net Position of Speculative Traders on Equity futures 32
Equity Futures Flows 58
Flows into Hedge Funds 32
Excess margin Debt 52
Equity Mutual Funds Flows 47
Change Net Position of Speculative Traders on Equity Futures 56
Margin Debt 47
AAII Sentiment Survey 17
Change in Short Interest on S&P 500 stocks 67
Level of Short Interest on S&P 500 Stocks 79
How to Read the Above TablesLong Equity ETFs Flows indicate fear, which is bullish for equities.
Change Net Position of Speculative Traders on Equity Futures indicate greed, which is bearish for equities.
Note: we used regression analysis over the past nine years to determine whether greed in each variable was associated with positive stocks' returns
Fear/Greed Reading of Each Demand Measure on August 31
Demand MeasuresFear Greed
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Copyright 2010 TrimTabs Investment Research. All rights reserved.
Annex 1: TrimTabs Datasets
CountryMarket Cap
($T)Companies Start Date IPOs
Secondary Equity
OfferingsInsider Selling Stock Buybacks Takeovers
United States 20 3,000 Jan-98 a a a a a
UK 3.5 3,200 Jun-06 a a a a a
France 2.3 800 Jun-06 a a a a a
Hong Kong 2.2 3,500 Jan-07 a a a a a
Canada 2 3,400 Jan-07 a a a a a
Germany 1.9 1,200 Jan-08 a a a a a
Japan 4.7 2,400 Jan-08 a a a a
Mainland China 3.8 1,700 Jan-08 a a a a
Singapore 0.5 748 Jul-08 a a a a a
India 2.8 3,450 Jul-08 a a a a a
Australia 1.1 1,842 Jul-08 a a a a a
Taiwan 0.6 1,543 Jul-08 a a a a a
Corporate Actions Dataset (L1)17 Exchanges:NYSE, Nasdaq, American Exchange, London, Paris, Frankfurt, Tokyo, Osaka, Hong Kong, Shenzhen, Shanghai, Singapore, ASX, BSX, Taipei, National Stock Exchange and
Toronto
26,000+ Companies, Market Cap: $45.4 Billion as of February 2008
Global Insider Trading Dataset10 Countries, 23,000+ Companies, Market Cap: $31.4 Billion as of July 2008
Exchange Country Market Cap ($T) Companies Start Date Reporting Lag Source Benefits of the Dataset
NYSE,Nasdaq &
Amex
USA 18.1 13,600 Jan-03 1-2 Days SECDuplicate Transactions and option-related
buying is excluded. Aggregation by GICSsector
TSX Canada 1.8 3,710 Jan 06 1-30 DaysSEDI
Not other known source for this data.Aggregation by ICB Sectors
LondonStock
ExchangeUnited
Kingdom
3.2 3,233 Jun-06 1-2 DaysLondon Stock
Exchange
EuronextFrance,
Belgium,Netherlands
3.3 1,022 Jan-06 1-30 Days
AMF, CommissionBancaire, Financiere et
des Assurance, the
AutoriteitFinancialeMarkten
DeustcheBoerse Germany
1.7 851 Jan-07 1-3 Days BAFIN
Hong Kong Hong Kong 2 307 Jan-07 1-3 DaysHKEX
ASX Australia 1.6 1841 Sep-08 1-3 Days ASX
KRX Korea 1 1,809 Sep-08 1-3 DaysKRX
Singapore Singapore 0.5 747 Sep-08 1-3 Days SGX
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*ICI tracks 7,280 funds with total net asset value of $8,057 billion on a monthly basis.
Fund Flows Dataset
Assets of $1.3 Tril. Daily and $13.2 Tril. Monthly
Fund Type Periodicity AUM ($ Billion) Fund Count Start Date Categorization Source Benefits of the Dataset
Mutual Funds Daily685
8% of total2,168 Jan-98 Asset Class,Morningstar
CategoryDaily Survey
Only daily survey of mutual funds.Adjusted for dividends anddistributio n. Smart categorization
Mutual Funds Monthly11,900
80% of total15,163 Aug-07
Asset Class, Style,Industry, Retail vs
Insitiutional,Geographical Focus
Monthly Survey
Covers almost all US-listed mutualfunds. Predicts the ICI number one
week in advance. Full transparencyand smart categorization
(breakdonw between retai l and
instituti onal funds)
ETFs Daily592
95% of total714 Jan-00
Asset Class, Style,Industry,
MorningstarCategory
Daily Survey
Covers almost all US-listed ETFs.
Regular updates for new ETFslistings. Smart categoriza tion: GICS
industry, short vs long ETFs,futures-related, etc
Hedge FundsMonthly, one
month in
arrear
61133% of total
4,313 Jan-0013 Strategies and
SizeBarclayHedge
Database
Covers one third of the hedge funduniverse. Monthly update while
indusrtry generally providesstatistics on an annual basis.
Funds of
Funds
Monthly, onemonth in
arrear
36736% of total
2,570 Jan-00 SizeBarclaHedge
Database
Covers one third of the hedge fund
universe. Monthly update whileindusrtry generally provides
statistics on an annual basis.
Commodity-Traded
Advisors
Monthly, onemonth in
arrear
36180% of total
2,134 Jan-00 Strategy and SizeBarclayHedge
database
Covers one third of the hedge fund
universe. Monthly update whileindusrtry generall y provides
statistics on an annual basis.
Futures and Short Interest DatasetAssets of $323 Bn Daily
Data Type Periodicity AUM ($ Billion) Start Date Categorization Source Benefits of the Dataset
S&P 500Futures
Daily 184 Jan-84 Maturity CMEData Aggregated over All Contracts."Money flows" are adjusted for roll-over between contracts
E-Minis Daily 139 Jan 96 Maturity CMEData Aggregated over All Contracts."Money flows" are adjusted for roll-over between contracts
Crude OilFutures
Daily 270 Jul-08 NYMEX, ICE,DME
Data Aggregated over All Contracts.
"Money flows" are adjusted for roll-over between contracts
Commitmentof Traders
Bi-Weekly 611 Jan-00Currency, Equity,
Commodity,Interest Rates
CFTC
Covers 4,313 contracts.Aggregation over relevant contractgroups. Can be crossed-matched withmoney flows into equity contracts.
Short Interest Bi-Weekly 21,000 Jan-00GICS Sector, Style
and Size, MajorIndices
Nasdaq &NYSE
Aggregation over equity indices andETFs. Covers all US-listed stocks.
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Annex 2: Library of Research Notes
Library of Research NotesTopic Variable Market Title Summary Date Updated
Corporate Liquidity
L1 USRegression Analysis Confirms L1
Can Predict the Direction of the S&P500
Regression Analysis shows thatweekly L1 is a statistical lysignificant determinant ofmarket returns since 1999
January 2008
Buybacks USTo What Extent Do Buybacks Benefit
Shareholders?
Companies with large buybacks
tend to outperfrom in the yearfollowing the buybackannounncement. The
outperformance is greatest for
companies which do shrink the
float.
September 2008
L1 US Introducing the TrimTabs L1 Index
TrimTabs introduces a newproprietary L1 Index to hel p
more easily interpret L1, thekey indicator of supply sideequity market liquidity.
January 2008
Sector Rotation
L1 / Insider Transactions USUsing L1 and Insider Trading Data
to Rotate Between Industries (GICS1)
L1 and insider transaction data
aggregated at the GICS 1 levelcan help ide ntify outperformingsectors. Investors can achieve
alpha on both the long and
short side.
May 2008
L1 / Insider Transactions USUsing L1 and Insider Trading Datato Rotate Between Industry groups
(GICS 2)
L1 and insider transaction data
aggregated at the GICS 2 levelcan help identi fy outperformingsectors. Investors can achieve
alpha on both the long and
short side.
September 2008
Buybacks / InsiderTransaction
United Kingdom Sector Rotation Models on the LSE
Buybacks a nd insidertransactions can be using to
identify ooutperforming sectorson the London stock Exchange
July 2008
Flows
Flows into Equity Futures US Futures Flows PresentationFlows into equity futures havebeen highly correlated tomarket volatili ty since 1986
July 2008
Short Interest US
Development and portfolio levelbacktesting of a short interest flow
based indicator for the S&P 500stocks
Definition and backtesting ofthe short interest flow volumeratio indicator for constructing
portfolios of heavily shortedequity assets at the stock,
GICS I, and GICS II levels.
August 2008
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Annex 3: TrimTabs Model Portfolios
TrimTabs Model Portfolios Performance
US Portfolios
% Change TTMP S&P 500 (SPY) Sector Portfolio S&P 500 (SPY)
Inception Dat 29-Sep-00 16-Mar-06
2000 -10.7 -8.4
2001 32.0 -12.1
2002 63.4 -21.6
2003 0.1 28.2
2004 19.9 10.7
2005 13.9 4.8
2006 16.2 15.2 30.0 9.5
2007 9.9 5.1 5.0 5.1
2008 -30.4 -36.8 -27.0 -36.8
2009 -37.1 25.1 16.3 25.1
Sep-2009 -8.7 3.1 0.4 3.1
Oct-2009 -4.5 -1.9 -0.1 -1.9
Nov-2009 -1.2 6.2 6.2 6.2
Dec-2009 0.4 1.4 5.1 1.4Jan-2010 -4.4 -3.6 -6.7 -3.6
Feb-2010 0.9 3.1 3.5 3.1
Mar-2010 0.3 5.7 3.3 5.7
Apr-2010 -0.4 1.5 -1.1 1.5
May-2010 -1.6 -7.9 -5.1 -7.9
Jun-2010 0.8 -5.6 -2.1 -5.6
Jul-2010 -3.2 6.8 4.2 6.8
Aug-2010 2.1 -2.5 0.0 -2.5
Last Week 0.0 0.0 -0.3 0.0
2010 YTD -5.6 -3.5 -4.5 -3.5
Since Inception 39.1 -13.2 10.8 -12.2
International Portfolios
% Change UK EWU France EWQ Germany EWG Japan EWJ Hong Kong EWH China CSI 30
Inception Date 30-Jun-06 13-Oct-06 22-Feb-08 22-Feb-08 19-Jan-07 22-Feb-08
2006 30.2 11.2 0.8 8.3
2007 14.3 7.8 15.2 14.0 24.6 30.0
2008 -24.0 -50.6 -1.9 -46.7 -72.4 -41.4 -37.6 -25.6 -37.3 -50.7 6.1 -60
2009 -53.3 40.9 -47.9 31.5 -35.7 28.1 -12.8 6.8 -16.5 54.9 13.5 92
Sep-2009 -1.4 1.1 -4.5 4.2 0.0 2.3
Oct-2009 -1.5 1.0 3.2 -4.1 0.0 2.0
Nov-2009 -7.3 7.6 -5.6 5.5 0.0 1.0
Dec-2009 2.7 -2.8 -0.2 0.0 -0.3 0.1 -2.1 3.9 0.0 -0.2 0.0 5
Jan-2010 4.5 -4.8 7.9 -7.8 9.8 -9.4 -0.6 1.0 0.0 -6.6 0.0 -10
Feb-2010 0.3 -0.8 0.1 -0.9 0.9 -1.4 -0.6 1.0 0.0 5.5 0.0 2
Mar-2010 -4.4 6.3 -6.0 6.1 -8.5 9.1 -1.0 5.0 0.0 5.6 0.0 1
Apr-2010 2.5 -2.2 1.4 -6.0 0.1 -2.2 0.0 -0.5 0.0 -3.9 0.0 -8
May-2010 1.5 -11.0 5.6 -12.7 5.1 -10.5 0.0 -8.5 0.0 -5.6 0.0 -7
Jun-2010 2.5 -5.2 2.7 -4.9 2.2 -2.3 0.0 -3.3 0.0 -0.1 0.0 -10
Jul-2010 -6.4 14.5 -6.8 14.5 -5.2 10.8 0.0 4.7 0.0 7.9 0.0 11
Aug-2010 0.0 -1.4 1.5 -5.3 0.0 -5.4 0.0 -1.1 0.3 1.3 0.0 -0
Last Week 0.0 0.6 0.0 0.1 0.0 -0.5 0.0 0.1 0.1 -0.1 0.0 -1
2010 YTD 0.1 -6.4 5.6 -17.9 3.4 -12.6 -2.2 -2.3 0.3 3.1 0.0 -20
Since Inception -47.2 -21.9 -37.4 -29.0 -81.7 -34.4 -46.8 -22.3 -34.6 2.3 20.4 -40
Friday, August 27, 2010
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The TrimTabs Family of Products
Forfurther coverage of liquidity and macroeconomic trends, please refer to the following TrimTabs products:
-Daily Liquidity Report(Monday through Friday)- Overnight Liquidity Update (Monday through Thursday)- Weekly International Liquidity Review (Monday)- Weekly Macro Analysis (Tuesday)- Weekly Flow Report(Wednesday)- Sector Liquidity (every other Thursday)
Legal DisclaimerThe data and analysis contained herein are provided "as is" and without warranty of any kind, either expressed or implieTrimTabs Investment Research (TTIR) any affiliates or employees, or any third party data provider, shall not have anliability for any loss sustained by anyone who has relied on the information contained in any TTIR publication. All opinionexpressed herein are subject to change without notice, and you should always obtain current information and perform du
diligence before trading. TTIR accounts that TTIR or its affiliated companies manage, or their respective shareholdedirectors, officers and/or employees, may have long or short positions in the securities discussed herein and may purchase osell such securities without notice. TTIR uses various methods to evaluate investments, which may, at times, produccontradictory recommendations with respect to the same securities. When evaluating the results of prior TTIrecommendations or TTIR performance rankings, one should also consider that TTIR may modify the methods it uses tevaluate investment opportunities from time to time. For this and for many other reasons, the performance of TTIR's parecommendations is not a guarantee of future results. The securities mentioned in this document may not be eligible for sain some states or countries, nor be suitable for all types of investors; their value and income they produce may fluctuaand/or be adversely affected by exchange rates, interest rates or other factors. TTIR has an investment management affiliaTrimTabs Asset Management (TTAM) which actively invests in highly liquid ETF securities which are sometimes similar identical to those tracked in the TTIR model portfolio and sometimes different. The portfolio trades held by TTAM will nalways be the same as those recommended by TTIR, primarily because the TTIR trade recommendations are updated week
while TTAM portfolios are managed on a daily basis as conditions change. Due to the highly liquid nature of ETF securititracked by TTIR, TrimTabs does not believe there is the potential for conflicts of interest. Further distribution prohibitwithout prior permission. Copyright 2009 TrimTabs Investment Research. All rights reserved.