ft.com/alphaville All times are London time
News
Here’s an about-turn for the books:
That chart’s from Reuters, and according to the newswire, investors pumped a record $956m of new cash into Japanese equity funds in the week ended March 16.
The majority of those flows headed into the iShares MSCI Japan fund, one of the most liquid Japanese Exchange-Traded Funds (ETFs) on the market:
The majority of net inflows into U.S. domiciled funds focused on Japanese stocks was absorbed by the iShares MSCI Japan fund, an exchange traded fund that has taken in fresh cash in 14 out of the last 15 weeks. The MSCI Japan fund pulled in a record net $860.6 million, more than 5-1/2 times the amount of inflows from the prior week. Conventional Japan-focused equity funds also took in cash, broadly indicating both institutional and retail investors participated in the buying.
That, weirdly, came in a week when Japanese stocks plummeted.
The Nikkei average closed 10.2 per cent on the week at 9,206.75 — despite a small lift of 2.7 per cent on Friday. The broader Topix index, meanwhile, finished 9.3 per cent lower at 830.39.
Ah, you might say, that’s just savvy bargain-hunting by ETF investors. Clever guys.
But, it’s also still massively counter-intuitive. And it’s not just us who think so.
Tom Roseen, a senior analyst at Thomson Reuters Lipper for example observed:
“I’m surprised that investors did not sell and instead possibly looked at this as an opportunity to buy on the dip. Both ETFs and conventional funds took in new cash for the week,” said Tom Roseen, senior analyst at Lipper.
And here’s the really weird thing.
Information from DataExplorers — the shorting data analytics company — shows that shorting of the Japan MSCI fund was also exceptional this week.
According to the company, short interest in the iShares MSCI Japan Index Fund ETF on March 16 was 6.99 per cent of total shares outstanding on loan, up from 2.73 per cent on 10 March. They added that this “is very large for an ETF”.
So record inflows, plus exceptional shorting, plus plummeting prices.
We’ve been here before.
Readers might recall that very similar dynamics affected the USO oil ETF back in the fourth quarter of 2008. When oil was tanking, the USO was growing.
On the Japan MSCI front, meanwhile, it’s also worth noting the recent disruption between the price and the indicative net asset value:
And here’s a closer look at the disruption:
Which leads us to conclude that somebody somewhere could be taking advantage of those spread deviations.
Related links: Shorting Japan with ETFs - FT Alphaville The United States Oil Fund mystery – FT Alphaville The end of diversification? – FT Alphaville High Frequency Trading and ETFs "“ FTfm
WP Cumulus Flash tag cloud by Roy Tanck and Luke Morton requires Flash Player 9 or better.
Or select a previous briefing:
© The financial Times Ltd 2011 FT and 'Financial Times' are trademarks of The Financial Times Ltd.
var oob = new Advert(AD_OOB);oob.init(); var adPop = new Advert(AD_CORPPOP);adPop.init(); var adRefresh = new Advert(AD_REFRESH);adRefresh.init(); clientAds.fetch(AD_MACROAD); clientAds.render(AD_MACROAD); clientAds.fetch(AD_MARKETINGRIB); clientAds.render(AD_MARKETINGRIB); clientAds.fetch(AD_TLBXRIB); clientAds.render(AD_TLBXRIB); clientAds.fetch(AD_DOUBLET); clientAds.render(AD_DOUBLET); clientAds.fetch(AD_INTRO); clientAds.render(AD_INTRO); clientAds.fetch(AD_HLFMPU); clientAds.render(AD_HLFMPU); clientAds.fetch(AD_HMMPU); clientAds.render(AD_HMMPU); clientAds.fetch(AD_TRADCENT); clientAds.render(AD_TRADCENT); clientAds.fetch(AD_MARKETING); clientAds.render(AD_MARKETING); clientAds.fetch(AD_BANLB); clientAds.render(AD_BANLB); clientAds.fetch(AD_MPUSKY); clientAds.render(AD_MPUSKY); clientAds.fetch(AD_MPU); clientAds.render(AD_MPU); clientAds.fetch(AD_WDESKY); clientAds.render(AD_WDESKY); clientAds.fetch(AD_NRWSKY); clientAds.render(AD_NRWSKY); clientAds.fetch(AD_ARTBOX); clientAds.render(AD_ARTBOX); clientAds.fetch(AD_FTHBOX); clientAds.render(AD_FTHBOX); clientAds.fetch(AD_TLBX); clientAds.render(AD_TLBX); clientAds.fetch(AD_FMBUT2); clientAds.render(AD_FMBUT2); clientAds.fetch(AD_LHN); clientAds.render(AD_LHN); clientAds.fetch(AD_MKTBX); clientAds.render(AD_MKTBX); clientAds.fetch(AD_OOB); clientAds.render(AD_OOB); clientAds.fetch(AD_POP); clientAds.render(AD_POP); clientAds.fetch(AD_BXBAR); clientAds.render(AD_BXBAR); clientAds.fetch(AD_DKTALRT); clientAds.render(AD_DKTALRT); clientAds.fetch(AD_DSKTICK); clientAds.render(AD_DSKTICK); clientAds.fetch(AD_PRNT); clientAds.render(AD_PRNT); clientAds.fetch(AD_INV); clientAds.render(AD_INV); clientAds.fetch(AD_MBATOP); clientAds.render(AD_MBATOP); clientAds.fetch(AD_MBABOT); clientAds.render(AD_MBABOT); clientAds.fetch(AD_MBALINK); clientAds.render(AD_MBALINK); clientAds.fetch(AD_SBHEAD); clientAds.render(AD_SBHEAD); clientAds.fetch(AD_FTNT); clientAds.render(AD_FTNT); clientAds.fetch(AD_1x1); clientAds.render(AD_1x1); clientAds.fetch(AD_CURRCON); clientAds.render(AD_CURRCON); clientAds.fetch(AD_CURRBOX); clientAds.render(AD_CURRBOX); clientAds.fetch(AD_CORPPOP); clientAds.render(AD_CORPPOP); clientAds.fetch(AD_REFRESH); clientAds.render(AD_REFRESH); clientAds.render(); setCurrentTime(1232358020000) Assanka.wp.processClipThis(); var gaJsHost = (("https:" == document.location.protocol) ? "https://ssl." : "http://www."); document.write(unescape("%3Cscript src='" + gaJsHost + "google-analytics.com/ga.js' type='text/javascript'%3E%3C/script%3E")); try { var pageTracker = _gat._getTracker("UA-1874623-1"); pageTracker._trackPageview(); } catch(err) {} if (typeof Inferno == 'undefined') { var eid = (document.cookie.match(/EID=(\d+)/)) ? document.cookie.match(/EID=(\d+)/)[1] : 'unknown'; pageTracker._trackEvent('Debug events', 'sr23715', 'Load failure for '+eid); setTimeout(function() { var d = new Date(); document.getElementById('infdebug23715').innerHTML = (''); }, 1000); } Read Full Article »