PRIME BROKER AGE – STR ATEGIC CONTENT GROUP(pbcontent@morganstanley.com)                                                  ...
ETF Selling Picked Up Last Week, Particularly on Thursday and Friday     Single-Nam e Net Activity Spread                 ...
Consumer Discretionary Net Exposure Back at Highs Following Recent Buying     U.S. Sector Net Exposures as % of Total Gros...
Additional Highlights     Volumes:  decreased 2% week/week to 5% below the 60‐day average      Sectors:  4 were net boug...
U.S. Weekly Market Color Charts (page 1 of 2)                                                                             ...
U.S. Weekly Market Color Charts (page 2 of 2)                                                                             ...
DisclaimerThe above information has been prepared by one or more Morgan Stanley entities (each individually or collectivel...
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MS Weekly US PB Mkt Clr Summary 2013.03.18

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MS Weekly US PB Mkt Clr Summary 2013.03.18

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Transcript of "MS Weekly US PB Mkt Clr Summary 2013.03.18"

  1. 1. PRIME BROKER AGE – STR ATEGIC CONTENT GROUP(pbcontent@morganstanley.com)  John.Schlegel@morganstanley.com Anne.McNerney@morganstanley.comU.S. Weekly Market Color Data as of March 15, 2013This memorandum is not a product of Morgan Stanley’s Research Department and you should not regard it as a research report. For Institutional Use Only.Unless otherwise indicated, aggregated information provided in this document is sourced from filtered Morgan Stanley & Co. U.S. Prime Brokerage data.ETF Selling Increased Late Last Week as S&P Neared 2007 Highs  ETF selling increased last week, particularly on Thursday and Friday as the S&P 500 closed within 2 points of its 2007 high on Thursday.  Selling of ETFs was led by Equity L/S and Multi‐Strat / Macro funds mostly via shorts added rather than longs reduced.  Following two consecutive weeks of strong buying, single‐name activity was mixed last week; by number, more funds were buyers than sellers, but in aggregate, the activity was slightly skewed towards selling.  By sector, only 4 of the 10 GICS sectors were bought last week after 8 had been the previous week.  Discretionary was the most net bought last week, which made it the most net bought sector for three consecutive weeks.  Due to the recent buying, net exposure to Discretionary is back at its highest levels of the last few years, with similar levels last seen in early November 2012.  Buying has mostly been driven by the long side over the past few weeks, with buying broadly seen across industry groups.  Financials was the most sold sector last week, which follows two weeks of buying and was split between longs sold and shorts added.  Despite last week’s selling, net exposure to Financials remains near its highs of the past few years.  After reaching levels not seen since mid‐2007, median Equity L/S gross leverage decreased slightly in the second half of last week, but remains near multi‐year highs.  Due to the selling, median net leverage also pulled back a little from 59% to 57% last week, based on 1‐day figures.       The information contained herein is not intended to be, and does not constitute, advice from Morgan Stanley. Morgan Stanley is not your advisor (municipal,financial or any other kind of advisor) and is not acting in a fiduciary capacity. 1
  2. 2. ETF Selling Picked Up Last Week, Particularly on Thursday and Friday  Single-Nam e Net Activity Spread S&P 500 ETF Net Activity Spread S&P 500   20 1600 30 1600 1550 20 1550 10 1500 10 1500 0 1450 0 1450 1400 (10) 1400 (10) 1350 (20) 1350 (20) 1300 (30) 1300 12/21 1/4 1/18 2/1 2/15 3/1 3/15 12/21 1/4 1/18 2/1 2/15 3/1 3/15 Spread Average S&P 500 (RS) Spread Average S&P 500 (RS)   Source: Morgan Stanley Prime Brokerage Note: Net Activity Spread is the difference between the % of clients that were net buyers and the % that were net sellers, based on weekly data.    After Weeks of Buying, Aggregate Single‐Name Activity was Slightly Skewed Towards Selling Last Week   Cum ulative Single-Nam e Net Trading (%) S&P 500  10 1600 8 1550 6 1500 4 1450 2 1400 0 1350 (2) Cumulative Net Trading S&P 500 (RS) (4) 1300 12/18 1/3 1/17 2/1 2/15 3/4  Source: Morgan Stanley Prime Brokerage Note: Cumulative Net Trading represents net buying / selling of single- name equities taken as % of average aggregate net exposure for theperiod. Data is aggregated across all US clients.      The information contained herein is not intended to be, and does not constitute, advice from Morgan Stanley. Morgan Stanley is not your advisor (municipal,financial or any other kind of advisor) and is not acting in a fiduciary capacity. 2
  3. 3. Consumer Discretionary Net Exposure Back at Highs Following Recent Buying  U.S. Sector Net Exposures as % of Total Gross Exposure (%)   7 6 5 4 3 2 1 Cons Disc Financials 0 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13   Source: Morgan Stanley Prime Brokerage, U.S. data as of Mar 15, 2013   Gross and Net Pull Back Slightly Last Week; Gross Still Near Multi‐Year Highs US Equity L/S Median Gross and Net Leverage vs. S&P 500 S&P 500; Gross Exp / Equity (%) Net Exp / Equity (%) 170 100 160 90 150 80 140 70 130 60 120 50 110 40 S&P 500 x 0.1 (e.g. 130 = 1300) (LS) Gross Leverage (LS) Net Leverage (RS) 100 30 1/1/10 4/1/10 7/1/10 10/1/10 1/1/11 4/1/11 7/1/11 10/1/11 1/1/12 4/1/12 7/1/12 10/1/12 1/1/13 Source: Bloomberg, Morgan Stanley Prime Brokerage, Data as of Mar 15, 2013 Note: Gray lines represent 1-day median figures w hile colored lines represent 5-day averages of daily medians.The information contained herein is not intended to be, and does not constitute, advice from Morgan Stanley. Morgan Stanley is not your advisor (municipal,financial or any other kind of advisor) and is not acting in a fiduciary capacity. 3
  4. 4. Additional Highlights   Volumes:  decreased 2% week/week to 5% below the 60‐day average    Sectors:  4 were net bought and 6 were net sold last week  o Consumer Discretionary was the most net bought sector last week followed by Consumer Staples   While buying was seen broadly across industry groups, Consumer Services led the buying in  Discretionary last week   Media, which has been the most net bought YTD, saw buying slow week/week  o Financials was the most sold sector followed at a distance by Energy and Materials   Insurance was the most net sold industry group within Financials and has been net sold in  each month this year   Leverage:  US Equity Long / Short leverage update (based on median account and 5‐day average)  o Gross was unchanged at 160% W/W; net was unchanged at 59% W/W  Source: Bloomberg, Morgan Stanley Prime Brokerage, U.S. dataThe information contained herein is not intended to be, and does not constitute, advice from Morgan Stanley. Morgan Stanley is not your advisor (municipal,financial or any other kind of advisor) and is not acting in a fiduciary capacity. 4
  5. 5. U.S. Weekly Market Color Charts (page 1 of 2) Data as of March 15, 2013US Equity L/S Gross and Net Leverage Cumulative Single-Name Net Trading (%) S&P 500Gross Exp / Equity (%), S&P 500 (Idx to 100) Net Exp / Equity (%) 10 1600170 110 160 8160 100 1550150 90 6 1500140 80 4130 70 1450120 60 2 59 1400110 50 0100 40 1350 Gross Lev Net Lev S&P 500 (2) 90 30 Cumulative Net Trading S&P 500 (RS) Gross 52Wk High/Low Net 52Wk High/Low 80 20 (4) 1300 12/18 1/3 1/17 2/1 2/15 3/4 12/18 1/3 1/17 2/1 2/15 3/4 * "Leverage levels" are defined as 5-day averages of daily medians and are delta- * Cumulative Net Trading represents net buying / selling of single-name equities adjusted. YTD and/or most recent leverage levels can be made available regularly taken as % of average aggregate net exposure for the period. Data is upon request. S&P 500 is a 5-day rolling average indexed to 100 at the start of the aggregated across all US clients. period.Cumulative Net Trading by SectorShort Term (Grid Line Chg = 2%) Long Term (Grid Line Chg = 4%) Cons Disc Cons DiscCons Staples Cons Staples Energy Info Tech Industrials Utilities Utilities Materials Info Tech Industrials Health Care Energy Telecom Health Care Materials Telecom Financials Financials 3/4 3/6 3/8 3/12 3/14 12/18 1/3 1/17 2/1 2/15 3/4 * Cumulative Net Trading by Sector represents sector level attribution of Cumulative Net Trading. The same filters apply as in above chart.Sector Gross Exposures (%) Sector Net Exposures (%)20 7 3518 6 3016 25 514 20 412 15 310 10 2 8 5 6 1 0 4 0 -5 12/18 1/3 1/17 2/1 2/15 3/4 12/18 1/3 1/17 2/1 2/15 3/4 CD CS Energy Fin CD CS Energy Fin Total NMV (RS) HC Indus IT Mat ETF & Other HC Indus IT Mat ETF & Other (RS) * Sector gross and net exposures are taken as % of the total gross exposure across all sectors. The charts are 5-day rolling averages. The information contained herein is not intended to be, and does not constitute, advice from Morgan Stanley. Morgan Stanley is not your advisor (municipal, financial or any other kind of advisor) and is not acting in a fiduciary capacity.
  6. 6. U.S. Weekly Market Color Charts (page 2 of 2) Data as of March 15, 2013Single-Name Net Activity Spread S&P 500 ETF Net Activity Spread S&P 500 20 1600 30 1600 1550 20 1550 10 1500 10 1500 0 1450 0 1450 1400 (10) 1400 (10) 1350 (20) 1350 (20) 1300 (30) 1300 12/21 1/4 1/18 2/1 2/15 3/1 3/15 12/21 1/4 1/18 2/1 2/15 3/1 3/15 Spread Average S&P 500 (RS) Spread Average S&P 500 (RS) * Net Activity Spreads measure the breadth of clients who net bought (>0) or net sold (<0) single-name equities or ETFs.Daily Gross Volume Index Weekly Volumes vs. 60 Day Average (%) 150 20 10 125 0 100 -10 -20 75 -30 50 -40 Daily 20D Avg 60D Avg 25 -50 12/18 1/3 1/17 2/1 2/15 3/4 12/21 1/4 1/18 2/1 2/15 3/1 3/15 *All data indexed to 60-Day Average *Weekly Volumes reflect average daily volume for the weekTop 50 Longs by Sector Top 50 Shorts by Sector 50 1 0 1 1 0 1 0 1 0 1 50 1 1 2 4 3 3 3 3 4 4 1 1 1 0 1 0 0 Legend for Long 15 14 14 and Short 15 40 15 16 40 12 13 12 Charts 16 14 14 13 13 Utilities Telecom 3 4 4 1 3 4 4 3 Materials 1 2 4 30 30 4 3 5 5 3 3 4 3 Info Tech 5 3 3 2 6 3 1 3 0 1 3 Industrials 5 4 1 1 7 Health Care 7 8 7 1 9 8 8 9 7 Financials 1 9 10 9 20 7 20 2 2 7 ETF 2 2 1 6 2 2 5 1 5 2 Energy 1 3 2 5 4 3 3 3 4 3 Cons Staples 4 4 4 3 3 4 3 Cons Disc 10 4 4 3 2 10 3 13 14 13 10 10 12 11 9 8 8 8 9 9 10 0 0 12/21 1/4 1/18 2/1 2/15 3/1 3/15 12/21 1/4 1/18 2/1 2/15 3/1 3/15 The information contained herein is not intended to be, and does not constitute, advice from Morgan Stanley. Morgan Stanley is not your advisor (municipal, financial or any other kind of advisor) and is not acting in a fiduciary capacity.
  7. 7. DisclaimerThe above information has been prepared by one or more Morgan Stanley entities (each individually or collectively, as appropriate, “MorganStanley”), and may have been prepared by or in conjunction with Morgan Stanley’s trading desks. Morgan Stanley is involved in manybusinesses that may relate to companies mentioned in this report, including market making and specialized trading, acting as liquidityprovider, trade execution, research, fund management, investment services and investment banking. Morgan Stanley makes every effort touse reliable, comprehensive information, but we make no representation that it is accurate or complete. For example, various filters areused by Morgan Stanley in compiling the data which may cause significant data to be excluded from the reports due to client confidentialityobligations or for other reasons. The application of these filters may lead to a reporting of “no reportable activity.” Morgan Stanley has noobligation to tell you when information in this report changes or to update the information.Customers or their broker-dealers must verify securities availability prior to executing a short sale even if the information herein indicatedthat a stock is available. Certain assumptions may have been made in the preparation hereof. Morgan Stanley disclaims any and all liabilityrelating to this report, including, without limitation, any express or implied representations or warranties for statements or errors containedin, or omissions from, or the timeliness of, these materials. This information has been prepared solely for informational purposes and is notan offer to buy or sell the securities mentioned or solicitation of an offer to buy or sell securities or to participate in any particular tradingstrategy. 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By submitting this document to you,Morgan Stanley is not advising you to take any particular action based on the information, opinions or views contained in this document,and acceptance of such document will be deemed by you acceptance of these conclusions. You should consult with your own municipal,financial, accounting and legal advisors regarding the information, opinions or views contained in this document. Past performance is notnecessarily a guide to future performance. 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