Average Daily $VA LUE Traded ($Billions ) $Billions (212 ( US China Japan CHI-X London Hong Kong Germany France Canada Korea Australia Brazil Taiwan Spain India Italy $billions Switzerland Sweden Amsterdam Russia Singapore Thailand Mexico Norway Ireland Finland Malaysia Indonesia Denmark Belgium Austria July 2012 Chartbook The Halftime Report Ana Avramovic 212-32-238 Market Commentary July 2012 Despite the obvious summer slowdown (we re getting more out-of-office replies than requests for new data), we do showcase a few new charts this month to keep things exciting: Our look at year-over-year trading by region extends back to 2007 (below right). The downward trend is very apparent in both Europe and Asia, but less so for the Americas. On page 2, we compare US monthly ADV to each year s average so we can see seasonal changes. Our section on mutual funds (p. 3) includes our regular fund flows coverage, but this time we also include a ranking of the top 1 monthly outflows (surprise: the tech bubble crash tops the list). Page 3 also has a section on hedge funds, including data on leverage over time courtesy of our Prime Services team. By popular demand, we ve created a new chart to compare total asset balances in mutual funds (bonds/equities), money market funds, hedge funds, and ETFs. Enjoy! Global Trading Average Daily $VALUE Traded ($Billions) Asia Europe Americas US US Stocks ETFs 2011-H1 $7 $ $2 $17 $71 2012-H1 $ $2 $233 $19 $ -2% -2% -9% -9% -11% $30 $300 $20 $200 $ Average Daily $Value Traded 2007 2008 2009 20 2011 2012-H1 Average Daily VOLUME Traded (Billion shares) Asia Europe All US US Stocks US ETFs 2011-H1 8.7.7 7..3 1.3 2012-H1 2..0.8.7 1.1-13% +% -9% -% -8% $0 $0 Americas Europe Asia $20 $18 $1 $1 $12 Average Daily $Value Traded - H1 2012 Americas Asia Europe $ $8 $ $ $2
-Feb 20-Feb -Mar 19-Mar 2-Apr 1-Apr 30-Apr 1-May 28-May Feb-12 11-Jun 2-Jun Shares (Billions) S&P Price Level Daily $Value Traded ($Bn) ADV relative to year's average Avg Daily Volume (billion shares) Jul- Oct- Change relative to 2 years ago... 1 Global $Value Traded Relative to 2 Years Ago (rolling -day average) 0% 80% 0% 0% 0% - -0% -0% -80% Americas Europe Asia US Volumes Monthly Average Monthly Daily Average Volume Daily Volume Relative to to Year's Year s Average Average 1. 1. 1.3 1.2 1.1 1 0.9 9 8 7 3 2.3.0 Average Daily Volum e 3.2 Average Daily Volume 2.7 2. 3.1.0.8. 8.8 9.8 8. 7.8.8 0.8 2 1. 0.7 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year's average 2008 2009 20 2011 2012 1-1998 1999 2000 2001 2002 2003 200 200 200 2007 2008 2009 20 2011 2012 H1 Daily US Volum e vs S&P Index 12 $20 Bn Daily $Value $Value Traded Traded of Equities & ETFs US Stocks 9 100 $200 Bn ETFs 8 7 137 130 $ Bn 132 $0 Bn 1300 $0 Bn 127 Bn Volume S&P 00 2
Jan-09 Apr-09 Jul-09 Oct-09 Jan- Apr- Jul- Oct- 199 1997 1998 1999 2000 2001 2002 2003 200 200 200 2007 2008 2009 20 2011 2012 Number of Hedge Funds Jun- Sep- Dec- Mar-11 $Billions 7-Jul- -Aug- 1-Sep- 29-Sep- 27-Oct- 23-Nov- 21-Dec- 19-1-Feb-11 1-Mar-11 13-11-May-11 8- - 3-Aug-11 31-Aug-11 28-2- 22-Nov-11 21-18- 1-Feb-12 1-11- 9- - $Billions S&P Mutual Fund Flows Weekly Mutual Fund Flows $12 180 $8 $ 100 1320 ($) ($8) 120 ($12) 110 ($1) ($20) Bond Global Equity US Equity 80 ($2) S&P 00 Week Ending Source: ICI Monthly Mutual Fund Flows Top Monthly US Equity Mutual Fund Outflows $0 Monthly Mutual Fund Flows Jul-02 Oct-08 Jan-08 $30 Sep-08 $20 $ Sep-01 Aug-11 ($) ($20) ($30) Bond World Equity US Equity Jul-08 Jun-02 May- Aug-07 Mar-09 Flash Crash Quant Fund Crash Market Bottom Tech bubble (2001/2002) 2008 2011 other Source: ICI -$ -$20 $billions -$30 -$0 -$0 Source: ICI Hedge Funds 2.9x 2.7x 2.x Average Hedge Fund Leverage Number of Number Hedge of Funds Hedge Funds Launched and Liquidated 200 Launched 2000 Liquidated Net 0 2.3x 00 2.1x 00 1.9x 0-00 1.7x -00 1.x -0 Source: Credit Suisse Prime Services 3 Note: 2012 data are annualized based on Q1 numbers Source: Hedge Fund Research
India United States Russia Netherlands Germany Canada France UK Belgium Spain Finland Sweden Norway Denmark Mexico Israel Switzerland Australia Italy China South Africa Portugal Hungary Brazil Hong Kong Poland Korea Japan Taiwan Austria Singapore Malaysia Ireland Turkey New Zealand Greece Thailand Chile Philippines Czech Columbia Indonesia Peru Avg S&P Spread (bps) Avg R2K Spread (bps) & VIX Level Avg Spread (bps) Jun-99 Jun-00 Jun-01 Jun-02 Jun-03 Jun-0 Jun-0 Jun-0 Jun-07 Jun-08 Jun-09 Jun- Total assets ($Bn) Fund Assets $,000 Total Assets Total Assets by Fund Type $,000 $,000 $3,000 $2,000 $1,000 Money Market Mutual Funds US Equity Mutual Funds Global Equity Mutual Funds Bond Mutual Funds Hedge Funds all ETFs Source: ICI, HFR, Credit Suisse Trading Strategy Bid-Ask Spreads Average Bid-Ask Spreads vs VIX Avg Bid-Ask Spreads vs VIX 8 0 80 70 0 Developed Emerging Global Bid-Ask Spreads Global Bid-Ask Spreads 32 0 3 2 0 2 1 30 1 8 20-0 - VIX SPX Spreads (left axis) R2K Spreads (right axis) Data as of July 2012
Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan- Apr- Jul- Oct- Feb-11 Mar-11 May-11 Aug-11 Nov-11 Feb-12 VIX Index Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan- May- Sep- May-11 Share of All US Volume 9:30 :00 :30 11:00 11:30 12:00 12:30 13:00 13:30 1:00 1:30 1:00 1:30 200-2007 Jul-08 Sep-08 Nov-08 Jan-09 Mar-09 May-09 Jul-09 Sep-09 Nov-09 Jan- Mar- May- Jul- Sep- Nov- Mar-11 May-11 Nov-11 Price Change in 30 min Interval... Intraday Trading 1.0% Intraday Volatility S&P 00 Intraday Volatility - S&P 00 22% % of Day s % of Day's Volume in First/Last 30 Minutes 30 Minutes last 30 min 0.8% Feb-12 18% 0.% 0.% 1% 1% 12% 0.2% % 0.0% 8% % first 30 min US Market Share US Equity Market Share Over Tim e 0% Other 90% 80% FINRA TRF 70% DirectEdge 0% Nasdaq BX 0% BATS 0% 30% NYSE NYSE ARCA % NASDAQ 0% Volatility & Correlation VIX Index 80 70 0 0 0 30 20 Lehman bankruptcy 0 0% 90% 80% 70% 0% 0% 0% 30% % 0% Russell: Last 30 min S&P: Last 30 min Russell: First 30 min S&P: First 30 min US Equity Market Share Breakdown H1 2012 Other TRF 1.9% Dark Pools 1.% Other Exchanges.3% DirectEdge 9.3% Nobe: excludes option expiry days and annual Russell Rebalance Nasdaq BX 2.7% BATS BYX 2.7% Nasdaq 18.0% BATS 8.% NYSE Arca 11.9% NYSE 11.9% Nasdaq NYSE Arca NYSE BATS BATS BYX Nasdaq BX DirectEdge Other Exchanges Other TRF Dark Pools "Other TRF" includes broker capital commitments and internalizations "Other Exchanges" includes NYSE Amex, CBSX, Chicago, National and PSX Data for 2012-H1 Implied Implied vs vs Realized Correlation 1M Realized Correlation 1M Implied Correlation Source: Credit Suisse Derivatives Strategy
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