trim tabs weekly flow report 20100908

8/8/2019 Trim Tabs Weekly Flow Report 20100908

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Copyright 2010 TrimTabs Investment Research. All rights reserved.

WEEKLY FLOW REPORT

CHARLES BIDERMAN

CHIEFEXECUTIVEOFFICER

VINCENT DELUARD,CFA

JAMES PADINHA

SEPTEMBER8,201

VOLUME 7,NUMBER2

[email protected]

+1(415)331-440

Is There Anybody Out There?

TrimTabs Demand Index Remains Very BullishNo one is trading. The one-month average of daily NYSE volume has fallen to a 10-year low of one billion shares, and Uequity mutual funds have posted 19 straight weekly outflows. Only a trickle of money is seeping into equity futures, whishort interest remains light and margin debt remains low. Moods are grim among retail investors and hedge fund managealike. The AAII survey revealed bearish sentiment in each of the past three weeks, and speculative traders are large selleof S&P 500 futures.

The flipside of this lack of activity? Corrections inflict little pain. The S&P 500 sank 4.7% in August, but hedge funmanaged to eke out a small gain. Meanwhile, retail investors must be feeling fine about the $759 billion they have pourinto bond funds since January 2009.

The TrimTabs Demand Index (TTDI), which uses the relationship between 21 flow and sentiment variables and S&P 50returns to time the market, remained very bullish at 82.9 on Tuesday, September 7 (readings greater than 50 are bullishU.S. 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.

Mutual Fund Investors Dump U.S. Equities for 19 Straight Weeks. Retail Money Market Fund Assets Sink to Four-Yea

Low. Leveraged Equity ETF Investors Spectacularly WrongAgain.

Retail investors have stiff-armed the September rally. U.S. equity mutual funds redeemed an estimated $1.6 billion in tpast week, the nineteenth straight (!) weekly outflow. Retail disgust with U.S. equities is now spreading to global stockWe estimate that global equity mutual funds have redeemed $1.8 billion since the start of August. Bond mutual fun

posted an inflow of $31 billion in August, the largest inflow in five months, and they hauled in an additional $7 billion othe past four trading days alone.

Retail investors are (unwillingly) assuming a great deal of duration risk. Retail money market fund assets have fallen $732 billion, the lowest level in four years. Long-term government bond funds posted a heavy inflow of 19% of assets the past three months, making them the most popular mutual fund category by far. Mom and pop should pray that intererates remain low and that America maintains her creditworthiness.

Only 31% of respondents to the latest American Association of Individual Investors survey are bullish, while 42% abearish.

ETF investors continue to sell Developed International equity funds to buy Emerging Markets equity funds. The formredeemed $393 million in the past week, while the latter posted an inflow of $783 million. EFA (MSCI EAFE Index) aEWJ (MSCI Emerging Markets) were hit particularly hardthey posted outflows of $220 million and $165 milliorespectively.

Day traders missed the rally in spectacular fashion. Triple short U.S. equity ETFs issued $408 million in the past twweeks, while triple long U.S. equity ETFs redeemed $287 million. The correlation between weekly leveraged equity ETflows and S&P 500 returns one week later is clocking in at negative 39% for the year. We note that investors who a

regularly wrong might be even rarer and more valuable than managers who are regularly right.

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.

Short interest is heaviest in two of the most cyclical sectorsConsumer Discretionary (5.5% of outstanding shares) anInformation Technology (4.3% of outstanding shares).
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Weekly Flow ReportSeptember 8, 2010Page 2 of 23


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%.

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

Preliminary Estimates Suggest Hedge Fund Flows and Returns Flat in August. Managers Remain Bearish on Equities.

Based on a preliminary survey of 146 funds, we estimate that hedge funds posted an inflow of $3.0 billion (0.2% of assetin August after redeeming a revised $1.0 billion (0.1% of assets) in July. The very preliminary August estimate is likely

be significantly revised, but the figure squares with historical data (flows are typically extremely weak in August). Wexpect the real fun to kick in when redemption requests are processed in September.

We estimate that funds of hedge funds posted an outflow of $805 million (0.2% of assets) in August. Year-to-daredemptions stand at $17.9 billion (3.3% of assets), and the assets of funds of funds sit at the lowest level since Februar2005. Commodity trading advisors (CTAs) are on a run. They received an estimated $2.9 billion (1.3% of assets) August, the sixth straight inflow.

Hedge funds navigated the sell-off in August extremely well. The industry broke about even and CTAs posted a positireturn, while the S&P 500 sank 4.7%.

Fixed Income funds remain fan favorites. These funds posted an inflow of $4.6 billion (2.7% of assets) in August. FixIncome funds sport a year-to-date return of 7.9%, one of the best performances of any strategy. Hedge fund investors weextremely risk averse in August. Emerging Markets funds redeemed $9.0 billion (4.7% of assets), while DistressSecurities funds posted an outflow of $740 million (0.6% of assets).

Only 17% of the 104 hedge fund managers we surveyed recently are bullish on the S&P 500, down from 34% in oprevious 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.

Futures Flows Depressed in Q3 2010. Are Speculators Choking the Japanese Economy?

The dollar value of new positions opened on S&P 500 futures and E-mini S&P 500 futures has increased only $17 billiosince June contracts expired, much smaller than the inflow of $48 billion in the same period a quarter ago. Weak futurflows and light trading volume indicate most speculators are sitting on the sideline.

Speculative traders are much keener to bet on currencies. They have a net long position of 5.4 to 1 on the yen. This mara complete reversal from a net short position of 6.0 to 1 in May, when recovery hopes convinced speculators to ditch thJapanese currency. We will not be surprised to see the BOJ intervene to curb speculative buying.

Spec traders continue to show no love for U.S. equities. They have a net short position of 1.5 to 1 on S&P 500 futures.

ContentsSpecial Focus: Equity Mutual Fund Cash Management Adds Marginal Value in Past Decade........Equity Mutual Fund Managers Follow Broad Constant-Mix Strategy with Respect to Cash Assets............... ..................Active Cash Management Generates Small Excess Returns over Constant-Mix and Buy-and-Hold Strategies....5Regression Analysis Suggests Returns of Cash and Equities Are Main Driver of Changes in Cash Allocation.

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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Topical Study:Equity Mutual Fund Cash Management Adds Marginal Value in Past Decade

Mutual fund managers are often derided for an uncanny ability to underperform the benchmarks they are paid to beat. Bthe fact that most active funds underperform passive indices in the long run does not mean managers are always aneverywhere fools. Factors beyond a managers controltrading and administrative costs, the tendency of mutual funinvestors to redeem assets precisely when they shouldntcan explain much ofa funds underperformance.

Adjusting cash levels is one manner in which equity mutual fund managers can demonstrate their skills (or lack thereoCash as a percentage of equity mutual fund assets soared as high as 6.5% in November 2000 and sank as low as 3.4% in Ju

2010 (a record) in the past decade.

Do shifts in cash levels benefit mutual fund investors, or would they be better off if managers kept their fingers out of thpie? What drives changes in the cash portion of equity mutual fund assets?

Our findings:

Data suggests equity mutual fund managers generally follow a constant-mix rebalancing strategy. In other wordthey act to keep cash as a share of assets relatively stable. At the same time, the constant-mix approach explains on22% of the variation in cash levels. This suggests managers have a large degree of discretion concerning camanagement, which squares with the fact that most fund companies give managers target ranges rather than specific percentage-point objective.

Active cash management added some value in the past decade. We estimate that active cash management producedreturn 71 basis points better than a passive buy-and-hold approach and 18 basis points better than a constant-mrebalancing strategy since January 2000. Managers achieved most of the gains by rapidly increasing cash leveduring the 2001-2002 and 2007-2008 corrections.

The returns on equities and cash drive the variation in cash levels that target-allocation rebalancing does not explaiMutual fund managers seem eager to buy dips and take profits following rallies. They also (rationally) carry mocash when interest rates are high. As a result, mutual fund cash balances act as a modest counterweight to mutufund flows, which exhibit a strong tendency to chase returns.

The cash levels of equity mutual funds are generally a smart indicator. Fund managers seem to add value by buying lo

and selling high, which stands in contrast to the behavior of retail investors. These results do not surprise us because tregressions used to build the TrimTabs Demand Index have shown that cash levels are a good leading indicator (the lower thlevel of dry powder, the brighter the outlook for stocks). That cash as a percentage of equity mutual fund assets currently sat a record low of 3.4% is bullish for equities.


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Equity Mutual Fund Managers Follow Broad Constant-Mix Strategy with Respect to Cash Assets, but Mainta

Large Discretion for Tactical Allocation.

Equity mutual fund managers always carry a small fraction of their assets in cash. Cash balances form naturally when equifunds are posting inflows, as managers often wait for the best opportunities to put fresh money to work. When equity funare posting outflows, cash balances help meet unanticipated redemptions. There are three rebalancing options when investiin two asset classes:

Do nothing. Let the allocations drift wherever performance takes them.

A constant-mix strategy. Rebalance regularly to maintain fixed allocations. This is a contrarian strategy in that tbest performing asset is systematically sold. This approach works best in volatile and non-trending markets.

Tactical allocation. Switch freely based on judgment and forecasts.

The chart below shows the actual cash assets of equity mutual funds since 2000 and what they would have been hamanagers kept a constant cash allocation of 4.5% (the average in the past ten years). The two lines have broadly similshapes, which is to be expected. Equity fund managers are not permitted to carry more than 10% of assets in cash, and thgenerally need to keep about 3.5% on hand to meet redemption requests.

Nevertheless, a gap of 6.5 percentage points leaves plenty of room for discretion. For example, managers carried less cathan the constant-mix rebalancing strategy prescribed during the 2003-2007 and 2009-2010 rallies.

The following scatter plot shows that actual changes in cash balances and those predicted by the constant-mix modgenerally move in the same direction, but their magnitude varies significantly. The regression R-squared indicates that tconstant-mix model explains only 22% of changes in mutual fund cash.

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Equity Mutual Fund Cash Assets

Cash Needed for "Constant Mix"

Actual Mutual Fund Cash


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Active Cash Management Generates Small Excess Returns over Constant-Mix and Buy-and-Hold Strategies.

To assess whether equity mutual fund cash management added value in the past decade, we measured the hypothetical returof a portfolio that allocated cash according to data reported by the Investment Company Institute. We assumed that tequity portion of the portfolio matched the returns of the S&P 500 and, for simplicity, that cash earned nothing. Thportfolio posted a negative return of 19.5% in the past decade. We then compared this return to the returns of three portfoliwith different rebalancing strategies:

Fully invested. This portfolio invests fully in the S&P 500 and holds no cash. It posted a negative return of 21.0%This portfolio performed the worst because stock prices decreased in the period.

Buy-and-hold. This portfolio starts with a 95.6% equities/4.4% cash mix in January 2000 and never rebalances. posted a negative return of 20.1%.

Constant-mix. This portfolio rebalances to a mix of 95.5% equities and 4.5% cash (the average cash allocatiover the period) at the end of every month. It posted a negative return of 19.7%.

y = 0.3554x + 7E-05

R = 0.2153

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15%

-20% -15% -10% -5% 0% 5% 10% 15% 20% 25%

Actual%C

hangeinCashBalances

Change Predicted by Constant Mix

Actual Monthly % Change in Equity Mutual Fund Cash vs. Change Predicted by "Constant Mix"

-21.00%

-19.66%

-19.51%

-20.08%

-22% -21% -21% -20% -20% -19% -19%

Fully Invested

Constant Mix

Actual Return

Buy and Hold

Returns of Different Rebalancing Strategies

January 2000 to July 2010


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Several conclusions stand out. First, the gains from cash management appear to be very smallless than 1% in the padecade. This is because all the portfolios are at least 95% invested in the S&P 500. Second, the rebalancing strategy bason the actual cash/assets ratio of equity mutual funds performed the best, which indicates portfolio managers do add valuThird, the constant-mix and actual portfolios perform similarly. This is because they both employ contrarian strategies in ththeir allocation to equities is largest at market bottoms and smallest at market tops.

Regression Analysis Suggests Returns of Cash and Equities Are Main Driver of Changes in Cash Allocation.

What are the causes of changes in the cash allocation of equity mutual funds? We already know that the need to keep cawithin a target band is an important factor, so we focused on the changes in asset allocation that the constant-mix strateg

does not explain.

Suppose a fund wants to keep an 80% equities/20% cash mix, and the fund is initially worth $100. If equities post a monthreturn of 25%, the fund has to sell $4 in stock to maintain an 80%/20% mix. But if the fund sells only $2 in stock, its acticash allocation is 10%, or ($4-$2)/$20.

We used regression analysis to identify the causes of active shifts in the cash allocation of equity mutual funds. Specificallwe tested the following model:

Active Cash Allocation t= 0 + 1 * S&P 500 Return t+ 2 * Fed Funds Rate t

The regression coefficient 1 is positive and statistically significant at usual levels of confidence (t-stat of 3.3). The positi

coefficient means managers carried more cash during strong rallies than prescribed by the constant-mix strategy. Portfolmanagers seem to follow a buy low/sell high approach, which should help mitigate the tendency of retail investors to chareturns.

The regression coefficient 2 is also positive, which means managers (rationally) increase cash holdings when short-terinterest rates rise. But the coefficient is not statistically significant at usual levels of confidence. We attribute the weakneof the relationship to a bias in our sample period (short-term rates have been sitting near zero since September 2008).

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Gain from Mutual Fund Cash Management versus Passive Strategy

Constant Mix

Actual


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Annex: Regression Statistics

Dependent variable: Active cash allocation of equity mutual fundsSample period: February 2000 to July 2010Periodicity: Monthly

Regression Statistics

Multiple R 29.0%

R Square 8.4%

Adjusted R Square 6.9%

Standard Error 6.6%

Observations 126

df SS MS F Significance F

Regression 2 5.0% 2.5% 562.6% 0.5%

Residual 123 54.2% 0.4%

Total 125 59.2%

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%

Intercept -0.01 1.0% -0.66 51.1% -2.7% 1.3% -2.7% 1.3%

SP 500 Ret 0.41 12.7% 3.27 0.1% 16.4% 66.5% 16.4% 66.5%

Fed Funds Rate 0.25 29.4% 0.84 40.2% -33.5% 82.9% -33.5% 82.9%


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Mutual Fund and ETF Flows 1 of 5

All data are as of Tuesday, September8, 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 -19.9 11.5 -46.8 -5.3 26.9 16.8 220.1 23.5

Last Twelve Months -33.6 44.8 -79.3 12.5 45.7 32.3 328.3 33.0

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 4.0Apr-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 -17.8 -8.2 -16.4 -12.4 -1.4 4.2 30.9 1.5

Sep-10 MTD -3.6 6.4 -3.1 5.9 -0.5 0.5 4.8 1.1

Last Week (Est.) -3.9 2.5 -3.0 2.2 -0.9 0.3 7.0 0.6

Notes:

Mutural Fund Flow (est) is a TrimTabs estimate based on i ) flows tracked via TrimTabs daily survey, ii) market returns,

Flow = (Assets(t))-(Asset(t-1)*(NAV(t)/NAV(t-1))).

All Equities US Equities Int. Equities Bonds$ billions

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%o

fAssets

Trackable Mutual Funds: Cumulative Flows to Total AssetsQ3 2008 to Date

US INTL BOND


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-5,000

0

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10,000

15,000

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25,000

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Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10

$millions

Long ETF: Cumulative Flow by Asset Class

US INTL Bond Commodity

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500

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Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10

$millions

Short ETF: Cumulative Flow by Asset Class

US INTL Commodity


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All data are as of Tuesday, September 8, 2010

Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ag

From - 9-Aug 30-Aug 20-Aug 12-Aug 4-Aug 27-Jul 20-Jul

To - 7-Sep 7-Sep 27-Aug 19-Aug 11-Aug 3-Aug 26-Jul-10

($millions) # of Funds TNA Flow Flow/TNA Flow Flow Flow Flow Flow Flow

US Equities Funds 2,515 461,641 -2,039 -0.4% -658 -890 -495 82 -470 727

International Equities Funds 630 89,503 -699 -0.8% -168 -211 -206 -195 -158 -35

Fixed-Income Funds 917 225,415 3,008 1.3% 946 894 785 774 970 624

Municipal Bond Funds 504 103,597 1,061 1.0% 297 289 369 239 350 56

Alternative Funds 94 24,244 220 0.9% 128 64 7 3 33 -7


From 9-Aug 30-Aug 20-Aug 12-Aug 4-Aug 27-Jul 20-Jul

To 7-Sep 7-Sep 27-Aug 19-Aug 11-Aug 3-Aug 26-Jul-10


Specialty-Financial 36 1,535 -5 -0.3% -2 -1 -1 0 1 1

Specialty-Health 46 2,922 -27 -0.9% -10 -7 -12 10 -8 13

Specialty-Natural Res 48 8,053 -22 -0.3% 3 -16 -15 23 3 -17

Specialty-Real Estate 89 11,287 132 1.2% 51 0 48 57 14 -8

Specialty-Technology 47 6,290 -32 -0.5% -13 -6 -14 -3 -9 -27

Specialty-Utilities 37 4,405 -43 -1.0% -9 -21 -4 -14 1 -11





Large Value 345 70,878 -74 -0.1% 17 -106 -94 158 -87 -85

Large Blend 567 145,614 -439 -0.3% -195 -151 -39 -75 -160 556

Large Growth 452 85,253 -532 -0.6% -113 -198 -155 -87 -128 108

Mid-Cap Value 98 14,646 -84 -0.6% -36 -22 -28 13 23 48

Mid-Cap Blend 112 24,084 -360 -1.5% -122 -161 -52 -51 -41 6

Mid-Cap Growth 194 39,641 -227 -0.6% -103 -41 -78 10 -46 75Small Value 92 8,994 -91 -1.0% -57 -34 -7 16 -23 44

Small Blend 138 17,702 -185 -1.0% -76 -84 -24 3 4 -4

Small Growth 214 20,335 -50 -0.2% 6 -42 -18 23 -14 28





Latin America Stock 9 1,265 -8 -0.6% -1 -4 -3 0 5 -1

Japan Stock 23 79 0 -0.2% 0 0 0 0 0 0

Europe Stock 37 2,090 -24 -1.1% -10 -7 -8 0 -10 -1

Diversified Pacific/Asia 7 305 -4 -1.3% -1 -1 -1 -3 -2 -2

Pacific/Asia ex-Japan Stk 34 2,909 -62 -2.1% -20 -22 -16 -9 -63 2

Diversified Emerging Mkts 76 15,496 28 0.2% 50 -26 22 -12 104 86

Past 4 WksMutual Funds - By Category

Mutual Funds - By SpecialtyPast 4 Wks

Mutual Funds - By Size and StylePast 4 Wks

Mutual Funds - By Geographic RegionsPast 4 Wks


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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, September 8, 2010





Emerging Markets Bond 23 1,522 3 0.2% -1 -5 7 14 -9 15

Long-Term Bond 13 1,246 19 1.6% 8 6 3 0 4 -11

Short-Term Bond 104 28,720 764 2.7% 180 227 252 217 235 92

Intermediate-Term Bond 297 88,472 1,207 1.4% 384 294 361 305 425 198

High Yield Bond 132 32,710 434 1.3% 151 114 125 169 169 155





Bear Market 33 1,311 18 1.4% 12 -3 4 4 -1 -14

Long-Short 37 13,463 67 0.5% 50 38 -31 -4 45 1

Specialty-Precious Metals 24 9,471 135 1.4% 66 30 34 3 -11 6





US Equities Funds 554 485,591 -9,092 -1.9% 3,704 -2,247 -6,810 -3,900 6,478 4,626

International Equities Funds 162 206,429 1,487 0.7% 370 -1,065 1,648 2,547 2,795 736

Fixed-Income Funds 111 139,823 2,683 1.9% 753 1,008 732 230 771 416

Alternative Funds 80 80,679 1,454 1.8% 171 403 722 1,454 -217 -961





Consumer Discretionary 14 3,902 221 5.7% 260 -119 68 221 -29 -87

Consumer Staples 11 6,247 -58 -0.9% -138 185 -41 -58 -61 348

Energy 29 14,688 -144 -1.0% -40 73 3 -144 -188 -81

Financials 41 29,283 409 1.4% 90 305 318 409 -327 317

Health Care 22 8,341 -169 -2.0% 270 -188 -130 -169 -81 80

Industrials 16 6,462 -896 -13.9% -88 -37 -52 -896 502 168

Information Technology 33 10,166 -234 -2.3% 165 -174 -160 -234 -129 65

Materials 15 14,220 -380 -2.7% -167 100 87 -380 -193 40

Telecommunications 6 1,396 176 12.6% 113 5 39 176 20 37

Utilities 14 5,903 194 3.3% -16 322 -239 194 13 323

Mutual Funds - By Fixed-Income TypePast 4 Wks

Mutual Funds - Alternative Mutual FundPast 4 Wks

ETFs - By Category (Excluding Short ETFs)Past 4 Wks

ETF: By Industry

Past 4 Wks


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Fund and ETF Flows 4 of 5





Large Value 23 23,704 -408 -1.7% -125 74 62 -408 126 -26

Large Blend 110 194,834 -6,960 -3.6% 1,787 2,033 416 -6,960 1,962 2,879

Large Growth 26 24,393 -250 -1.0% -61 -114 -31 -250 125 43

Mid-Cap Value 10 5,621 -14 -0.3% 34 -68 43 -14 -50 38

Mid-Cap Blend 25 27,034 -83 -0.3% 143 47 86 -83 393 192

Mid-Cap Growth 11 5,973 -347 -5.8% -74 -90 -121 -347 -32 8

Small Value 7 3,414 -57 -1.7% -13 -20 -8 -57 -6 -16

Small Blend 23 11,338 -241 -2.1% -245 47 -25 -241 55 124

Small Growth 7 2,904 -112 -3.9% -103 28 4 -112 0 19

Daily Trackable Survey Flows Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks AgFrom 9-Aug 30-Aug 20-Aug 12-Aug 4-Aug 27-Jul 20-Jul



Latin America Stock 6 14,498 147 1.0% 102 9 18 147 194 113

Japan Stock 10 4,493 -430 -9.6% -165 -68 -12 -430 -118 -75

Europe Stock 25 9,069 -73 -0.8% -27 -8 16 -73 174 120

Diversified Pacific/Asia 5 995 52 5.3% 31 -1 8 52 -32 0

Pacific/Asia ex-Japan Stk 29 32,654 -185 -0.6% 139 -254 -78 -185 359 408

Diversified Emerging Mkts 21 78,605 2,266 2.9% 511 70 1,384 2,266 2,153 1,412





Long-Term Bond 11 29,535 522 1.8% 241 108 23 522 -119 108

Short-Term Bond 7 18,025 525 2.9% 153 276 105 525 -45 -297

Intermediate-Term Bond 13 18,256 549 3.0% 90 105 192 549 119 107

High Yield Bond 5 12,457 590 4.7% 203 116 205 590 354 404





Bear Market 66 16,437 797 4.8% 361 369 205 797 -36 -24

Specialty-Precious Metals 14 64,242 657 1.0% -190 34 517 657 -180 -937

ETFs - By Size and Style

ETFs - Alternative ETFPast 4 Wks

Past 4 Wks

ETFs - By Geographic Regions

Past 4 Wks

ETFs - By Fixed-Income TypePast 4 Wks


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Future Flows 1 of 2


$ million Flows Notional Flows Notional S&P 500 V

Wed, Jul 21 12 81,988 325 149,920 -0.2% -1.3%

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%

Wed, Sep 1 -1,483 86,113 -3,186 159,776 3.0% -8.3%

Thu, Sep 2 184 87,375 -704 161,682 0.9% -2.9%

Fri, Sep 3 215 88,197 -185 162,159 1.3% -8.1%

Tue, Sep 7 -7,836 89,538 3,646 164,042 -1.1% 11.7%

S&P 500 E-Minis Market

Futures: Daily Flows into S&P 500 and E-minis Futures


14/23



Future Flows 2 of 2

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

0 1 2 3 4 5 6 7 8 9 10 1 1 12 1 3 14 1 5 16 1 7 18 1 9 20 2 1 22 23 2 4 25 2 6 27 2 8 29 3 0 31 32 3 3 34 3 5 36 3 7 38 3 9 40 4 1 42 43 4 4 45 4 6 47 4 8 49 5 0 51 52 5 3 54

$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- Ru n" C on tr ac ts L ast Q uar te r Fl ow s L ast Y ear Fl ow s

March 22 Sept 7

Last Week Two Weeks Ago Three Weeks Ago Four Weeks Ago Five Weeks Ago Six Weeks Ago

31-Aug 25-Aug 18-Aug 11-Aug 4-Aug 28-Jul

$ million 7-Sep 31-Aug 25-Aug 18-Aug 11-Aug 4-Aug

S&P 500 4.1% -0.6% -3.5% 0.4% -3.4% 1.9%

Vix Index -8.6% -2.4% 8.6% -3.2% 14.3% -8.4%

Expiration Month

September 201 0 -10,535 3,557 9,128 -1,270 2,293 -2,584

December 201 0 1,739 1,766 -3,025 798 810 2,601

March 2011 -248 27 0 1 0 -7

June 2011 -304 220 -3 20 0 5

September 201 1 0 0 0 0 -3 0

All Maturities -9,349 5,571 6,101 -451 3,100 15

31-Aug 24-Aug 17-Aug 10-Aug 3-Aug 27-Jul

S&P 500 Futures

Speculative Long 5.3% 5.3% 6.7% 6.5% 6.3% 6.5%

Speculative Short 22.3% 19.7% 15.6% 12.9% 11.6% 13.3%

Hedging Long 71.0% 71.3% 69.8% 69.2% 69.4% 69.7%

Hedging Short 64.4% 64.1% 63.4% 66.5% 65.7% 62.9%

E-minis Futures

Speculative Long 16.0% 15.1% 13.0% 11.1% 10.4% 11.1%

Speculative Short 12.8% 12.2% 11.2% 11.9% 12.0% 12.1%

Hedging Long 77.9% 76.8% 75.6% 76.9% 76.0% 75.4%

Hedging Short 78.3% 78.8% 79.3% 78.9% 78.4% 77.5%

Data are avai labl e on a weekly basi s. All numbers are the ratios of futures over total open interest.

Futures: Commitments of Traders

Futures: Flow into S&P 500 and E-minis Futures


15/23



Hedge Fund Flows 1 of 2

Note: Estimates based on a survey of 146 hedge funds in August.

Hedge Fund Flows by Strategies

Aug-10 Aug-10 Aug-10 Year-to-Date Year-to-Date Year-to-Date Last 12

Months

Last 12

Months

Last 12

Months

Aug-1

$ billion Flow Flow/TNA Return Flow Flow/TNA Return Flow Flow/TNA Return Tota

Convertible Arbitrage 0.0 0.0% 0.1% -0.6 -1.9% 5.1% 0.9 2.5% 17.1%

Distressed Securities -0.7 -0.6% 0.1% 1.1 0.9% 2.2% 6.2 5.3% 14.2%

Emerging Markets -9.0 -4.7% 0.1% -11.6 -6.0% 3.7% -8.4 -4.3% 22.6%

Equity Long Bias 2.0 1.4% -0.4% 8.6 5.8% -0.3% 11.2 7.6% 11.0%

Equity Long Only 0.0 0.1% 0.4% 3.7 5.9% -0.5% 4.2 6.7% 13.8%

Equity Long-Short 1.3 0.7% 0.0% -2.5 -1.4% -0.4% 5.9 3.3% 5.1%

Equity Market Neutral 0.0 0.1% 0.0% -0.3 -1.1% 0.1% -0.2 -0.6% 1.0%

Event Driven 0.7 0.3% -0.1% 13.2 5.9% 2.5% 16.6 7.5% 13.2%

Fixed Income 4.6 2.7% 0.3% 8.0 4.8% 7.9% 10.4 6.3% 19.0%

Macro 2.6 2.8% 0.1% 5.3 5.7% -0.6% 8.3 9.0% 5.4%

Merger Arbitrage 0.5 1.7% 0.1% 0.5 1.8% 2.7% 1.4 5.1% 6.9%Multi-Strategy 0.0 0.0% 0.0% -17.5 -10.6% 3.6% -30.4 -18.4% 10.6%

Other 0.4 1.6% 0.1% 0.2 0.8% 2.3% 1.6 6.2% 5.3%

Sector Specific 0.7 0.9% 0.5% 0.3 0.4% -1.2% 1.1 1.3% 9.0%

Hedge Fund Industry 3.0 0.2% 0.1% 8.3 0.5% 2.0% 28.8 1.9% 11.6%

Funds of Funds -0.8 -0.2% 0.0% -17.9 -3.4% 0.0% -30.4 -5.8% 5.7%

CTAs 2.9 1.3% 2.9% 8.7 3.9% 6.3% 21.3 9.4% 7.5%

Direct Investment In HF 3.9 26.2 59.2

$ billionHedge Fund

Industry

Funds of Funds All CTAs

April-09 -44.5 -26.0 -0.67

May-09 4.7 -9.1 -3.49

June-09 -7.6 -11.3 10.45

July-09 -18.2 -5.9 2.14

August-09 17.4 2.9 3.63

September-09 1.4 -6.7 4.03

October-09 6.4 -0.5 3.65

November-09 18.6 4.1 4.24

December-09 -5.9 -9.5 0.64

January-10 -14.5 -10.0 -0.86

February-10 15.8 -0.8 -1.62March-10 4.4 0.2 1.09

April-10 -2.5 -0.7 0.53

May-10 4.5 0.3 1.74

June-10 -1.4 -4.2 1.35

July-10 -1.1 -1.8 3.57

August-10 3.0 -0.8 2.95

Hedge Fund Flows by Type


16/23



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



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



2007 40.47 32.20 9.66 -9.59 6.82 12.50 1.69 11.65 0.98 1.36

2008 89.33 56.42 6.27 6.30 24.69 5.31 12.79 15.32 3.55 11.40

2009 -49.46 -32.62 -13.24 -8.95 -3.32 -4.88 -6.71 -2.82 -2.99 -3.44

2010 21.08 11.07 2.54 3.03 2.40 1.08 3.31 1.48 3.44 3.21

Sep-09 -7.87 -3.78 -2.20 1.27 -1.03 -1.18 -0.98 -1.37 -0.56 -0.99

Oct-09 -9.44 -10.06 -2.46 -0.87 -4.60 -0.37 -0.99 -0.06 -0.55 -0.32

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

Jun-10 14.51 11.94 3.95 3.56 1.84 1.34 1.79 0.74 0.61 0.39

Jul-10 1.41 0.38 0.42 0.51 -0.42 -1.59 0.50 0.52 0.93 0.16

Aug-10 0.62 0.30 -0.28 -0.26 0.13 0.48 0.34 0.82 -0.28 -0.22

3/31/2010 -8.16 -4.24 0.81 -3.32 0.16 -0.57 -1.59 -2.30 0.01 -0.64

4/15/2010 0.05 -0.20 -0.07 0.27 0.00 0.07 -0.22 -0.14 0.13 0.16

4/30/2010 -11.05 -5.65 -0.77 -0.60 -0.83 -2.40 -2.31 -2.61 -0.72 -0.59

5/14/2010 0.38 0.21 -0.14 0.09 0.00 -0.35 0.08 -0.01 0.47 0.57

5/31/2010 -0.66 -0.04 0.83 0.15 -0.18 -0.10 0.32 -0.10 -0.42 -0.24

6/15/2010 15.99 12.90 4.10 3.62 1.84 1.28 1.76 0.87 0.44 0.78

6/30/2010 -1.48 -0.96 -0.15 -0.06 0.00 0.06 0.03 -0.13 0.17 -0.40

7/15/2010 3.08 0.64 1.11 0.65 -0.57 -1.01 0.98 0.20 0.85 0.47

7/30/2010 -1.67 -0.26 -0.69 -0.14 0.15 -0.58 -0.48 0.32 0.08 -0.31

8/13/2010 0.62 0.30 -0.28 -0.26 0.13 0.48 0.34 0.82 -0.28 -0.22

Short interest data are available on a bi-weekly basis. All dates reflect t he settlement date. Data becomes available around two weeks after settlement date.

Except for S&P 500, data st arts from November 2007

$ billions Do llar Short Days to Cover F low-Volume Do llar Short Days to Cover F low-Volume Do llar Short Days to Cover F low-Volume Do llar Short Days to Cover 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 CORP

FRX 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 t he settlement date. Data becomes available around two weeks after settlement date.

Top 10 Highest Shorted Stocks by Flow-Volume Ratio

6/30/20107/15/20107/30/20108/13/2010


17/23



Demand Index 1 of 2

The TrimTabs Demand Index Closed at 82.75 on September 7 down from 87.43 on September 3, 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 bullish)

Over the past nine years, it has correlated extremely well wi th stock prices movements

For more information on the TTDI, contact Vincent Deluard ([email protected])

AAII Sentiment Survey % Bull - % Bear -10.45% 15.06 0.44 -1.55Hedge Fund Sentiment Survey % Bull - % Bear 0.31% 62.05 0.74 0.90Equity Mutual Funds Flows Flow/TNA -0.01% 47.82 -0.93 0.19

Bond Mutual Funds Flows Flow/TNA 0.06% 89.58 0.36 1.43

Long Equity ETFs Flows Flow/TNA 0.03% 26.80 -3.00 6.56Short Equity ETFs Flows Flow/TNA 0.30% 33.48 -1.66 2.59

Equity Futures Flows Flow/TNA 0.31% 17.93 0.48 -1.56

Level of net Position of Speculative Traders on Equity futures (long-Short)/Open Interest -10.56% 31.31 -0.26 0.45Change Net Position of Speculative Traders on Equity Futures (long-Short)/Open Interest 1.27% 56.62 -0.62 -0.39

Level of Short Interest on S&P 500 Stocks Stdev Units -0.74 85.06 -0.78 -2.56

Change in Short Interest on S&P 500 stocks % Change -0.13% 66.55 -1.21 -1.88Put/Call Ratio Level Put/Calls 0.91 22.54 -0.52 1.34

Put Call ratio Change % Change 2.32% 52.59 -1.04 -0.25

Margin Debt % Change 0.00% 47.38 1.76 -0.47Credit Balance in Margin Account % Change 0.00% 54.64 1.39 0.65

Flows i nto Hedge Funds Flow/Assets 0.02% 31.72 -0.18 0.31

VIX Index Close Price 23.95 38.37 -0.42 0.46Individual Investors Active Stock Allocation % Change 0.44% 79.11 0.53 1.55

Retail Money Market Fund Assets $ Billion 722.77 81.68 1.35 4.35

Cash Bala nce of Equity Mutual Funds % of Assets 0.25% 99.96 1.03 5.23

Excess margin Debt % Margin Debt - % SP Ret 0.00% 51.68 1.79 0.31(1) 2-Month Moving Average

(2) 0= Extreme Fear, 100= Extreme Greed(3) Measured by individually regressing each component against S&P 500 returns since Jan 2000

he TrimTabs Demand Index Closed at 82.75 on September 7 down from 87.43 on September 3, which is very Bu

Variable Unit Current Value (1) Indexed Value (2) Regression T-Stat (3) Impact on the In


18/23



Demand Index 2 of 2

Long Equity ETFs Flows 7

Cash Balance of Equity Mutual Funds 5

Retail Money Market Fund Assets 4

Short Equity ETFs Flows 3

Individual Investors Active Stock Alloca tion 2

Bond Mutual Funds Flows 1

Put/Call Ratio Level 1

Hedge Fund Sentiment Survey 1

Credit Balance in Margin Account 1

VIX Index 1

Level of net Position of Speculative Traders on Equity futures 1

Flows into Hedge Funds 0

Excess margin Debt 0

Equity Mutual Funds Flows 0

Put Call ratio Change 0

Change Net Position of Speculative Traders on Equity Futures 0

Margin Debt -1

AAII Sentiment Survey -2

Equity Futures Flows -2

Change in Short Interest on S&P 500 stocks -2

Level of Short Interest on S&P 500 Stocks -3

Impact of Each Demand Measure on the TTDI on September 7

Demand Measures Bearish Bullish

Long Equity ETFs Flows 27

Cash Balance of Equity Mutual Funds 100

Retail Money Market Fund Assets 82

Short Equity ETFs Flows 34

Individual Investors Active Stock Alloca tion 79

Bond Mutual Funds Flows 90

Put/Call Ratio Level 23

Hedge Fund Sentiment Survey 62

Credit Balance in Margin Account 55

VIX Index 38

Level of net Position of Speculative Traders on Equity futures 31

Flows into Hedge Funds 32

Excess margin Debt 52

Equity Mutual Funds Flows 48

Put Call ratio Change 53

Change Net Position of Speculative Traders on Equity Futures 57

Margin Debt 47AAII Sentiment Survey 15

Equity Futures Flows 18

Change in Short Interest on S&P 500 stocks 67

Level of Short Interest on S&P 500 Stocks 85

How to Read the Above Tables

Long Equity ETFs Flows indicate fear, which is bulli sh for equities.

Margin Debt indicate fear, whi ch is bearish for equiti es.

Note: we used regression analysis ove r the past nine years to determine whe ther greed in each variable was associated with positive stocks' returns

Fear/Greed Reading of Each Demand Measure on September 7

Demand MeasuresFear Greed


19/23



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

Deustche

Boerse Germany1.7 851 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


20/23



*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 Daily 6858% of total

2,168 Jan-98 Asset Class,MorningstarCategory

Daily SurveyOnly daily survey of mutual funds.Adjusted for dividends anddistributio n. Smart categori zation

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. Predic ts 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 ca tegoriza tion: GICS

industry, short vs long ETFs,futures-related, etc

Hedge FundsMonthly, one

month inarrear

61133% of total

4,313 Jan-0013 Strategies and

SizeBarclayHedge

Database

Covers one thi rd of the hedge funduniverse. Monthly update while

indusrtry generally providesstatistics on an annual basis.

Funds ofFunds

Monthly, onemonth in

arrear

36736% of total

2,570 Jan-00 SizeBarclaHedge

Database

Covers one thi rd 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 thi rd 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.


21/23



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 dataaggregated 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 volatility since 1986

July 2008

Short Interest US

Deve lopment 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

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 1.4

Jan-2010 -4.4 -3.6 -6.7 -3.6Feb-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 -1.6 -2.5

Sep-2010 0.0 0.0 3.8 0.0

Last Week 0.0 0.0 2.1 0.0

2010 YTD -5.6 -3.5 -2.5 -3.5

Since Inception 39.1 -13.2 13.1 -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 8.32007 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

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 0.0 -0.2

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 -2.8 1.5 -6.9 0.0 -6.9 0.0 -2.6 0.8 0.3 0.0 1

Sep-2010 0.0 5.3 0.0 7.7 0.0 6.1 0.0 3.2 -1.4 2.8 0.0 0

Last Week 0.0 3.8 0.0 5.8 0.0 4.4 0.0 1.7 -0.9 1.8 0.0 2

2010 YTD 0.1 -2.8 5.6 -13.2 3.4 -8.7 -2.2 -0.6 -0.6 4.9 0.0 -18

Since Inception -47.2 -18.9 -37.4 -24.9 -81.7 -31.6 -46.8 -21.0 -35.2 4.2 20.4 -38

Friday, September 03, 2010


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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

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