Trim Tabs Weekly Flow Report 20100908

WEEKLY FLOW REPORT
CHARLES BIDERMAN SEPTEMBER 8, 2010

CHIEF EXECUTIVE OFFICER VOLUME 7, NUMBER 20
VINCENT DELUARD, CFA
JAMES PADINHA VINCENT.DELUARD@TRIMTABS.COM
+1 (415) 331-4400
Is There Anybody Out There?

TrimTabs Demand Index Remains Very Bullish
No one is trading. The one-month average of daily NYSE volume has fallen to a 10-year low of one billion shares, and U.S.
equity mutual funds have posted 19 straight weekly outflows. Only a trickle of money is seeping into equity futures, while
short interest remains light and margin debt remains low. Moods are grim among retail investors and hedge fund managers
alike. The AAII survey revealed bearish sentiment in each of the past three weeks, and speculative traders are large sellers
of 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 funds
managed to eke out a small gain. Meanwhile, retail investors must be feeling fine about the $759 billion they have poured
into bond funds since January 2009.
The TrimTabs Demand Index (TTDI), which uses the relationship between 21 flow and sentiment variables and S&P 500
returns to time the market, remained very bullish at 82.9 on Tuesday, September 7 (readings greater than 50 are bullish).
U.S. equity ETF outflows (a bullish contrary indicator), a record low cash balance at equity mutual funds (a bullish leading
indicator), 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-Year
Low. Leveraged Equity ETF Investors Spectacularly Wrong…Again.
Retail investors have stiff-armed the September rally. U.S. equity mutual funds redeemed an estimated $1.6 billion in the
past week, the nineteenth straight (!) weekly outflow. Retail disgust with U.S. equities is now spreading to global stocks.
We estimate that global equity mutual funds have redeemed $1.8 billion since the start of August. Bond mutual funds
posted an inflow of $31 billion in August, the largest inflow in five months, and they hauled in an additional $7 billion on
the past four trading days alone.
Retail investors are (unwillingly) assuming a great deal of duration risk. Retail money market fund assets have fallen to
$732 billion, the lowest level in four years. Long-term government bond funds posted a heavy inflow of 19% of assets in
the past three months, making them the most popular mutual fund category by far. Mom and pop should pray that interest
rates 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% are
bearish.
ETF investors continue to sell Developed International equity funds to buy Emerging Markets equity funds. The former
redeemed $393 million in the past week, while the latter posted an inflow of $783 million. EFA (MSCI EAFE Index) and
EWJ (MSCI Emerging Markets) were hit particularly hard—they posted outflows of $220 million and $165 million
respectively.
Day traders missed the rally in spectacular fashion. Triple short U.S. equity ETFs issued $408 million in the past two
weeks, while triple long U.S. equity ETFs redeemed $287 million. The correlation between weekly leveraged equity ETF
flows and S&P 500 returns one week later is clocking in at negative 39% for the year. We note that investors who are
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 of
August, the first increase since June, after decreasing to the lowest level since January in the second half of July. Short
interest 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 sectors—Consumer Discretionary (5.5% of outstanding shares) and
Information Technology (4.3% of outstanding shares).
Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Weekly Flow Report
September 8, 2010
Page 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. The
July increase of 2.1% is much smaller than the S&P 500’s 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 prices
rebounded. Cash holdings fell $3.5 billion, or 2.0%, to $169.6 billion. Mutual fund cash is historically a leading indicator.
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 assets)
in August after redeeming a revised $1.0 billion (0.1% of assets) in July. The very preliminary August estimate is likely to
be significantly revised, but the figure squares with historical data (flows are typically extremely weak in August). We
expect 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-date
redemptions stand at $17.9 billion (3.3% of assets), and the assets of funds of funds sit at the lowest level since February
2005. Commodity trading advisors (CTAs) are on a run. They received an estimated $2.9 billion (1.3% of assets) in
August, the sixth straight inflow.
Hedge funds navigated the sell-off in August extremely well. The industry broke about even and CTAs posted a positive
return, 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. Fixed
Income funds sport a year-to-date return of 7.9%, one of the best performances of any strategy. Hedge fund investors were
extremely risk averse in August. Emerging Markets funds redeemed $9.0 billion (4.7% of assets), while Distressed
Securities 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 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 reads
only 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 billion
since June contracts expired, much smaller than the inflow of $48 billion in the same period a quarter ago. Weak futures
flows 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 marks
a complete reversal from a net short position of 6.0 to 1 in May, when recovery hopes convinced speculators to ditch the
Japanese 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.
Contents
Special Focus: Equity Mutual Fund Cash Management Adds Marginal Value in Past Decade…...…...…….…………..3
Equity Mutual Fund Managers Follow Broad Constant-Mix Strategy with Respect to Cash Assets........................………………..….........4
Active Cash Management Generates Small Excess Returns over Constant-Mix and Buy-and-Hold Strategies…….…………….…..5
Regression Analysis Suggests Returns of Cash and Equities Are Main Driver of Changes in Cash Allocation…………….………………6
Data Tables and Graphs ............................................................................................................................................................8

Mutual Fund and Exchange-Traded Fund Flows .............................................................................................................................................8
Futures Flows ................................................................................................................................................................................................ 13
Hedge Fund Flows ......................................................................................................................................................................................... 15
Short Interest .................................................................................................................................................................................................. 16
Demand Index ................................................................................................................................................................................................ 17
Datasets and Research Notes ......................................................................................................................................................................... 19

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September 8, 2010
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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. But
the fact that most active funds underperform passive indices in the long run does not mean managers are always and
everywhere fools. Factors beyond a manager’s control—trading and administrative costs, the tendency of mutual fund
investors to redeem assets precisely when they shouldn’t—can explain much of a fund’s underperformance.
Adjusting cash levels is one manner in which equity mutual fund managers can demonstrate their skills (or lack thereof).
Cash 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 July
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 the
pie? 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 words,
they act to keep cash as a share of assets relatively stable. At the same time, the constant-mix approach explains only
22% of the variation in cash levels. This suggests managers have a large degree of discretion concerning cash
management, which squares with the fact that most fund companies give managers target ranges rather than a
specific percentage-point objective.
Active cash management added some value in the past decade. We estimate that active cash management produced a
return 71 basis points better than a passive buy-and-hold approach and 18 basis points better than a constant-mix
rebalancing strategy since January 2000. Managers achieved most of the gains by rapidly increasing cash levels
during 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 explain.
Mutual fund managers seem eager to buy dips and take profits following rallies. They also (rationally) carry more
cash when interest rates are high. As a result, mutual fund cash balances act as a modest counterweight to mutual
fund 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 low
and selling high, which stands in contrast to the behavior of retail investors. These results do not surprise us because the
regressions used to build the TrimTabs Demand Index have shown that cash levels are a good leading indicator (the lower the
level of dry powder, the brighter the outlook for stocks). That cash as a percentage of equity mutual fund assets currently sits
at a record low of 3.4% is bullish for equities.

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September 8, 2010
Page 4 of 23
Equity Mutual Fund Managers Follow Broad Constant-Mix Strategy with Respect to Cash Assets, but Maintain
Large Discretion for Tactical Allocation.
Equity mutual fund managers always carry a small fraction of their assets in cash. Cash balances form naturally when equity
funds are posting inflows, as managers often wait for the best opportunities to put fresh money to work. When equity funds
are posting outflows, cash balances help meet unanticipated redemptions. There are three rebalancing options when investing
in 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 the
best 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 had
managers kept a constant cash allocation of 4.5% (the average in the past ten years). The two lines have broadly similar
shapes, which is to be expected. Equity fund managers are not permitted to carry more than 10% of assets in cash, and they
generally 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 cash
than the constant-mix rebalancing strategy prescribed during the 2003-2007 and 2009-2010 rallies.
6.0
Equity Mutual Fund Cash Assets
5.5 Cash Needed for "Constant Mix"

Actual Mutual Fund Cash
5.0
4.5
4.0
3.5
3.0
2.5
2.0
J-00 J-01 J-02 J-03 J-04 J-05 J-06 J-07 J-08 J-09 J-10
The following scatter plot shows that actual changes in cash balances and those predicted by the constant-mix model
generally move in the same direction, but their magnitude varies significantly. The regression R-squared indicates that the
constant-mix model explains only 22% of changes in mutual fund cash.

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Actual Monthly % Change in Equity Mutual Fund Cash vs. Change Predicted by "Constant Mix"
15%
10%
y = 0.3554x + 7E-05
R² = 0.2153
5%
0%
Actual % Change in Cash Balances

-20% -15% -10% -5% 0% 5% 10% Change
15% Predicted by20%
Constant Mix 25%
-5%
-10%
-15%
-20%
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 returns
of a portfolio that allocated cash according to data reported by the Investment Company Institute. We assumed that the
equity portion of the portfolio matched the returns of the S&P 500 and, for simplicity, that cash earned nothing. This
portfolio posted a negative return of 19.5% in the past decade. We then compared this return to the returns of three portfolios
with 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. It
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 allocation
over the period) at the end of every month. It posted a negative return of 19.7%.
Returns of Different Rebalancing Strategies

January 2000 to July 2010
Buy and Hold -20.08%
Actual Return -19.51%
Constant Mix -19.66%
Fully Invested -21.00%
-22% -21% -21% -20% -20% -19% -19%

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Several conclusions stand out. First, the gains from cash management appear to be very small—less than 1% in the past
decade. This is because all the portfolios are at least 95% invested in the S&P 500. Second, the rebalancing strategy based
on the actual cash/assets ratio of equity mutual funds performed the best, which indicates portfolio managers do add value.
Third, the constant-mix and actual portfolios perform similarly. This is because they both employ contrarian strategies in that
their allocation to equities is largest at market bottoms and smallest at market tops.
Gain from Mutual Fund Cash Management versus Passive Strategy

1.5%
Constant Mix
Actual
1.0%
0.5%
0.0%
J-00 J-01 J-02 J-03 J-04 J-05 J-06 J-07 J-08 J-09 J-10
-0.5%
-1.0%
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 cash
within a target band is an important factor, so we focused on the changes in asset allocation that the constant-mix strategy
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 monthly
return 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 active
cash 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. Specifically,
we tested the following model:
Active Cash Allocation t = β0 + β1 * S&P 500 Return t + β2 * Fed Funds Rate t
The regression coefficient β1 is positive and statistically significant at usual levels of confidence (t-stat of 3.3). The positive
coefficient means managers carried more cash during strong rallies than prescribed by the constant-mix strategy. Portfolio
managers seem to follow a buy low/sell high approach, which should help mitigate the tendency of retail investors to chase
returns.
The regression coefficient β2 is also positive, which means managers (rationally) increase cash holdings when short-term
interest rates rise. But the coefficient is not statistically significant at usual levels of confidence. We attribute the weakness
of the relationship to a bias in our sample period (short-term rates have been sitting near zero since September 2008).

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Annex: Regression Statistics
Dependent variable: Active cash allocation of equity mutual funds

Sample period: February 2000 to July 2010
Periodicity: 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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September 8, 2010
Page 8 of 23
Mutual Fund and ETF Flows – 1 of 5

All data are as of Tuesday, September8, 2010
All Equities US Equities Int. Equities Bonds

$ billions 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 4.0
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 -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))).
Trackable Mutual Funds: Cumulative Flows to Total Assets

Q3 2008 to Date
20%
15%
10%
5%
0%
% of Assets
-5%
-10%
-15%
-20%
-25%
-30%
US INTL BOND

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September 8, 2010
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Long ETF: Cumulative Flow by Asset Class

30,000
25,000
20,000
15,000
$ millions
10,000
5,000
0
Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10
-5,000
US INTL Bond Commodity
Short ETF: Cumulative Flow by Asset Class

3,500
3,000
2,500
2,000
$ millions
1,500
1,000
500
0
Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10
-500
US INTL Commodity

Weekly Flow Report
September 8, 2010
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All data are as of Tuesday, September 8, 2010
Mutual Funds - By Category

Daily Trackable Survey Flows Past 4 Wks Last Week 2 Wks Ago 3 Wks Ago 4 Wks Ago 5 Wks Ago 6 Wks Ago
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
Mutual Funds - By Specialty

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
Mutual Funds - By Size and Style

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 75
Small 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
Mutual Funds - By Geographic Regions

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

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September 8, 2010
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Mutual Fund and Mutual Fund and ETF Flows – 4 of 5

ETF Flows – 4 of 5
Mutual Funds - By Fixed-Income Type

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
Mutual Funds - Alternative Mutual Fund

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
ETFs - By Category (Excluding Short ETFs)

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
ETF: By Industry
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

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September 8, 2010
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ETFs - By Size and Style

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
ETFs - By Geographic Regions

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
ETFs - By Fixed-Income Type

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
ETFs - Alternative ETF

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
Fund and ETF Flows – 4 of 5

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September 8, 2010
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Future Flows – 1 of 2
Futures: Daily Flows into S&P 500 and E-minis Futures

S&P 500 E-Minis Market
$ million Flows Notional Flows Notional S&P 500 Vix
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%

Weekly Flow Report
September 8, 2010
Page 14 of 23
Future Flows – 2 of 2
Futures: Cumulative Flows into S&P 500 and E-Minis Futures Contracts
All Maturities, Quarter-to-Date
60.0
50.0
40.0
30.0
$ billion
20.0
10.0
0.0
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 51 52 53 54
-10.0
March 22 Sept 7
Number of Days Since Last Expiration
Flows into "On-the-Run" Contracts Last Quarter Flows Last Year Flows
Futures: Flow into S&P 500 and E-minis Futures
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 2010 -10,535 3,557 9,128 -1,270 2,293 -2,584
December 2010 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 2011 0 0 0 0 -3 0
All Maturities -9,349 5,571 6,101 -451 3,100 15
Futures: Commitments of Traders

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 available on a weekly basis. All numbers are the ratios of futures over total open interest.

Weekly Flow Report
September 8, 2010
Page 15 of 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 Last 12 Last 12 Aug-10
Months Months Months
$ billion Flow Flow/TNA Return Flow Flow/TNA Return Flow Flow/TNA Return Total Assets
Convertible Arbitrage 0.0 0.0% 0.1% -0.6 -1.9% 5.1% 0.9 2.5% 17.1% 33.9
Distressed Securities -0.7 -0.6% 0.1% 1.1 0.9% 2.2% 6.2 5.3% 14.2% 114.5
Emerging Markets -9.0 -4.7% 0.1% -11.6 -6.0% 3.7% -8.4 -4.3% 22.6% 180.8
Equity Long Bias 2.0 1.4% -0.4% 8.6 5.8% -0.3% 11.2 7.6% 11.0% 147.1
Equity Long Only 0.0 0.1% 0.4% 3.7 5.9% -0.5% 4.2 6.7% 13.8% 63.2
Equity Long-Short 1.3 0.7% 0.0% -2.5 -1.4% -0.4% 5.9 3.3% 5.1% 175.1
Equity Market Neutral 0.0 0.1% 0.0% -0.3 -1.1% 0.1% -0.2 -0.6% 1.0% 30.5
Event Driven 0.7 0.3% -0.1% 13.2 5.9% 2.5% 16.6 7.5% 13.2% 225.2
Fixed Income 4.6 2.7% 0.3% 8.0 4.8% 7.9% 10.4 6.3% 19.0% 169.3
Macro 2.6 2.8% 0.1% 5.3 5.7% -0.6% 8.3 9.0% 5.4% 94.6
Merger Arbitrage 0.5 1.7% 0.1% 0.5 1.8% 2.7% 1.4 5.1% 6.9% 27.6
Multi-Strategy 0.0 0.0% 0.0% -17.5 -10.6% 3.6% -30.4 -18.4% 10.6% 150.1
Other 0.4 1.6% 0.1% 0.2 0.8% 2.3% 1.6 6.2% 5.3% 22.5
Sector Specific 0.7 0.9% 0.5% 0.3 0.4% -1.2% 1.1 1.3% 9.0% 85.3
Hedge Fund Industry 3.0 0.2% 0.1% 8.3 0.5% 2.0% 28.8 1.9% 11.6% 1519.5
Funds of Funds -0.8 -0.2% 0.0% -17.9 -3.4% 0.0% -30.4 -5.8% 5.7% 513.1
CTAs 2.9 1.3% 2.9% 8.7 3.9% 6.3% 21.3 9.4% 7.5% 220.9
Direct Investment In HF 3.9 26.2 59.2
Hedge Fund Flows by Type
Hedge Fund
$ billion Funds of Funds All CTAs
Industry
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 -1.62
March-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

Weekly Flow Report
September 8, 2010
Page 16 of 23
Short Interest Flows – 1 of 1

All data are as of August 13, 2010
Short 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 Value
2000 N/A 45.68 N/A 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 N/A
2004 N/A -11.49 N/A 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 6.65
2008 89.33 56.42 6.27 6.30 24.69 5.31 12.79 15.32 3.55 11.40 3.90
2009 -49.46 -32.62 -13.24 -8.95 -3.32 -4.88 -6.71 -2.82 -2.99 -3.44 -2.28
2010 21.08 11.07 2.54 3.03 2.40 1.08 3.31 1.48 3.44 3.21 0.76
Sep-09 -7.87 -3.78 -2.20 1.27 -1.03 -1.18 -0.98 -1.37 -0.56 -0.99 -0.76
Oct-09 -9.44 -10.06 -2.46 -0.87 -4.60 -0.37 -0.99 -0.06 -0.55 -0.32 0.69
Nov-09 -2.37 -8.40 -0.34 -3.18 -4.31 -0.20 -0.33 1.26 1.44 1.75 1.39
Dec-09 -9.04 -4.30 -1.66 -2.13 3.63 -1.90 -0.77 -3.26 -0.69 -0.29 -1.49
Jan-10 0.96 -3.63 -3.25 -0.90 1.19 -0.05 -0.88 0.56 1.76 1.38 1.11
Feb-10 10.02 4.67 0.88 3.01 -1.60 1.25 1.45 1.14 0.73 1.84 1.09
Mar-10 -6.16 -2.76 0.13 -3.13 1.43 0.10 -0.29 -2.19 -0.37 -0.67 -1.03
May-10 -0.28 0.17 0.69 0.24 -0.18 -0.45 0.39 -0.11 0.06 0.33 -0.91
Jun-10 14.51 11.94 3.95 3.56 1.84 1.34 1.79 0.74 0.61 0.39 -0.03
Jul-10 1.41 0.38 0.42 0.51 -0.42 -1.59 0.50 0.52 0.93 0.16 0.69
Aug-10 0.62 0.30 -0.28 -0.26 0.13 0.48 0.34 0.82 -0.28 -0.22 -0.15
3/31/2010 -8.16 -4.24 0.81 -3.32 0.16 -0.57 -1.59 -2.30 0.01 -0.64 -0.62
4/15/2010 0.05 -0.20 -0.07 0.27 0.00 0.07 -0.22 -0.14 0.13 0.16 0.07
4/30/2010 -11.05 -5.65 -0.77 -0.60 -0.83 -2.40 -2.31 -2.61 -0.72 -0.59 -0.16
5/14/2010 0.38 0.21 -0.14 0.09 0.00 -0.35 0.08 -0.01 0.47 0.57 -0.34
5/31/2010 -0.66 -0.04 0.83 0.15 -0.18 -0.10 0.32 -0.10 -0.42 -0.24 -0.57
6/15/2010 15.99 12.90 4.10 3.62 1.84 1.28 1.76 0.87 0.44 0.78 0.51
6/30/2010 -1.48 -0.96 -0.15 -0.06 0.00 0.06 0.03 -0.13 0.17 -0.40 -0.54
7/15/2010 3.08 0.64 1.11 0.65 -0.57 -1.01 0.98 0.20 0.85 0.47 0.49
7/30/2010 -1.67 -0.26 -0.69 -0.14 0.15 -0.58 -0.48 0.32 0.08 -0.31 0.20
8/13/2010 0.62 0.30 -0.28 -0.26 0.13 0.48 0.34 0.82 -0.28 -0.22 -0.15
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.
Except for S&P 500, data starts from November 2007
Short Interest by Sector
8/13/2010 7/30/2010 7/15/2010 6/30/2010

$ billions Dollar Short Days to Cover Flow-Volume Dollar Short Days to Cover Flow-Volume Dollar Short Days to Cover Flow-Volume Dollar Short Days to Cover Flow-Volume
Consumer Discretionary 64.30 3.35 0.60% 65.84 3.30 0.26% 65.51 3.05 0.33% 60.60 2.56 -0.20%
Consumer Staples 21.92 2.66 0.10% 21.92 2.66 0.10% 21.96 2.47 0.67% 20.94 2.18 0.62%
Energy 30.61 1.93 -0.56% 30.61 1.93 -0.56% 30.12 1.76 -0.56% 34.17 1.75 0.19%
Financials 67.61 2.88 -0.16% 67.61 2.88 -0.16% 66.17 2.62 -0.09% 64.20 2.22 -0.15%
Health Care 39.34 2.97 0.44% 39.34 2.97 0.44% 40.73 2.95 0.62% 41.42 2.72 0.66%
Industrials 43.38 3.28 0.13% 43.38 3.28 0.13% 42.09 2.99 0.10% 39.85 2.56 -0.11%
Information Technology 62.42 1.94 0.37% 62.42 1.94 0.37% 65.13 1.90 0.46% 59.55 1.63 0.28%
Materials 16.13 2.19 -0.10% 16.13 2.19 -0.10% 15.82 1.94 -0.33% 14.94 1.63 -0.36%
Telecommunications 6.02 2.36 0.23% 6.02 2.36 0.23% 5.88 2.20 0.27% 5.64 1.98 0.21%
Utilities 11.83 3.59 0.71% 11.83 3.59 0.71% 11.62 3.33 0.79% 10.69 2.79 0.62%
Top 10 Highest Shorted Stocks by Flow-Volume Ratio

8/13/2010 7/30/2010 7/15/2010 6/30/2010
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

Weekly Flow Report
September 8, 2010
Page 17 of 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 with stock prices movements
For more information on the TTDI, contact Vincent Deluard (Vincent.Deluard@TrimTabs.com)
The TrimTabs Demand Index Closed at 82.75 on September 7 down from 87.43 on September 3, which is very Bullish.
Variable Unit Current Value (1) Indexed Value (2) Regression T-Stat (3) Impact on the Index
AAII Sentiment Survey % Bull - % Bear -10.45% 15.06 0.44 -1.55

Hedge Fund Sentiment Survey % Bull - % Bear 0.31% 62.05 0.74 0.90
Equity 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 6.56
Short 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 0.45
Change Net Position of Speculative Traders on Equity Futures Δ(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 -1.88
Put/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 -0.47
Credit Balance in Margin Account % Change 0.00% 54.64 1.39 0.65
Flows into Hedge Funds Flow/Assets 0.02% 31.72 -0.18 0.31
VIX Index Close Price 23.95 38.37 -0.42 0.46
Individual 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 Balance 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

Weekly Flow Report
September 8, 2010
Page 18 of 23
Demand Index – 2 of 2
Impact of Each Demand Measure on the TTDI on September 7

Demand Measures Bearish Bullish
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 Allocation 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
Fear/Greed Reading of Each Demand Measure on September 7

Demand Measures Fear Greed
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 Allocation 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 47
AAII 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 bullish for equities.
Margin Debt indicate fear, 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

Weekly Flow Report
September 8, 2010
Page 19 of 23
Annex 1: TrimTabs Datasets
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
Market Cap Secondary Equity

Country Companies Start Date IPOs Insider Selling Stock Buybacks Takeovers
($T) Offerings
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
Global Insider Trading Dataset

10 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, Duplicate Transactions and option-related
Nasdaq & USA 18.1 13,600 Jan-03 1-2 Days SEC buying is excluded. Aggregation by GICS
sector
Amex
TSX Canada 1.8 3,710 Jan 06 1-30 Days SEDI
London
London Stock
Stock United 3.2 3,233 Jun-06 1-2 Days Exchange
Exchange Kingdom
AMF, Commission
Bancaire, Financiere et
France,
Euronext 3.3 1,022 Jan-06 1-30 Days des Assurance, the
Belgium, Autoriteit Financiale
Not other known source for this data.
Netherlands Markten
Aggregation by ICB Sectors
Deustche
1.7 851 Jan-07 1-3 Days BAFIN
Boerse Germany
Hong Kong Hong Kong 2 307 Jan-07 1-3 Days HKEX
ASX Australia 1.6 1841 Sep-08 1-3 Days ASX
KRX Korea 1 1,809 Sep-08 1-3 Days KRX
Singapore Singapore 0.5 747 Sep-08 1-3 Days SGX

Weekly Flow Report
September 8, 2010
Page 20 of 23
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
Asset Class, Only daily survey of mutual funds.

685
Mutual Funds Daily 2,168 Jan-98 Morningstar Daily Survey Adjusted for dividends and
8% of total distribution. Smart categorization
Category
Covers almost all US-listed mutual

Asset Class, Style, funds. Predicts the ICI number one
11,900 Industry, Retail vs week in advance. Full transparency
Mutual Funds Monthly 15,163 Aug-07 Monthly Survey
80% of total Insitiutional, and smart categorization
Geographical Focus (breakdonw between retail and
institutional funds)
Asset Class, Style, Covers almost all US-listed ETFs.

Regular updates for new ETFs
592 Industry,
ETFs Daily 714 Jan-00 Daily Survey listings. Smart categorization: GICS
95% of total Morningstar industry, short vs long ETFs,
Category futures-related, etc
Monthly, one Covers one third of the hedge fund

611 13 Strategies and BarclayHedge universe. Monthly update while
Hedge Funds month in 4,313 Jan-00
33% of total Size Database indusrtry generally provides
arrear statistics on an annual basis.
Monthly, one Covers one third of the hedge fund

Funds of 367 BarclaHedge universe. Monthly update while
month in 2,570 Jan-00 Size
Funds 36% of total Database indusrtry generally provides
arrear statistics on an annual basis.
Commodity- Monthly, one Covers one third of the hedge fund

361 BarclayHedge universe. Monthly update while
Traded month in 2,134 Jan-00 Strategy and Size
80% of total database indusrtry generally provides
Advisors arrear statistics on an annual basis.
*ICI tracks 7,280 funds with total net asset value of $8,057 billion on a monthly basis.
Futures and Short Interest Dataset
Assets of $323 Bn Daily
Data Type Periodicity AUM ($ Billion) Start Date Categorization Source Benefits of the Dataset
Data Aggregated over All Contracts.
S&P 500
Daily 184 Jan-84 Maturity CME "Money flows" are adjusted for roll-
Futures over between contracts

E-Minis Daily 139 Jan 96 Maturity CME "Money flows" are adjusted for roll-
over between contracts

Crude Oil NYMEX, ICE,
Daily 270 Jul-08 "Money flows" are adjusted for roll-
Futures DME over between contracts
Currency, Equity, Covers 4,313 contracts.

Commitment Aggregation over relevant contract
Bi-Weekly 611 Jan-00 Commodity, CFTC groups. Can be crossed-matched with
of Traders
Interest Rates money flows into equity contracts.
GICS Sector, Style
Nasdaq & Aggregation over equity indices and
Short Interest Bi-Weekly 21,000 Jan-00 and Size, Major ETFs. Covers all US-listed stocks.
NYSE
Indices

Weekly Flow Report
September 8, 2010
Page 21 of 23
Annex 2: Library of Research Notes
Library of Research Notes

Topic Variable Market Title Summary Date Updated
Regression Analysis Confirms L1 Regression Analysis shows that

weekly L1 is a statistically
L1 US Can Predict the Direction of the S&P significant determinant of January 2008
500 market returns since 1999
Companies with large buybacks

tend to outperfrom in the year
To What Extent Do Buybacks Benefit following the buyback
Corporate Liquidity Buybacks US
Shareholders?
announncement. The
outperformance is greatest for
September 2008
companies which do shrink the

float.
TrimTabs introduces a new
proprietary L1 Index to help
L1 US Introducing the TrimTabs L1 Index more easily interpret L1, the January 2008
key indicator of supply side
equity market liquidity.
L1 and insider transaction data

Using L1 and Insider Trading Data aggregated at the GICS 1 level
can help identify outperforming
L1 / Insider Transactions US to Rotate Between Industries (GICS sectors. Investors can achieve May 2008
1) alpha on both the long and
short side.
L1 and insider transaction data

aggregated at the GICS 2 level
Sector Rotation Using L1 and Insider Trading Data
can help identify outperforming
L1 / Insider Transactions US to Rotate Between Industry groups sectors. Investors can achieve
September 2008
(GICS 2) alpha on both the long and
short side.
Buybacks and insider

Buybacks / Insider transactions can be using to
United Kingdom Sector Rotation Models on the LSE identify ooutperforming sectors July 2008
Transaction
on the London stock Exchange
Flows into equity futures have

Flows into Equity Futures US Futures Flows Presentation been highly correlated to July 2008
market volatility since 1986
Definition and backtesting of

Flows Development and portfolio level the short interest flow volume
backtesting of a short interest flow ratio indicator for constructing
Short Interest US August 2008
based indicator for the S&P 500 portfolios of heavily shorted
stocks equity assets at the stock,
GICS I, and GICS II levels.

Weekly Flow Report
September 8, 2010
Page 22 of 23
Annex 3: TrimTabs Model Portfolios

TrimTabs Model Portfolios Performance
Friday, September 03, 2010
US Portfolios
% Change TTMP S&P 500 (SPY) Sector Portfolio S&P 500 (SPY)
Inception Date 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 -3.6
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 -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 300
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 -60.8
2009 -53.3 40.9 -47.9 31.5 -35.7 28.1 -12.8 6.8 -16.5 54.9 13.5 92.0
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 -10.4
Feb-2010 0.3 -0.8 0.1 -0.9 0.9 -1.4 -0.6 1.0 0.0 5.5 0.0 2.4
Mar-2010 -4.4 6.3 -6.0 6.1 -8.5 9.1 -1.0 5.0 0.0 5.6 0.0 1.9
Apr-2010 2.5 -2.2 1.4 -6.0 0.1 -2.2 0.0 -0.5 0.0 -3.9 0.0 -8.3
May-2010 1.5 -11.0 5.6 -12.7 5.1 -10.5 0.0 -8.5 0.0 -5.6 0.0 -7.1
Jun-2010 2.5 -5.2 2.7 -4.9 2.2 -2.3 0.0 -3.3 0.0 -0.1 0.0 -10.1
Jul-2010 -6.4 14.5 -6.8 14.5 -5.2 10.8 0.0 4.7 0.0 7.9 0.0 11.9
Aug-2010 0.0 -2.8 1.5 -6.9 0.0 -6.9 0.0 -2.6 0.8 0.3 0.0 1.2
Sep-2010 0.0 5.3 0.0 7.7 0.0 6.1 0.0 3.2 -1.4 2.8 0.0 0.6
Last Week 0.0 3.8 0.0 5.8 0.0 4.4 0.0 1.7 -0.9 1.8 0.0 2.2
2010 YTD 0.1 -2.8 5.6 -13.2 3.4 -8.7 -2.2 -0.6 -0.6 4.9 0.0 -18.3
Since Inception -47.2 -18.9 -37.4 -24.9 -81.7 -31.6 -46.8 -21.0 -35.2 4.2 20.4 -38.6

Weekly Flow Report
September 8, 2010
Page 23 of 23
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 Disclaimer
The data and analysis contained herein are provided "as is" and without warranty of any kind, either expressed or implied.
TrimTabs Investment Research (TTIR) any affiliates or employees, or any third party data provider, shall not have any
liability for any loss sustained by anyone who has relied on the information contained in any TTIR publication. All opinions
expressed herein are subject to change without notice, and you should always obtain current information and perform due
diligence before trading. TTIR accounts that TTIR or its affiliated companies manage, or their respective shareholders,
directors, officers and/or employees, may have long or short positions in the securities discussed herein and may purchase or
sell such securities without notice. TTIR uses various methods to evaluate investments, which may, at times, produce
contradictory recommendations with respect to the same securities. When evaluating the results of prior TTIR
recommendations or TTIR performance rankings, one should also consider that TTIR may modify the methods it uses to
evaluate investment opportunities from time to time. For this and for many other reasons, the performance of TTIR's past
recommendations is not a guarantee of future results. The securities mentioned in this document may not be eligible for sale
in some states or countries, nor be suitable for all types of investors; their value and income they produce may fluctuate
and/or be adversely affected by exchange rates, interest rates or other factors. TTIR has an investment management affiliate,
TrimTabs Asset Management (TTAM) which actively invests in highly liquid ETF securities which are sometimes similar or
identical to those tracked in the TTIR model portfolio and sometimes different. The portfolio trades held by TTAM will not
always be the same as those recommended by TTIR, primarily because the TTIR trade recommendations are updated weekly
while TTAM portfolios are managed on a daily basis as conditions change. Due to the highly liquid nature of ETF securities
tracked by TTIR, TrimTabs does not believe there is the potential for conflicts of interest. Further distribution prohibited
without prior permission. Copyright 2009 © TrimTabs Investment Research. All rights reserved.

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WEEKLY FLOW REPORT

CHARLES BIDERMAN SEPTEMBER 8, 2010

Is There Anybody Out There?

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Data Tables and Graphs ............................................................................................................................................................8

Datasets and Research Notes ......................................................................................................................................................................... 19

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

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

5.5 Cash Needed for "Constant Mix"

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Actual % Change in Cash Balances

Returns of Different Rebalancing Strategies

Buy and Hold -20.08%

Actual Return -19.51%

Constant Mix -19.66%

Fully Invested -21.00%

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

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Gain from Mutual Fund Cash Management versus Passive Strategy

Active Cash Allocation t = β0 + β1 * S&P 500 Return t + β2 * Fed Funds Rate t

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Annex: Regression Statistics

Dependent variable: Active cash allocation of equity mutual funds

Regression 2 5.0% 2.5% 562.6% 0.5%

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

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Mutual Fund and ETF Flows – 1 of 5

All Equities US Equities Int. Equities Bonds

Trackable Mutual Funds: Cumulative Flows to Total Assets

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Mutual Fund and ETF Flows – 2 of 5

Long ETF: Cumulative Flow by Asset Class

US INTL Bond Commodity

Short ETF: Cumulative Flow by Asset Class

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Mutual Fund and ETF Flows – 3 of 5

Mutual Funds - By Category

Mutual Funds - By Specialty

Mutual Funds - By Size and Style

Mutual Funds - By Geographic Regions

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Mutual Fund and Mutual Fund and ETF Flows – 4 of 5

Mutual Funds - By Fixed-Income Type

Mutual Funds - Alternative Mutual Fund

ETFs - By Category (Excluding Short ETFs)

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Mutual Fund and ETF Flows – 5 of 5

ETFs - By Size and Style

ETFs - By Geographic Regions

ETFs - By Fixed-Income Type

ETFs - Alternative ETF

Fund and ETF Flows – 4 of 5

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

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

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

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

Futures: Commitments of Traders

Copyright © 2010 TrimTabs Investment Research. All rights reserved.

Hedge Fund Flows – 1 of 2

Hedge Fund Flows by Strategies

Direct Investment In HF 3.9 26.2 59.2

Hedge Fund Flows by Type