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Our experts frequently write blog posts about the findings of the research we are conducting.

Displaying 21-30 out of 78 results for "Volatility Products".

FINRA Fines and Suspends David Lerner for Apple REIT Ten Misrepresentations

(Oct 2012)

Today, FINRA fined David Lerner Associates $14 million, including $12 million in restitution to investors, for charging excessive markups and misleading investors in a non-traded real estate investment trust (REIT) known as Apple REIT Ten. They also suspended David Lerner himself for one year from the securities industry and for two more years from acting as principal for a securities firm. From the news release:

As the sole distributor of the Apple REITs, DLA solicited thousands of...

Mutual Funds Holding Leveraged and Inverse Leveraged ETFs

(Oct 2012)

While looking through recent SEC filings, an updated prospectus happened to catch our eye. The prospectus offers updated information concerning the investment strategy and details of two mutual funds: USFS Funds Limited Duration Government Fund (USLDX) and USFS Funds Tactical Asset Allocation Fund (USFSX).

The fund management company -- Pennant Management, Inc. -- states in this prospectus that "[USFSX] may invest up to 33% of its assets in leveraged ETFs and inverse ETFs, up to 10% of its...

Exchange Traded Interest Rate Swap Futures

(Oct 2012)

We've talked briefly about interest rate swaps in the past, but I wanted to write about a recent development in the securities industry that relates to these conventionally over-the-counter (OTC) instruments.

Back in the summer of 2010, the Dodd-Frank Wall Street Reform and Consumer Protection Act (PDF) was signed into law and as a result many OTC products have began the process of standardization in preparation for exchange trading. The idea is essentially that exchange traded products offer...

Two New Exotic Products from the CBOE

(Oct 2012)

The CBOE has begun the offering process on two new and highly innovative volatility-related products that could have broad implications for the exchange traded products market and index investing in general.

The new S&P 500 Variance Futures are futures contracts on the realized variance of the S&P 500 index. This is in contrast with VIX futures, which trade on the impliedvolatility of the S&P 500; however, according to a CBOE press release, the ability to combine the two may have motivated...

Holding an ETF During the Day vs. Holding Overnight

(Oct 2012)

Lately we've been reading the interesting new book by Eric Falkenstein on risk premia and low volatility investing. We are long time followers of Eric's blog, which has a variety of interesting analyses of equity markets.

Following one of the figures in his book, we decided to look at two different strategies of investing in a given ETF where the holding period is on average one trading day. In particular, we looked at the pricing data of SPDR S&P 500 (SPY) since inception and constructed two...

SEC Litigation Releases: Week in Review - September 28th, 2012

(Sep 2012)

Court Enters Final Judgments by Consent Against SEC Defendants Shay Keren and Lawrence Steven Cohen
September 27, 2012, (Litigation Release No. 22498)
The SEC announced that final judgments have been entered against Shay Keren and Lawrence Steven Cohen which permanently enjoins them from violating sections of the Securities Act and Exchange Act as well as bars them from "participating in an offering of penny stock for a period of five years." The SEC filed a complaint in September 2008 against...

SEC Litigation Releases: Week in Review - September 21st, 2012

(Sep 2012)

SEC Charges Atlanta-Based Adviser with Operating Ponzi-Like Scheme Involving Private Investment Funds
September 19, 2012, (Litigation Release No. 22485)
Earlier this week, the SEC filed a civil complaint charging Angelo A. Alleca with "defrauding investors in a purported "fund-of-funds" and then trying to hide trading losses by creating new private funds to make money to pay back the original fund investors in Ponzi-like fashion." Rather than investing investor funds in Summit Investment Fund,...

ETFs: Easy Come, Easy Go

(Sep 2012)

Last month we pointed out a growing number of ETF closures across a variety of issuers. Hot on their heels, several issuers announced new ETF issuances offering a wide variety of strategies, including many actively managed ETFs, which seem to be all the rage these days.

UBS recently announced that it would redeem 12 of its 13 volatility-linked ETNs on September 12. These twelve funds are actually six pairs of 1x long and 1x inverse notes linked to the performance of VIX futures portfolios...

SEC Litigation Releases: Week in Review - August 24th, 2012

(Aug 2012)

SEC Charges New York-Based Firm and Owner in Penny Stock Scheme
August 23, 2012,(Litigation Release No. 22457)
Edward Bronson and his company, E-Lionheart Associates LLC (which also conducts business under the name Fairhills Capital Inc.), have been charged by the SEC with conducting a penny stock scheme in which they allegedly reaped over $10 million in illegal profits. The alleged scheme involved buying shares at deep discounts from over 100 penny stock companies and then selling them...

SEC Investor Bulletin on ETFs

(Aug 2012)

The SEC recently released an Investor Bulletin on ETFs which provides background information about ETFs in general and defines several terms which may be confusing to investors. ETFs can be complex and risky investments, as they allow nearly anyone to purchase portfolios which would typically only be suitable for sophisticated investors or traders.

Some commentators were not satisfied with the Bulletin, particularly its lack of new guidelines related to leveraged and inverse products. Paul...

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