PowerShares to List Actively Managed Downside Hedged S&P ETF
(Dec 2012)
Late last week, Invesco PowerShares filed a form N-1A registration statement with the SEC to list an exchange traded fund (ETF) with exposure to the S&P 500 with downside exposure actively hedged through VIX futures contracts. The PowerShares S&P 500 Downside Hedged Portfolio (PHDG) seeks to "achieve positive total returns in rising or falling markets that are not directly correlated to broad equity or fixed income market returns" and has annual operating expenses of about 39 basis points....
The Effects of ETF Turnover
(Oct 2012)
Lately there has been a lot of turnover in exchange-traded funds (ETFs), as we noted back in August. InvestmentNews has a great summary of what has happened this year, with 86 funds having closed so far in 2012. They note the important consequences of an ETF closing for investors and advisers:
Even though they are more routine, ETF closings still can create ripple effects that reach financial advisers and their clients. "For an adviser, the worst thing that can happen is, you recommend an ETF...
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...
FINRA Issues Warning on ETNs
(Jul 2012)
The Financial Industry Regulatory Authority (FINRA) recently issued an Investor Alert regarding the risks of exchange-traded notes (ETNs).
ETNs are a type of unsecured debt instrument typically issued by banks and other financial institutions. Similar to its close cousin the exchange-traded fund (ETF), ETNs track the returns of a specified asset class--often an index. However, unlike ETFs, ETNs do not hold actual assets tracked by the underlying index. This means investors in ETNs can suffer...
Another ETN Halts New Share Redemptions, Creates Premium
(Jul 2012)
In March we reported on TVIX, the leveraged volatility-linked exchange-traded note (ETN) which started trading at a very large premium to indicative value after its issuer halted the creation of new shares. Bloomberg's Matt Robinson is reporting that AMJ, a JPMorgan ETN linked to oil partnerships, has also limited new share creations and is developing a similar premium.
JPMorgan limited new share creations on June 14, and the premium to indicative value (the value of the underlying index) has...
Bill Luby on VIX-Related Exchange-Traded Products
(Apr 2012)
Bill Luby, who writes at the VIX and More blog and Expiring Monthly: The Options Traders Journal, is one of the most respected voices on all things related to the CBOE S&P 500 Volatility Index, also known as the VIX. We highly recommend anyone interested in the VIX and volatility-related derivates check out his blog, which has a variety of useful analysis and commentary.
Recently there has been a lot of coverage related to TVIX and otherexchange-traded products linked to the VIX. Here at...
Is There No Tracking Error for ETNs?
(Apr 2012)
Some investors may think that while ETFs are subject to various tracking errors, ETNs are not. The argument goes that index-tracking ETFs often hold part or the entire portfolio underlying their targeted index and are thus subject to imperfect tracking and transaction costs. ETNs, on the other hand, are debt instruments, and have returns guaranteed by their issuers.
It turns out, however, that the daily return of an ETN investment may not necessarily equal the leverage ratio times the daily...
TVIX Explodes...Then Implodes
(Mar 2012)
The Wall Street Journal has an article about the rollercoaster ride that TVIX, a volatility-related ETN, has been on recently. [UPDATE 3/31/12: there is now a second WSJ article]
TVIX is a leveraged ETN issued by VelocityShares, which is Credit Suisse's ETF/ETN brand. Contrary to popular belief, TVIX and other volatility products do not track the CBOE S&P 500 Volatility Index (the VIX); instead, TVIX tracks a daily rolling portfolio of first and second month VIX futures with an average...
Reserve your Clever ETF Ticker Before it's Too Late
(Feb 2012)
The Wall Street Journal reported yesterday that descriptive and catchy tickers for Exchange Traded Funds (ETFs) are getting harder and harder to come by these days. From the article:
But finding a catchy symbol can be tough these days. Many have already been taken: 1,350 symbols are in use on the NYSE Arca alone, the biggest U.S. market for exchange-traded products. That's up 108% over the past five years, says Ms. Morrison. In addition, fund firms have reserved 2,446 symbols for future...
