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

Displaying 81-90 out of 223 results for "Structured Products".

Fees on Structured Products Rise as Sales Increase

(Apr 2013)

Kevin Dugan recently reported that fees on structured products linked to stocks have risen to their highest level in three years. In particular Kevin notes that "issuers and underwriters earned $137.7 million in disclosed fees, or 1.95 percent of the $7.08 billion of equity-tied securities" that have a stated commission. Average fees have ranged from less than 1.5% to nearly 2% over the past three years.

The increase in average fees is likely due to the increase in average term for products...

Eaton Vance, Transparency, and Exchange-Traded Managed Funds (ETMFs)

(Apr 2013)

Eaton Vance (EV) made a splash yesterday when they announced an application with the SEC for approval of a new type of open-end fund they call "Exchange-Traded Managed Funds" or ETMFs. Since the announcement, several bloggers have commented on the implications of such products, such as Brendan Conway at Barrons and Olly Ludwig at IndexUniverse.

In August 2011, the Financial Times reported the uncovering of patents -- U.S. Patent Nos. 7,444,300, 7,689,501, 7,496,531, 8,131,621, 8,306,901 and...

SEC Litigation Releases: Week in Review - March 29th, 2013

(Mar 2013)

SEC Charges California-Based Hedge Fund Analyst and Two Others with Insider Trading
March 26, 2013, (Litigation Release No. 22660)
Hedge fund analyst, Matthew Teeple, has been charged by the SEC for allegedly trading on material non-public information regarding Brocade Communication Systems Inc.'s 2008 acquisition of Foundry Networks, Inc. According to the SEC, Teeple received the information from Foundry's chief information officer, David Riley, and then caused the "hedge fund advisory firm...

Barclays' Structured Product Linked to a Basket of ETFs and Indexes

(Mar 2013)

RISK.net recently posted an article entitled "IWM urges investors to think about risk-adjusted returns" in the structured products portion of their website. The article describes in detail a Barclays product for which Institute for WealthManagement, LLC (IWM) served as the basket selection agent. Interestingly, the basket is composed mostly of ETFs, which have been appearing in structured products more frequently as the ETF industry itself has become more mature. IWM's Matt Medeiros talked...

Persistence and Mean Reversion in VIX Rolling Futures Indexes

(Mar 2013)

In our last post we followed up on Jason Voss's discussion of the Hurst exponent as a measure of persistence or mean reversion in market data. We compared the Hurst exponents of the S&P 500 to that of the VIX index, and found that the S&P 500 is largely a random signal (Hurst exponent near 0.5) but that the VIX exhibits characteristics of a 'switching' or mean reverting signal (a Hurst exponent between 0 and 0.5).

Much has been made of VIX mean reversion in the financial blogosphere. One idea...

Evolution of Absolute Return Structured Products

(Feb 2013)

From 2006 to 2009, a type of structured product known as an absolute return barrier note (ARBN) was issued by a variety of major investment banks. ARBNs are interesting because they are linked to the absolute value of the return on an underlying, not just its return, and therefore are considered non-directional bets. We've done a lot of work on ARBNs here at SLCG, including a research paper that values a sample of ARBNs and finds they are worth on average 4.5% less than their purchase price...

SEC Issues Letter Regarding Structured Product Valuation Disclosures

(Feb 2013)

Bloomberg's Kevin Dugan is reporting that the SEC has issued a letter to issuers of structured products late last week that offers guidance for the disclosures of estimated value in offering documents. The SEC letter addresses the concerns we and others have shared over the potential mispricing of structured products, which can be and are sold to retail investors -- you can read through our research papers on the topic.

The letter confirms that the SEC will require--though it is not clear...

Structured CDs: The Big Picture

(Feb 2013)

This week we have reviewed some of the issues surrounding structured certificates of deposit, giving an introduction, example offering documents (both simple and complex), the basics of FDIC insurance of these products, and a description of some of the tax implications investors should be aware of. We hope we have conveyed our reasons for thinking that structured CDs are complex and risky investments that, like structured products, are rarely suitable for retail investors.

But there is a...

Tax Consequences of Market-Linked CD Investing

(Feb 2013)

On this last day of structured CDs week here on the SLCG blog, we're going to discuss the tax consequences of investing in market-linked CDs (or structured CDs). We should probably start a blog post on taxes with a general disclaimer that we are not tax professionals and you should consult a tax professional or CPA before making an investment decision based upon tax consequences.

That being said, taxes are a pretty complicated issue for structured CDs. As mentioned earlier this week,...

So How Complicated Can Structured CDs Get?

(Feb 2013)

We could tell you that the last time we went fishing we caught a fish that was THIS BIG (motions with outstretched arms), but you probably wouldn't believe us unless we showed you. We wanted to take this opportunity to show some examples of truly complex structured certificates of deposit that have been constructed in recent months and years.

Let's take a look at JP Morgan's August 2012 fifteen year "Callable Variable Rate Range Accrual CDs Linked to 6-Month USD LIBOR and the S&P 500 Index"...

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