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

Displaying 51-57 out of 57 results

SLCG Research: Reverse Convertibles

(Jun 2010)

SLCG released today 'What TiVo and J.P. Morgan teach us about Reverse Convertibles'.

Structured products are debt securities that often have unconventional and complex payoff structures. Their payoffs are often linked to a security or index, such as the S&P 500 or the Russell 2000, with asset classes ranging from equity, commodities, currencies to debt. A reverse convertible note is an equity-linked structured product. It is a short-term note that pays a relatively high coupon rate...

SLCG Research: Mutual Fund's Term

(Apr 2010)

SLCG released today 'What Does a Mutual Fund's Term Tell Investors?'

Bond mutual funds are classified by Morningstar as ultra short, short, intermediate or long-term. Bond mutual funds have found a way to hold long-term bonds while being classified as ultra-short or short.

In this paper, we demonstrate how the losses suffered by these funds in 2008 can be explained by the increasing credit risks of holding long-term bonds. Furthermore, we find that the classification of these funds as...

SLCG Research: Charles Schwab YieldPlus

(Jul 2009)

SLCG released today 'Charles Schwab YieldPlus Risk'

This paper reports on the Charles Schwab YieldPlus, a bond fund. YieldPlus returned -31.7% between June 2007 and June 2008. Though it told investors that it was an ultra short bond fund, it was in fact an ultra long bond fund. It held securities backed by illiquid long-term private label mortgages, violating concentration and liquidity limits stated in its prospectus. Up until 2007, these securities helped YieldPlus generate...

SLCG Research: Abuse of Structured Finance

(Jan 2009)

SLCG released today 'Regions Morgan Keegan: The Abuse of Structured Finance'.

Six Regions Morgan Keegan (RMK) bond funds lost $2 billion in 2007. In the paper, we argue that the loss was not due to 'flight to quality' or 'mortgage meltdown' but to RMK's portfolio concentration in subordinated tranches of asset-backed securities.

We also find that RMK misrepresented to investors and the Securities and Exchange Commission (SEC) in several ways. Firstly, RMK did not disclose to the SEC...

SLCG Research: Equity Indexed Annuities

(Sep 2008)

SLCG released today 'An Economic Analysis of Equity-Indexed Annuities'.

On June 25, 2008, the Securities and Exchange Commission (SEC) issued a rule proposal to exclude equity-indexed annuities from exemption from Federal securities laws. By requiring registration of equity-indexed annuities under Federal securities laws, the rule gives investors of equity-indexed annuities the same protection as it gives to investors of other securities similar to equity-indexed annuities.

In this...

SLCG Research: Collateralized Mortgage Obligations

(Jun 2007)

SLCG released today 'A CMO Primer: the law of Conservation of Structured Securities Risk'.

Recently, the finance industry witnessed the bailout of two Bears Sterns hedge funds and the collapse of Brookstreet Securities. Both had portfolio holdings of collateralized mortgage obligations (CMOs) and suffered huge losses thereof. We have seen such CMO losses before, when in 1994 interest rates rose, CMOs fell in value and bond mutual funds suffered unexpected losses.

In this paper, Dr....

SLCG Research: Closed-end Fund IPOs

(Jun 2007)

SLCG released today 'Closed-end Fund IPOs'.

In this paper, Dr. Edward O'Neal explains how closed-end funds trade at a discount to their net asset value (NAV). Dr O'Neal finds that at the initial public offering (IPO), a closed-end fund's offering price is set at its NAV. Yet during the year after the IPO, a closed-end fund's price drops as much as 5% from its offering price at the IPO. Furthermore, investors pay huge commissions on the sale of the closed-end fund, generating a premium...

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