Blog

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

Displaying 61-70 out of 108 results for "ETF".

Attractive Yields and Hidden Risks

(Dec 2012)

The Wall Street Journal had a great piece this weekend concerning the investments some investors are seeking out to find yield in this low interest rate environment. Investors are taking on more and more risk to realize the yield they once found commonplace and this article brings a few examples to the forefront.

The risk investors are taking include credit risk (high-yield/junk bonds), market risk (closed-end funds trading at a premium) or some combination of the two (structured products)....

Do Leveraged ETFs Contribute to Share Price Volatility?

(Nov 2012)

We've talked a lot about leveraged and inverse Exchange Traded Funds (LETFs)and the problems that can arise from their rebalancing. A recent paper from a group at York University asks two simple but interesting questions: does this rebalancing affect the volatility of the underlying assets? If so, can a sophisticated trader exploit that effect to achieve excess returns?

On the first question, the authors find two main results. First, the directional trades LETF providers and counterparties...

ETFs in 529 Plans

(Nov 2012)

We've talked before about the possibility that ETFs will replace mutual funds in many 401(k) retirement plans and the implications that might have for retirees. While most 401(k) plans have not yet adopted ETFs in their investment lineups, ETFs are becoming more common in another type of long-term savings plan known as a 529 Plan.

529 Plans are typically run by states and are used to save for future education expenses such as college. There are several ways to take advantage of 529 Plans. One...

Leveraged Exposure to the Mortgage REIT Sector

(Oct 2012)

Michael Aneiro over at Barron's pointed out an interesting recent SEC 424(b)2 filing from ETRACS for their Monthly Pay 2x Leveraged Mortgage REIT ETN (MORL). According to the prospectus, the ETNs will "provide a monthly compounded two times leveraged long exposure to the performance of the [Market Vectors Global Mortgage REITs Index], reduced by the Accrued Fees." This ETN is essentially a leveraged version of Market Vectors Mortgage REIT ETF (MORT) which tracks the same underlying index.

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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...

Do ETF Flows Move the Market?

(Oct 2012)

As exchange-traded fund (ETF) flows have grown over the past few years, the question of whether those fund flows influence the prices of ETF holdings has become a perennial issue. Matt Jarzemsky and Chris Dieterich of the Wall Street Journal recently posted what is perhaps the highest profile discussion of this issue to date, in which they provide interesting evidence that the ETF 'tail' might be wagging the market 'dog.'

They note that in early October, mid-cap indexes saw...

Vanguard Abandons MSCI and MSCI's Share Price Crashes

(Oct 2012)

A few weeks ago, the Wall Street Journal reported that Vanguard is replacing the benchmarks on nearly two dozen of its index funds currently provided by MSCI and replacing them with benchmarks provided by either FTSE or the Center For Research In Security Prices (CRSP) at the University of Chicago. See the press release dated October 2, 2012.

This is clearly great news for FTSE since this index change by Vanguard makes them the "third-largest equity exchange traded product index benchmark...

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...

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...

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