Future of Asia’s Synthetic ETF Market May Lie With Singapore Regulators
In Singapore, some of the synthetic ETFs involve considerably more exposure to uncollateralized counterparty risk than the 10 percent or less that UCITS would allow. Singapore has, for example, the...
View ArticleESMA and EDHEC on Indexes and Tracking Errors
Since transaction costs and the illiquidity of certain portions of an index make ideal tracking impossible, there will be a difference between the return of a tracking ETF, such as those tracking ETFs...
View ArticleAlpha Hunters: Bringing Long-Short Equity to the Masses
AAA sat down with Alex Gurvich and Jim Mitchell, both of The Rockledge Group, an investment advisory firm headquartered in Brooklyn, New York. We began by discussing the mid-January launch of a new...
View ArticleEDHEC, EMA in Broad Concord on ETFs
In January, the European Securities and Markets Authority set out in a consultation paper its guidelines on exchange traded funds and other issues relating to the Undertaking for Collective Investment...
View ArticleWhat are the Risks of European ETFs?
By: Nöel Amenc, Frédéric Ducoulombier, Felix Goltz, Lin Tang Published: January 2012 Abstract: The rapid growth and innovations in the ETF market has led financial stability organisations and...
View ArticleThe Present and Future of Actively Managed ETFs
A recent paper by the SEI in collaboration with ETF Trends explains that the share creation/redemption process sets up a feature of ETFs, and in particular of active ETFs, that constitutes a potential...
View ArticleIndexical Question: How Much Transparency is Enough?
In an initial consultation report in January of this year, the IOSCO Board took an aggressive position on transparency, saying that transparency of indexes used for ETFs should be such that market...
View ArticleCanada’s Derivatives Market since the Global Finance Crisis
Consider TMX index futures: volume and open interest were both heading up sharply in the period 2005-06. But OI peaked in 2006, while volumes continued up for another two years. Going forward, too, the...
View ArticleWhat Will Drive ETF Growth? Not Active Management
Pimco is expanding its active ETF offerings significantly. By serendipity, The Cerulli Edge contains some fascinating data on the growth of the ETF industry. both active and passive.
View ArticlePrediction: The Word ‘Alternatives’ Will Go Out of Use
The separation of alpha and beta is becoming a matter of routine, and the result will (PwC suggests) eliminate the division between "alternatives" investing on the one hand and "traditional" investing...
View ArticleEuropean ETFs: Innovations the Key to Growth
The way to keep growing is to keep changing. For the European ETF market, that means product innovation, from infrastructure funds to smart beta.
View ArticleTraders Sometimes Want Macro-News to Be Free
There exists “robust evidence of informed trading during lockup periods ahead of the Federal Open Market Committee … monetary policy announcements” say three authors. Some agencies can embargo news...
View ArticleIntraday Momentum Confirmed: Day Traders Credited
The first half-hour return of the S&P 500 ETF predicts the last half-hour return of the same trading day rather well. Why isn't this effect arbitraged away and a random walk restored?
View ArticleEDHEC: Smart Beta Indexes May Be On a Launch Pad
There have been "a considerable number of product launches in the area of smart beta ETFs," but investors are eager for more, perhaps in the hope the developers will get beyond the "few popular...
View ArticleThey Do It Right Down Under: Australian Institutional Funds
The hapless U.S. mutual funds Chen and Gallagher sample have a nominally positive pre fee alpha only when measured against CAPM. That disappears into the negatives when the baseline used is the...
View ArticleEuropean Investor Satisfaction with Smart Beta ETFs
Two authors at EDHEC remind us that 15% of the assets in any ETF or ETF-like products for European investors were in smart-beta indexed products as of August 2014, and that this amount is growing. They...
View ArticleDelivering Alpha Highlights: Part One
Larry Fink is "deeply worried" that the combination of share repo with high-yield debt is "one of the reasons why we have a below trend-line economy. We're not investing in the future as much as we...
View ArticleInvestors ‘Misoverestimate’ ETFs and a Push Towards ESG
In a newly released report, Natixis Global Asset Management speaks to the quite positive views of passive investment vehicles and exchange traded funds that it finds in today’s marketplace. Their...
View ArticleBlackRock: Smart Beta Strategies Have Room for Growth
A recent Columbia Business School research paper looks into the transaction costs associated with smart beta strategies in order to estimate the capacity of each strategy. The three authors of the...
View ArticleFactor Investing And The Importance Of Market Cycles
By Scott Opsal, CFA Director of Equities, The Leuthold Group The widespread popularity of smart beta ETFs demonstrates that factor-based investing has advanced from the province of academia to rank...
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