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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...

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ESMA 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...

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Alpha 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...

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EDHEC, 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...

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What 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...

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The 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...

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Indexical 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...

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Canada’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...

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What 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.

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Prediction: 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...

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European 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.

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Traders 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...

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Intraday 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?

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EDHEC: 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...

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They 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...

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European 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...

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Delivering 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...

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Investors ‘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...

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BlackRock: 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...

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Factor 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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