Browsing: ETFs



Jun 13th, 2019 | Filed under: Newly Added, Hedge Fund Strategies, CTA, The A.I. Industry, Investing in Commodities, Equity Hedge Funds, Liquid Alternative Investiments, Hedge Funds, Liquid Alts, Commodities, ETFs, Macro and Managed Futures Funds, Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Investing is challenging as it is complex and complicated, which requires continuous learning and updating of mental frameworks. Conflicts and contradictions are found everywhere. For example, data from the mutual fund industry shows that most funds fail to outperform their benchmarks, but investors inRead More


May 12th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Retail Investing, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Hedge Funds, Event-Driven Hedge Funds, Alternative Investments in Context, ETFs, Macro and Managed Futures Funds, Relative Value Hedge Funds, Allocating to A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION As Amazon has been decimating large parts of the retail industry over the last two decades, ETFs have done the equivalent to the mutual fund industry in the financial world. Today ETFs are covering nearly all areas of the markets, no matter howRead More

Risks & Rewards: The Future of Finance in Blockchain

Jan 6th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Technology, Operations, Emerging Alternative Investments, Digital currencies, ETFs, Smart Beta, Risk Management Strategies & Processes, Risk Management & Operations, Other Topics in A.I.

A new article by Dave Dowsett and Heather Wied, both of Invesco, looks at blockchains and the way this new technology, precisely as it divorces itself from its original significance as a feature of the cryptocurrencies, is ready to transform finance. Dowsett and Wied contend that blockchain “offers the possibilityRead More

ETF Arbitrage and Its Consequences

Jan 1st, 2019 | Filed under: Newly Added, Retail Investing, The A.I. Industry, Emerging Alternative Investments, Alternative Investments in Context, ETFs, Other Topics in A.I.

A new paper by Ilias Filippou and two other scholars looks at ETF arbitrage. This is a trading strategy that plays off of discrepancies between the value of the exchange-traded funds on the one hand and the value of their underlying stocks on the other. ETF arb is not new,Read More

Robeco Researcher on Factor Premiums and ETFs

Mar 6th, 2018 | Filed under: Newly Added, Liquid Alternative Investiments, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

David Blitz has recently discussed the concern in some quarters that factor premiums may disappear as they are arbitraged away by exchange-traded funds. Blitz, the head of quantitative equity research at Robeco Asset Management, says that such a concern is not justified, because “the exposures of ETFs that may beRead More

Growth and Challenges for Asset Management in Italy

Jun 15th, 2017 | Filed under: Newly Added, The A.I. Industry, Alternative Investments in Context, ETFs, Allocating to A.I.

A recent (May 2017) Deloitte white paper discussed asset management in Italy. The paper begins with the observation that key institutions in Italian finance have a relatively short history: going no further back than the mists of the 1990s. The Società di Intermediazione Mobiliare (SIM) – literally, the phrase meansRead More

Broad Commodities: Value, Inflation, Implementation

May 29th, 2017 | Filed under: Newly Added, Investing in Commodities, Commodities, ETFs

ETF Securities (US) LLC, a New York-based asset manager and manufacturer of ETP’s (Exchange Traded Products),” has issued a white paper written by its Director, Investment Strategy, (Maxwell Gold), on “broad commodities,” that is, on the use of a broad basket of commodities, as a way of allowing an investor’sRead More

Factor Investing And The Importance Of Market Cycles

Mar 15th, 2017 | Filed under: Newly Added, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

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 among the most popular investment strategies for institutional and retail investors. Originally of interest to researchers looking to test, andRead More

BlackRock: Smart Beta Strategies Have Room for Growth

Mar 5th, 2017 | Filed under: Newly Added, Alpha & Beta, Liquid Alternative Investiments, Liquid Alts, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

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 report are all affiliated with asset manager BlackRock Inc. They are: Ronald Ratcliffe, Paolo Miranda, and Andrew Ang. RatcliffeRead More

Investors ‘Misoverestimate’ ETFs and a Push Towards ESG

May 26th, 2016 | Filed under: Newly Added, The A.I. Industry, Industry Size & Managers, Socially responsible investing, ETFs, SRI and Clean Energy, Allocating to A.I., Other Topics in A.I.

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 report inspires the neologism “misoverestimate,” as a logical analog of a former U.S. president’s term, “misunder ….” A Natixis surveyRead More

Delivering Alpha Highlights: Part One

Jul 19th, 2015 | Filed under: Media Coverage of Hedge Funds, Currencies, Alpha Hunters, Alpha Strategies, Alpha Seekers, ETFs

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 should." Carl Icahn, predictably, has a very different view of what ails us. Read More

European Investor Satisfaction with Smart Beta ETFs

Jun 28th, 2015 | Filed under: CAPM / Alpha Theory, Alpha Strategies, Risk management, Liquid Alts, ETFs, Smart Beta

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 discuss the extent to which investors are pleased with their results. Read More

They Do It Right Down Under: Australian Institutional Funds

Apr 14th, 2015 | Filed under: CAPM / Alpha Theory, Institutional Investing, Alpha Hunters, Alpha Strategies, Indexes, Alpha Seekers, ETFs

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 Fama-French model, and deeper into the negatives when the momentum factor is added. Read More

EDHEC: Smart Beta Indexes May Be On a Launch Pad

Apr 6th, 2015 | Filed under: CAPM / Alpha Theory, Risk management, ETFs

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 strategies" in that area on which they have so far focused. With more variety may come a real take-off. Read More

Intraday Momentum Confirmed: Day Traders Credited

Mar 24th, 2015 | Filed under: CAPM / Alpha Theory, Derivatives, Behavioral finance, ETFs

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? Read More

Traders Sometimes Want Macro-News to Be Free

Jul 9th, 2014 | Filed under: Indexes, ETFs

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 effectively. The FOMC doesn't seem to be among them. Read More

What Will Drive ETF Growth? Not Active Management

Feb 3rd, 2014 | Filed under: Alpha Strategies, ETFs

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. Read More

Indexical Question: How Much Transparency is Enough?

Jul 10th, 2013 | Filed under: Regulatory, ETFs

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 participants have "the ability to replicate a published Benchmark level...." The new final statement, EDHEC complains, has lost that language.Read More

The Present and Future of Actively Managed ETFs

Apr 28th, 2013 | Filed under: 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 competitive disadvantage vis-à-vis mutual funds. The former, not the latter, are susceptible to front running. Read More

EDHEC, EMA in Broad Concord on ETFs

Apr 23rd, 2012 | Filed under: 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 in Transferable Securities, and it asked for comments by March 30. Much of the ESMA paper involves issues of tracking and disclosure. Read More

Alpha Hunters: Bringing Long-Short Equity to the Masses

Feb 2nd, 2012 | Filed under: Hedge Fund Industry Trends, Retail Investing, Hedge Fund Strategies, Alpha Hunters, Alpha Strategies, ETFs

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 product that gives the long-short equity strategy an ETF format, and ended up talking about a good deal else, such as the inherent superiority of ETFs over mutual funds, and Pimco's recent recognition of that fact. Read More

ESMA and EDHEC on Indexes and Tracking Errors

Feb 1st, 2012 | Filed under: Alpha Strategies, Indexes, ETFs

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 that are structured as UCITS in Europe, and the return of the underlying index or benchmark. The European Securities and Markets Authority maintains that investors should be informed of the factors that are likely to affect the size and the volatility of this difference. Read More