Delivering Alpha Highlights: Part One

Jul 19th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, Conference report, Corporate governance, Currencies, ETFs, Media Coverage of Hedge Funds, Today's Post

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.

European Investor Satisfaction with Smart Beta ETFs

Jun 28th, 2015 | Filed under: Academic Research, Alpha Strategies, CAPM / Alpha Theory, ETFs, Liquid Alts, Risk management, Smart Beta, Today's Post

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.

They Do It Right Down Under: Australian Institutional Funds

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

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.

EDHEC: Smart Beta Indexes May Be On a Launch Pad

Apr 6th, 2015 | Filed under: Academic Research, CAPM / Alpha Theory, ETFs, Risk management, Today's Post

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.

Intraday Momentum Confirmed: Day Traders Credited

Mar 24th, 2015 | Filed under: Academic Research, Behavioral finance, CAPM / Alpha Theory, Derivatives, ETFs, Today's Post

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?

Traders Sometimes Want Macro-News to Be Free

Jul 9th, 2014 | Filed under: Academic Research, ETFs, Indexes, Today's Post

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.

European ETFs: Innovations the Key to Growth

Mar 27th, 2014 | Filed under: Academic Research, Alpha Strategies, Alternative Beta & Hedge Fund Replication, ETFs, Infrastructure, Today's Post

The way to keep growing is to keep changing. For the European ETF market, that means product innovation, from infrastructure funds to smart beta.

Prediction: The Word ‘Alternatives’ Will Go Out of Use

Feb 13th, 2014 | Filed under: Alpha Strategies, ETFs, Portable Alpha & Alpha/Beta Separation, Today's Post

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 on the other.

What Will Drive ETF Growth? Not Active Management

Feb 3rd, 2014 | Filed under: Alpha Strategies, ETFs, Today's Post

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.

Canada’s Derivatives Market since the Global Finance Crisis

Nov 4th, 2013 | Filed under: Derivatives, ETFs, Forex, Today's Post

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 two are not expected to move in tandem.

Indexical Question: How Much Transparency is Enough?

Jul 10th, 2013 | Filed under: ETFs, Regulatory, Today's Post

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.

The Present and Future of Actively Managed ETFs

Apr 28th, 2013 | Filed under: ETFs, Today's Post

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.

EDHEC, EMA in Broad Concord on ETFs

Apr 23rd, 2012 | Filed under: ETFs, Today's Post

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.

Alpha Hunters: Bringing Long-Short Equity to the Masses

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

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.

ESMA and EDHEC on Indexes and Tracking Errors

Feb 1st, 2012 | Filed under: Alpha Strategies, ETFs, Indexes, Today's Post, UCITS

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.

Future of Asia’s Synthetic ETF Market May Lie With Singapore Regulators

Jan 22nd, 2012 | Filed under: Alpha Strategies, ETFs, Today's Post

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 iShares MSCI India tracker, which has a 20 to 25 percent exposure. But Celent sees a possibiliuty that laxity will prove a winning move vis-a-vis Hong Kong.