Blog

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

Displaying 481-490 out of 709 results

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...

SEC Litigation Releases: Week in Review - October 12th, 2012

(Oct 2012)

SEC Brings New Charges in Insider Trading Case Against Chinese Citizens
October, 12, 2012, (Litigation Release No. 22508)
In December 2011, the SEC charged several Chinese citizens and Chinese-based entity, All Know Holdings Ltd., with insider trading concerning the merger between Pearson plc and Global Education and Technology Group, Ltd. The SEC filed an amendedcomplaint on October 4, 2012, naming Jie Meng as a new defendant. According to the complaint, Meng received information regarding...

Exchange Traded Interest Rate Swap Futures

(Oct 2012)

We've talked briefly about interest rate swaps in the past, but I wanted to write about a recent development in the securities industry that relates to these conventionally over-the-counter (OTC) instruments.

Back in the summer of 2010, the Dodd-Frank Wall Street Reform and Consumer Protection Act (PDF) was signed into law and as a result many OTC products have began the process of standardization in preparation for exchange trading. The idea is essentially that exchange traded products offer...

Variable Prepaid Forwards Cost JP Morgan at least $18 million

(Oct 2012)

Yesterday, the Oklahoma District Court in Tulsa, OK ordered JP Morgan Chase Bank to pay the Burford Trust over $18 million. In addition to this payment, JP Morgan is responsible for attorneys' fees and punitive damages to compensate the trust for the diminution in value resulting from a series of 11 variable prepaid forward contracts (VPFs) JP Morgan entered into with the Trust starting in May 2000. The news of this decision has been picked up by Bloomberg, the New York Times as well as ...

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...

SEC Litigation Releases: Week in Review - October 5th, 2012

(Oct 2012)

SEC Charges Unlicensed Financial Advisor James S. Quay for Defrauding Investors in Atlanta Area
October 4, 2012, (Litigation Release No. 22506)
According to the complaint (opens to PDF), James S. Quay, along with his brother Jeffrey A. Quay, conducted a scheme in which they convinced two elderly women to invest $560,000 into a sham limited partnership called Trinity Charitable Solutions. Quay, who has a history of defrauding the elderly, claimed the funds would be used to operate the program,...

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...

SEC Litigation Releases: Week in Review - September 28th, 2012

(Sep 2012)

Court Enters Final Judgments by Consent Against SEC Defendants Shay Keren and Lawrence Steven Cohen
September 27, 2012, (Litigation Release No. 22498)
The SEC announced that final judgments have been entered against Shay Keren and Lawrence Steven Cohen which permanently enjoins them from violating sections of the Securities Act and Exchange Act as well as bars them from "participating in an offering of penny stock for a period of five years." The SEC filed a complaint in September 2008 against...

Regulators Fine High-Frequency Trader for Manipulative Trading

(Sep 2012)

FINRA recently announced the censure and fining of Hold Brothers On-Line Investment Services, LLC ("Hold Brothers"). This action is in lockstep with that of NYSE Arca, NASDAQ, NASDAQ OMX BX and BATS as well as the SEC . Hold Brothers isa registered self-clearing broker-dealer and a member of FINRA operating as a "day-trading firm by facilitating direct market access to customers and to its proprietary traders."

The action centers primarily on the trading activity in one large account...

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