Autocallables Part IV: Issuers' Day-1 Value Mischief
(Mar 2024)
By Craig McCann and
Mike Yan
Earlier this week we posted about the $122 billion in autocallable structured products sold in the past 4 years, mostly issued by UBS, Goldman Sachs, JP Morgan, Citigroup and Morgan Stanley. You can read that post here.
We illustrated features of autocallables with reference to the five notes linked to the stock price of Lucid issued by Credit Suisse and Citigroup in a post available here and pointed out a particularly poorly timed issuance by Citigroup linked...
Howard Capital Management Funds Charge High Fees to Misuse Leveraged ETFs
(Jan 2024)
By Craig McCann and Susan Song
You can download a copy of this note to print or email here.
Introduction
Howard Capital Management ("HCM") is a SEC-registered RIA based in Roswell, GA.[1] In addition to advising individual accounts,
it manages mutual funds and ETFs. It claims to use proprietary technical analysis, HCM-BuyLine(R), to market-time the funds' asset allocations.
Without any risk disclosure, HCM's mutual funds buy and hold leveraged ETFs for much longer periods than is...
SLCG Research: Volatility Smiles from Leveraged ETF Options
(Jan 2013)
Leveraged ETFs are a perennial subject on our blog. I thought I'd take this opportunity to highlight a recent research project entitled "Crooked Volatility Smiles: Evidence from Leveraged and Inverse ETF Options" that I recently completed with my colleagues Geng Deng, Craig McCann and Mike Yan.
While studying options data on leveraged and inverse ETFs, we began to notice a pattern such that deep-in-the-money call options -- contacts whose strike price is well above the current spot price --...
SLCG Research: Non-Traded REITs
(Mar 2012)
We've posted a new working paper on our website that brings together much of our research related to non-traded Real Estate Investment Trusts (REITs). In it, we discuss the history and structure of non-traded REITs as well as differences between non-traded REITs and other avenues for gaining exposure to real estate. We highlight the dizzying array of fees and conflicts of interest embedded in these companies. We demonstrate that non-traded REITs are often misleadingly valued, heavily...
SLCG Research: Futures-Based Commodity ETFs
(Jan 2011)
SLCG released today a new study about Futures-Based Commodity ETFs. In the past decade the price of commodities has increased substantially and many investors have wanted to diversify their portfolios by including commodities. The most common way to invest in commodities is by buying futures contracts, which requires a good understanding of the pricing of futures contract and specific features of the futures market.
In the past few years we have seen many firms offer Commodity Exchange...
SLCG Research: Leveraged ETFs
(Aug 2010)
SLCG released today 'Leveraged ETFs, Holding Periods and Investment Shortfalls'.
Exchange-Traded Funds is an investment fund that holds stocks, bonds, or commodities and typically tracks specific indices of such asset classes. Leveraged and inverse leveraged ETFs were first introduced to the market in June 2006 by ProFunds, which promiseds to return a multiple of the underlying index return by rebalancing their portfolios at the end of each day. The total market value of leveraged and...
