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

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Displaying 4 out of 4 results for "ETN".

SEC Scrutinizing Exchange Traded Notes

(Dec 2013)

Risk.net is reporting that the Office of Capital Markets Trends of the Securities and Exchange Commission (SEC) is looking into the details of exchange traded notes (ETNs). The office, headed by Amy Starr, is looking into the fees and the disclosure of risks and formulas used to determine ETN indicative values according to statements made by Starr at the Structured Products conference in Washington, DC on December 10.

ETNs have been a frequent subject on the blog and regulators have issued...

Options Strategies Embedded in Exchanged Traded Products

(May 2013)

In theory, exchange traded products (ETPs) can be linked to almost any underlying asset, including derivatives. While many ETPs are linked to portfolios of bonds or stocks, some are linked to portfolios of futures contracts, which we have discussed at length before. Bill Luby at VIX and More has written a couple posts on ETPs that are linked to portfolios of options, which are gaining some traction with investors. As usual, we greatly enjoyed Bill's posts and thought we'd explain some of the...

Persistence and Mean Reversion in VIX Rolling Futures Indexes

(Mar 2013)

In our last post we followed up on Jason Voss's discussion of the Hurst exponent as a measure of persistence or mean reversion in market data. We compared the Hurst exponents of the S&P 500 to that of the VIX index, and found that the S&P 500 is largely a random signal (Hurst exponent near 0.5) but that the VIX exhibits characteristics of a 'switching' or mean reverting signal (a Hurst exponent between 0 and 0.5).

Much has been made of VIX mean reversion in the financial blogosphere. One idea...

ETP Turnover in 2012

(Jan 2013)

2012 was a busy year for the exchange-traded product (ETP) market. As we've noted before, many new funds have been created, and many others have been closed and liquidated. The analysts at IndexUniverse have been keeping track, and have produced the final year-end tally for 2012.

In all, 178 ETFs or ETNs were launched in 2012. iShares (BlackRock) was the largest issuer in terms of number of new funds, but the market was highly divided such that 44% of funds were launched by the smallest 26...

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