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Displaying 10 out of 39 results for "Futures-Based ETFs".

Self-Indexing in Commodity-Linked Investments - Citi CUBES

Over the past few weeks and months, we've noticed a pattern in the products coming across our desks: structured investments linked to esoteric proprietary indexes, created by the same bank that issued the product. We touched on this topic a bit when we discussed self-indexing in the context of structured certificates of deposit, but we thought we'd revisit the issue with a few of the examples that we've been looking into more recently. The examples we'll discuss each reference a proprietary...

SPIVA Scorecard: Persistent Lack of Persistence

Earlier this week, S&P Dow Jones Indices released their semiannual SPIVA Persistence Scorecard, which assesses how consistent top performingactively managed US equity mutual funds have been. This is the third SPIVA release since our blog has been in existence and each time we bring attention to their work. Once again, their results suggest that mutual fund managers only rarely outperform for long.

This year the study found that roughly 7% of funds that were in the top 25% of actively managed...

SEC Scrutinizing Exchange Traded Notes

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...

Non-Transparent ETFs and Foreign Stock Funds

Typically, it's better to know more about an investment rather than less. When it comes to mutual funds and exchange-traded funds (ETFs), transparency means knowing what the fund is buying and selling, and therefore the underlying investment strategy.

Some commentators have claimed that fund transparency is a bad thing for investors. If a fund has a predictable investment strategy, then traders can front-run its trades, which may be large enough to move prices. The criticism is even louder...

FINRA Action Against JP Turner for Unsuitable Leveraged ETF Sales

Last Thursday, FINRA ordered JP Turner, an Atlanta-based broker-dealer, to pay restitution related to sales of leveraged and inverse exchange-traded funds (ETFs) and excessive mutual fund switching. The total restitution to 84 customers totaled over $700,000.

Leveraged and inverse ETFs are extremely complex investments, that are designed for professional traders and are generally considered unsuitable for buy-and-hold investors. One fundamental issue with leveraged and inverse ETFs is that...

'Tailored' Exchange Traded Funds

Issuers of new exchange traded funds (ETFs) have a problem: how to attract enough investment to keep the fund alive. ETFs have a relatively high turnover rate, and many of the funds that fail simply never gained significant assets under management. Also, if the fund is not traded frequently, it is likely to have a wide bid-ask spread, further reducing investor interest.

One solution that a few ETF issuers have recently adopted involves building ETFs with a particular customer in mind. Back in...

Just How Risky Are Leveraged and Inverse ETFs?

Leveraged and inverse exchange-traded funds (ETFs) are some of the most volatile securities traded in public markets. They are designed to track a specific index, except multiplying daily return of the index by a positive (leveraged) or negative (inverse leveraged) factor. The 'daily' part is important: leveraged and inverse ETFs do not track the leveraged or inverse return of the index for any period longer than a single day due to portfolio rebalancing. You can find more details about...

Another Non-Traded REIT Lists Shares, Revealing Losses

Shares of non-traded real estate investment trusts (REITs) were sold in large amounts during the real estate bubble of 2005-2007. Without an observable trading price, sponsors simply fixed the share price of non-traded REITs at $10 per share. As real estate markets have collapsed and now begun to recover, it has been difficult to ascertain just how much those $10 shares have changed in value. Non-traded REIT sponsors are now required to estimate per-share net asset values, which have...

Illiquid ETFs and SEC Market Maker Incentives

There is now nearly $1.5 trillion invested in exchange-traded products (ETPs) in some 1,400 exchange-traded funds and exchange-traded notes. However, not all of that huge sum is distributed evenly. Some funds, like SPY, have huge assets under management, while many others struggle to top $10 million. Often, issuers will close lightly-traded ETPs (leading to substantial turnover each year), but if they don't, the market price of an ETP can often deviate from the net asset value of its...

Why Do Volatility ETPs Reverse Split?

We still get a lot of questions about VXX, TVIX, and all of the other VIX-related exchange-traded products(ETPs). We've talked before about the persistent loss of value due to negative roll yield, as well as issues surrounding TVIX's suspension of share creations. We've also talked about some of the newer volatility products that attempt to mitigate some of the issues with the older generation of products. We've also analyzed whether VIX-based ETFs could serve as a hedge to equity...

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