Greeks of leveraged ETFs
Ultra ETFs deliver a 2 delta. There is a negligible amount of gamma, theta, and vega, a small amount of rho, and some exposure to dividend risk and borrowing costs.
-- ET comment on the option greeks of ETFs.
December 16, 2008
December 11, 2008
3x ETF: bulls and bears
Bespoke notes the launch and raid growth of 3x ETF.
Many have argued that these ETFs are contributing to the volatility of the market due to their leverage. While the huge swings in these things are tempting, the losses can pile up fast with just one bad trade. For the last several months, we have learned how excess leverage has threatened the entire system. After all of this, what kind of message does it send to start creating securities that allow anyone, regardless of their investment experience, to leverage up three times with the simple click of a mouse? Before the introduction of these ETFs, the only way for an individual to increase leverage was through margin borrowing or option trading. Both of these require the brokerage to clearly highlight the potential risks and the investor to acknowledge them. Yet with these ETFs, some investors are potentially leveraging up without knowing the risks involved.
Examples:
Financial: FAS bull, FAZ bear
Russell 1000: BGU bull, BGZ bear
First there was 2x, now 3x, do I hear a 5x.
September 2, 2008
August 16, 2008
Buy-Write covered calls: BEP and BWV
There are many funds today offering some version of covered call strategy (BuyWrite strategy). We have been asked "What do they do?" and "Are they a good addition to a diversified and allocated portfolio?"
In September 2004 the Ibbotson Associates consulting found higher returns and much lower volatility for a the BuyWrite index versus the S&P 500 alone.
-- qvmgroup
August 15, 2008
Index Exchange-Traded Funds (ETFs), etfconnect
ETF Connect reports on exchange traded funds.
Index Exchange-Traded Funds (ETFs) and Closed-End ETFs (CEFs) feature
intra-day trading and stock exchange listing. They rapidly are changing
the way many financial advisors and investors manage their portfolios.
Index ETFs, including SPDRs, Diamonds and HOLDRS.
Closed-End ETFs, including municipal bond and country funds.
August 11, 2008
Index Universe
indexuniverse covers US-listed ETFs and index funds.
Example:
assests are up:
* Assets in US REIT ETFs have increased 15.4%.
* Assets in commodity ETFs saw assets grow by 34%.
* Assets in TIPS, or Treasury inflation-protected securities ETFs increased by 39%.
The new SPDR DB Inflation-Protected Securities ETF (WIP) was launched in March 2008 as the first and only ETF to offer access to international inflation-protected bonds. WIP had gathered $183 million in assets as of June 30, 2008.
July 30, 2008
ETF Express
etfexpress.com surveys the plethora of ETF investment options.
News of who's who and where, for industry insiders; produced by Hedgemedia.
July 24, 2006
Foreign ETFs of Bill Gross
July 23, 2006
Varying observation window portfolio stress test
Portfolio stress test by varying the observation window, at Seeking Alpha.
The difference in projected portfolio performance as a reflection
of the changing dynamics of foreign markets. As globalization
increases, some other economies are more coupled to the U.S.
economy and—perhaps more important—are perceived as
being more coupled to the U.S. economy. Further, as more
domestic investors put an increasingly heavy allocation into
foreign stocks, we will naturally see more coupling in returns
and there will be a decreased level of diversification effects
available from investing in many foreign economies.
July 20, 2006
ETF: Exchange-Traded Funds
ETF Trends and ETF centre at Seeking Alpha track Exchange-Traded Funds.
January 25, 2005
ETF
ETFs are shares of a basket of stocks bought and sold as a single
investment. Investment companies create these stocks by buying the
underlying stocks and issuing ETF shares. Unlike mutual funds whose
price is set once per day, ETFs trade on stock exchanges at
constantly changing market prices. This prevents market timers
getting preferential prices like the recent mutual fund scandals.
Very large investors can issue new shares or redeem their shares for
the underlying stocks. This keeps the ETF price close in price to the
underlying shares. ETFs do not trade at sizable discounts or
surpluses to the underlying stocks like closed end mutual funds. If
the ETFs begin to trade with any significant discount or surplus,
large investors will issue new shares or redeem their shares to
eliminate the discount or surplus.
December 30, 2004
ETF exchange traded funds
Probably the biggest eye-catcher is iShares FTSE/Xinhua China 25
Index Fund (FXI) — the first ETF investing solely in China
available to U.S. investors. Launched earlier this month,
the ETF tracks the 25 largest and most liquid Chinese stocks.
Of course, there's increasing talk of China's red-hot economy
cooling, but few expect the growth spigot to be shut entirely.
The China 25 Index Fund's expense ratio of 0.74% is higher
than that of most ETFs, but it's substantially lower than the
average China-region mutual fund's expense ratio of 2.37%,
according to Lipper. ETFs, by nature, carry lower expense ratios
than their mutual-fund counterparts. [1]
Standard and Poors index tracker.