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CFTC.gov Swaps Report Update
May 19, 2015--CFTC's Weekly Swaps Report has been updated, and is now available.
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Source: CFTC.gov
Denys Glushkov-Wharton Research Data Services (WRDS) Paper-How Smart are 'Smart Beta' ETFs? Analysis of Relative Performance and Factor Timing
May 19, 2015--Paper by Denys Glushkov-Wharton Research Data Services (WRDS)
University of Pennsylvania, originally published April 15, 2015.
Abstract:
Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-2014 period, I analyze whether these funds beat their benchmarks by tilting their portfolios to well-known factors such as size, value, momentum, quality, beta and volatility.
I then test the claim that Smart Beta funds harvest factor premiums more efficiently than their traditional cap-weighted counterparts by dynamically exploiting time-variation in factor premiums.
I find no evidence that SB ETFs significantly outperform their risk-adjusted passive benchmarks. Positive returns from intended factor bets are offset by negative returns from unintended factor bets resulting in an overall performance wash. Risk-adjusted performance of SB funds is also insignificant when compared with the performance of the blended benchmark that provides passive cap-weighted exposure to market, size and value factors. After decomposing benchmark-adjusted performance of SB funds into selection, static and dynamic allocation effects, I find that their factor timing ability is neutral at best. Allocation effect contributes, on average, only 20% of the overall index-adjusted return. This is inconsistent with the argument that Smart Beta products augment performance by dynamic factor allocation.
Overall, the results support the hypothesis that, at least among domestic equity, long-term investors can obtain similar or better performance than Smart Beta funds from a simple mix of a risk-free asset and a portfolio which combines passive cap-weighted exposure to market, size and value premiums, while paying a fraction of the cost.
view the paper-How Smart are 'Smart Beta' ETFs? Analysis of Relative Performance and Factor Timing
Source: Social Science Research Network
U.S. panel highlights ETFs, bond funds as potential risks
May 19, 2015--Exchange-traded funds and fixed income mutual funds could potentially pose risks to the marketplace during times of stress, according to a report released by a panel of U.S. regulators on Tuesday.
The Financial Stability Oversight Council highlighted those two products in a list that also included volatility derivatives, captive reinsurance, clearinghouses and non-bank mortgage servicers as examples of products or activities that could threaten or weaken the U.S. financial system.
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Source: Reuters
Morningstar Reports U.S. Mutual Fund and ETF Asset Flows for April 2015
May 19, 2015--Morningstar, Inc. (NASDAQ: MORN), a leading provider of independent investment research, today reported estimated U.S. mutual fund and exchange-traded fund (ETF) asset flows for April 2015. Inflows to international-equity funds accelerated to $42.3 billion in April after reaching $34.7 billion a month earlier,and more than three-quarters of these assets flowed to passive funds.
Morningstar estimates net flow for mutual funds by computing the change in assets not explained by the performance of the fund and net flow for ETFs by computing the change in shares outstanding.
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Source: Morningstar
AccuShares(TM) Launches First ETF Based On CBOE Volatility Index (VIX)
Robert Whaley, "Father of the VIX," to serve as partner and strategic advisor
May 19, 2015--AccuShares Investment Management LLC ("AccuShares"), an innovative financial services firm founded by experienced industry veterans, today launched the first Exchange Traded Fund (ETF) which seeks to track the CBOE Volatility Index(R) (VIX).
he fund is the first of what AccuShares expects will be a suite of ETFs. The future offerings will be designed to provide exposure to indices which utilize the S&P GSCI spot methodology for key alternative asset classes.
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Source: AccuShares Investment Management, LLC
Financial Stability Oversight Council Releases Fifth Annual Report
Council Votes to Further Enhance Transparency and Governance
May 19, 29015--The Financial Stability Oversight Council (Council) today unanimously approved its 2015 annual report, which was developed collaboratively by the members of the Council and their agencies and staffs.
Under the Dodd-Frank Wall Street Reform and Consumer Protection Act, the Council reports annually to Congress on a range of issues, including significant financial market and regulatory developments, potential emerging threats to the financial stability of the United States, and the activities of the Council. The report also makes recommendations to promote market discipline; maintain investor confidence; and enhance the integrity, efficiency, competitiveness, and stability of U.S. financial markets.
view the 2015 FSOC Annual Report
Source: Financial Stability Oversight Council
New York Stock Exchange Launches Bitcoin Price Index
May 19, 2015--The New York Stock Exchange (NYSE) has today announced the launch of a bitcoin price index (NYXBT).
NYXBT will represent the daily US dollar value of one bitcoin at 4pm (BST) and will be published on the NYSE Global Index Feed (GIF).
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Source: coindesk.com
S&P Dow Jones Indices Licenses Several Indices to AccuShares
New ETFs Will Track Leading Spot Indices Including VIX(R)Index
May 19, 2015--S&P Dow Jones Indices ("S&P DJI"), one of the world's leading providers of financial market indices, announced today that is has licensed seven spot indices to AccuShares Investment Management, LLC ("AccuShares") for the launch of exchange traded funds based upon the indices.
The indices licensed to AccuShares include:
CBOE Volatility Index(R) (the VIX Index)
S&P GSCI(R)
S&P GSCI Crude Oil
S&P GSCI Brent Crude Oil
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Source: S&P Dow Jones Indices
SEC Said to Propose That Mutual Funds Disclose Risk of Rate Rise
May 19, 2015--The U.S. Securities and Exchange Commission is set to propose a requirement that mutual-fund companies report how vulnerable their bond portfolios are to interest-rate changes, two people familiar with the matter said.
The proposal, which the five-member commission is scheduled to vote on Wednesday, is among the agency's first moves to address regulators' concerns that many bond funds could face steep losses if the Federal Reserve's first interest-rate hike in almost seven years forces them to sell assets quickly.
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Source: Bloomberg
Clearing houses are big risk, top U.S. federal researcher says
May 19, 2015--Clearing houses, whose role to guard financial stability was much expanded after the 2007-09 crisis, now pose threats themselves, the head of the top U.S. financial research agency told Reuters on Friday.
The Office of Financial Research has looked at these firms, which are for instance run by CME Group Inc. (CME.O), Deutsche Boerse's (DB1Gn.DE) Eurex, and Intercontinental Exchange Inc (ICE.N), to see where risk is building up.
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Source: Reuters
