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OIC Announces Updated Study Shows Buy-Write Strategy Outperforms Buy-And-Hold
September 14, 2011-- The Options Industry Council (OIC) today announced results and analysis of the performance of a buy-write strategy on the Russell 2000®, which found that over the 15 year period covered in the study (including the periods before, during and after the credit crisis), the buy-write strategy provided a higher return than a long RUT portfolio while reducing risk by almost 17%.
In the study, “15 Years of the Russell 2000 Buy-Write,” Nikunj Kapadia and Edward Szado from the University of Massachusetts looked at the performance of data from February 1, 1996 to March 31, 2011, concluding that a passive buy-write strategy of one month to expiration calls on the Russell 2000 consistently outperformed the index. Over 182 months, the 2% out-of-the-money buy-write returned 263% (8.87% annually), compared to the return on the RUT of 226% (8.11% annually). Furthermore, the annualized standard deviation for the entire period on the buy-write portfolio was 16.57%, almost 4 ½ percentage points lower than for the RUT portfolio.
This is an update to one in a series of studies intended for institutional investors which evaluate the performance of different options strategies on different contracts over specific time periods. By supporting these studies in conjunction with well-respected research and educational institutions, OIC remains committed to its mission of providing education and research to institutional investors. With options volume on a growth trend in recent years, these studies show the importance of options in attaining investment goals.
view the Risk Reducing & Income Enhancing Buy-Write Strategy-
15 Years of the Russell 2000® Buy-Write
Source: Options Industry Council (OIC)
PowerShares files with the SEC
September 14, 2011-PowerShares has filed a post-effective amendment, registration statement with the SEC for the PowerShares S&P International Developed High Beta Portfolio (IDHB)
PowerShares S&P International Developed Low Volatility Portfolio (IDLV)
PowerShares S&P Emerging Markets High Beta Portfolio (EEHB)
PowerShares S&P Emerging Markets Low Volatility Portfolio (EELV)
view filing
Source: SEC.gov
Standard & Poor's Announces Changes In The S&P/TSX Venture Composite Index
September 14, 2011--Standard & Poor's will make the following changes in the S&P/TSX Venture Composite Index after the close of trading on Wednesday, September 14, 2011:
Mountain-West Resources Inc. (TSXVN:MWR) will be removed from the index
The common shares of the company will be delisted from the TSX Venture Exchange at the request of the company.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
MSCI Launches New Barra Equity Models
New Barra US Equity Model (USE4) helps portfolio managers get a better understanding of their sources of risk and return
September 14, 2011--MSCI Inc., a leading provider of investment decision support tools worldwide, including indices, portfolio risk and performance analytics and corporate governance services , announced today the launch of the first in a family of new Barra Equity Models - Barra US Equity Model (USE4).
Barra USE4 includes the latest advances in risk methodology, providing institutional investors with the ability to align factor structure with their investment processes, and improve responsiveness and accuracy.
Key advances in Barra USE4 include:
Eigenfactor Risk Adjustment adjusts the covariance matrix and improves risk forecasts for optimized portfolios. Forecasting bias is removed from the factor covariance matrix by scaling up where risk is under-forecast, and scaling down where risk is over-forecast.
Volatility Regime Adjustment calibrates factor volatilities to current market levels. The model responds quicker to market trends by reducing the under-prediction of risk when entering a regime of increased volatility and the over-prediction of risk when exiting a period of elevated volatility.
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Source: MSCI
Horizons Launches New U.S. and International Enhanced Income ETFs
September 14, 2011--Jovian Capital Corporation and its subsidiaries Horizons Exchange Traded Funds Inc. and AlphaPro Management Inc. are pleased to announce the launch of the Horizons Enhanced Income US Equity (USD) ETF ("Horizons HEA.U") and the Horizons Enhanced Income International Equity ETF. Each of the ETFs offers Canadian investors access to an innovative covered call strategy on U.S. and International stocks, respectively.
Both ETFs will begin trading on the Toronto Stock Exchange ("TSX") under the below ticker symbols with both a Class E unit and an Advisor Class unit.
| Name of ETF | TSX Ticker Symbol | |
|
Class E Units |
Advisor Class Units |
|
| Horizons Enhanced Income US Equity (USD) ETF | HEA.U | HEA.V |
| Horizons Enhanced Income International Equity ETF | HEJ | HEJ.A |
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Source: Jovian Capital Corporation
Horizons Launches New U.S. and International Enhanced Income ETFs
September 14, 2011--Jovian Capital Corporation and its subsidiaries Horizons Exchange Traded Funds Inc. and AlphaPro Management Inc. are pleased to announce the launch of the Horizons Enhanced Income US Equity (USD) ETF ("Horizons HEA.U") and the Horizons Enhanced Income International Equity ETF. Each of the ETFs offers Canadian investors access to an innovative covered call strategy on U.S. and International stocks, respectively.
Both ETFs will begin trading on the Toronto Stock Exchange ("TSX") under the below ticker symbols with both a Class E unit and an Advisor Class unit.
| Name of ETF | TSX Ticker Symbol | |
|
Class E Units |
Advisor Class Units |
|
| Horizons Enhanced Income US Equity (USD) ETF | HEA.U | HEA.V |
| Horizons Enhanced Income International Equity ETF | HEJ | HEJ.A |
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Source: Jovian Capital Corporation
iShares names new senior manager
September 14, 2011--iShares has named its new director of products and capital markets, Jonathan Howie, who will support the distribution of the company's exchange traded funds (ETFs).
Howie - who joined BlackRock from Macquarie Bank - will also assist with the development of technical and product-specific content and management of iShares broker/dealer relationships.
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Source: Money Management
A milestone in low-cost investing
September 14, 2011--The golden investing rule of controlling fees to generate bigger returns never makes more sense than it does at challenging times like these for financial markets.
So, cost-conscious investors, take note of the introduction of commission-free ETF trading at online brokerage Scotia iTrade. There may not be a cheaper way to invest anywhere.
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Source: The Globe and Mail
"Stages of Truth"-Remarks of Commissioner Bart Chilton
before the Presidential Roundtable on Speculation in Commodity Markets, United Nations, New York, NY
September 22, 2011--Thank you and good morning. It is great to be here with my distinguished colleagues and friends on the panel. Thank you President Fernandez for your leadership on the issue of excessive speculation in commodity markets and the impact it may have on prices.
Thank you, Senator Dorgan, for your leadership on this issue—and so many others—during your time in the United States Senate.
The 19th century German philosopher, Arthur Schopenhauer said, “All truth passes through three stages. First, it is ridiculed. Second, it is violently opposed. Third, it is accepted as being self-evident.” I think that rings very true in the area of market speculation. Back in 2008, when food prices were relatively high and crude oil was at record highs, the idea that excessive speculation might have had something to do with it was ridiculed. Exchanges ridiculed the idea. The banks and other very large traders ridiculed it, and, I must say, even some people at my own agency ridiculed it. Still, we know that Massive Passive traders, those with very large and fairly price-insensitive strategies, the likes of hedge funds, mutual funds, index funds and others who had not been very active in commodity markets before were pouring money into them at a blistering pace. When I say a blistering pace, I’m talking about $200 billion over a few short years—a blistering and blazing pace, indeed.
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Source: CFTC.gov
"CAN THE CFTC SEE THE BIG PICTURE?" Public Policy Keynote Address by Commissioner Scott D. O’Malia
before 2011 International Swap and Derivatives Association, Annual North America Conference
September 13, 2011--I would like to thank Stephen O’Connor and the International Swap and Derivatives Association (ISDA) for inviting me to speak with you today. As I was thinking about my remarks for this conference I was struck by its title, “Shaping the Future of Derivatives.”
Even before the passage of the Dodd-Frank Act, the Commission has worked to shape the future of derivatives. To date, the Commission has issued 57 advance notices of proposed rulemaking or notices of proposed rulemaking, two interim final rules, 13 final rules, and one proposed interpretative order. Only last Thursday, though, did the Commission finally turn its attention in its last open meeting to addressing how industry will be required to comply with the various implementation requirements for the numerous, intertwined rulemaking initiatives.
Implementation
The Chairman has frequently used the word “mosaic” to describe our proposed regulatory framework, including during last Thursday’s meeting. I looked up the word in the Merriam-Webster Dictionary, which defines “mosaic” as “a surface decoration made by inlaying small pieces of variously colored material to form pictures or patterns.” The definition notes that, in general, “mosaics” are highly detailed. Unfortunately, the implementation proposals that the Commission approved last Thursday are anything but detailed. Rather than setting forth a guide to understanding how the different rulemaking implementation, or effective date, sections should be pieced together to form a “mosaic”, the implementation proposals themselves more resembled a Jackson Pollack painting from the abstract expressionist movement.
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Source: CFTC.gov
