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Research Affiliates-When Value Goes Global
March 7, 2018--Key Points
The value premium is traditionally associated with stock selection and market timing, however, value investing works just as well when applied globally across major asset classes.
The alternative value portfolios we study are typically uncorrelated with their underlying asset classes, traditional value approaches, and each other, thereby offering meaningful diversification benefits alongside attractive excess return potential.
The success of value portfolios hinges on their design, which allows investors to gain better exposure to desired risk premia not easily available when investing in a single market.
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“Buy cheap and sell dear.”- Benjamin Graham, The Intelligent Investor
Value investing, a well-known and popular strategy, enjoys broad adoption in the investment community and is supported by a wide array of academic articles. Investors likely associate the word “value” with terms such as book-to-market ratio, price-to-earnings ratio, and bond yield, which are traditionally used for selecting investments in individual stocks, an entire equity market, or local government bonds. A robust body of literature, however, indicates that value strategies work just as well when investing globally across international equity indices, foreign government bonds, currencies, and commodities.1
Source: Research Affiliates
Janus Henderson Group Announces Change to ETF Line-Up
March 6, 2018--Tail Risk Hedged Large Cap (TRSK) and Volatility Hedged Large Cap (SPXH) Exchange Traded Funds to Close
Janus Henderson Group plc (NYSE: JHG) today announced the Janus Detroit Street Trust Board of Trustee's approval for plans to close and liquidate Janus Velocity Tail Risk Hedged Large Cap ETF (NYSE: TRSK) and Janus Velocity Volatility Hedged Large Cap ETF (NYSE: SPXH). The decision to close the funds is based on a combination of unanticipated changes to underlying components of the funds' underlying indexes as further detailed in the prospectus supplement filed today, March 6, 2018, and a standard review of the firm's exchange-traded product line-up.
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Source: Janus Henderson Group plc
SEC Releases Updated FAQ on Liquidity Risk Management Programs
March 6, 2018--Guidance focuses on sub-advised funds, In-Kind ETFs, and funds' use of Form N-Port.
The Securities and Exchange Commission has released updated guidance on liquidity risk management programs, with a specific focus on subadvised funds, in-kind ETFs, and funds' use of Form N-Port.
"The liquidity rule FAQs are welcome and provide needed clarity for all mutual funds and ETFs, including those that are subadvised and those that provide in-kind redemptions," an ICI spokesperson told ThinkAdvisor on Monday.
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Source: thinkadvisor.com
Virtual currencies are commodities, U.S. judge rules
March 6, 2018--Virtual currencies like bitcoin can be regulated as commodities by the U.S. Commodity Futures Trading Commission, a federal judge ruled Tuesday.
U.S. District Judge Jack Weinstein in Brooklyn ruled that the CFTC had standing to bring a fraud lawsuit against New York resident Patrick McDonnell and his company Coin Drop Markets, allowing the case to go forward. view more
Source: Reuters
Not All ETFs Are Created Equal
March 6, 2018--NOT ALL ETFs ARE CREATED EQUAL (WEIGHTED)
In this week's TETFindex update, we focus on ETFs that employ the equal weighting (EW) methodology.
Equal weight is a type of weighting that gives the same weight, or importance, to each stock in a portfolio or index fund, and the smallest companies are given equal weight to the largest companies in an equal weight index fund or portfolio.*
*Source: Investopedia
This may be the simplest form of alternative weighting or smart beta indexing, and also a quite successful one in terms of asset growth.
Today, there are 162 EW ETFs with $72B in assets. The biggest is RSP with $15Bn in assets representing 21% of EW assets. Considering the natural simplicity of EW, some investors may find it surprising that this has been a driver of ETF growth.
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Source: Toroso
Janus Henderson liquidates ETFs due to spike in vol but not volume
March 6, 2018--Shops shuts two ETFs in part due to changes to the ProShares Ultra VIX Short-Term Futures ETF and the ProShares Short VIX Short-Term Futures ETF.
Janus Henderson is to liquidate two ETFs following the recent bout of volatility in the market, which saw a number of funds shut or shift strategy after suffering heavy losses.
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Source: citywireusa.com
New DC Pulse Survey from BlackRock: Conflicting Views on Americans' Retirement Prospects: Workers Confident, Employers Concerned
March 6, 2108--Strong market performance has helped fuel increasing optimism among American workers about their retirement prospects-but many employers don't share their upbeat view, according to the latest DC Pulse Survey from BlackRock (BLK).
BlackRock surveyed 1,000 participants in defined contribution (DC) retirement plans and more than 200 plan sponsors.
Sixty one percent of DC plan participants surveyed say they are on track to retire with the lifestyle they want. Nine in 10 say that they are confident in their overall financial situation. However, participants cite transforming accumulated employment savings into ongoing retirement income as a top concern.
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Source: BlackRock
ITEQ(R)-The First Israeli Tech ETF Simplifies its Name to BlueStar Israel Technology ETF
March 6, 2018--As of today's market open, the first ETF to target the Israel technology industry, NYSE Ticker: ITEQ(R), has evolved its name to BlueStar Israel Technology ETF, from BlueStar TA-BIGITech Israel Technology ETF.
After more than two years of steady growth and positive market adoption, this change simplifies ITEQ’s product messaging, highlights the BlueStar brand and strengthens the association between the fund’s name and Israel’s cutting-edge technology sector.
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Source: ETF Managers Group (ETFMG)
New White Paper on Analysis of Options-Based Funds and Benchmark Indexes
March 6, 2018--Paper, which updates 2014 study, to be presented Wednesday at Cboe's Risk Management Conference
The number of options-based funds grew from just 10 in 2000 to 157 in 2017
Assets under management for all options-based funds grew from $4.1 billion in 2000 to $54 billion in 2017.
The new white paper, planned to be presented on Wednesday at the 34th annual Cboe Risk Management Conference (RMC)
U.S. in Bonita Springs, Florida, finds that the number of options-based funds continued to grow from just 10 in 2000 to 157 in 2017, and presents a sample of equity funds and funds with objectives other than broad-based U.S. equities.
Performance analysis of funds benchmarked to indexes beyond diversified U.S. equities is not conducted in this study.
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Source: Cboe Global Markets
DR Index Monthly Performance-February 2018
March 6, 2018--The BNY Mellon DR Index Monthly Performance for February 2018 report is now available.
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Source: BNY Mellon
