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CFTC.gov Commitments of Traders Reports Update
May 26, 2017--The current reports for the week of May 23, 2017 are now available.
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Source: CFTC.gov
AdvisorShares-Active ETF Report-: Funds and Assets Grow
May 24, 2017--Month ending 04.30.2017
In April, assets in actively managed ETFs increased by $892 million, or 2.6%, to $33.7 billion.
Active ETFs realized a net gain of two new funds last month, which brought their overall total to 162.
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Source: AdvisorShares
Deutsche Bank Markets Research-North America-US ETF Trade Alert
Lessons from EWZ's $5.5bn single-day
dollar volume
May 23, 2017--On May 18th EWZ recorded its second worst daily performance (-16.3%) in almost 17 years of history
Following reports of another corruption scandal involving Brazil's incumbent president, the equity markets sold off steeply with the local Ibovespa gauge dropping by 8.8%, the BRL weakening against the USD by 7.5%, and the largest USD-denominated ETF tracking Brazilian stocks (EWZ) plunging by 16.3%. EWZ's drop was its second worst in almost 17 years, accompanied in the top 10 only by other daily losses related to the 2008 financial crisis and the 9/11 attacks.
Other metrics such as a 47% spike in implied volatility and a hike in borrow rates only
confirmed the extreme nature of the sell off.
Recent EWZ positioning suggest that the turn of events was clearly unexpected
Positive cumulative flows of over $2bn in the last 18 months, an extending average
holding period, and a sustained decline in shorting activity clearly supported
a more favorable sentiment towards Brazilian equities, on the back of positive
expectation of government market-friendly reform. Moreover, we believe that these figures also suggested that support was most likely coming from investors rather than traders or speculators.
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Source: Deutsche Bank Research-North America United States-Synthetic Equity & Index Strategy
Established ETF Team Bands Together to Launch GraniteShares
May 22, 2017--Dynamic team aims to disrupt ETF landscape by launching commodity ETFs with lower cost asset class exposure and smarter product structure
GraniteShares, a new, disruptive ETF company that is fully funded, independent and poised to bring a suite of exciting ideas to market, officially launches today.
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Source: GraniteShares
Quadruple-Levered ETF? SEC Hits Pause on Its Approval of an Exotic Investment
May 16, 2017--Commissioners' review could reverse or uphold earlier decision by the SEC's staff to approve the risky, new products
The Securities and Exchange Commission will reconsider its initial approval of a risky, first-of-its-kind exchange-traded fund that promises four times the daily price moves of S&P 500 futures contracts, according to people familiar with the matter.
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Source: Wall Street Journal
US faces crisis as pension funding hole hits $3.85tn
May 15, 2017--Collective funding deficit for retirement schemes jumps by $434bn in one year.
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Source: FT.com
Treasury International Capital Data For March
May 15, 2017--The U.S. Department of the Treasury today released Treasury International Capital (TIC) data for March 2017. The next release, which will report on data for April 2017, is scheduled for June 15, 2017.
The sum total in March of all net foreign acquisitions of long-term securities, short-term U.S. securities, and banking flows was a monthly net TIC outflow of $0.7 billion. Of this, net foreign private inflows were $25.4 billion, and net foreign official outflows were $26.1 billion.
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Source: US Department of the Treasury
NYSE wins regulatory approval for 'speed bump' exchange
May 13, 2017--The operator of the New York Stock Exchange was given permission by regulators on Tuesday to implement a so-called speed bump on one of its exchanges, allowing it to go head-to-head with upstart rival the Investors' Exchange.
NYSE Group, which is owned by Intercontinental Exchange Inc (ICE), plans to add a delay of a fraction of a second for incoming and outgoing orders on its NYSE MKT exchange, which it is renaming NYSE American.
Will the fiduciary rule shrink the ever-expanding world of share classes? Research Affiliates-Why Factor Tilts Are Not Smart "Smart Beta" Implementation matters! Really smart smart beta strategies should be designed to optimally capture factor return premiums and be able to deliver them to investors after trading costs. view more
Source: Reuters
May 13, 2017--While T shares and clean shares are different, they could solve important pricing questions for the fund industry-and even obliterate many share classes.
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Source: investmentnews.com
May 12, 2017--Key Points
Not all features of smart beta strategies that add value for investors can be replicated with simple factor tilts.
Whereas factor-replicated portfolios can match the short-run returns of smart beta strategies, they have higher turnover, much larger trading costs, smaller capacity, more frequent and prolonged benchmark underperformance, larger drawdowns, higher residual risk, and lower long-run returns.
Source: Research Affiliates
