Americas ETP News
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BlackRock's Q1 Factor Outlook-Uncovering the Value of Growth
January 31, 2017--Factors are broad, persistent drivers of return, present both across and within
asset classes.
Factor investing targets these intuitive investment styles, seeking to take advantage of economic insight, diversification and efficient execution.
Quality, momentum, value, size, and minimum volatility have historically been drivers of returns across asset classes.
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Source: BlackRock
Research Affiliates-A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing
January 31, 2017--Key Points
Researchers have identified hundreds of factors that purport to predict equity returns; we find a half dozen that provide an opportunity to outperform the market.
To maximize risk-adjusted returns, diversify across smart beta strategies that access the value, low beta, profitability, investment, momentum, and size factors.
Systematic rebalancing to fixed weights-reducing exposure to popular factors that have outperformed over recent years, while increasing exposure to the out-of-favor factors that have underperformed-in a portfolio of smart betas will likely improve performance relative to a buy-and-hold weighting.
Dynamically rebalancing factor exposures using short-term momentum and long-term reversal signals further improves the return.
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Source: researchaffiliates.com
CBOE Launches S&P 500 Range-Bound Premium Income Index (SPRI)
January 31, 2017--Index Designed to Achieve Targeted Monthly Premium
Hypothetical Returns Uncorrelated to Fixed-Income Markets, Neutral to Equity Market Performance
Chicago Board Options Exchange(R) (CBOE(R)) today announced it has launched the CBOE S&P 500 Range-Bound Premium Income Index, which is designed to serve as a benchmark for investors aiming for consistent income distributions while taking the view that short-term equity returns will be range-bound.
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Source: CBOE
World Gold Council and State Street Global Advisors Announce the Launch of GLDW, the First US-Listed Gold-Backed ETF Designed for a Strong US Dollar Environment
January 30, 2017--GLDW Designed to Help Investors Access the Potential Benefits of Gold and Counter the Historically Negative Correlation Between a Strengthening US Dollar and Gold Prices
The World Gold Council, the market development organization for the gold industry and State Street Global Advisors (SSGA), the asset management business of State Street Corporation (NYSE:STT) through its affiliate, State Street Global Markets, LLC, the marketing agent for GLDW, today announced that the SPDR(R) Long Dollar Gold Trust (GLDW) began trading on the NYSE Arca. GLDW seeks to track the performance of the Solactive GLD(R) Long USD Gold Index, less fund expenses.
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Source: State Street Global Advisors
The Forum at ETF Research Center-New Competition for Momentum and Socially Responsible ETFs
January 30, 2017--Over the weekend we initiated coverage of 39 new ETFs, totaling about $341 million in assets under management. Two thirds of them are classified as "Smart Beta" funds, while one third are traditional beta.
One of the most significant may be the ALPS Dorsey Wright Sector Momentum ETF (SWIN), which will bring more some competition to segment, including to the $1.9 billion iShares MSCI USA Momentum Factor ETF (MTUM). One big difference between the two is that SWIN adds a sector overlay that tilts allocation towards momentum sectors but also avoids over-concentration in one or two "hot" sectors
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Source: AltaVista Research
AdvisorShares Active ETF Report: Groundhog Day: Will Hedge Fund Managers See Their Alpha?
January 30, 2017--Macro
Martin Kremenstein from Nuveen was quoted at the Inside
ETFs Conference last week as saying "the black swan is a 4am
tweet." This of course refers specifically to President Trump's
proclivity for Tweeting and more broadly the volatility associated
thus far with the new administration.
Interestingly, the political
volatility has not been matched in the capital markets. Last
week we noted the lack of volatility as exhibited by VIX at 12.
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Source: AdvisorShares
BlackRock to warn investors of Brexit risks
January 29, 2017--US bond funds with exposure to Europe will carry new cautions.
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Source: FT.com
Franklin Templeton says stars align for growth
January 27, 2017--Asset manager's flagship funds have improved their performance
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Source: FT.com
Bats Welcomes QuantX Funds as a New Issuer to the Bats ETF Marketplace
January 26, 2017--25 Issuers, 149 Funds Now Listed on Bats in the U.S.
Bats Global Markets, Inc. (Bats: BATS), the #1 U.S. market for exchange-traded fund (ETF) trading, today welcomed QuantX Funds as a new issuer to the Bats ETF Marketplace with the launch of a suite of risk management focused funds:
QuantX Risk Managed Growth ETF (Bats: QXGG) seeks to replicate investment results that generally correspond, before fees and expenses, to the performance of the QuantX Risk Managed Growth Index.
QuantX Risk Managed Multi-Asset Income ETF (Bats: QXMI) seeks to replicate investment results that generally correspond, before fees and expenses, to the performance of the QuantX Risk Managed Mult-Asset Income Index.
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Source: Bats Global Markets, Inc.
Blue Sky Asset Management Launches the QuantX Family of ETFs
January 26, 2017--Initial suite of five ETFs brings proprietary Blue Sky approaches in risk management and dynamic beta to the 40 Act fund world for the first time
Blue Sky Asset Management, an innovative asset manager known for creating sound and intelligent quantitative solutions for portfolio construction challenges, has launched a new suite of ETFs under the "QuantX" brand, it was announced today.
The five ETFs in the QuantX family, all listed on BATS, incorporate various proprietary strategies from the Blue Sky team, developed over the past several years and previously only available to investors in a separate account wrapper.
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Source: Marketwired.com
