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BlackRock, SSgA push beyond ETFs for asset allocation
May 20, 2015--BlackRock and State Street Global Advisors are deepening their push into all-exchange traded fund portfolios by repackaging strategies they offer advisers in other vehicles as mutual funds.
SSgA filed last month to offer mutual fund versions of State Street Income Allocation, State Street Multi Asset Real Return and State Street Global Allocation funds. It currently offers those products as ETFs of ETFs.
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Source: FT.com
U.S. SEC to propose rules to gather more data on asset managers
May 20, 2015--U.S. securities regulators were poised to propose new rules on Wednesday that would require mutual funds and other asset managers to report much more detailed data about their holdings.
The Securities and Exchange Commission's plan is one of a series of reforms announced late last year by SEC Chair Mary Jo White.
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Source: Reuters
SEC Proposes Rules to Modernize and Enhance Information Reported by Investment Companies and Investment Advisers
Proposals Would Improve Quality and Accessibility of Information for Investors and Regulatory Monitoring
May 20, 2015--The Securities and Exchange Commission today proposed rules, forms and amendments to modernize and enhance the reporting and disclosure of information by investment companies and investment advisers.
The new rules would enhance the quality of information available to investors and would allow the Commission to more effectively collect and use data provided by investment companies and investment advisers.
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Source: SEC.gov
FRB: Minutes Of The Federal Open Market Committee, April 28-29, 2015
May 20, 2015--The Federal Reserve Board and the Federal Open Market Committee on Wednesday released the attached minutes of the Committee meeting held on April 28-29, 2015.
The minutes for each regularly scheduled meeting of the Committee ordinarily are made available three weeks after the day of the policy decision and subsequently are published in the Board's Annual Report. The descriptions of economic and financial conditions contained in these minutes are based solely on the information that was available to the Committee at the time of the meeting.
view the minutes
Source: FRB
Sorry Mr Bogle, ETFs do benefit investors
May 20, 2015--This year, John Bogle, the founder of Vanguard and the inventor of the first index fund nearly 40 years ago,
said he was dubious about the value of the ETFs for long-term investors" and that "traders and brokers are the only winners of short-term trading".
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Source: Financial News
New robo-adviser offers more than just ETFs
May 19, 2015--The battle of the bots is heating up in Canada's wealth management industry with the newest robo-adviser, Invisor Investment Management Inc., entering the marketplace.
The online portfolio manager launched Tuesday in Ontario and Manitoba offering clients the ability to open an investment account with no minimum balance required.
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Source: Globe and Mail
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
