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Are Leveraged and Inverse ETFs the New Portfolio Insurers?

Tuzun, Tugkan - 2015

This paper studies Leveraged and Inverse Exchange Traded Funds (LETFs) from a financial stability perspective. Mechanical positive-feedback rebalancing of LETFs resembles the portfolio insurance strategies, which contributed to the stock market crash of October 19, 1987 (Brady Report, 1988). I...

Persistent link: https://www.econbiz.de/10013034893

Diversification Benefits of Shari’ah Compliant Equity ETFs in Emerging Markets

Andrikopoulos, Panagiotis - 2019

Previous studies on the performance of Islamic finance and banking have been more comparative than experimental when it comes to the role and effect of Islamic (Shari'ah compliant) assets in a conventional setting. This paper investigates whether Shari'ah compliant exchange-traded funds (ETFs)...

Persistent link: https://www.econbiz.de/10012863648

Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns

Broman, Markus S. - 2016

This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their net asset values (NAV) — comove excessively across ETFs. Excess comovements are positive (negative) and significant across ETFs in similar (distant) investment styles. Further...

Persistent link: https://www.econbiz.de/10013007326

ETF Risk Models

Kakushadze, Zura; Yu, Willie - 2021

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk...

Persistent link: https://www.econbiz.de/10013213003

ETF Rebalancing, Hedge Fund Trades, and Capital Market

Wang, George Jiaguo; Yao, Chelsea Yaqiong; Yelekenova, Adina - 2023

We study the interaction between ETF rebalancing and hedge fund “front-running” trades and its implications for the capital market. First, we document that ETF rebalancing has a strong negative relation with future stock returns. Second, we observe that hedge funds gradually increase...

Persistent link: https://www.econbiz.de/10014258333

Tracking Ability of ETFs : Physical vs. Synthetic Replication

Fassas, Athanasios - 2020

The purpose of this study is to examine the tracking ability of physical (in-kind) and synthetic (swap-based) Exchange Traded Funds (ETFs). By using three different measures of tracking error, I examine ten pairs of ETFs, which on aggregate track different asset classes (equities, bonds,...

Persistent link: https://www.econbiz.de/10012857256

The questionable benefits of mutual clearing agreements for derivatives

Tywoniuk, Magdalena - 2020

Recently, for standard asset classes, the first mutual clearing agreements between Central Coun- terparties (CCPs) have come into existence. There are already global concerns over the unique threats and benefits which arise from these situations, and further concern for an extension of agree-...

Persistent link: https://www.econbiz.de/10012271216

Do Investors Really Need Complex Derivative Strategies? Evidence from Hedge Funds and Funds of Hedge Funds

Peltomaki, Jarkko - 2010

This study investigates the benefits of using a more complex derivative strategy of a fund in relation to their … the study are consistent with the hypothesis that the complexity of derivative strategy can be related to increased … leaving little reasonable motivation for investors to invest in complex derivative strategies …

Persistent link: https://www.econbiz.de/10012715450

Diversification Benefits of Managed Futures

Schneeweis, Thomas - 2015

Under the Commodity Exchange Act, all individuals and firms (with certain exceptions) that intend to do business as futures professionals must register with the Commodity Futures Trading Commission (CFTC). The commission has authorized the National Futures Association (NFA), a self-regulatory...

Persistent link: https://www.econbiz.de/10013038527

Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...

Persistent link: https://www.econbiz.de/10010528411

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