Nov. 24, 2015, 12:46 PM
- The Global X Guru ETF (NYSEARCA:GURU) - which tracks hedge funds' top holdings via 13F filings - is lower by 10% since the start of August, nearly 900 basis points worse than the S&P 500.
- The AlphaClone Alternative Alpha ETF (NYSEARCA:ALFA) - which tracks performance of U.S. stocks to which hedge funds and institutional investors have disclosed "significant" exposure - is down a whopping 19% over the same period.
- It's the "hedge fund hotel" effect, and those names popular with the Greenwich crowd - think Valeant, Community Health Systems, Ally Financial - are among those which have been especially punished in the last four months.
- Goldman tracks these favorites, and they outperformed the market from 2012 to 2014, but this year they've trailed the S&P 500 by 500 basis points.
- Previously: Rough time for hedge fund hotels (Nov. 23)
- ETFs: VQT, PHDG, VIXH, QAI, VSPY, MCRO, SPXH, HDG, VQTS, QEH, ALTS, TRSK, MULT, HHDG, DRVN, HHFR
Dec. 5, 2014, 4:01 PM
- The UBS ETRACS S&P 500 VEQTOR Switch ETN (NYSEARCA:VQTS), launched Wednesday, provides exposure to the S&P 500 Index, but pivots around a market volatility target of 10 percent.
- After reaching that target, "the Index shifts a portion of its allocation to the S&P 500 VIX Futures Long/Short Switch Index, representing volatility, and reduces its exposure to the S&P 500 Index such that the equity component of the Index maintains its 10% volatility target," as stated in the prospectus.
- Other hedged equity ETFs: VQT, PHDG, VIXH, VSPY, SPXH, TRSK
Jul. 1, 2014, 12:40 PM
- Traditionally a mutual fund issuer, Compass EMP is striking out into the ETF industry with the creation of 3 smart beta funds, each tracking an index made by Compass EMP.
- The Compass EMP U.S. EQ Income 100 Enhanced Volatility Weighted Fund (CDC), Compass EMP U.S. 500 Volatility Weighted Index ETF (CFA), and Compass EMP U.S. 500 Enhanced Volatility Weighted Index ETF (CFO) will all begin trading on July 2nd.
- These funds all feature a focus on volatility management and will charge an expense ratio between 58 and 68 basis points.
- U.S. ETFs with a focus on volatility: SPLV, LGLV, USMV, VQT, PHDG, XSLV, SPXH, XMLV, SMLV, ERW, VIXH
May 15, 2014, 7:46 AM
- "I'm not saying go short, I'm just saying don't be too fricking long right now," David Tepper tells hedge fund colleagues at SkyBridge Capital's SALT conference in Vegas.
- Among his concerns are lame growth in the U.S. and an ECB which has sat on its hands too long as deflation takes over in Europe. "The ECB - they better ease in June ... I don't know how far behind the curve, but I think they're really, really far behind the curve."
- "There's times to make money and there's times not to lose money. This is probably (a time when) you're supposed to think about preserving some of your money ... I think it's nervous time."
- ETFs: PRF, VV, SCHX, NY, FEX, JKD, EQL, SPXH, EEH, TRSK, PXLC, ERW, FWDD, ALTL, SYE
May 1, 2014, 11:18 AM
- If Pfizer is successful in acquiring U.K.-based AstraZeneca, its plan to redomicile there will save it millions in corporate taxes. The tax arbitrage scheme, called an inversion, creates a holding company in the foreign country with the lower tax rate. Britain's corporate tax rate is 21% (20% next year) which is substantially lower than the U.S.'s top rate of 35% (up to 40% when state and local taxes are included).
- About 24 U.S. companies have employed this strategy since 2008. Ireland, Canada, Switzerland and the Netherlands are also popular destinations for redomiciling.
- According to Reuters, many of the m&a deals this year have been driven, at least in part, by tax inversions.
- Predictably, investment bankers are working feverishly to generate deals in various industries that take advantage of the loophole before Congress acts to close it.
- Some lawmakers say that the best solution is to reform the U.S. business tax code.
- ETFs: SPY, QQQ, SH, DIA, SSO, SDS, PSQ, VOO, IVV, SPXU, UPRO, SPLV, TQQQ, SPXL, QID, PRF, SPXS, RSP, SQQQ, DOG, QLD, DXD, RWL, EPS, UDOW, SDOW, USMV, DDM, VV, SCHX, IWB, OEF, SPHB, NY, MGC, BXUB, QQEW, QQQE, VONE, FEX, JKD, XLG, TRND, SFLA, EQL, QQXT, SPLX, BXUC, ROLA, BXDB, EEH, TNDQ, SPXH, ONEK, IWL, TRSK, PXLC, EWRI, ERW, FWDD, LGLV, FMK, ALTL, SYE
Apr. 29, 2014, 8:05 AM
- If Pfizer (PFE) is successful in its plan to acquire AstraZeneca (AZN) and redomicile in the U.K., it will join a growing list of other U.S. firms who have executed similar transactions in order to lower their tax bills.
- Members of Congress say that the moves are symptomatic of the need to revamp the U.S. tax code.
- The U.K. corporate tax rate is 21% compared to the top U.S. rate of 35%. American firms must also pay taxes when they repatriate foreign profits after receiving credits for foreign taxes. This is why the ex-U.S. corporate cash horde is so large.
- Pfizer's 2013 tax rate was 27%.
- ETFs: SPY, QQQ, SH, DIA, SSO, SDS, PSQ, VOO, IVV, SPXU, UPRO, SPLV, TQQQ, SPXL, QID, PRF, SPXS, RSP, SQQQ, DOG, QLD, DXD, RWL, EPS, UDOW, SDOW, USMV, DDM, VV, SCHX, IWB, OEF, SPHB, NY, MGC, BXUB, QQEW, QQQE, VONE, FEX, JKD, XLG, TRND, SFLA, EQL, QQXT, BXUC, SPLX, ROLA, BXDB, EEH, TNDQ, SPXH, ONEK, IWL, TRSK, PXLC, EWRI, ERW, FWDD, LGLV, FMK, ALTL, SYE
Apr. 11, 2014, 10:34 AM
- Bull markets don't end with such high cash levels and low leverage, says BAML chief investment strategist Michael Hartnett. What we're seeing now is a "hard reversal" period, with "extreme positions" being quickly eliminated. To wit, the Nikkei's worst 5-day stretch this week since the earthquake/tsunami of 2011, while money flows into previously-hated emerging markets (EEM -0.3%). EM equities, says Hartnett, have outperformed the Nikkei by nearly 1K basis points since mid-March.
- He expects to hear policy doves again make themselves heard as markets slip. “The biggest risk is that markets lose trust in vacillating Fed, the only policy maker the market truly trusts."
- The real correction, says Hartnett, comes this fall, as the Fed wraps up QE and the idea of rate hikes really begins to come into focus.
- ETFs: PRF, VV, SCHX, NY, FEX, JKD, EQL, EEH, SPXH, TRSK, ERW, PXLC, FWDD, ALTL, SYE
Mar. 18, 2014, 3:43 PM
- "Buying stocks with the proceeds from a home equity loan diversifies the portfolio," writes Jonathan Yates, in an article appearing on MSN's Money website.
- The low rates on mortgages allow homeowners an arbitrage play, borrowing at say, 3.25% to buy the stock of REITs with higher yields. What could possibly go wrong?
- Broad market ETFs: PRF, VV, SCHX, NY, JKD, FEX, EQL, EEH, SPXH, TRSK, FWDD, PXLC, ERW, ALTL, SYE
Mar. 15, 2014, 9:00 AM
- They're still playing sports highlights at the greasy spoons in Boston, says Jeremy Grantham, not too worried about stocks being in a bubble. Harking back to a real bubble, Grantham remembers 2000, when the Celtics were displaced by CNBC's breathless coverage at these same joints.
- Numbers make the same argument: The S&P 500 at 1,860 is only about 1-2 standard deviations outside the normal distribution of stock levels. To get to a two-sigma event - and a bubble - would require an S&P 30% higher than where it is now.
- "There is an enormous creative tension for a sensible investor," says Grantham. The market is overvalued, but not absurdly so, and then there's the Fed backstop. "On a shorter time horizon, you can get whacked around the head, as we have been frequently."
- So what's he buying? Emerging markets and value stocks in Europe are only selling at about fair value. In the U.S., high-quality stocks are not nearly as overpriced as the rest of the market (isn't the S&P 500 supposed to be "high-quality" stocks?). The Wells Fargo Advantage Absolute Return Fund (managed by GMO) has a 49% global equity allocation - high considering GMO's belief stocks are so overvalued - but Grantham expects the weighting to move down to 38% by October, which would be more inline with GMO's expectations of future equity returns.
- Broad large-cap ETFs: PRF, VV, SCHX, NY, JKD, FEX, EQL, EEH, SPXH, TRSK, FWDD, PXLC, ERW, ALTL, SYE
Mar. 14, 2014, 7:37 AM
- "The creaks and groans in the copper price reflect the sound of the tunnel supports giving way," writes SocGen professional bear Al Edwards. "Decoupling" is the "most dangerous word in finance," he says, and slumping metals prices isn't just about some temporary local issues in China. "Do not rely on decoupling. Do not rely on central bank liquidity. Do not reply on hope. Hope is a false friend in these markets."
- The price of copper has slid to about a 4-year low this week (though it's up 1% this morning), amid China's slowing economy and fears of a for-the-books credit bust-up.
- Copper ETFs: JJC, CPER, CUPM
- Broad market ETFs: PRF, VV, SCHX, NY, JKD, FEX, EQL, EEH, SPXH, TRSK, FWDD, PXLC, ERW, ALTL, SYE
Mar. 3, 2014, 12:27 PM
- The contrarian read flashes a "buy" signal when the sell-side shows extreme bearishness (it's been in buy mode for about the last two years), and hollers "sell" when the pros get too bullish (the last sell signal was 2007).
- Sharply rising since late year, the indicator is near crossing from "buy" territory to neutral, but hasn't gotten there yet after coming in at 54 for the 2nd straight month.
- Broad large-cap ETFs: PRF, VV, SCHX, NY, FEX, JKD, EQL, EEH, SPXH, TRSK, FWDD, PXLC, ERW, ALTL, SYE
Feb. 21, 2014, 2:48 PM
- Maybe sensing the moderate early-2014 selloff is done with, investors poured $13.4B into equities in the latest week, according to BAML - the strongest in 12 weeks and bringing YTD equity asset-gathering back to flat.
- Emphasizing the risk appetite theme, flows into high-yield bonds of $2.4B were the highest in 17 weeks, and money-market funds saw outflows of $40.45B after receiving inflows of $11.55B the previous week.
- Still, emerging market debt and equity continues to be sold. In fact, outflows from EM equities over the past four weeks have risen to 2.2% of AUM - just shy of the 3% level which signals a contrarian "buy" signal, says BAML.
- Turning into a pretty good contrarian signal himself, is Hugh Hendry, who dropped his multi-year caution in December to get "long pretty much anything." His Eclectica Fund subsequently lost 3.6% in January - its worst monthly tally ever.
- Related ETFs: PRF, VUG, VTV, SDOG, VV, SCHX, MGK, DEF, NY, SCHG, SCHV, PWV, FLAG, MGV, DOD, JKD, FEX, EQL, IWY, PWB, JKE, EZY, IWX, FTC, EEH, SPXH, JKF, SFK, TRSK, RWG, FWDD, FNDX, PXLC, ERW, PXLV, GVT, SYG, ALTL, PXLG, SYE, SYV, IELG
Feb. 11, 2014, 10:07 AM
- Making the rounds on trading desks is this chart of the DJIA (DIA) of the last 18 months superimposed on a chart of the index during the same time frame in 1928-1929. The short version: If form holds, the market is set for another epic crash.
- In the more nuanced version, the chart says little except for again proving the hardwired tendency of the human brain to see patterns where none exist, and one is reminded of similar exercises over the past few years making the case for the Dow breaching its financial crisis lows.
- Technical guru Tom DeMark, however, is starting to believe: “Originally, I drew [the chart] for entertainment purposes only ... Now it’s evolved into something more serious.”
- Tom McClellan: "There is no guarantee that the market has to continue following through with every step of the 1929 pattern. But between now and May 2014, there is plenty of reason for caution.”
- Large-cap ETFs: SPY, QQQ, SH, DIA, SSO, SDS, PSQ, IVV, SPXU, UPRO, VOO, SPLV, TQQQ, QID, PRF, SPXL, SPXS, RSP, DOG, SQQQ, QLD, DXD, RWL, EPS, UDOW, SDOW, USMV, DDM, VV, SCHX, IWB, NY, SPHB, BXUB, QQEW, QQQE, JKD, FEX, VONE, TRND, SFLA, EQL, BXUC, ROLA, QQXT, BXDB, EEH, ONEK, SPXH, TRSK, FWDD, EWRI, TNDQ, PXLC, LGLV, ALTL, SYE
Feb. 5, 2014, 1:46 PM
- A contrarian indicator? With equities selling off hard, AAII's sentiment survey for the week ending Jan. 29 shows a 590 bps drop in bullish sentiment to 32.2%, and a 900 bps increase in bearish sentiment to 32.8%. Neutral sentiment is down 310 bps to 35.1%.
- Bullish sentiment is now well below a long-term average of 39%, and bearish sentiment moderately above a long-term average of 30.5%.
- ETFs: PRF, VV, SCHX, JKD, EQL, EEH, SPXH, TRSK, FSE, PXLC, FSU, FWDD, ALTL
Feb. 3, 2014, 12:55 PM
- BAML's Sell Side Consensus indicator - reliably flashing a Buy on stocks for more than a year - still reads a Buy, but barely so. The indicator is a contrarian signal - when readings show extreme bearishness on equities, it's bullish for stocks.
- Rising bullishness among the sell-side has brought the gauge to nearly a Neutral reading, but it remains far below the level necessary to generate a Sell call.
- Broad large-cap ETFs: PRF, VV, SCHX, NY, JKD, FEX, EQL, EEH, SPXH, TRSK, FWDD, PXLC, ALTL, SYE
Jan. 7, 2014, 1:12 PM
- The future looks like the recent past to Citi Private Bank, which - in its 2014 outlook - says stocks have room to run, but beware fixed income. Citi's projections are based on its Adaptive Valuation Strategies which looks at long-term valuation averages to gauge what an asset might offer in the coming decade.
- "Our long-term AVS return estimates for government, investment-grade corporate and high-yield bonds are only 1.9%, 3.4% and 2.9% respectively. The recent rise in bond yields has helped emerging markets where estimated returns have now risen to 5.1%."
- Don't toss away fixed-income entirely, says Citi, but instead cut duration exposure, look for credit risk instead of rate risk, diversify into MLPs, REITs, and dividend stocks, and favor floating-rate investments.
- Broad fixed-income ETFs: AGG, BOND, BND, BSV, BIV, BLV, SCHZ, LAG, SAGG, ILTB, ISTB, GVI, GBF, FWDB, MINC, GIY, AGND, AGZD
- Broad equity ETFs: PRF, VUG, VTV, SDOG, VV, SCHX, MGK, DEF, SCHG, SCHV, PWV, MGV, FLAG, DOD, JKD, FEX, IWY, EQL, JKE, EZY, PWB, IWX, FTC, EEH, JKF, SPXH, TRSK, SFK, PXLC, FWDD, RWG, FNDX, PXLV, ALTL, GVT, PXLG, IELG
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