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ACWV vs. ETF Alternatives
The iShares MSCI All Country World Minimum Volatility Index Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI All Country World Minimum Volatility Index.
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Wednesday, Apr 24:24 PM
Wednesday, Apr 24:24 PM| 12 Comments
- Selling volatility in 2012 and 2013 has funded many a vacation home, but one favorite - the VelocityShares Daily Inverse Short-Term Futures ETN (XIV) - is down 5% this year
- "The absence of net sellers of VIX is remarkable," writes the team at SocGen, noting historically, hedge funds - with long equity positions elsewhere - "have a strong natural bias toward net selling the VIX." Given a market in contango, it pays even more to be short, yet they still aren't.
- The risk of a spike in volatility thanks to geopolitical tensions with Russia may be having an influence, but alone don't explain the trend, says SocGen, which concludes the period of low volatility is coming to and end.
- ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, ZIV, VXZ, VIXM, CVOL, VIIX, XVZ, VIXH, ACWV, XVIX, XXV, TVIZ, IVOP, VIIZ
Tuesday, Mar 181:24 PM
Tuesday, Mar 181:24 PM| 6 Comments
- The CBOE: Where fear never sleeps. Beginning June 22, futures action in the VIX will be available nearly around the clock, with trading beginning on Sunday evenings and not shutting down until Miller Time on Fridays.
- The calculation of the actual VIX, however, will only take place during regular U.S. trading hours, says the exchange.
- ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, ZIV, VXZ, VIXM, VQT, CVOL, VIIX, PHDG, XVZ, VIXH, ACWV, XVIX, XXV, TVIZ, IVOP, VIIZ
Monday, Mar 33:05 PM
Monday, Mar 33:05 PM| 3 Comments
- U.S. stocks are well off session lows, but gold continues to move ahead, now up 2.3% and at a 4-month high of $1,352 per ounce. At a 5-month high is WTI crude oil, up 2.1% to $1.04.74 per barrel.
- Not showing much movement earlier, money is now flowing out of Europe and into the greenback, which has gained 0.5% against the euro (FXE) and cable (FXB) and 0.4% vs. the Swiss franc (FXF)
- Another beneficiary is volatility, and the iPath S&P 500 VIX Short-Term Futures ETN (VXX +5.4%) moves to its highest level in a month.
- Vol ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, ZIV, VXZ, VIXM, VQT, CVOL, VIIX, XVZ, PHDG, VIXH, ACWV, XVIX, XXV, TVIZ, IVOP, VIIZ
- Gold ETFs: GLD, IAU, PHYS, SGOL, UGL, DGP, GLL, DZZ, UGLD, DGL, GLDI, DGZ, AGOL, DGLD, TBAR, UBG, GLDE, GYEN, GEUR, GGBP
Friday, Jan 2412:56 PM
Friday, Jan 2412:56 PM| 3 Comments
- Call option bets on the VIX this week soared to a record high 8.4M contracts at the CBOE. "A lot are buying in size," says Mike Palmer, who sits at the center of the VIX pit. With volatility so low, speculators "can get a lot of bang for their buck." About 81% of VIX options trading yesterday was in call options.
- After a 7.2% jump Thursday, the VIX is up another 14% today, but - at 15.67 - still well below the 20-year average of 20.50.
- VIX ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, ZIV, VXZ, VIXM, VQT, CVOL, VIIX, XVZ, VIXH, PHDG, ACWV, XVIX, XXV, TVIZ, IVOP, VIIZ
Wednesday, Jan 810:34 AM
Wednesday, Jan 810:34 AM| 7 Comments
- "The Safety Bubble Deflates," goes the title of a new report from Bernstein's Seth Masters, adding his name to those voices suggesting "safe" assets have become otherwise.
- Even though utilities, telecom, and consumer staples have underperformed of late, says Masters, their relative valuations are still well above the average over the last 50 years. "In periods of stress, investors tend to prize stability and safety too much. But in time, investors discover that every investment carries with it some degree of risk: if not risk of loss, then risk of inadequate growth."
- Related ETFs: XLU, IDU, VPU, NLR, GRID, JXI, NUCL, DBU, IPU, RYU, PUI, UPW, FXU, SDP, PSCU, AXUT, FUTY, UTLT, XLP, VDC, FXG, RHS, FSTA, PSL, PSCC, IYZ, VOX, IXP, IST, XTL, LTL, FCOM, TLL, AXTE
- Barron's Jack Hough says the "low beta" approach is a flawed one: First, volatility can change quickly as companies' or industries' fortunes shift; Second, beta tells one nothing about whether a stock's valuation is high or low. In a similar warning over low volatility stocks, BAML suggests looking for companies with smooth earnings rather than smooth stock prices. Screening for such, Hough finds CSX Corp (CSX -0.6%), DuPont (DD +0.6%), Cisco (CSCO -0.6%), and Halliburton (HAL -0.8%).
- Low volatility ETFs: SPLV, USMV, ACWV
Thursday, Dec 192013, 11:26 AM
Thursday, Dec 192013, 11:26 AM| 12 Comments
- The PowerShares Senior Loan Portfolio (BKLN) was honored with the William F. Sharpe Award for ETF Product of the Year this morning.
- Since opening in March 2011 and becoming the first floating-rate senior loan ETF, this Invesco (IVZ) fund has amassed over $6.2 billion in assets under management, making it easily the largest player in the space.
- "BKLN was a groundbreaking listing for investors seeking to reduce duration in their bond holdings and has become a flagship ETF in this space" stated Gregory Stoeckle, President and Managing Director of Invesco Senior Secured Management, Inc, in a press release.
- Also receiving honors this morning is the PowerShares S&P 500 Downside Hedged Portfolio (PHDG), which was named the ETF Innovation of the Year, along with its underlying index: the S&P 500 Dynamic VEQTOR Index.
- Other senior loan ETFs: SRLN, SNLN, FTSL
- Other VIX ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, VXZ, ZIV, VIXM, VQT, CVOL, XVZ, VIIX, VIXH, ACWV, XVIX, XXV, TVIZ, IVOP, VIIZ
Wednesday, Dec 112013, 1:26 PM
Wednesday, Dec 112013, 1:26 PM| Comment!
- An MSCI study argues the low-volatility trade is a long way off from being a crowded one and says scalability isn't an issue, but the report, says Brendan Conway, didn't examine the market impact - i.e., the real world friction a large money manager might see moving in and out of positions.
- Then there's valuations - the study found low-volatility stocks had an average P-E ratio of 18.1x vs. 19.5x for all stocks from 1992-2012. But now the stocks making up the iShares MSCI USA Minimum Volatility ETF (USMV) trade at 18.5x earnings vs. the S&P 500 at 16.5x. Globally, it's similar, with the iShares MSCI All Country World Minimum Volatility ETF (ACWV) at 18.5x earnings vs. the MSCI ACWI ETF (ACWI) at just 16.5x.
- "[O]ver the past 10 years, the cheapness or 'valueness' of developed market low volatility stocks seems to have diminished. As of May 1, 2013, the earnings yield and B/P ratio data indicate that low volatility strategies have become more expensive than the market cap-weighted core indices," says Research Affiliates' FeiFei Li.
- Related: SPLV
Tuesday, Dec 32013, 3:30 PM
Tuesday, Dec 32013, 3:30 PM| Comment!
- Higher again today, the Volatility Index has gained for six straight sessions and is now at a 7-week high. Taper fear makes for a good excuse, but Baird's Bruce Bittles says the stock market - after notching its longest string of weekly advances in nearly a decade - simply needs a break.
- MKM's Jim Strugger says a number of potential negative catalysts lie ahead - notably Fed meetings in mid-December and late January, the January 1 deadline to sign up for Obamacare, and January 15 end of the current government spending authority (don't forget Friday's employment report).
- VXX +3.6%.
- ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, VXZ, ZIV, VIXM, VQT, CVOL, VIIX, XVZ, VIXH, ACWV, PHDG, XVIX, XXV, TVIZ, IVOP, VIIZ
Monday, Nov 42013, 3:47 PM
Monday, Nov 42013, 3:47 PM| 2 Comments
- "If the market was too confident about September tapering six weeks ago, it may be too confident about March tapering now," write the strategists at BAML, suggesting traders position themselves for a big payroll number on Friday - short 10-year Treasurys (TLT), long dollars (UUP), particularly vs. the yen (FXY), and long volatility (VXX).
- "The balance of risks going into Friday is unusually asymmetric," writes the team, noting a weak number will be discounted as a temporary shock from the shutdown, but a strong print will have the market pricing in a December or January taper.
- Treasury ETFs: TBT, TLT, TMV, TBF, EDV, TTT, TMF, ZROZ, TLH, SBND, DLBS, VGLT, UBT, TLO, FSA, LBND, TENZ, TYBS, DLBL.
- Dollar ETFs: UUP, UDN, UUPT, UDNT.
- Yen ETFs: FXY, YCS, JYN, YCL.
- Volatility ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, VXZ, ZIV, VIXM, VQT, XVZ, VIIX, CVOL, VIXH, ACWV, XVIX, PHDG, XXV, TVIZ, IVOP, VIIZ.
Tuesday, Jul 232013, 12:01 PM"Some volatility is good," write researchers from Ned Davis after studying the results and finding low volatility strategies barely took the edge off big market declines in the mid-70s and mid-80s. Investors in SPLV or USMV who watched those funds underperform the SPY of late hardly need reminding of this. The study did not extend to global variants like EEMV and ACWV. |Tuesday, Jul 232013, 12:01 PM| Comment!
Thursday, Jul 112013, 1:38 PMVolatility investors may have interest in the little-followed CVOL which actually does a pretty good job of tracking the VIX. Unlike VXX - which tracks front-month futures on the VIX, and is destined to head to zero due to contango - CVOL tracks 3rd and 4th month futures and takes a model-dictated short position in the S&P. It's a nice product, but - for now - high expenses, low AUM, wide spreads and minimal volume likely make it "unownable," writes Oliver Ludwig. |Thursday, Jul 112013, 1:38 PM| Comment!
Wednesday, Jul 102013, 9:34 AMThe "fear gauge" is flawed, says Citi's Mike Pringle, and investors risk harm by using the VIX (VXX) as an indicator of market risk. "It's an asset class and it's more traded for yield than protection," he says, noting the growth of structured products based on the VIX as dampening reported volatility. "It's still relevant in extremes, but not in a normal functioning market." |Wednesday, Jul 102013, 9:34 AM| 15 Comments
Saturday, Jun 222013, 8:25 AMThe VIX started showing signs of life this week, a development that historically doesn’t bode well for stocks. The so-called fear index closed above 20 Thursday for the first time this year before pulling back a bit yesterday. The odds of a market rally over a three-, six- and 12-month time horizon are at their lowest when the VIX is 20-25, according to Citigroup data that goes back to 1990. |Saturday, Jun 222013, 8:25 AM| 11 Comments
Thursday, Jun 202013, 4:02 PMBets against higher volatility (and there are a ton of them) get fried, with the VIX up 23% and hitting a new YTD high. The level of shorts in some VIX ETPs is eye-popping, with 273% of the share count of the Ultra VIX Short-Term Futures ETF (UVXY +20.9%) out on loan, reports Ned Davis. Of the unleveraged products, 75% of the Short-Term Futures ETN (VXX +10.4%) is on borrow, and 110% of the S&P Dynamic VIX ETN (VXZ +4.3%). "This is one of those trades that works remarkably well until it doesn't," writes Brendan Conway. Indeed. |Thursday, Jun 202013, 4:02 PM| 9 Comments
Tuesday, May 212013, 3:34 PMMajor hedge funds have suddenly turned bullish, reportedly buying massive amounts of OTC call options on the S&P 500 (SPY). The purchases have been large enough to send the VIX (VXX) higher even as stocks continue to gain. An important milestone - the implied volatility of S&P calls is now greater than that of puts, a true rarity since 2007. |Tuesday, May 212013, 3:34 PM| 19 Comments
Wednesday, May 152013, 3:47 PMThe VIX (VXX +0.6%) - typically moving the opposite direction of stock prices - has been more correlated to equities this year than any other time since 1996, according to Kaitlyn Kiernan, with today (if it holds) being the 23rd instance YTD in which both have moved in the same direction. That translates into 25% of the trading sessions (for all 1996, it was 29%). |Wednesday, May 152013, 3:47 PM| 3 Comments