- Annual rebalancing in YYY/CEFL led to systematic inflation and suppression of CEF prices.
- A previous article suggested to sell the CEFs that were added to the index and to buy the CEFs that were removed, after the rebalancing date.
- Two weeks later, some evidence of mean reversion is observed, though most of these effects were not statistically significant.
Beware Reversion In YieldShares High Income ETF And ETRACS 2x Closed-End Fund ETN
- In a previous article, we explored evidence that traders may have been "frontrunning" the ISE High Income Index.
- YYY and CEFL investors were apparently fleeced in two ways: heavy selling of CEFs to be removed, and unfavorable buying of CEFs that were added.
- This article identifies a third possible way in which YYY and CEFL investors could lose money: reversion to the mean.
Frontrunning Yield Shares High Income ETF YYY And ETRACS Monthly Pay 2xLeveraged Closed-End Fund ETN CEFL: Could You Have Profited?
- ISE High Income Index, the index for YYY and CEFL, is rebalanced annually on the last trading day of each year.
- CEFs that were to be added saw heavy buying pressure before the rebalancing date, while those to be removed saw heavy selling pressure.
- Could an investor have profited by frontrunning YYY?
- I invite the astute readership of Seeking Alpha to join the case.
- YYY has managed to outperform PCEF so far this year 9.76% to 8.41% (total returns).
- Both ETFs have underperformed their respective indexes, despite following them fairly closely.
- PCEF suffers from having a large number of low-yielding CEFs among its holdings.
Mar. 5, 2014, 12:04 PM
- The AdvisorShares YieldPro ETF (YPRO), a joint venture with The Elements Group, launched this morning.
- This ETF will hold both long and short term fixed income investments, selected after a screening for yield, volatility, volume and relative strength.
- Noah Hamman, chief executive officer of AdvisorShares, stated in a press release; "in the current interest rate environment where many investors and advisors actively hunt for the dual goals of yield and mitigation of risk, we feel YPRO may help allow the flexibility to potentially achieve both objectives."
- Other multi asset bond ETFs: CVY, PCEF, CEFL, MDIV, IYLD, YYY, GYLD, DVHL, HGI, INKM, DVHI, YDIV, GCE, RIGS
Dec. 12, 2013, 11:29 AM
- The ETRACS Monthly Pay 2xLeverage Closed-End Fund ETN (CEFL) features a double-exposure strategy focused on closed-end funds and will shoot off a dividend of 19.4%.
- This newest addition to the UBS lineup has been described as a double-exposure version of the YieldShares High Income ETF (YYY), which launched earlier this year and has a yield of 10.4%.
- Other multi-asset ETPs: CVY, PCEF, MDIV, IYLD, GYLD, INKM, DVHL, GCE, DVHI, RIGS, YDIV
Jun. 26, 2013, 10:13 AMChristian Magoon's YieldShares launched last Friday the High Income ETF (YYY) - a rebranding of SNDS - which will invest in about 30 closed-end funds (mostly equity CEFs). The strategy is similar to that of PowerShares' CEF Income Composite Portfolio (PCEF). "There's an opportunity here being missed in the income ETF space," says Magoon. | 1 Comment
Apr. 28, 2013, 5:01 AMFollowing months of delays and amid rising costs, Exxon Mobil (XOM) has finally started output at its C$12.9B ($12.7B) Kearl oil sands project in Alberta in Canada. The facility will produce 110,000 bpd of "resource" in its initial phase this year and 4.6B barrels over the next four decades. Kearl is operated by Exxon unit Imperial Oil (IMO). (PR) | 7 Comments
Instablogs are blogs which are instantly set up and networked within the Seeking Alpha community. Instablog posts are not selected, edited or screened by Seeking Alpha editors, in contrast to contributors' articles.
See more details on sponsor's website