Johnni

The Future of the ETF Industry: Part I

Think we will see much more passive ETFs cut and sliced differently fx. equally weighted. or niche ETFs.

We will see more quasi active, like fundamental balanced funds like the First Trust AlphaDEX ETFs, simply because they are relatively easy and cheap to construct, while the average retail investor can still understand the methodology behind them.

But what I really hope, is that the transition we have seen from hedge funds into hedge fund managed account, will evolve into real actively managed ETFs.

Why Oil ETFs Are Lagging Oil Prices

Robert,

Yes the conclusion on that ETF or ETN to use for tracking Crude may well be conditional on backwardation or contango. However I argue that DBO currently is tracking Crude better than USO or USL.
See my blog: johnninielsen.wordpres.../

The Commodities ETF Crackdown Continues

People dont like equity based commodity plays, because its not a "pure play"

People dont like future based "commodity plays" for regulatory reasons and due to roll over capital bleed during contango.

How do we make everybody happy or should we?

@Alan Young - quit a statement. I wonder if you a right!

Currency-Basket ETF: A Portfolio Imperative

I was considering using this ETF or UDN as a US$ hedge. Any input on alternatives?

UNG: The Effects of Contango

UNG has increased its mandate to include total return swaps. And we can see from the post that they is using this option. But aside from counterparty risk, why is this bad? It is just another tool in the tool box to do the job. Currently there is frontrunning and the diluting capital bleed at each roolover. For me it seems the new amendment is a step in the right direction.
what am i missing or misunderstanding, will someone put me straight?

UNG Managers Forced to Change ETF's Components

Ok..so during contango we have capital leakage at each roll over. How should funds like UNG ideally be constructed, if one wants to minimize tracking error? Purely on total return swaps or a mixture like UNG now?

Natural Gas: Worst Investment Ever?

Thanks for a super article!
What I take away from this article is how damaging thee roll over during contango, can be in the commodity futures markets.
I guess this is the opportunity cost for an investor who wants a commodity pure play.

Given what we see here, would it be fair to stipulate that a broad basket of say equal weighted stocks fx. in the NG sector, would be better than the UNG in terms of tracking error vis-à-vis the spot?

Regards

Johnni

Timber ETF: Smart Move in a Deflationary Environment?

Speaking of timber plays! Can any of you point me in the direction of any research firm that specialize in this sector?

Much appreciated!-)

Rethinking Alpha and Beta

I wellcome the trend of semi actively managed ETFs, and really hope we will see this evolution continue with funds based on a more free mandate, and structured according to the latest asset allocation as well as risk budgeting models.

But i would still use passive ETFs to port beta and for overlay.

Can Active Commodity ETFs Catch On?

Yes Alan, this crucial point!
I certainly hope we will get more pure play ETFs based on futures where it is possible, and even more actively managed ETFs based on these.

What are the requirements for bringing an ETF to the market, could we see CTAs bring their funds to the ETF segment..?

Emerging Markets Performance in 2008 and Beyond

Very relevant post for everyone considering emerging markets plays. I extended the thoughts to ETFs and have calculated the correlation of QQQQ in the past 3 month in relation to

EWY - iShares MSCI South Korea Index

FXI - iShares FTSE/Xinhua China 25 Index
EWZ - iShares MSCI Brazil Index
EWT - iShares MSCI Taiwan Index
EWM - iShares MSCI Malaysia Index
ECH - iShares MSCI Chile Investable Mkt Idx
AFK - Market Vectors Africa ETF (AFK)


My conclusion is similar correlation with Nasdaq as proxied through QQQQ vary between 0.61 to 0.868 a relative high positive correlation.
See the matrix at: johnninielsen.wordpres.../

Can the Hedge Fund ETF Actually Deliver?

I see this as a first generation replication product, and as such deserves to get credit for starting a new type of niche ETF strategies.
Whether this one will have commercial success remains to be seen, for my part I don’t like they only identify factors once a year and then regress and rebalance among these once a month.
Ofcause there will be no alpha, but it will also have to be very static beta to be captured. I really hope they will get enough AUM to attract others within this field, and we will soon see serious near-realtime beta replication of individual HF sub-strategies at a fee of 0.75%.

Good weekend!
Johnni
johnninielsen.wordpres.../