ETF Database » RYJ

Quant-Based ETFs In Focus

Michael Johnston — Fri, 30 Dec 2011 13:00:24 +0000

ETFs initially became popular with advisors and individual investors as tools for harnessing beta, allowing low cost ownership of broad equity markets through a vehicle that provided transparency, intraday liquidity, and potential tax efficiency to boot. The “first generation” of exchange-traded products were exclusively plain vanilla funds that targeted well known stock and bond benchmarks, such as the S&P 500 or Barclays Capital Aggregate Bond Index. To the great delight of the pioneers of the ETF space, the last several years have seen ETF asset surge and adoption rates among all degrees of investors rise steadily; assets now top $1 trillion, and ETFs often account for about a third of total trading activity. But to the great dismay of some of those pioneers, recent years have also seen ETFs become increasingly sophisticated and increasingly targeted; many of the new products debuting focus on narrow asset sub-classes of implement advanced screening [...]

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Closer Look At Quant-Based ETFs

Michael Johnston — Thu, 21 Apr 2011 13:00:34 +0000

To this point, much of the tremendous growth in the ETF industry–we now have close to 1,200 U.S.-listed exchange-traded products with aggregate assets approaching $1.1 trillion–has been attributable to “passive” products; those that seek to replicate the benchmark of an index. Several actively-managed ETFs have debuted in recent years, but investor response to these products has been generally muted (there are, of course, some noteworthy exceptions, including PIMCO’s MINT and a number of WisdomTree’s active currency and bond funds). There are now signs that the active ETF space is finally beginning to gather momentum, and some suspect that this corner of the market will be a major driver of future growth. iShares and Eaton Vance recently received the green light from the SEC to launch active ETFs, sparking hopes that the regulatory “deep freeze” is beginning to thaw. While true actively-managed equity ETFs have been a bust so far, many [...]

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Four Alpha-Seeking ETFs Crushing SPY

Michael Johnston — Fri, 30 Apr 2010 17:05:08 +0000

One of the hottest topics in the industry at present is the future of actively-managed ETFs. The issue is also a very divisive one; some expect that widespread adoption of active ETFs is only a matter of time, while others believe mutual funds will continue to be the vehicle of choice for those interested in active management. So far, the flows into active ETFs have been little more than a trickle, although a few funds have seen spikes in assets in recent weeks (see Three Active ETF Gamechangers). The steady surge in popularity of “enhanced” or “intelligent” ETFs has received far less publicity, but has been an interesting development in the ETF industry over the last year. While the majority of ETF assets are found in products that replicate traditional cap-weighted benchmarks (such as the S&P 500, Russell 1000, or MSCI EAFE Index), alternative indexing strategies have become increasingly popular [...]

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Claymore Launches Three Wilshire ETFs (WFVK, WXSP, WREI)

Michael Johnston — Tue, 09 Mar 2010 16:05:43 +0000

Claymore, the Chicagoland issuer known for its line of themed ETFs and targeted sector funds, has launched three new ETFs based on broad market indexes maintained by Wilshire. The new funds include the Wilshire 5000 Total Market ETF (WFVK), Wilshire 45oo Completion Index ETF (WXSP), and Wilshire U.S. REIT ETF (WREI). Many investors are familiar with the Wilshire 5000 Total Market Index, a benchmark used to measure the performance of domestic equity markets. Originally named after the 5,000 stocks included when it was created in 1974, the index currently includes approximately 4,000 U.S. stocks. While many well-known market barometers, such as the Dow Jones Industrial Average, S&P 500, and Russell 1000, consist entirely of large cap stocks, the Wilshire 5000 gives significant weight to smaller firms. Mid cap and small cap stocks make up about 20% and 9%, respectively, of the Wilshire 5000, making it more representative of the broad [...]

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Grail Advisors To Launch Four Actively-Managed ETFs

Michael Johnston — Wed, 30 Sep 2009 15:34:40 +0000

San Francisco-based Grail Advisors is set to expand its presence in the actively-managed ETF space, introducing four actively-managed ETFs later this week: RP Growth, RP Focused Large Cap Growth, RP Technology, and RP Financials. The new funds will join Grail’s existing actively-managed ETF, the Grail American Beacon Large Cap Value ETF (GVT), which launched earlier this year. Similar to GVT, the funds expected to be launched Thursday will be backed by investment teams that select individual holdings and weightings, a sharp departure from tactics used by the vast majority of exchange-traded products. Most ETF assets are invested in passively-indexed funds that seek to match, not beat, the performance of well known domestic and international benchmarks across various asset classes. ETFs initially became popular among investors because they offered a stark contrast to traditional actively-managed mutual funds, eschewing costly searches for excess returns in favor inexpensive “index tracking.” But in recent [...]

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Special Report: Alpha ETFs Come Of Age

Michael Johnston — Tue, 01 Sep 2009 09:00:55 +0000

In the summer of 1992, Eugene Fama and Kenneth French published “The Cross-Section of Expected Stock Returns” in The Journal of Finance, a groundbreaking analysis that prompted financial presses to run headlines declaring “beta is dead.” While the death sentence may have been a bit severe, it struck a significant blow to a widely-accepted and longstanding financial concept, causing academics and investors to reconsider tenets they once took for granted. In recent decades, a collection of academic studies, disillusioned investors, and financial innovations have contributed to a similar prognosis for beta’s Greek neighbor, alpha. The idea that was hatched by Brinson and Hood and supported by the likes of Ibbotson and Kaplan and Barras and Scaillet was fueled by years of investor frustration. Following the introduction and rapid rise in the popularity of indexing and ETFs, it seemed that what started out as a scholarly whisper had grown into a [...]

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ETF Database » RYJ

Quant-Based ETFs In Focus

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Closer Look At Quant-Based ETFs

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Four Alpha-Seeking ETFs Crushing SPY

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Claymore Launches Three Wilshire ETFs (WFVK, WXSP, WREI)

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Grail Advisors To Launch Four Actively-Managed ETFs

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Special Report: Alpha ETFs Come Of Age

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