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CFTC.gov Commitments of Traders Reports Update
August 18, 2017--The current reports for the week of August 15, 2017 are now available.
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Source: CFTC.gov
DB Markets Research-North America-United States-Synthetic Equity & Index Strategy-A Guide to Value ETF DNA-Revised
August 18, 2017--This version has been revised to show the most current information on VLUE's
index. No other changes have been made.
Making sense of all the different Value ETFs
In this report we review all of the Value ETFs with focus on US Large Cap Equities.
Overall, we identify 26 different products with about $100bn in assets. Value ETFs
are designed to track indices with a focus on cheap stocks, however the path each
of these indices takes to get to that goal can differ significantly.
We identify three main groups of Value ETFs with similar characteristics: Style Mix, Style Pure, and
Factor Tilt.
Value ETFs have indeed a Value bias and a clear Financials tilt
Unlike other ETFs where the name is not always aligned with the true product
exposure, all Value ETFs indeed deliver exposure to Value stocks. The level of
exposure, however, can vary among different Value ETF types. For example, Style
Pure and Factor Tilt exhibit a higher level of exposure to Value factors relative
to Style Mix. The most popular value metrics are those involving Book Value,
followed by those involving Earnings, Sales, Dividends, and Cash Flows. Value
ETFs usually have below average P/B, P/E, P/Sales, and P/Cash Flows ratios; and
above average dividend yield. Moreover, all Value ETF types coincide on Financials
being their top sector allocation with a significant overweight relative to a US
Equity Large Cap benchmark, while having a clear underweight on Technology.
However, there are more sector insights beyond these more obvious observations.
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Source: DB Markets Research-North America-United States-Synthetic Equity & Index Strategy-
Renaissance Capital Scheduled U.S. IPOs this week
August 18, 2017--Scheduled U.S. IPOs-Week of 08/21/17
There are no IPOs scheduled this week.
IPO Index Performance
The Renaissance IPO Index has returned 21.9% so far this year, compared to 8.5% for the S&P 500.
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Source: Renaissance Capital
Seven Reasons Why Advisors Should Use Bond Ladders
August 18, 2017--I often hear criticisms from the financial media and professional advisors about the use of bond ladders.
Whenever the criticism comes from professional advisors, however, I've noticed it generally involves firms that use only bond mutual funds or ETFs instead of individual, tailored bond portfolios, whether in the form of a bond ladder or not. Unfortunately, much -if not all-of this criticism is based on falsehoods and the conflicts that can arise when advisors employ only mutual funds and ETFs.
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Source: Advisor Perspectives
ETFGI reports ETFs/ETPs listed in the United States in first 7 months gathered 275 billion US dollars in net inflows nearly matching record 2016 total
August 18, 2017--ETFGI, a leading independent research and consultancy firm on trends in the global ETF/ETP ecosystem, reported today ETFs and ETPs listed in the United States gathered net inflows of US$27.99 Bn in July marking the 17th consecutive month of positive net new asset flows.
Year to date, net inflows stand at US$275.38 Bn which is more than double the net inflows of US$112.16 Bn accumulated at this point last year and nearly the same as the US$278.74 Bn gathered in all of 2016.
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Source: ETFGI
First Trust CBOE S&P 500 VIX Tail Hedge Fund Changes Investment Objective, Fund Name, Listing Exchange and Ticker Symbol
August 18, 2017--First Trust CBOE S&P 500 VIX Tail Hedge Fund (NYSE: VIXH) (the "Fund"), an exchange-traded index fund and a series of First Trust Exchange-Traded Fund (the "Trust"), announced today that the Trust has changed the Fund's investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright People's Portfolio Index (the "New Index").
The New Index is developed, maintained and sponsored by Nasdaq, Inc.("Nasdaq").
The Fund also changed its name to First Trust Dorsey Wright People's Portfolio ETF. The Fund’s shares are listed and trade on the NASDAQ Stock Market LLC under the ticker symbol DWPP.
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Source: First Trust CBOE S&P 500 VIX Tail Hedge Fund
Japanese Bitcoin Exchange bitFlyer Obtains Approval to Launch in US
August 18, 2017--At launch, the exchange will only offer BTC/USD trading but plans to add support for other cryptocurrency pairs and products.
Leading Japanese Bitcoin exchange bitFlyer today said that it has received regulatory approval to operate in the United States, and according to the company, this license applies to 34 states.
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Source: financemagnates.com
TMX Group Statement Regarding Regulatory Engagement
August 17, 2017--TMX Group, owner and operator of CDS, Canada's equities and fixed income clearing house, is engaged with the Canadian Securities Administrators (CSA), an umbrella organization of Canada's provincial and territorial securities regulators, regarding the clearing of securities of issuers with marijuana-related activities in the U.S.
This is a complex matter which touches multiple aspects across our capital market system, and as such requires close examination and careful consideration.
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Source: TMX Group'
Banks warned off machine learning for model risk
August 17, 2017--Banks acknowledge they "cannot hide behind a complex tool" to assess interconnectedness
US regulators are raising concerns about the use of machine learning techniques to assess contagion risks in bank model networks.
Last year, certain entities supervised by the US Federal Reserve were asked to analyse their aggregate model risk-essentially the interactions and dependencies between various risk and pricing models.
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Source: Risk.net
Ontario Securities Commission Announces Agenda For Roundtable On Option Of Discontinuing Embedded Commissions
August 17, 2017--The Ontario Securities Commission (OSC) today announced the agenda and list of panellists for the upcoming roundtable to discuss Canadian Securities Administrators (CSA) Consultation Paper 81-408 Consultation on the Option of Discontinuing Embedded Commissions.
The roundtable is being held as part of the CSA's ongoing consultation on the possible impacts of discontinuing embedded commissions.
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Source: Ontario Securities Commission (OSC)