Comments for The Beta Brief http://www.thebetabrief.com Commentary and analysis on matters related to beta including indexing, exchange traded funds (ETFs) and derivatives, their application in the portfolio management process and their effect on the investment industry. Sat, 31 Jul 2010 09:06:11 +0000 http://wordpress.org/?v=2.0.6 Comment on A Shopping List for This Selloff (EEM, VWO, TLT) by michel http://www.thebetabrief.com/?p=6#comment-320 Sun, 24 Jun 2007 12:35:02 +0000 http://www.thebetabrief.com/?p=6#comment-320 I think gold as a long way to go, probably to 2,500$, which would not be much higher than the 1982 price(inflation adjusted). Emerging markets will drive the price up in the next 2 years. I think gold as a long way to go, probably to 2,500$, which would not be much higher than the 1982 price(inflation adjusted). Emerging markets will drive the price up in the next 2 years.

]]> Comment on Evolution and Defensiveness in the ETF Industry by Richard Kang http://www.thebetabrief.com/?p=108#comment-260 Tue, 03 Apr 2007 03:30:54 +0000 http://www.thebetabrief.com/?p=108#comment-260 CPCohen: I'm looking through some of the past comments posted on the blog and I'm pretty sure that I responded to your comment above but through private email. Did you get that? CPCohen: I’m looking through some of the past comments posted on the blog and I’m pretty sure that I responded to your comment above but through private email. Did you get that?

]]> Comment on Vanguard Bond ETFs: No Surprises, Lowest Costs by Richard Kang http://www.thebetabrief.com/?p=58#comment-259 Tue, 03 Apr 2007 03:27:55 +0000 http://www.thebetabrief.com/?p=58#comment-259 RB: Yes, that makes sense and I've mentioned in various forums (this blog, other sites and newsletters) that exposure to different asset classes that traditionally pay higher distributions (infrastructure is a good example) might be the way to go. Take a look at my most recent posting on sector rotation and I discuss this further. I don't give specific names as I try to avoid too much of that on this blog but I think you're on the right track. RB: Yes, that makes sense and I’ve mentioned in various forums (this blog, other sites and newsletters) that exposure to different asset classes that traditionally pay higher distributions (infrastructure is a good example) might be the way to go. Take a look at my most recent posting on sector rotation and I discuss this further. I don’t give specific names as I try to avoid too much of that on this blog but I think you’re on the right track.

]]> Comment on Vanguard Bond ETFs: No Surprises, Lowest Costs by RBuck http://www.thebetabrief.com/?p=58#comment-253 Tue, 03 Apr 2007 00:42:00 +0000 http://www.thebetabrief.com/?p=58#comment-253 For an income portfolio, do closed end mutual funds deserve consideratuion ? For instance a portfolio consisting of equal weighted DVF, EVV, VVR and PPR. These were chosen for their Ulcer Performance Index from 2006 and having a maximum drawdown of less than 4%. Generally they show a dividend payout of 7 - 8%. Not perfect of course - needs a stop loss point on each holding. For an income portfolio, do closed end mutual funds deserve consideratuion ? For instance a portfolio consisting of equal weighted DVF, EVV, VVR and PPR. These were chosen for their Ulcer Performance Index from 2006 and having a maximum drawdown of less than 4%. Generally they show a dividend payout of 7 - 8%. Not perfect of course - needs a stop loss point on each holding.

]]> Comment on Vanguard Bond ETFs: No Surprises, Lowest Costs by The Beta Brief http://www.thebetabrief.com/?p=58#comment-182 Sat, 31 Mar 2007 23:52:39 +0000 http://www.thebetabrief.com/?p=58#comment-182 [...] The idea of an equity index as a highly diversified means for market exposure is straightforward. With bonds, it’s just not the same. Bond indices can consist of hundreds or likely even thousands of underlying bonds however the correlations among the bonds is quite high … significantly higher than among stocks within an index. Because the gross returns among bonds are not that great, there is greater importance to costs within a bond ETF. The Canadian bond ETFs had a 25 bps MER. Even back in 2000 when the ETF industry was still in its relative infancy, I had many discussions with BGI Canada suggesting that they drop their MER somewhere below 5 bps, which I thought was more appropriate than 25bps. They never did that. But the important thing to note is that with bond ETFs, costs matter. I think that’s the number one rule of thumb when considering fixed income ETFs. By the way, you’ll be glad to know that about four years later in December 2004, BGI Canada converted the 5-Year Government of Canada Bond ETF into one that tracks a short term (less than 5 year maturity) bond index. The 10-Year Government of Canada Bond ETF was converted to track a well accepted Canadian bond index that includes various underlying government and corporate bonds. Although I easily stand by comments about diversification within a bond ETF, anything beats an ETF with one underlying position! We’re at the point today where in Canada we have bond ETFs that cover various areas of the yield curve for government bonds as well as coverage for corporates and real return bonds, very similar to where the US iShares business was not too long ago before BGI introduced their second wave of fixed income ETFs. Incredibly, despite having raised well over $20 billion in assets in their six bond ETFs, BGI waited about four and a half years before launching this second wave. And during this time, no one came to market with competing products. I wrote back in January about Vanguard’s (still not yet to market) bond ETFs which provide lower costs but not too much more beyond that. You’ll note in that posting how I hope for expansion in the bond ETF space to push internationally but I end up being disappointed. With all the innovation in the ETF industry, what’s going on in the bond side? [...] […] The idea of an equity index as a highly diversified means for market exposure is straightforward. With bonds, it’s just not the same. Bond indices can consist of hundreds or likely even thousands of underlying bonds however the correlations among the bonds is quite high … significantly higher than among stocks within an index. Because the gross returns among bonds are not that great, there is greater importance to costs within a bond ETF. The Canadian bond ETFs had a 25 bps MER. Even back in 2000 when the ETF industry was still in its relative infancy, I had many discussions with BGI Canada suggesting that they drop their MER somewhere below 5 bps, which I thought was more appropriate than 25bps. They never did that. But the important thing to note is that with bond ETFs, costs matter. I think that’s the number one rule of thumb when considering fixed income ETFs. By the way, you’ll be glad to know that about four years later in December 2004, BGI Canada converted the 5-Year Government of Canada Bond ETF into one that tracks a short term (less than 5 year maturity) bond index. The 10-Year Government of Canada Bond ETF was converted to track a well accepted Canadian bond index that includes various underlying government and corporate bonds. Although I easily stand by comments about diversification within a bond ETF, anything beats an ETF with one underlying position! We’re at the point today where in Canada we have bond ETFs that cover various areas of the yield curve for government bonds as well as coverage for corporates and real return bonds, very similar to where the US iShares business was not too long ago before BGI introduced their second wave of fixed income ETFs. Incredibly, despite having raised well over $20 billion in assets in their six bond ETFs, BGI waited about four and a half years before launching this second wave. And during this time, no one came to market with competing products. I wrote back in January about Vanguard’s (still not yet to market) bond ETFs which provide lower costs but not too much more beyond that. You’ll note in that posting how I hope for expansion in the bond ETF space to push internationally but I end up being disappointed. With all the innovation in the ETF industry, what’s going on in the bond side? […]

]]> Comment on Vanguard Bond ETFs: No Surprises, Lowest Costs by DanH http://www.thebetabrief.com/?p=58#comment-149 Wed, 21 Mar 2007 19:29:52 +0000 http://www.thebetabrief.com/?p=58#comment-149 Richard, Have been reading your comments on ETF Investor for some time now. V pragmatic and no hype. I have been looking for a way to compare the cost of owning a bond ETF vs buidling my own ladder. Have seen some references to this in the FT but no definitive study comparing returns after fees. I understand the ETF manager should be able to get a better yield spread than a retail investor but by how much - and does this justify the MER? Many variables to consider - specifically duration as it drives buy transactions in the ladder costing yield spread every time. Given the MER is annual, do you have any view on if an ETF provider can cover the MER with improved yield? Any studies to point to. Thanx. Richard,

Have been reading your comments on ETF Investor for some time now. V pragmatic and no hype.

I have been looking for a way to compare the cost of owning a bond ETF vs buidling my own ladder. Have seen some references to this in the FT but no definitive study comparing returns after fees. I understand the ETF manager should be able to get a better yield spread than a retail investor but by how much - and does this justify the MER? Many variables to consider - specifically duration as it drives buy transactions in the ladder costing yield spread every time. Given the MER is annual, do you have any view on if an ETF provider can cover the MER with improved yield? Any studies to point to. Thanx.

]]> Comment on Evolution and Defensiveness in the ETF Industry by cpcohen http://www.thebetabrief.com/?p=108#comment-148 Wed, 21 Mar 2007 01:59:31 +0000 http://www.thebetabrief.com/?p=108#comment-148 1. I am old enough to remember when the number of mutual funds (in the US) first exceeded the number of stocks. I thought then that something was "off" -- that there couldn't be _that many_ worthwhile ways of slicing and dicing the market. It seems that the ETF marketplace is headed the same way. I'll be able to place _any bet I want_ (single-stock bets excepted) using ETF's. I don't know if that's a good thing or not. I'm happy that "fundamental indexed" or "style-based" ETF's are available. But how many of each do we really need? 2. I've been wondering how any fund can hope to replicate the value of the Tremont Hedge Fund Index. Some of the underlying hedge funds are closed, or otherwise "uninvestable". New hedge funds can retrospectively add performance data for past periods. Hedge funds are not required to report. So the index doesn't reflect the blowups, because those funds don't report their last (disastrous) period. Someone has probably written about this problem -- any URL's would be appreciated. Charles 1. I am old enough to remember when the number of mutual funds (in the US) first exceeded the number of stocks.

I thought then that something was “off” — that there couldn’t be _that many_ worthwhile ways of slicing and dicing the market.

It seems that the ETF marketplace is headed the same way. I’ll be able to place _any bet I want_ (single-stock bets excepted) using ETF’s.

I don’t know if that’s a good thing or not. I’m happy that “fundamental indexed” or “style-based” ETF’s are available. But how many of each do we really need?

2. I’ve been wondering how any fund can hope to replicate the value of the Tremont Hedge Fund Index.

Some of the underlying hedge funds are closed, or otherwise “uninvestable”.

New hedge funds can retrospectively add performance data for past periods.

Hedge funds are not required to report. So the index doesn’t reflect the blowups, because those funds don’t report their last (disastrous) period.

Someone has probably written about this problem — any URL’s would be appreciated.

Charles

]]> Comment on ETF Securities’ Massive Commodities ETF Launch by Graham White http://www.thebetabrief.com/?p=64#comment-4 Wed, 07 Feb 2007 21:24:11 +0000 http://www.thebetabrief.com/?p=64#comment-4 This is a test comment. This is a test comment.

]]> Comment on ETF Securities’ Massive Commodities ETF Launch by The Beta Brief http://www.thebetabrief.com/?p=64#comment-3 Wed, 07 Feb 2007 17:56:42 +0000 http://www.thebetabrief.com/?p=64#comment-3 [...] Recent news of more commodity ETFs (actually ETCs trading out of Paris) makes me wonder about some of the truly “high flying” sectors within the commodity complex. For example, here are some recent press releases related to steel: AMEX STEEL INDEX UP 9.08% IN JANUARY [...] […] Recent news of more commodity ETFs (actually ETCs trading out of Paris) makes me wonder about some of the truly “high flying” sectors within the commodity complex. For example, here are some recent press releases related to steel: AMEX STEEL INDEX UP 9.08% IN JANUARY […]

]]> Comment on An Overview of Shariah Compliant Indices by The Beta Brief http://www.thebetabrief.com/?p=50#comment-2 Mon, 05 Feb 2007 02:33:01 +0000 http://www.thebetabrief.com/?p=50#comment-2 [...] As a follow up to my entry of December 20th, 2006 titled An Overview of Shariah Compliant Indices, we get news from HedgeWeek.com of “the first Shariah compliant ETF to be offered in western Europe.”Trading on the SWX Swiss Exchange, the EasyETF DJ Islamic Market Titans 100 will be managed by BNP Paribas Asset Management. This ETF tracks the Dow Jones Islamic Market Titans 100 Index, a blue-chip index tracking the 100 largest global companies that comply with Islamic investment guidelines. Again, from my December 20th piece, here’s the link for more info on the DJIMT and a brief outline of the composition guidelines for the index: The selection universe for the DJIM Index is the Dow Jones World Index, which covers approximately 95% of the float-adjusted market capitalization of 44 countries that are open to foreign investors. For the complete methodology of the Dow Jones World Index see Guide to the Dow Jones Global Indexes. [...] […] As a follow up to my entry of December 20th, 2006 titled An Overview of Shariah Compliant Indices, we get news from HedgeWeek.com of “the first Shariah compliant ETF to be offered in western Europe.”Trading on the SWX Swiss Exchange, the EasyETF DJ Islamic Market Titans 100 will be managed by BNP Paribas Asset Management. This ETF tracks the Dow Jones Islamic Market Titans 100 Index, a blue-chip index tracking the 100 largest global companies that comply with Islamic investment guidelines. Again, from my December 20th piece, here’s the link for more info on the DJIMT and a brief outline of the composition guidelines for the index: The selection universe for the DJIM Index is the Dow Jones World Index, which covers approximately 95% of the float-adjusted market capitalization of 44 countries that are open to foreign investors. For the complete methodology of the Dow Jones World Index see Guide to the Dow Jones Global Indexes. […]

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