ETF.com Webinar: How To Profit From Falling Oil Prices Using Short & Leverage ETPs
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1 ETF.com Webinar: How To Profit From Falling Oil Prices Using Short & Leverage ETPs Sponsored by:
2 Panelists: Viktor Nossek Director of Research WisdomTree Europe Zachary Hascoe Director of Capital Markets WisdomTree Europe
3 Moderator: Rachael Revesz Senior Staff Writer ETF.com Europe
4 It s Easy to Submit a Question Click on the Question Mark Icon (?) on the floating tool bar on your web session. This will open the Q&A window in the lower right hand corner of your screen. Type your question into the small dialogue box. Please make sure to send the question to ALL PANELISTS and NOT to the HOST. Click the Send button.
5 Disclaimer This document is issued by WisdomTree Europe Ltd ( WTE ) an appointed representative of Mirabella Financial Services LLP, which is authorised and regulated by the United Kingdom Financial Conduct Authority ( FCA ). The products discussed in this document are issued by WisdomTree Issuer PLC ( Issuer ), an umbrella investment company with variable capital having segregated liability between its funds organised under the laws of Ireland as a public limited company and authorised by the Central Bank of Ireland ( CBI ). The Issuer is organised as an Undertaking for Collective Investment in Transferable Securities ( UCITS ) under the laws of Ireland and shall issue a separate class of shares ("Shares ) representing each fund. Investors should read the prospectus of the Issuer ( Prospectus ) before investing and should refer to the section of the Prospectus entitled Risk Factors for further details of risks associated with an investment in the Shares. Any decision to invest should be based on the information contained in the Prospectus. This product may not be available or suitable for you. This document does not constitute investment advice nor an offer for sale nor a solicitation of an offer to buy Shares. This document should not be used as the basis for any investment decision. The price of any Shares may go up or down and an investor may not get back the amount invested. Past performance is not a reliable indicator of future performance. Any historical performance included in this document may be based on back testing. Back testing is the process of evaluating an investment strategy by applying it to historical data to simulate what the performance of such strategy would have been. Back tested performance is purely hypothetical and is provided in this document solely for informational purposes. Back tested data does not represent actual performance and should not be interpreted as an indication of actual or future performance. The value of the Shares may be affected by exchange rate movements. For Italian Investors: The Fund is a recognised scheme under section 264 of the Financial Services and Markets Act 2000 and so the Prospectus may be distributed to investors in Italy. Copies of all documents are available from Within Italy, this document is only made available to professional clients and eligible counterparties as defined by the FCA. Under no circumstances should this document be forwarded to anyone in Italy who is not a professional client or eligible counterparty as defined by the FCA. This document is not, and under no circumstances is to be construed as, an advertisement or any other step in furtherance of a public offering of shares in the United States or any province or territory thereof, where none of the Issuer or the Shares are authorised or registered for distribution and where no prospectus of the Issuer has been filed with any securities commission or regulatory authority. Neither this document nor any copy hereof should be taken, transmitted or distributed (directly or indirectly) into the United States. Neither the Issuer nor any securities issued by it have been or will be registered under the United States Securities Act of 1933 or the Investment Company Act of 1940 or qualified under any applicable state securities statutes.
6 Overview Size and Growth of S&L oil ETPs Mechanics of short and leveraged ETPs Macro and valuation case for oil price weakness Shorting and hedging strategies using S&L oil ETPs
7 WisdomTree Europe at a glance: rising growth across short and leveraged ETPs, led by commodities Total AUM WisdomTree Europe since inception in $ million Boost - Commodity Boost - Equities XETRA2 Stuttgart Turnovers since inception monthly volumes in $ million Boost - Fixed Income Boost - FX WisdomTree - Equities SIX Munich LSE Frankfurt BIt /12/ /01/ /02/ /03/ /04/ /05/ /06/ /07/ /08/ /09/ /10/ /11/ /12/ /01/ /02/ /03/ /04/ /05/ /06/ /07/ /07/ /08/ /09/ /10/ /11/ /12/ /01/ /02/ Dec 2013-Feb 2013-Apr 2013-Jun 2013-Aug 2013-Oct 2013-Dec 2014-Feb 2014-Apr 2014-Jun 2014-Aug 2014-Oct 2014-Dec 2015-Feb $292 million, with $ 247 million in Boost short and leveraged (S&L) ETPs, $45 million in WT UCITS ETFs Boost Commodity ETP capture $133 million of AUM, most of which is in 3x leveraged crude oil ETPs (3OIL) Boost oil and natural gas ETPs captured 23% of ETC/ETN volumes in the week of 2 to 6 of March 2015 and frequently list as amongst the top 10 traded ETCs/ETNs on BIT
8 Overview Provides Short and/or Leverage exposure to the daily change in the index (less fees and adjustments) If the Index rises by 1%, a 3x Leveraged Daily ETP would rise by 3% on that day If the Index rises by 1%, a 3x Short Daily ETP would fall by 3% on that day Similarities to ETFs: Trades real time on regulated exchanges (LSE, BIT, Xetra) Multiple authorised participants (AP) and market makers (MM) ensure liquidity Open ended, ETPs can be issued or redeemed according to supply/demand (spreads: ~50bps for equity ETPs, ~20 bps for fixed income ETPs, 30bps for commodity ETPs) Collateral protection to help manage counterparty risk (daily adjustment based on creations, redemptions and changes to credit risk of swaps provider)
9 Return components of oil: The importance of futures curve and roll yield Benefiting from backwardation when rolling over WTI oil futures curve in backwardation 2) 23 May 2014: (1Y later) Sell DEC 2014 $99.2 Total Return is made up of 3 components: 1. Spot return: due to change in underlying commodity prices 2. Roll return: due to selling contracts prior to expiry and reinvesting - can be positive (backwardation) or negative (contango) Futures price USD/bbl Spot return 1) 31 May 2013: Buy DEC 2014 $78.6/BBL 3) and buy DEC 2015 $91 - depends on maturity of contracts rolled and shape (steepness) of the futures curve 3. Collateral yield: interest on value of collateral Example: I. 31 May 2013: you enter into a Dec 2014 futures contract to buy $1 million of WTI crude $78.6 (# contracts = $1M / 78.6 / 10* = 1272) /05/ /05/2013 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Expiry date Source: Boost ETP Research, Bloomberg. * 10 = tick value of WTI crude oil futures..almost 12M later, you decide to roll your Dec 2014 contract to Dec 2015: II. 23 May 2014: you sell Dec 2014 futures $99.2, to buy Dec $91 - Spot return: ($99.2 x 10 x 1272 = $1.262M (profit of $262K) (# contracts = $1.262M / 91 / 10 = 1387)
10 Investors increasing use of S&L ETPs: $62 billion in global AUM Size and growth of S&L ETPs globally AUM ($bn) by leverage factor and no of ETPs Other -3x -2x -1x 2x 3x # ETPs (RHS) Long positions Breakdown Feb 2015 AUM of $62bn by asset class Currency 2.6% Oil Commodity 4.7% ex Oil 5.0% Alternative 5.4% Debt 12.9% Equity 69.4% short positions 0 dic 2005 dic 2006 dic 2007 dic 2008 dic 2009 dic 2010 dic 2011 dic 2012 dic 2013 dic 2014 feb Source: Boost ETP Research, Bloomberg *as at 28 Feb 2015 Commodities represent 5% of the global ETP/ ETC industry, with AUM of $126bn as of Oct 2014 S&L Commodity ETPs represent approx. 10% of global AUM of S&L ETPs, with AUM of $6bn S&L Oil ETPs comprise approx. 5% or $2.9bn
11 Investors increasing use of S&L ETCs: $2.9bn of AUM is in S&L oil ETPs Size and growth of S&L ETPs globally AUM by leverage factor and no of ETPs ($bn) -3x -2x -1x 1,500 1,300 1,100 S&L investors are often contrarians! Cumulative flows by leverage factor ($M) long short 2.0 2x 3x Long positions short positions dic 2005 dic 2006 dic 2007 dic 2008 dic 2009 dic 2010 dic 2011 dic 2012 dic 2013 dic 2014 feb / / / / /2014 S&L Commodity ETPs represent approx. 10% of global AUM of S&L ETPs, with AUM of $6bn, half of which tracks crude oil S&L investors often take contrarian positions. Almost $1bn of inflows into oil ETPs in 2015 has come on the back of bullish bets
12 The effect of compounding on geared returns: a fictitious example of a 10-day holding period Trending market Volatile market +8% +6% Daily returns profile of ETPs vs BM +6% +6% +6% +6% +6% +6% +6% +6% +6% +6% +8% +6% Daily returns profile of S&L ETPs vs BM +6% +6% +6% +6% +6% +4% +4% +2% +2% +0% -2% -4% -6% -8% x Leveraged ETP 3x Short ETP Index +0% -2% -4% -6% -8% % -6% -6% -6% -6% 3x Leveraged ETP 3x Short ETP Index Daily price level profile of ETPs vs BM NAV 3x Leveraged ETP Index value NAV 3x Short ETP +79%: +22% -46% Daily price profile of ETPs vs BM NAV 3x Leveraged ETP NAV 3x Short ETP Index value Source: Boost ETP Research
13 The 2014 oil price crash: a leveraged short position on WTI crude 20% 10% 0% Chart 1: The downtrend in energy is ended Cumulative performance, rebased Monthly returns of short oil ETPs vs underlying 65.2% Boost WTI Oil 3x Short Daily ETP WTI Crude Oil 36.0% Performance in USD 72.6% -10% -20% 20.0% 3.0% 10.4% 16.2% -30% -40% WTI Crude Oil -6.3% -1.4% -4.3% -10.6% -17.8% -19.6% -10.3% -50% -60% jul 2014 ago 2014 sep 2014 oct 2014 nov 2014 dic 2014 ene 2015 feb 2015 mar 2015 jul 2014 ago 2014 sep 2014 oct 2014 nov 2014 dic 2014 ene 2015 Gearing factor 1 Jul 14 to 12 Mar 2015 WTI Crude Oil +1x (index) -55% 3OIS* -3X (ETP) +460% The 6 month down trend in oil helped short ETPs tracking WTI crude to perform better than expected in July, October, November and December 2014 Source: WisdomTree Europe, Bloomberg. Data to 12 March Past performance is not a reliable indicator for future performance
14 The 2008 oil price bubble burst: taking advantage of trending market conditions 1,800% The trend is your friend: an 18M bull-run in oil followed by a 6M downturn Performance of ETPs (rebased) vs WTI crude oil 160 Performance of 3OIL and 3OIS (in USD net of fees) 1,600% 1,400% 1,200% 1,000% 800% 600% 400% 200% 0% WTI Crude Oil (RHS) 3OIS 3OIL 3OIL* OIS ** WTI Crude Oil (USD/BBL) -200% 20 ene-2007 jul-2007 ene-2008 jul-2008 ene-2009 Gearing factor 1 Jan 07 to 30 Jun 08 WTI Crude Oil +1x (index) +129% 3OIL* +3X (ETP) +541% Gearing factor WTI Crude Oil +1x (index) -68% 1 Jul 08 to 31 Dec 08 3OIS** -3X (ETP) +644% Source: WisdomTree Europe, Bloomberg. Data to 31 December * Boost WTI Oil 3x Leverage Daily ETP. From 1 Jan 2007 to 30 June Prior to inception date the data is backtested. Past and backtested performance is not indicative of future performance ** Boost WTI Oil 3x Short Daily ETP From 1 July 2008 to 31 Dec Prior to inception date the data is backtested. Past and backtested performance is not indicative of future performance
15 Realised volatility: oil is one of the most volatile asset classes 25% 20% 15% 10% 5% 0% Volatility of main benchmarks compared against ETPs Monthly returns profile* 2.6% 2.7% 2.8% 2.9% 2.9% 3.6% 1.2% 9.6% 10.0% 5.1% 5.5% 6.3% 6.8% 7.1% 7.1% 7.7% 7.8% 15.0% 15.3% 13.4% 11.5% 12.4% 12.9% 7.7% 8.9% 24.2% Avg of top 20% returns Average plus or minus 1 SD -5% -1.0% -1.9% -2.1% -2.0% -1.8% -1.8% -2.8% -10% -15% -4.7% -5.6% -5.9% -6.0% -6.7% -7.2% -7.7% -8.3% -9.1% -9.8% -5.4% -7.3% -8.4% -11.0%-11.3% -12.0% -11.1% -13.0% -20% -25% +1 SD avg of top 20% avg of bottom 20% -1 sd -18.6% Avg of bottom 20% returns 10Y Japan JGB 10Y German Bunds 10Y UK Gilt 10Y US Treasury 10Y Spain BTP 10Y Italian BTP US High Yield ASX 200 FTSE 100 Russell 1000 FTSE 250 TOPIX EURO STOXX CDAX FTSE MIB MSCI EM NASDAQ 100 Gold Aluminium Copper Silver Brent Crude Oil WTI Crude Oil Coffee Palladium HH Natural Gas Fixed Income Equities commodities Source: WisdomTree Europe, Bloomberg. * Data calculated from Jan 1998 to Dec 2014 The top and bottom 20% of monthly returns of crude oil have been about +12% to +13% and -11% to -12%, respectively Investors should generally consider shorter investment horizons for S&L ETPs tracking commodities than equities or bonds
16 Current investor sentiment on oil: speculators excessive bullishness may prolong volatility in oil 70 Spiking volatility in oil Implied volatility in % S&P 500..as speculators have started to unwind excessive bullish bets WTI crude oil's bullish bets and prices 20% EUR/USD FX Gold ETF WTI Crude Oil % # contracts net long speculative 15% 10% 5% 0% USD/ BBL % -10% # non-commercial contracts net long as % of open interest (LHS) WTI Crude Oil price (USD/BBL, RHS) 20 0 Given the sudden sharp correction of crude oil in 2014, uncertainty over oil near term outlook remains elevated relative to other asset classes Speculators on ICE and NYMEX remain excessively bullish positioned in WTI crude oil potential for more unwinding is likely to add to volatility Source: WisdomTree Europe, Bloomberg. Data to 13 March 2015
17 The macro-fundamentals for weaker oil: Demand slump: EM, the main drivers of consumption, has cut back 80% 60% 40% 20% Oil is the worst performing sector in commodities since 2010 Gold Copper Crude oil Global oil consumption contracts in 2014 annual change in million of barrels per day China RoW Europe Japan US 0% % % % Source: WisdomTree Europe, Bloomberg. Data to 28 February 2015 Energy has been one of the weakest commodity sectors since 2010, but China s economic rebalancing has also undermined sentiment in industrial metals EM, led by China, has cut back on oil consumption by over 700K barrels per day in 2014, even as the US shale output has continued to rise
18 The macro-fundamentals for weaker oil: Supply glut: driven by US shale output 500 US oil inventories: well above historic levels tsd of barrels 25 US oil production: towards self-sufficiency mln of barrels per day and % of consumption imported 70% 450 We are here: ~450K of barrels 20 60% 50% % YTD 250 ene feb mar abr may jun jul ago sep oct nov dic % of US consumption imported (RHS) EIA Total Monthly Oil Supply United States EIA Total Monthly Oil Consumption United States 30% 20% 10% US oil inventories: Latest March 2015 readings suggest that the current 450K of oil stocks are ~18% above last year s levels US oil production and consumption: while shale output is expected to slow as new wells are unlikely to be run oil 50 USD/BBL, it is unlikely to reverse US output growth longer term. With stable consumption, the path towards US energy self-sufficient remains intact Source: WisdomTree Europe, Bloomberg. Data to 30 September 2014
19 Market commentary on oil is still bearish: at $50 USD/BBL, the price is still well above China s pre-super cycle Crude oil prices: nominal and adjusted for US inflation in today's dollars USD/BBL WTI Crude oil (spot price in USD/BBL) deflated by Headline CPI in today's dollars Current oil price*: ~50 USD/BBL Pre- China Super cycle ~20 to 40 USD/BBL Source: WisdomTree Europe, Bloomberg. Data to 28 February 2015 In the period before China s economy grew at a 9-10% rate p.a., the price of oil hovered around 20 to 40 USD/BBL, inflation adjusted Oil may succumb to more downward pressure, especially if EM will struggle to sustain its credit-fuelled domestic growth with a rising dollar
20 Hedging against falling oil prices: using geared shorts as a simple cost-effective strategy Cumulative performance, rebased 160 Unhedged portfolio Hedged portfolio using 3OIS without rebalancing 130 Hedged portfolio using 3OIS with rebalancing ene 2014 mar 2014 may 2014 jul 2014 sep 2014 nov 2014 ene 2015 Hedge ratio: short position relative to portfolio value 55% 50% 45% Hedged Portfolio with 5% max deviation from target hedge ratio 40% % hedged without rebalancing 35% Targeted % portfolio hedged 30% 25% 20% 15% 10% ene 2014 mar 2014 may 2014 jul 2014 sep 2014 nov 2014 ene 2015 Partially hedged position in WTI Crude Oil (buy and hold strategy) Fully hedged position in WTI Crude oil (periodic rebalancing) WTI Crude oil In trending markets less rebalancing is required than in volatile markets ceiling of +5% above target Targeted hedge ratio floor of 5% below target Rebalancing strategy: buy (sell) shorts in rising (falling) markets when hedge ratio deviates too much from the target Fully hedged portfolio position: 75% long, 25% in 3x short. Rebalancing trigger: +/- 5% abs deviation from target hedge Rebalancing frequency of 3x short 10Y US TSY: 2x buying (green bars), 8x selling (red bars) Source: WisdomTree Europe, Bloomberg. Data to 31 January 2015
21 3OIL Volume Increase 12.89% price decrease Over 210% volume increase Source: Bloomberg
22 3OIL Price Chart Source: Bloomberg
23 Boost short and leverage oil and natural gas ETPs listed on LSE PRODUCT NAME ISIN EXCH ANGE LSE CODE BBG CODE TRADING CURRENCY BASE CURRENCY PRODUCT LEVERAGE FACTOR MGT FEE PER ANNUM Boost Natural Gas 2x Leverage Daily ETP IE00B94QKX96 LSE 2NGL 2NGL LN USD USD % Boost Natural Gas 2x Short Daily ETP IE00B94QL251 LSE 2NGS 2NGS LN USD USD % Boost Natural Gas 3x Leverage Daily ETP IE00B8VC8061 LSE 3NGL 3NGL LN USD USD % Boost Natural Gas 3x Short Daily ETP IE00B76BRD76 LSE 3NGS 3NGS LN USD USD % Boost WTI Oil 3x Leverage Daily ETP IE00B7ZQC614 LSE 3OIL 3OIL LN USD USD % Boost WTI Oil 3x Leverage Daily ETP ( ) IE00B7ZQC614 LSE 3LOI 3LOI LN GBx USD % Boost WTI Oil 3x Short Daily ETP IE00B7SX5Y86 LSE 3OIS 3OIS LN USD USD % Boost WTI Oil 3x Short Daily ETP ( ) IE00B7SX5Y86 LSE 3SOI 3SOI LN GBx USD % Source: WisdomTree Europe, Bloomberg. Data to 31 January 2015
24 Q&A
25 No se puede mostrar la imagen en este momento. Thank You.
26 Disclaimer This document is issued by WisdomTree Europe Ltd ( WTE ) an appointed representative of Mirabella Financial Services LLP, which is authorised and regulated by the United Kingdom Financial Conduct Authority ( FCA ). The products discussed in this document are issued by WisdomTree Issuer PLC ( Issuer ), an umbrella investment company with variable capital having segregated liability between its funds organised under the laws of Ireland as a public limited company and authorised by the Central Bank of Ireland ( CBI ). The Issuer is organised as an Undertaking for Collective Investment in Transferable Securities ( UCITS ) under the laws of Ireland and shall issue a separate class of shares ("Shares ) representing each fund. Investors should read the prospectus of the Issuer ( Prospectus ) before investing and should refer to the section of the Prospectus entitled Risk Factors for further details of risks associated with an investment in the Shares. Any decision to invest should be based on the information contained in the Prospectus. This product may not be available or suitable for you. This document does not constitute investment advice nor an offer for sale nor a solicitation of an offer to buy Shares. This document should not be used as the basis for any investment decision. The price of any Shares may go up or down and an investor may not get back the amount invested. Past performance is not a reliable indicator of future performance. Any historical performance included in this document may be based on back testing. Back testing is the process of evaluating an investment strategy by applying it to historical data to simulate what the performance of such strategy would have been. Back tested performance is purely hypothetical and is provided in this document solely for informational purposes. Back tested data does not represent actual performance and should not be interpreted as an indication of actual or future performance. The value of the Shares may be affected by exchange rate movements. For Italian Investors: The Fund is a recognised scheme under section 264 of the Financial Services and Markets Act 2000 and so the Prospectus may be distributed to investors in Italy. Copies of all documents are available from Within Italy, this document is only made available to professional clients and eligible counterparties as defined by the FCA. Under no circumstances should this document be forwarded to anyone in Italy who is not a professional client or eligible counterparty as defined by the FCA. This document is not, and under no circumstances is to be construed as, an advertisement or any other step in furtherance of a public offering of shares in the United States or any province or territory thereof, where none of the Issuer or the Shares are authorised or registered for distribution and where no prospectus of the Issuer has been filed with any securities commission or regulatory authority. Neither this document nor any copy hereof should be taken, transmitted or distributed (directly or indirectly) into the United States. Neither the Issuer nor any securities issued by it have been or will be registered under the United States Securities Act of 1933 or the Investment Company Act of 1940 or qualified under any applicable state securities statutes.
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