Index. The Editor(s) (if applicable) and The Author(s) 2016 A.S. Meziani, Exchange-Traded Funds, DOI /

Transcription

1 Index A active exchange-traded funds, 261 aggregate average cumulative return, 289 alpha, by asset category, beta, 292 correlation statistics, in Germany, net asset value, 267, 272 nontransparent, 268, overview, passive vs., return performance, SEC s moratorium, Sharpe ratio, 293 slowing down the growth of, smart-beta ETFs, Sortino ratio, specialists issue, 273 Treynor ratio, in U.S., 261, actively managed funds versus index funds, low-cost competition to, 74 5 ADTV. See average daily trading volume (ADTV) AGG. See ishares Core US Aggregate Bond (AGG) Alerian MLP ETF (AMLP), 44 alpha measures active ETFs, bond market, emerging markets, 229 smart-beta ETFs, 149 American depositary receipts (ADRs), 207 American-style options, 370 arbitrage, 33 4 asset allocation, 64 5, 263, 313 asset category, 9 10, assets, by geographical region, assets under management (AUM), 158, 208, 249 AUM. See assets under management (AUM) average daily trading volume (ADTV) frontier market, 236, smart-beta ETFs, 148 The Editor(s) (if applicable) and The Author(s) 2016 A.S. Meziani, Exchange-Traded Funds, DOI /

2 398 Index B barbell strategy balancing ETFs along asset classes, balancing long-term and short-term bond ETFs, definition, 364 Barclays Capital US Government Inflation-Linked Bond Index, 80 2 Barclays Emerging Markets (EM) USD Aggregate Bond Index, 84 5 Barclays Global Aggregate Index, 79 Barclays Global High-Yield Index, 82 4 Barclays Global Investors (BGI), 94 Barclays US Aggregate Bond Index, 80 beta measures active ETFs, 292 bond market, emerging markets, 230 minimum-volatility ETFs, 155 6, smart-beta ETFs, b-1 fees, 41 3 BlackRock, 158, 161 BNDX, 39 Bogle, John C., 71 bond ETFs alpha and beta statistics, benefits, 93 characteristics, 92 correlations, cumulative risk statistics, fixed-income ETF Universe, information ratio, vs. interest rates, market in , 93 6 return performance, 104 9, 114 Sharpe ratio, Sortino ratio, bond indexers, 76 9 bond market bond indexers, issues facing by, 76 7 challenges in, 75 6 diversification, 64 6 global economy, 66 index investing (see also index investing ) recent trends in, 68 9 short and ultra-short funds, 67 volatility, 67 8 brokerage fees, 46 BT Investment Pacific Basin Equity, 55 buy-and-hold strategy, 69, 76 buying call options, C call money rate, 358 call options payoff, 379, 380 vs. put options, 374 cantango versus backwardation, 356 Capital Asset Pricing Model (CAPM), 130 1, minimum-volatility ETFs, capital gain, 50, 55 7 capital loss bailout, 60 capital markets, 181 cash drag, 22 Cash Index Participations (CIPs), 2 Chicago Board Options Exchange (CBOE), 374 Chicago Mercantile Exchange (CME), 346 China emerging markets, 200 index funds, 75 closed-end funds, advantages, collars, payoff, 391 collateralized borrowing, 358 commissions fees, 348 commodity, 11 futures, 352

3 Index 399 futures contracts, important asset category, 353 slump, Consumer Discretionary AlphaDEX Fund (FXD), 309 Consumer Price Index (CPI), 80 corporate taxpayer, 60 1 correlation statistics active ETFs, bond ETFs, country weights, frontier market, covered call position characteristics, ins and outs, straddle, creation units, 35 crude oil futures, mechanics, 355 currency ETFs, D days-to-cover ratio, 330 Dealogic, 68 diversification, DJIA DIAMONDS (DIA), 38 dollar-cost averaging, 46 7 domestic stocks, 200 Dow Jones Industrial Average (DJIA), 312 downtick rule, 321 E efficient market theory (EMT), emerging markets alpha, 229 asset-allocation decisions, 233 assets under management (AUM), 208 beta, 230 China, importance of, 200 cross-border investment, 199 demographics, 201 financial crises, 199 financial liberalization, 199 global economy, 212 historical crises, 207 IMF, 200 international portfolio diversification, 199 investment portfolios, 201 investors, 200 ishares MSCI Emerging Markets ETF (EEM), 208 MSCI Emerging Markets Index, 201, 209, 210 portfolio s risk-return profile, 201 return performance statistics, risk performance statistics, 212, risk reduction and higher returns, 199 Sharpe ratio, Sortino ratio, stock markets, 199 stock of, total market capitalization, 201 U.S. benchmark, 201, 209 XTF s database, 208 EMT. See efficient market theory (EMT) environmental, social, and governance (ESG) alpha funds, 194 capital markets, 181 climate change and resource scarcity, 180 corporate ethical behavior, 180 ETF sector, funds data and analytical tools, 194 institutional investors, 180, 183 investment approach, 179 investment capital turn, 182 investment option, 182

4 400 Index environmental, social, and governance (ESG) (cont.) retail investor, 180 return performance, risk performance, risk-return parameters, 181 secular issues, 178 Sharpe ratio, themed-investment products, 181 equity exchange-traded funds (ETFs), 10 Equity Index Participations (EIPs), 2 3 ETF Global LLC s, 158, 158n10 ETMFs. See exchange-traded management funds (ETMFs) European ETF futures, European-style options, 371 Europe, bond indexing in, 76 EURO STOXX 50 futures (FESX), 351 exchange-traded funds (ETFs), 309 arbitrage, 33 4 characteristics, history, 1 2, 346 structure, exchange-traded management funds (ETMFs), exercise price, 370 expense ratios, 40 4 active ETFs, 284, 285, 287, 288 frontier market, 258 Exxon Mobil s barrel, 352 F Fama-French (FF) three-factor model, 131, 155 Financial Times Stock Exchange Index 100 (FTSE), 238 financing trades, 356 First Trust BICK Index Fund (BICK), 230 fixed-income ETF, 10 issuers, return performance, 104 9, 114 stock during September 30, 2014, to stock of market, fixed-income options. see also bond market collars, protective put, frontier market benefits, constituents of, 237 country-specific risks, country weights, index concentration, cross-market correlations, 241 ease of getting out, FTSE, 238 GDP, 246 high concentration, high expense and turnover ratios, 258 IMF statistics, 239 low average daily trading volume, MSCI index, 238, National Bureau of Economic Research, 241 overview, 235 6, return performance, risk performance, 253 risks investors, scope of portfolio, sector weights, index concentration, 243 Sharpe ratio, Sortino ratio, spicing up portfolio with, stock of, 248 Treynor ratio, 255 wide premiums and discounts, FTSE, 238 FTSE All-World ex-us Index (FTAW02), 125, 126 fund transparency, 37 8 fungibility, 352

5 Index 401 futures contracts CME, 346 hedging strategy, investment strategies with, physical versus futures-based ETFs, 348 portfolios systematic risk, adjust, QQQ, 346 trading unit and settlement date, 347 G global economy, 66 greater trading leverage, 363 Great Recession, 234 H hedging strategy, high-beta investments, 366 hybrid index funds, 317 I IMF statistics. See International Monetary Fund (IMF) statistics index investing actively managed funds versus index funds, high-yield bonds, 78 9 importance of bond indexing, 77 8 market indexes, 85 8 scope of, 74 5 security market indexes, 85 individual taxpayer, interest rates, bonds vs., Internal Revenue Code Section 311(b), 57 Internal Revenue Code Section 852(b) (6), 58 Internal Revenue Code Section 1001(c), 53 Internal Revenue Service (IRS), 301 international index funds, 74 International Monetary Fund (IMF), 200 International Monetary Fund (IMF) statistics, 239 Invesco PowerShares, 21 minimum-volatility ETFs, 158, 160, 161 Investment Company Act of 1940, 268, 269, 271 investment industry, investment origin, 53 4 investment policy, active ETFs, 263 investment strategies, by ETFs, 363 buying call options, call vs. put options, 374 covered call position, fixed-income options, with futures contracts, vs. index options, investment strategies, long/short, option contracts (see Option contracts ) options trading, selling call options, synthetic protective put option, investment vehicles IRS Section 1091(a), ishares, 328, 333 ishares Core MSCI Emerging Markets ETF (IEMG), 229 ishares Core US Aggregate Bond (AGG), 86, 339 ishares MSCI Emerging Markets (EEM), 198 ishares MSCI Emerging Markets Materials ETF (EMMT), 231 ishares Russell 1000 ETF (IWB), 311 ishares Russell 2000 Index, 331

6 402 Index L long/short investment strategies, asset classes, countries, market capitalizations and across sectors, styles, loss harvesting. See tax-loss offset strategies low-volatility ETFs. See minimumvolatility ETFs M margin trading with ETFs characteristics, definition, 356 mechanics, margin transaction, 359 market capitalizations, evolution, exposure, indicator, short selling as, 320 market indexes characteristics, 86 8 as proxy for systematic risk, 85 market outlook, Market Vectors Solar Energy ETF (KWT), 194 market volatility, Midcap SPDR (MDY), 38 minimum-volatility ETFs beta risk, 155 6, BlackRock, 158, 161 cross-sectional differences, definition, 154 Invesco PowerShares, 158, 160, 161 investment industry, liquidity statistics, market evolution, return performance statistics, risk-adjusted returns, risk performance statistics, setting stage, Sharpe ratio, 172 SPLV vs. USMV sector, standard deviation as, stock of, monopolization, ETF Market, 8 9 MSCI, 238, MSCI Emerging Markets Index, 201, 209, 210, MSCI World and Barclays Global Aggregate, 353 MSCI World Index, multi-asset ETFs, 12 mutual funds, 273, See also tax advantage over mutual funds N NASDAQ-100 Index Tracking Stock, 346 Nasdaq 100 Qubes, 38 National Bureau of Economic Research, 241 net asset value (NAV) active ETFs, 267, 272 net capital gain, 60 non-taxing entity, 52 3 nontransparent ETFs, 268, North American ETF market, 13 O open-end fund format reinvest dividends, replication, physical versus synthetic, 32 3 securities lending, 32 option contracts American options vs. European options, characteristics, 370 ETF options vs. index options, 371 3

7 Index 403 price determination, QQQ trust, 373 options trading, option writer, 370 P paired trades, 329 passive ETFs, payoff, call/put option, 379, 380 Pfi zer s stock, 305 physical ETF s versus futures ETF s, 347 physical replication, 32 3 PIMCO Investment Grade Corporate Bd ETF (CORP), 86 portfolio margining accounts, rules pertaining, drive for, 362 greater trading leverage, 363 portfolios systematic risk, adjust, PowerShares DWA Emerging Markets Momentum Portfolio (PIE), 229 PowerShares Emerging Markets Sovereign Debt (PCY), 230 PowerShares QQQ ETF (QQQ), 346n1 PowerShares QQQ Trust, 38, 373 premiums and discounts, frontier market, 236, price determination, option contracts at the money (ATM), 377 in the money (ITM), 377 option basic properties, 377 out of the money (OTM), 377 payoff, call/put option, 379, 380 premium, 377 SPY, pricing and liquidity academic perspective, 38 9 creation and redemption, 35 7 fund transparency, 37 8 ProShares, 333 protective put, fixed-income options, put options, 374 payoff, 379, 380 synthetic protective, Q QQQ, 38, 373 R rate anticipation swap, 302 real estate ETFs, 11 rebalancing process, 50 2 redemption in stock/cash, 54 tax efficiency, 54 6 tax-free in-kind redemption, 57 8 regulated investment company, 52 3 regulation T, 357 reinvest dividends, Research Affiliates Fundamental Indexing (RAFI), 135 return performance statistics active ETFs, emerging markets, environmental, social, and governance, 187 8, fixed-income ETF market, 104 9, 114 frontier market, 240, minimum-volatility ETFs, risk-adjusted performance, active ETFs, alpha and beta, correlation coefficients, cumulative risk statistics, emerging markets, 212, environmental, social, and governance, 190, 191, 194 frontier market, information ratio,

8 404 Index risk-adjusted performance (cont.) minimum-volatility ETFs, sample correlations, Sharpe ratio, Sortino ratio, risk-adjusted returns, S Sarbanes-Oxley Act, 179 sector weights, frontier market, 243 Securities and Exchange Commission (SEC), 3, 18, 207, 321 moratorium, transparency challenge, Securities Exchange Act, 357 security market indexes, 85 Select Sector SPDR Health Care (XLV), 306, 315 selling call options, sentiment indicator, short interest as, 330 settlement quote/special quotation (SQ), 372 shareholders, 58 9 Sharpe ratio, , active ETFs, 293 emerging markets, frontier market, 236, minimum-volatility ETFs, 172 smart-beta ETFs, short interest, 320 as sentiment indicator, 330 interest-sensitive sector, 342 interpreting numbers, on mid-month settlement date, ratio, 332 reading, short selling, 317, as market indicator, 320 definition, 318 essentials of, reasons for, stocks and closed-end funds, short squeeze, 317, 321, 321n6, 322, 330 1, 333 short-the-market, 338 smart-beta ETFs alpha, 149 average daily trading volume, 148 beta, capital asset pricing model, 130 1, expense ratios, 148 Fama-French (FF) three-factor model, 131 impact, market evolution, 139 market growth, market performance, minimum-variance portfolio, momentum factor, 132 return performance statistics, risk performance statistics, Sharpe ratio, to stock of market, Social Investment Forum Foundation (SIF), 179 Sortino ratio, active ETFs, emerging markets, 232 3, 234 frontier market, 236, SPDR S&P 500 ETF (SPY), 18, 51 2, 346 S&P 500 Index (SPX), 153, 240 2, 371 SPIVA (for S&P Index Versus Active Funds Scorecards), 71 SSgA, 9 standard basket, 35 standard deviation, as volatility measurement, Standard & Poor s, 71 stocks and closed-end funds, redemption, 54

9 Index 405 straddle dead zone, 391 long, 389 payoff, 390 short, 389 value, 390 strike price, 370 substantially identical securities, sustainable investment, 181 synthetic replication, 32 3 systematic risk, 155, T tax advantages, over mutual funds corporate taxpayer, 60 1 ETF shareholders, 58 9 individual taxpayer, investment origin, 53 4 non-taxing entity, 52 3 rebalancing, 50 2 redemption in stock/cash, 54 tax efficiency of redemption, 54 6 tax-free in-kind redemption, 57 8 tax-aware, 299 harvesting tax losses, wash-sale rule, tax efficiency, 44 6 tax-loss offset strategies, 299, 302 disadvantage for investors, market exposure, mutual fund, sector ETF, stock maintaining, 305 6, sector of choice, exposure maintaining, 307 wash-sale rule (see wash-sale rule ) tax management strategy income tax bracket, 300 knowledgeable investors, 301 market exposure, mutual fund, sector ETF, stock maintaining, 305 6, sector of choice, exposure maintaining, 307 straightforward tax strategy, 301 taxpayer corporate, 60 1 individual, tax swaps, 302 Tequila crisis, 207 Toronto Stock Exchange Index Participations, 3 trading strategies, 345 Treasury Inflation Protected Securities Funds, 15, 80 Treynor ratio active ETFs, frontier market, 236, 255 U UITs. See unit investment trusts (UITs) uncovered/naked call option, 384 unit investment trusts (UITs), 268 expense ratio, ranking by, 19 fund termination, 21 termination date, 20 trading volume, ranking by, 20 uptick rule, 317, 317n1, 321, 322 U.S. active ETFs, 261, U.S. ETF Market characteristics, 6 global attributes, 6 net assets, 4 5 U.S. Treasury indexes, 95 V Vanguard 500 (VFINX), 51 2 Vanguard FTSE Emerging Markets ETF (VWO), 208 Vanguard Total Stock Market ETF (VTI), 5 volatility. See minimum-volatility ETFs

10 406 Index W Wall Street Crash of 1929, 357 wash-sale rule bonds, 304 mutual funds, 305 stocks, WisdomTree Emerging Markets SmallCap Dividend Fund (DGS), 230 X XTF classification, 208 Y Yacimientos Petrolíferos Fiscales (YPF), 243 YPF. See Yacimientos Petrolíferos Fiscales (YPF)