The German Bundesbank, second largest holder of gold in the world after the United States, has decided at least half its gold should be in its own vaults. Part of this comes with pressure from the German Precious Metals Association. Apparently, last year the U.S. Federal Reserve had refused to allow Germans to verify their gold held in US vaults (reported in Der Spiegel).
Wednesday, 6 February 2013
Trading the RICI
The RICI is the Rogers International Commodities Index, being promoted by the NYX, and founded by James Rogers, Jr., which started at a value of 1000 in July 1998.
Commodities are selected based on their importance to "worldwide consumption" - commodities merely of national interest are omitted (like Azuki - red bean - futures, on TOCOM). Additionally, the index focuses on the most liquid contracts e.g. COMEX Silver, rather than silver on the Tokyo Commodity Exchange. COMEX silver trades in USD per troy ounce, versus TOCOM's yen per gram. Note that COMEX is owned by the CME Group.
Over January and February 2013, the index is moving from ICE Coffee to NYSE Coffee, similarly ICE Cocoa to NYSE Cocoa.
Beeland Management Company is an advisor to RICI (Beeland being Mr Rogers middle name).
CQG is another advisor into RICI. They provide trading into JP Morgan, Citi and Kyte.
Commodities are selected based on their importance to "worldwide consumption" - commodities merely of national interest are omitted (like Azuki - red bean - futures, on TOCOM). Additionally, the index focuses on the most liquid contracts e.g. COMEX Silver, rather than silver on the Tokyo Commodity Exchange. COMEX silver trades in USD per troy ounce, versus TOCOM's yen per gram. Note that COMEX is owned by the CME Group.
Over January and February 2013, the index is moving from ICE Coffee to NYSE Coffee, similarly ICE Cocoa to NYSE Cocoa.
Beeland Management Company is an advisor to RICI (Beeland being Mr Rogers middle name).
CQG is another advisor into RICI. They provide trading into JP Morgan, Citi and Kyte.
Tuesday, 5 February 2013
Most Levered Commodity Assets
ATM commodity options give you generally 5-10 times leverage. You can get a pretty good 8x to 9x leverage from trading base metals options on LME aluminium and copper. Copper has higher leverage than aluminium although their volatilities are roughly the same. Crude options give you about 8x leverage.
Microsoft Ready to Eat Dell
Michael Dell, Microsoft and Silver Lake are preparing to re-take Dell for $24.4bn. This is a huge transaction in the "take-private" deal category.
John Brennan is an MD with Silver Lake in Menlo Park (San Mateo County, California). Christian Lucas (former Head of European Technology at Morgan Stanley) is an MD with Silver Lake in London.
John Brennan is an MD with Silver Lake in Menlo Park (San Mateo County, California). Christian Lucas (former Head of European Technology at Morgan Stanley) is an MD with Silver Lake in London.
Saturday, 2 February 2013
The Incoming Governor of the Bank of England
Ex-Goldman Sachs Mark Carney will become Governor of the Bank of England on July 2013. He studied at both Harvard and Oxford. As Governor of the Bank of Canada, he explained that his "fundamental priority" was to ensure "low, stable and predictable inflation".
The Art of Inverse Equity ETFs
Inverse ETFs allow investors to hedge long equity positions. It also facilitates some form of long/short equity trading.
Proshares (it seems) offers good liquidity in Inverse ETFs.
Here's a case study of SH, which was created in 2006. SH allows you to go 100% short the S&P 500. The expense fee is 0.89%. The NAV is calculated at 4pm ET.
How does Proshares the ETF work? As of 1 Feb 2013, it's partly achieved by being ~$64m short on the S&P 500 e-Mini March contract - a massively popular futures contract (trades 5 days a week on a March quarterly cycle). But as not all the liquidity can be executed on the exchange, a large percentage of the short position is achieved via Equity Index Swaps (e.g. they are short $380m against Goldman Sachs, $306m short against Deutsche Bank).
This is an interesting concept: selling protection (insurance) via an ETF by massively shorting the futures market.
Proshares (it seems) offers good liquidity in Inverse ETFs.
Here's a case study of SH, which was created in 2006. SH allows you to go 100% short the S&P 500. The expense fee is 0.89%. The NAV is calculated at 4pm ET.
How does Proshares the ETF work? As of 1 Feb 2013, it's partly achieved by being ~$64m short on the S&P 500 e-Mini March contract - a massively popular futures contract (trades 5 days a week on a March quarterly cycle). But as not all the liquidity can be executed on the exchange, a large percentage of the short position is achieved via Equity Index Swaps (e.g. they are short $380m against Goldman Sachs, $306m short against Deutsche Bank).
This is an interesting concept: selling protection (insurance) via an ETF by massively shorting the futures market.
The Global ETF Market & Focus: From Super-Cheap SCHX to Innovative EG Shares
Awesome Size of the Global ETF Market
The Global ETF Market, as reported by London's Financial Times newspaper, has invested in it a sum greater than 2 trillion dollars. It also states that nearly 70% of that figure is held by Blackrock's iShares (acquired from Barclays in 2009), State Street and Vanguard. In Europe, Lyxor, owned by Societe Generale, is also pretty big.
ETFGI is a company focused on ETF research, started by staff from Morgan Stanley, involved in investment research and strategies.
How does an investor compare ETFs?
Metrics for Comparison
One metric is the EXPENSE RATIO. One of the cheapest ETFs is the Charles Schwab US Large Cap ETF (SCHX) which has an expense ratio of 0.04%. It is non-leveraged and holds assets of $1bn (about 18% of holdings are in the IT sector).
Morningstar is a company that gives ratings to ETFs,based on performance, adjusted for cost, and adjusted for risk.
ETF "Categories"
They also assign special categories to ETFs, depending on the asset class. For example, a US stock ETF might be classified as "Large Growth", "Large Value" or "Large Blend" or sector-based e.g. "Real Estate", "Utilities", "Technology". In the area of Alternatives they have categories like "Managed Futures", "Volatility", "Equity Precious Metals" or "Inverse Equity".
What does the "Equity Precious Metals" category consist of?
These funds invest in equities connected with precious metals, such as gold mining companies.
ETF Exchanges
NYSE ARCA has a whole range of tradable ETFs, searchable by issuer. For example, iShares have 10 ETFs on ARCA.
Indian ETFs
EG Shares has developed Indian ETFs. Once such, is NYSE:INXX, an Indian Infrastructure ETF. It has an expense ratio of 85bps. The investment is done via equities, ADRs and GDRs. The companies purchased must have a market cap of at least $200m at time of purchase.
EG Shares also produce Brazil and China infrastructure ETFs. CEO Marten Hoekstra was formely the CEO of UBS Wealth Management Americas.
The Global ETF Market, as reported by London's Financial Times newspaper, has invested in it a sum greater than 2 trillion dollars. It also states that nearly 70% of that figure is held by Blackrock's iShares (acquired from Barclays in 2009), State Street and Vanguard. In Europe, Lyxor, owned by Societe Generale, is also pretty big.
ETFGI is a company focused on ETF research, started by staff from Morgan Stanley, involved in investment research and strategies.
How does an investor compare ETFs?
Metrics for Comparison
One metric is the EXPENSE RATIO. One of the cheapest ETFs is the Charles Schwab US Large Cap ETF (SCHX) which has an expense ratio of 0.04%. It is non-leveraged and holds assets of $1bn (about 18% of holdings are in the IT sector).
Morningstar is a company that gives ratings to ETFs,based on performance, adjusted for cost, and adjusted for risk.
ETF "Categories"
They also assign special categories to ETFs, depending on the asset class. For example, a US stock ETF might be classified as "Large Growth", "Large Value" or "Large Blend" or sector-based e.g. "Real Estate", "Utilities", "Technology". In the area of Alternatives they have categories like "Managed Futures", "Volatility", "Equity Precious Metals" or "Inverse Equity".
What does the "Equity Precious Metals" category consist of?
These funds invest in equities connected with precious metals, such as gold mining companies.
ETF Exchanges
NYSE ARCA has a whole range of tradable ETFs, searchable by issuer. For example, iShares have 10 ETFs on ARCA.
Indian ETFs
EG Shares has developed Indian ETFs. Once such, is NYSE:INXX, an Indian Infrastructure ETF. It has an expense ratio of 85bps. The investment is done via equities, ADRs and GDRs. The companies purchased must have a market cap of at least $200m at time of purchase.
EG Shares also produce Brazil and China infrastructure ETFs. CEO Marten Hoekstra was formely the CEO of UBS Wealth Management Americas.
Subscribe to:
Posts (Atom)