The etf tag has no wiki summary.
18
votes
3answers
635 views
How can an ETF outperform its benchmark index?
Deutsche Bank’s ETF platform, db X-trackers, provides a rather remarkable ETF tracking Euro Stoxx 50 (which is the most widely used regional blue-chip index in Europe).
What makes it remarkable is ...
9
votes
3answers
801 views
How to cluster stocks and construct an affinity matrix?
My goal is to find clusters of stocks. The "affinity" matrix will define the "closeness" of points. This article gives a bit more background. The ultimate purpose is to investigate the "cohesion" ...
9
votes
1answer
253 views
Currency Hedged ETFs
At work we were talking about currency hedging our equity index exposures but I am struggling to understand how this happens in a typical iShares ETF.
If we take the Japan ETF IJPN then we see this ...
7
votes
2answers
280 views
Do you know a good article on ETF's counterparty risk analysis?
I am at the moment considering investing into ETFs, but I am looking first to understand how these products really work.
Indeed, it is my understanding that ETF can vary in terms of structure, thus ...
6
votes
3answers
484 views
How to calculate compound returns of leveraged ETFs?
Forewarning: this is a complete newbie question :-)
I am starting to learn about ETFs by trying to do the numbers. When learning about the compounding effect in leveraged ETFs, I wanted to simulate ...
5
votes
2answers
223 views
Which ETFs should I use to test my portfolio selection algorithm?
I have a portfolio selection algorithm I want to backtest, but I don't want to limit the inputs at any point in time. For example, I don't want to exclude the Japanese stock market, just because it ...
4
votes
3answers
356 views
How to cluster ETFs to reduce cardinality for portfolio selection
I'm looking to run portfolio optimizations using various optimization goals - e.g. minimum variance, max diversification etc. My challenge is if I want to do this on ETF's which ones do I pick to run ...
4
votes
1answer
191 views
What procedure do leveraged ETFs use to limit losses?
I've skimmed through more than one ETF prospectus trying to find the procedure for clamping losses at the limits of an ETF, and so far, no help. Has anyone found a description of the "clamping" ...
3
votes
1answer
141 views
Examples of investable factors via factor funds/ETFs
In the draft chapter about hedge funds of his forthcoming book Andrew Ang postulates the dawn of new factor funds (p. 35 ff.), i.e. funds that directly target factors like volatility, value-growth, ...
2
votes
1answer
153 views
When does an ETF take out expenses?
When does an Exchange Traded Fund (ETF) take out expenses (for example 0,3% on a yearly basis)? Does it happen daily, or once yearly or according to some other scheme? Where does it take them from?
2
votes
3answers
175 views
Leveraged and inverse leveraged ETFs - what is the exact defintion?
I just had a quick look at the daily returns for a few pairs of leveraged ETFs - it appears that the percent daily returns do not match perfectly. For instance, looking at FAS/FAZ, the returns for the ...
