Download or read book Measuring the Liquidity of ETFs written by Thierry Roncalli and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The liquidity of exchange traded funds is of utmost importance for regulators, investors and providers. However, the study of liquidity is still in its infancy. In this work, we show some stylised facts of liquidity statistics (daily/intraday spread, trading volume, etc.). We also propose a new liquidity measure combining these statistics. In this case, liquidity is a power function of the spread where the parameters are determined by actual trading volumes. We also study the relationship between the liquidity of ETFs and the liquidity of the underlying index. We show that they are correlated on a daily basis, but not in terms of intraday frequency. We also define a measure of liquidity improvement and apply it to the EURO STOXX 50 index.
Download or read book Visual Guide to ETFs Enhanced Edition written by David J. Abner and published by John Wiley & Sons. This book was released on 2013-01-28 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: A visual guide to one of the fastest growing areas in trading and speculation An Exchange-Traded Fund (ETF)—a security that tracks an index, a commodity, or a basket of assets like an index fund, but trades like a stock on an exchange—offers diversification of an index fund, as well as the ability to sell short, buy on margin, and purchase as little as one share. Giving financial advisors, institutional asset managers, traders, and other investment professionals the information they need to get the most out of ETF opportunities, the Bloomberg Visual Guide to ETFs covers the subject in a highly visual manner. Starting with an introduction to ETFs, the book looks at where they fit within the world of investment products, how they are structurally differentiated from other products and among themselves, relevant tax considerations, global listings, growth on a global basis, evolution of the product set, and other topics. Also looking towards the future, the text provides information on finding ETFs—including fund searches, fund news, measuring and valuing ETFs, evaluating their correlation to the underlying sector or commodity being tracked, and more. As a result, the book is a resource not just for understanding ETFs today, but for taking advantage of what's to come. Presents critical information in an easy-to-absorb visual manner Serves as a reference, presenting information in easily digestible pieces for easy access Author David Abner is a well-known ETF developer expert Incorporates quizzes, charts, and other accessible features to bring the material to life ETFs are multivarious, complex instruments that offer unique rewards, and the Bloomberg Visual Guide to ETFs brings together everything that people working with them need to understand to cash in.
Download or read book Measuring Performance of Exchange Traded Funds written by Marlène Hassine and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Fund selection is an important issue for investors. This topic has spawned abundant academic literature. Nonetheless, most of the time, these works concern only active management, whereas many investors, such as institutional investors, prefer to invest in index funds. The tools developed in the case of active management are also not suitable for evaluating the performance of these index funds. This explains why information ratios are usually used to compare the performance of passive funds. However, we show that this measure is not pertinent, especially when the tracking error volatility of the index fund is small. The objective of an exchange traded fund (ETF) is precisely to offer an investment vehicle that presents a very low tracking error compared to its benchmark. In this paper, we propose a performance measure based on the value-at-risk framework, which is perfectly adapted to passive management and ETFs. Depending on three parameters (performance difference, tracking error volatility and liquidity spread), this efficiency measure is easy to compute and may help investors in their fund selection process. We provide some examples, and show how liquidity is more of an issue for institutional investors than retail investors.
Download or read book An Index Based Measure of Liquidity written by George Chacko and published by . This book was released on 2016 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: The liquidity shocks of '08-'09 revealed that measures of liquidity risk being used in most financial institutions turned out to be woefully inadequate. The construction of long-short portfolios based on liquidity proxies introduces errors such as extraneous risk factors and hedging error. We develop a new measure for liquidity risk using exchange-traded funds (ETFs) that attempts to minimize this error. We form a theoretically-supported measure that is long ETFs and short the underlying components of that ETF, i.e., long and short a similar set of underlying securities with the same weights. Pricing discrepancies between the long and short positions are driven by liquidity differences between the ETF and its underlying components. Constructing theoretically supported liquidity risk factors in a number of markets, we undertake several tests to validate our new liquidity metric. The results show that our illiquidity measure is strongly related to other measures of illiquidity, explains bond index returns, and reveals a systematic illiquidity component across fixed-income markets.
Download or read book The ETF Handbook written by David J. Abner and published by John Wiley & Sons. This book was released on 2016-07-27 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professional-level guidance on effectively trading ETFs in markets around the world The ETF Handbook is a comprehensive handbook for using Exchange Traded Funds, designed specifically for institutional investors and professional advisors seeking to improve ETF profitability. While ETFs trade like stocks, they are not stocks—and the differences impact every aspect of their use. This book provides full guidance toward effectively monitoring, analyzing, and executing ETFs, including the technical details you won't find anywhere else. You'll learn how they work, where they fit, and who is using them, as well as the resources that exist to provide access for investors. This new second edition includes updated coverage on how business has moved from niche to mainstream, ETF performance and issuers around the world, and changes to the users of ETFs in the US. The companion website features instructional video, as well as ready-to-use spreadsheets for calculating NAV and IIV. Most of the literature surrounding ETFs is geared toward individual investors or traders, but this book is written from the professional perspective—complete with the deeper mechanical information professionals require. Learn the analysis and execution methods specific to ETFs Discover why ETFs require a sophisticated level of skill Consider how ETFs perform in different market environments Examine the impact of managed ETF portfolio growth ETFs are incredibly flexible and valuable tools, but using them effectively demands a more sophisticated skillset, even among professional money managers and traders. Daily volumes and spreads do not tell the full story regarding availability and liquidity, and treating ETFs just like stocks can dramatically impact profits. The ETF Handbook is the professional's guide to the ETF markets worldwide with expert insight on the technical details that matter.
Download or read book Do Liquidity Proxies Measure Liquidity Accurately in ETFs written by Ben R. Marshall and published by . This book was released on 2017 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document the performance of liquidity proxies in ETFs. Most proxies are developed for use in equities. However, ETFs have lower asymmetric information, more algorithmic trading, and an active primary market where units are frequently created and redeemed. Using a comprehensive database of over 600 ETFs, we find that despite the differences between ETF and stock liquidity, proxies such as Daily Spread, High-Low, Close-High-Low, and Amihud all do a good job of capturing changes in effective and quoted spread transaction costs. However, no proxies accurately reflect movements in price impact or the level of actual transaction costs.
Download or read book Visual Guide to ETFs written by David J. Abner and published by John Wiley & Sons. This book was released on 2013-01-29 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A visual guide to one of the fastest growing areas in trading and speculation An Exchange-Traded Fund (ETF)—a security that tracks an index, a commodity, or a basket of assets like an index fund, but trades like a stock on an exchange—offers diversification of an index fund, as well as the ability to sell short, buy on margin, and purchase as little as one share. Giving financial advisors, institutional asset managers, traders, and other investment professionals the information they need to get the most out of ETF opportunities, the Bloomberg Visual Guide to ETFs covers the subject in a highly visual manner. Starting with an introduction to ETFs, the book looks at where they fit within the world of investment products, how they are structurally differentiated from other products and among themselves, relevant tax considerations, global listings, growth on a global basis, evolution of the product set, and other topics. Also looking towards the future, the text provides information on finding ETFs—including fund searches, fund news, measuring and valuing ETFs, evaluating their correlation to the underlying sector or commodity being tracked, and more. As a result, the book is a resource not just for understanding ETFs today, but for taking advantage of what's to come. Presents critical information in an easy-to-absorb visual manner Serves as a reference, presenting information in easily digestible pieces for easy access Author David Abner is a well-known ETF developer expert Incorporates quizzes, charts, and other accessible features to bring the material to life ETFs are multivarious, complex instruments that offer unique rewards, and the Bloomberg Visual Guide to ETFs brings together everything that people working with them need to understand to cash in.
Download or read book Essays on Price Discovery Measure Exchange traded Funds and Liquidity written by Syed Galib Sultan and published by . This book was released on 2015 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: Price Discovery is the process by which new information is impounded into asset prices through trading activity. A market is considered to contribute more to price discovery if it is the first to capture new information regarding the fundamental value of an asset. Hasbrouck's (1995) information share (IS) is the most widely used measure for price discovery contribution even though there is a well-documented concern with identification: its dependence on the ordering of the variable in the price vector and its non-uniqueness. In the first chapter, we propose a new measure, "Price Discovery Share" (PDS) that is closely related to IS and resolves the identification problems inherent in the IS method. PDS is motivated by a widely used method in risk management literature called the "risk-budgeting" or additive decomposition of portfolio volatility. Using simulated data based on different structural asset pricing models, we find that PDS measures the structural price discovery contribution more accurately than IS. In the second chapter, we apply Price Discovery Share (PDS) to investigate the "duplication of Exchange-Traded Funds (ETFs)" phenomenon, a recent institutional trend in financial markets. We show that although there are multiple ETFs tracking the S&P 500 index, one specific S&P 500 ETF ('SPY') always contributes more to price discovery than the rest. We also find that PDS, unlike Information Share (IS), is robust to the use of intra-day market price data sampled at different frequencies. In the third chapter, we study the effect of bond Exchange-traded funds (ETFs) and bond mutual funds on the liquidity of U.S. corporate bonds. Depending on the liquidity measure used, we find different statistically significant results. ETF ownership has a positive impact on their underlying corporate bonds liquidity when we only consider bonds that are already bought and held by ETFs. Bond mutual funds ownership is found to play a positive impact on the liquidity of high yield corporate bonds.
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Download or read book Revamping Liquidity Measures written by Andrew Clark and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we present a new way of measuring stock liquidity. The method uses price and bid-ask spread (not dollar volume, transactions or turnover) as the primary inputs and Extreme Value Theory to build the measure. We demonstrate its value by its ability to identify successfully liquid stocks in emerging and frontier markets better than volume, transaction and turnover based measures of liquidity. We offer this new measure because recent research has demonstrated that volume, transaction and turnover based measures do not on their own measure liquidity.
Download or read book Do ETFs Increase Liquidity written by Mehmet Sağlam and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impact of exchange-traded funds (ETFs) on the liquidity of their underlying stockholdings. Using a difference-in-differences methodology for large changes in the index weights of stocks in the S&P 500 and NASDAQ 100 indexes, we find that increases in ETF ownership are associated with increases in commonly used measures of liquidity. Stocks with high ETF ownership have higher price resilience and lower adverse selection costs. However, ETFs are linked to higher liquidation costs during the 2011 U.S. debt-ceiling crisis, suggesting that stocks with high ETF ownership may experience impaired liquidity during major market stress events.
Download or read book Convenient Liquidity Measure for Financial Markets written by Oleh Danyliv and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the liquidity measure based on weighted average bid-ask spread is established.Using this liquidity measure, an elementary liquidity algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A formula for the liquidity of an ETF, from the liquidity of its constituencies and the liquidity of ETF shares, is derived.
Download or read book ETF Premiums and Liquidity Segmentation written by Louis R. Piccotti and published by . This book was released on 2018 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange traded funds (ETF) provide a means for investors to access assets indirectly that may be accessible at a high cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to NAV as well as the life-cycle pattern in premiums. ETFs with larger NAV tracking error standard deviations (TESD) tend to trade at higher premiums and the liquidity benefits offered by foreign ETFs and fixed income ETFs are revealed to be the most valuable to investors. Further tests validate that TESD has the desirable properties of a liquidity segmentation measure.
Download or read book Measuring the Liquidity Profile of Mutual Funds written by Sirio Aramonte and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Comprehensive Guide to Exchange Traded Funds ETFs written by Joanne M. Hill and published by CFA Institute Research Foundation. This book was released on 2015-05 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) have become in their 25-year history one of the fastest growing segments of the investment management business. These funds provide liquid access to virtually every financial market and allow large and small investors to build institutional-caliber portfolios. Yet, their management fees are significantly lower than those typical of mutual funds. High levels of transparency in ETFs for holdings and investment strategy help investors evaluate an ETF’s potential returns and risks. This book covers the evolution of ETFs as products and in their uses in investment strategies. It details how ETFs work, their unique investment and trading features, their regulatory structure, how they are used in tactical and strategic portfolio management in a broad range of asset classes, and how to evaluate them individually.
Download or read book Visual Guide to ETFs written by David J. Abner and published by John Wiley & Sons. This book was released on 2013-01-28 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A visual guide to one of the fastest growing areas in trading and speculation An Exchange-Traded Fund (ETF)—a security that tracks an index, a commodity, or a basket of assets like an index fund, but trades like a stock on an exchange—offers diversification of an index fund, as well as the ability to sell short, buy on margin, and purchase as little as one share. Giving financial advisors, institutional asset managers, traders, and other investment professionals the information they need to get the most out of ETF opportunities, the Bloomberg Visual Guide to ETFs covers the subject in a highly visual manner. Starting with an introduction to ETFs, the book looks at where they fit within the world of investment products, how they are structurally differentiated from other products and among themselves, relevant tax considerations, global listings, growth on a global basis, evolution of the product set, and other topics. Also looking towards the future, the text provides information on finding ETFs—including fund searches, fund news, measuring and valuing ETFs, evaluating their correlation to the underlying sector or commodity being tracked, and more. As a result, the book is a resource not just for understanding ETFs today, but for taking advantage of what's to come. Presents critical information in an easy-to-absorb visual manner Serves as a reference, presenting information in easily digestible pieces for easy access Author David Abner is a well-known ETF developer expert Incorporates quizzes, charts, and other accessible features to bring the material to life ETFs are multivarious, complex instruments that offer unique rewards, and the Bloomberg Visual Guide to ETFs brings together everything that people working with them need to understand to cash in.
Download or read book The ETF Book written by Richard A. Ferri and published by John Wiley & Sons. This book was released on 2011-01-04 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by veteran financial professional and experienced author Richard Ferri, The ETF Book gives you a broad and deep understanding of this important investment vehicle and provides you with the tools needed to successfully integrate exchange-traded funds into any portfolio. Each chapter of The ETF Book offers concise coverage of various issues and is filled with in-depth insights on different types of ETFs as well as practical advice on how to select and manage them.
