Tuesday, March 30, 2010

Actively managed ETFs in Canada

Horizons offers several actively managed ETFs in Canada. There are ETFs for many different investment flavors. Being actively managed means that the fund manager can actually switch whatever he is investing in. It is a great concept, in theory. There are are couple of issues with them however.
  • Performance leaves much to be desired. many of them perform worse than the benchmark (or an equivalent passive ETF).
  • Some are very illiquid
  • Although most management expense ratios are reasonable for actively managed ETFs (0.70% to 0.75%), there are regrettably  performance fees, in some cases  equal to 20% of the return earned above a certain benchmark. This smells really bad. I theory, if the fund performs really well you'd be happy to pay the 20%, but high fees is not why people buy ETFs for.

North American Value

invests in equities using the deep value approach of Vito Maida, who managed the Trimark Canadian fund during the 1990s and is now with Patient Capital Management

North American Growth

This ETF invests mainly in U.S. growth stocks under the guidance of Stephen Rogers, who ran AGF Management’s American Growth Fund during the 1990s and was named “U.S. Equity Manager of the Decade [1990s]” by Gordon Pape.

Gartman ETF

This ETF gives exposure to the investment strategies of Dennis Gartman, author of The Gartman Letter; Gartman uses fundamental, macro-economic and technical analyses and a variety of investment vehicles to go long or short on a variety asset classes

Performance: -0.88% since inception, vs.  +7.0% for SPX, and +2.1% of the XIU

Managed S&P/TSX 60 ETF:

This ETF seeks long-term capital growth by investing primarily in the constituents of the S&P/TSX 60; managed by technical analyst Ron Meisels until recently, it’s now managed by Frank Mersch (who beat the TSE 300 eight years in a row while managing the Altamira Canadian Equity Growth during the 1990s).

Tactical Bond Fund

This ETF is run by Montreal-based Fiera Capital Inc., who tactically allocates funds across a basket of ETFs tracking different kinds of bonds ranging from government treasuries to corporate bonds to high-yield debt; a closed-end fund scheduled to convert to an ETF

Income Plus Fund

This ETF verweights U.S. Treasury bonds and money market securities in periods of deflation; it will overweight Treasury Inflation Protected Securities (TIPS) and commodities in a period of inflation; a closed-end fund scheduled to convert to an ETF; uses Barclays Bank’s Multi-Asset Allocation Model

Seasonal Rotation ETF,

This one allocates exposure among equities, fixed income, commodities and currencies according to periods of seasonal strength; managed by Don Vialoux and Brooke Thackray who appear on BNN regularly

Performance since inception:  +3.94%, vs 5.705% SPX, and 1.72% of the XIU

S&P/TSX 60 130/30 Strategy ETF

This ETF ttracks a Standard &Poors index that seeks to outperform the S&P/TSX 60 by overweighting 10 stocks in the index by 3 percentage points and underweighting 10 other stocks in the index by 3 percentage points.

Performance: +5.23%, vs 6.25% of the SPX, and 3.27% of the XIU


Investing primarily in major North American companies with above average dividend yields, this EF and is managed by Lyle Stein, the CEO of Leon Frazer

New ETFs:

Bill Cara has said he is working on an actively managed ETF for the CARA100

Sunday, March 28, 2010

The top commodity ETFs for Q2 2010

The table below shows all commodity ETFs sorted by relative strength values for two time frames.

The left side shows short term, and the right side shows long term.

In the short term , the most oversold are AGF, GCC, and DBA, while there are no overbought ETFS.

In the long run, DYY is slightly oversold, while RJZ is slightly overbought.

Please click on each ETF symbol to receive alerts on them.

Here are their names:

Thursday, March 25, 2010

The current state of currency ETFs: What is cheap and what is expensive

As readers know, currecies are in near chaos lately due to the Greece situation and 'on and off' IMF/ECB bailout.

There are many currency ETFS available. here they are, ordered by short term relative strength values:

Very interestingly, the most oversold is not the Euro, it's the British Pound, GBB, followed by YCL (an ultra Yen ETF)

The most overbought are DRR (double short Euro) and YCS (ultra short yen).

Note that UUP (US dollar) is in 4th place.

Monday, March 22, 2010

Health care ETFs

Health care reform was passes yesterday by Congress. Here are some health-related ETFs:
  • iShares Dow Jones U.S. Healthcare Sector Index Fund, IYH
  • Health Care Select Sector SPDR Fund, XLV 
  • Vanguard Health Care ETF, VHT
  • Rydex S&P Equal Weight Health Care, RYH
  • First Trust Health Care AlphaDEX Fund, FCH
  • PowerShares Dynamic Biotechnology & Genome Portfolio, PBH
  • PowerShares Dynamic Healthcare Sector Portfolio, PTH 
  • PowerShares Dynamic Healthcare Services Portfolio, PTJ 
  • PowerShares Dynamic Pharmaceuticals Portfolio, PJP
  • iShares Dow Jones U.S. Pharmaceuticals Index Fund, IHE 
  • iShares Dow Jones U.S. Healthcare Providers Index Fund, IHF 
  • iShares Dow Jones U.S. Medical Devices Index Fund, IHI 
  • iShares Nasdaq Biotechnology Index Fund, IBB 
  • Merril Lynch Biotech HOLDRs Trust, BBH
  • SPDR S&P Biotech ETF, XBI 
  • SPDR S&P Pharmaceuticals, XPH
  • iShares S&P Global Healthcare Sector Index Fund, IXJ
  • ProShares Ultra Health Care, RXL
  • WisdomTree International Health Care Sector Fund, DBR 
  • ProShares UltraShort Health Care, RXD 
Here are the current relarive strength values, ordered by short timeframe:

Clearly the three most overbought ETFs are BBH, IHF, and PTJ, and RXD is oversold.

Here are the ETFs ordered by longer timeframe (monthly):

Here we have RXD again oversold, while the top three most overbought ETfs are IBB, PJP, and XPH

Wednesday, March 17, 2010

Bad news for natural gas ETF holders

For those investors who are still into the dreadfully performing natural gas ETF, UNG, Encana announced today that it will double its natural gas production within 5 years.

The company said it will boost its 2010 capital budget by 20% to $4.5B as it takes step to double production over the next five years, despite low prices for the fuel. The company is ramping up spending to develop its massive shale gas holdings in Western Canada and the United States.

According to BNN, "EnCana's plans will see it pumping more than 6 billion cubic feet of gas per day by the end of 2015, giving it about 8.6 percent of the current North American market, keeping it as one of North America's largest natural gas producers and squeezing out less efficient companies that have higher costs".

"We should be forcing out the higher-cost producers," Randy Eresman, EnCana's chief executive, told reporters. "And we've already been doing that. In the last couple of years there was a lot of natural gas production being developed in North America that required $8, $9, $10 prices in order to be developed."
EnCana expects prices, with the benchmark futures contract currently at about $4.35 per million British thermal units, to average between $6 and $7 per thousand cubic feet long-term. It said it can produce gas for under $4 per mcf. It's also expecting demand for the clean-burning fuel to grow as it supplants coal in power generation and producers lobby for more use of natural gas in transportation.
New uses for gas will be critical to EnCana and its peers as output rises from low-cost shale gas reserves. Gas from shale deposits like the Haynesville in Louisiana, the massive Marcellus region centered in Pennsylvania or the Horn River region of British Columbia is pushing up supplies after years of declining production".

"EnCana will need to spend about $6 billion annually, drilling 2,500 wells a year, in order to meet its revamped targets. The company had, in the past, limited its growth in order to avoid causing higher prices for drilling and other services and Eresman said EnCana will try to not spur higher prices as it ramps up activity, counting on what it calls its "gas factory" strategy to keep a lid on costs".

EnCana said it expects its production at the end of 2010 to be between 3.4 billion and 3.5 billion cubic feet of natural gas per day. That's up from the 3.1 bcf a day it averaged at the end of January".

Monday, March 15, 2010

The Top Oil and Gold ETFs To Buy and To Sell

Below you find all oil and gold/ precious mining ETFs on the market, ordered by relative strength values. We use the average of the daily, weekly and monthly values.

This provides a very good indication of which ETfs are currently oversold and which oens are overbought.

Oil ETFs

From most oversold to most overbought:

The top oversold ETfs are DUG and DDG (ultra short and short oils cos). The top overbough ETFs are DIG and OIH (ultra long and long oils). Oil is clerly overbought here.

Gold and PM ETFs

From most oversold to most overbought:

The top oversold is ZSL (ultra short silver). The top overbought are PTM (Platinum) and ZME (metals and mining)

Friday, March 12, 2010

Alberta reduces royalties: Oil sands ETF

The Canadian province of Alberta  announced on Thursday it will reduce oil and gas royalties. This comes after three years of complaints from the energy sector.

Premier Ed Stelmach said "the changes to the fiscal regime are aimed at restoring investment in its petroleum reserves and competing with massive shale gas discoveries elsewhere".

"The world has changed, the realities of the energy sector have changed and Alberta must change too or risk losing its competitive edge in an industry that has given us so much and still holds so much incredible potential for our future,"

An ETF  to use for oil sands companies is CLO (Claymore Oil Sands). It's MER is 0.60%. Currently, CLO trades around half of its peak price.


Top holdings:


CLO is described as follows:

The Claymore Oil Sands Sector ETF has been designed to replicate the performance, net of expenses, of the Sustainable Oil Sands Sector Index™ (the "Index"). The Sustainable Oil Sands Sector Index™ was designed to give investors the maximum exposure to one of the fastest growing industries in the Canadian energy sector and one of the largest reserves of oil in the world. The Index is restricted to companies that are highly focused on oil sands production and are expected to increase their oil sands production in the next ten years. The weightings in the Index are based on a proprietary mathematical formula that focuses on five key factors. By focusing on the following five factors, the Index is designed to invest in the companies that best represent the current and future production of oil sands:
  • Current Oil Sands Production measured in barrels per day
  • Projected 10yr Forward Oil Sands Production measured in barrels per day
  • Focus on Oil Sands Production Percentage of total production focused on oil sands production
  • Market Liquidity
  • Market Capitalization

Wednesday, March 10, 2010

UNG: Profit from natural gas going up or down

Natural gas inventories will be released tomorrow morning. UNG continues to perform poorly:

With the inventory release there is usually volatility. These are some current straddles for March and April, computed with the StraddlesCalc tool. The tools shows the maximum move needed to achieve a profitable position.

The Oscars: Media ETFs

The Oscars happened last Sunday. It's a good time to check on media ETFs. That is precisely what BNN did. They report on PowerShares PBS ETF, which is up 125% in the last year:

Top holdings:

CBS Corporation Class B Common CBS 4.88
Comcast Corporation CMCSA 5.18
Dreamworks Animation SKG, Inc. DWA 3.06
Gannett Co., Inc. Common Stock GCI 3.59
Google Inc. GOOG 4.89
News Corporation NWSA 5.43
Time Warner Inc. New Common Sto TWX 4.64
Viacom, Inc. B N/A 4.53
Walt Disney Company (The) Commo DIS 4.86

Watch segment.

Tuesday, March 9, 2010

New ultra short Brazilian ETF

A new ultra short Brazilian ETF has been launched by Proshares. The symbol is BZQ and it was actually issued in late 09. For anyone that thinks that the Brazilian stock market is overheated might be interested. However, it is a leveraged ETF, which over time only lose money for the holders..

This ETF seeks a return of -200% of the return of the daily performance of the MSCI Brazil Index. for a single day. This keyword means that over time the fund price will decay, like all leveraged ETFs.

As with most ultra ETFs the MER is relatively expensive at 0.95%.

As Brazil does well, this ETF has performed very poorly:



Saturday, March 6, 2010

GLD, the gold ETF: Straddles for gold going up or down

Spot gold is around $1,135, with the very popular GLD ETF at $110.81.

Here are options straddles for GLD for both March and April. These allow investor to profit regardless of direction, as long as GLD moves the indicated amount. These positions are calculated with StraddlesCalc tool.

As always, please do your own due diligence.

Thursday, March 4, 2010

UNG the natural ETF continues to crash; natural gas consumption

Natural gas storage showed a lackluster drop of 116 Bcf today. The following chart compares the natural gas in storage in 2009 with 2010:

These are the latest numbers:

Another sharp drop in UNG was registered around 10:30AM when storage numbers were announced:

Although storage levels are not as high as they were in the middle and last last year, UNG continues to drop significantly. Please see the chart since June 2008, when UNG was trading over $60.

Wednesday, March 3, 2010

The top commodity ETFs

Here are the best commodity ETFs in terms of RSI values.

Ordered by RSI daily (short term):

The ETFs at the top of the list are the most oversold ones. The ones at the bottom are the most oversold.

NIB and SGG are clearly oversold, while UBC is clearly overbought.

This is the list sorted for the long term (rsi monthly):

The closest to oversold is DYY.

The ETF names:

Monday, March 1, 2010

Correlation of currency ETFs: the best currencies fior diversification

Correlation is fundamental for diversification of investments. For investors wishing to diversify away from the US dollar, or from other currencies, here is the correlation of all currency ETfs for the period January 2 to February 27 2010.

(please click to enlarge)

The best pairs of stocks for diversification are the ones that show very small correlation values. The ones with high correlations are indicated in green and red. Those are the ones to avoid. The most uncorrelated pairs are indicated in bold type face.

The perfect pairs are URR and CNY (long Euro and Chinese Yuan), and FXA and CNY (Aussie dollar and Yuan), with a value of 0.0, but there are several other pairs very close. Please see chart above.