Performance of Actively Managed ETFs Versus The Underlying Index

AlphaPro features a couple of actively managed ETFs. One of them tries to improve on the TSX60 index (which is tracked by the iShares XIU ETF). Please see the comparison chart this year:


(please click to enlarge).

The difference in ROI is quite significant:

XIU: +25.37%

HAX: 11.15%

Here is the comparison for the last 6 months:



Or for the last 3 months:



Or for the last 1 month:




Or even for the last 5 days:



The simple XIU vastly outferforms the 'actively managed' HAX on every time period.

An Actively Managed ETF That Uses Seasonality

Don Vialoux and Brooke Thackray are the two "seasonality" analysts. They appear regularly on BNN. They look at patterns and trends during the year for several types of stocks. Now they have joined forces and will be managing a new seasonality ETF, run by AlphaPro, another Jovian company (the same one that manages leveraged ETFs in Canada). At least this one is not leveraged, but there are some unpleasant surprises in them.

The ETF will start trading Tuesday, symbol HAC in Toronto, and will invest in markets or sectors that typically rally in different parts of the year. The managers will no follow a buy-and-hold strategy. This part is great.

Don Vialoux who runs http://www.timingthemarket.ca/techtalk/, and Brooke Thackray, is author of several books (Thackray's 2010 Investor's Guide), will provide technical analysis for the seasonal patterns.

Says the Globe and Mail: "Mr. Vialoux has said that average optimal date to enter North American equity markets is at the opening on Oct. 28, and the optimal time to leave is at the close on May 5. But that should be fine tuned each year with technical analysis, he contends.
On his Web site, he said the optimal entry point this year was on Nov. 5. Sectors that are attractive at this time of year include information technology, consumer discretion, industrials (sub sector transportation) and basic materials,"

The prospectus say that HAC will try to make money in all market cycles by tactically investing in stocks, bonds, commodities and currencies during periods that have historically demonstrated seasonal trends and/or will sit in significant amounts of cash. It will also do limited short-selling and unfurtunately will invest in ETFs that include the leveraged and inverse ETFs managed by affiliated company BetaPro Management Inc. This is very bad as these ETFs cannot be held for more than one day or investors in on average lose money. On top of this they generate commissions for BetaPro?? Read release.

Here is the worst part. The ETF has a management fee of 0.75%. However, AlphaPro will also get a performance fee that will be equal to 20% of the amount by which the performance exceeds the "high water mark" and outperforms the one year Government of Canada Treasury Bill rate (which is silly as it is near zero).

A nice idea that somehow went ashtray.

Leveraged ETFs: Top 25 Most Overbought and Top 25 Most Oversold

These are the top 25 most overbought and oversold leveraged ETFs on the market, sorted by RSI7 daily indicator.

Most oversold:



Most overbought:

776 ETFs: Top 25 ETFS To Buy and Top 25 ETFS Sell

Here are the top 25 most overvalued and most oversold ETFs on the market, out of the universe of 776 ETFs, sorted by RSI7 daily. This is a short term indicator.

Most oversold:

The average RSI of these is 26.79.


(please click to enlarge)


Most overbought (in reverse order):

The average RSI of these is 79.89.

Complete List of ETFs On The Market

Here are the ETFs that trade in the U.S. Each list shows the ETF name, its symbol, and sector.

Lists are ordered by issuer's name in alphabetical order.

Please click on each image to enlarge.

List 1, Claymore to First Trust:


List 2: First Trust to iShares:


List 3, iShares to iShares:


List 4, iShares to PowerShares:


List 5, PowerShares to ProShares:


List 6, ProShares to Rydex:


List 7: S&P to Vanguard:


List 8, Vanguard to XShares:

Global ETF assets reach all-time high

Barclays Global Investors reports that the combined assets of the global exchange-traded funds, or ETFs, hit an all-time high of $891B in August 2009, with investors getting more confident about the industry as a low cost, transparent and liquid tool to access global equity and commodity markets,

ETFs assets rose 3.9% above the previous all time high of $858B set in July 2009, and 10.6% above the high set in April 2008, latest figures from Barclays show. The global ETF industry had 1,773 ETFs with 3,137 listings, assets of $891B from 95 providers on 41 exchanges at the end of August 2009. Year to date assets have risen by 25.3 per cent, said Deborah Fuhr, Global Head of ETF Research & Implementation Strategy at BGI.

“The net inflows of $49.0 bn in the past six months shows demand for ETFs is still growing as clients view ETFs as useful tools to help them implement many types of exposures,” said Fuhr in statement.

Emerging market equity ETFs have seen the largest increase in assets growing by $51.8 billion year-to-date to reach $378.1 billion at the end of August 2009. With 522 listings of which 259 are ETFs, the interest in equities in the emerging markets, are on the rise, leading by 13.8 per cent as of August 2009 and 3.8 per cent year to date, according to BGI.

The global growth in ETFs assets and volumes is partly being driven by professional investors in the Middle East, who are increasingly using ETFs as a low cost, transparent and liquid tool to access global equity, fixed income and commodity markets, said Robert Broadwell, iShares Regional Business Director GCC at BGI. “ We have seen a particular increase in the use of fixed income ETFs by Gulf-based family offices and their financial advisors.”

Globally, iShares is the largest ETF provider in terms of both number of products, 391 ETFs, and assets of $429.32 billion, reflecting 48.2% market share.

Index ETF options, plus natural gas and oil

Here are straddles and strangles for September 2009, December 2009, and January 2010 for IWM (my favourite), SPY, UNG, and UCO.

Maximum moves required for each are shown in the yellow-shaded line. If the underlying moves this much, the position will be profitable at expiration. Note that depending on the length of the time to expiry, the position can be profitable with much smaller moves.

For September 2009:

(please click to enlarge)

For December 2009 and January 2010:

Not advice.

The best ETFs in Canada, cheapest and most expensive

We looked at ETFs in Canada. While there aren't as many as in the US, there are more and more popping up every month. Here are the cheapest and most expensive ETFs in Canada by MER:

Cheapest:

Equity:

- BCA, BMO Canadians Titans 60, MER: 0.158%
- XIU, iShares Large Cap 60: 0.17%

Bonds:

- XSB: iShares Canadian Short Bonds: 0.25%
- XBB, iShares Canadian Bonds: 0.30%

Sector ETFs:

- XEG, iShares TSX Energy: 0.55%
- CLO, Claymore OilSands: 0.6%


Most expensive ETFs:

- Horizon BetaPro Bull+ and Bear+ ETFs: 1.15%

There it is, one more reason to stay away from those leveraged ETFs!