Exchange Traded Funds: Structure, Regulation and Application by Elisabeth Hehn

By Elisabeth Hehn

Covers ETFs - the most popular funding made of the hot century. Explains the character of this new funding category and all merits of those tools. presents a deep perception into the industry and the advance of that asset type in the past ten years. a number of the info during this ebook is mostly constrained to institutional traders with entry to analyze information bases. the entire contributions were made by means of expert funding specialists to offer a primary hand perception into the problem.  

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Following the creation process, market makers – acting as authorized participants – purchase the underlying basket of shares in the local market and deliver the basket in kind to the ETF manager in exchange for units in the corresponding ETF. Market makers can deliver ETF units to the ETF manager and take delivery of the underlying basket of shares through the redemption process. These baskets of shares are determined and published for each ETF by the ETF manager on a daily basis. 32 Alain Dubois and Stephane Barthelemy The liquidity can be defined as the ability to sell quickly at a fair and certain price, and can be basically measured in three ways: x Market depth and breadth: the breadth is determined by the number of participants and the depth by the size of orders in the order book.

Consequently, the lack of understanding of the product and relatively low motivation for the distributor implies that institutional investors make up the main users of the European ETFs. This affects the marketing, product design and sales process of ETFs. One of the key drivers for an appropriate marketing strategy is to understand the market and how the funds are used by the final investors. In the case of ETFs, the lack of contractual relationships between the fund provider and the users makes this intelligence gathering more difficult than for other commingled products.

The determinants of volume provide us with insight into who is trading Spiders, and why. 1. Performance of Spiders The purpose of this section is to examine the return on Spiders to see if they appear to be a reasonable investment instrument. Since a Spider has its basic value determined by the S&P Index, we will compare the return on Spiders to the return on the S&P Index and then try to decompose any differences in return to see what accounts for them. In what follows, we break Spider return into two components: x the return due to changes in NAV and x the return due to deviations of NAV from price.

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