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  • High Frequency Trading – Around the World in 0.13 Seconds

    Alexander Gloy

    https://www.scribd.com/document/362687902/NEC-2017-10-26-High-Frequency-Trading We look at the following points: What is “High Frequency Trading” What is not “High Frequency Trading” US Market Structure Where is Wall Street? First Encounter with an Algorithm It’s a man’s machines’ world The “SIP” versus Direct Feed Race for Speed, Bandwidth and Computing Power Flash Crashes Share Buy-Backs Are Stock Prices Representative?…

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  • ETF Report – May 2013

    Alexander Gloy

    Please find our latest ETF report here: http://www.scribd.com/doc/146146105/Lighthouse-ETF-Report-2013-May As a new feature, the report also looks at mutual fund flows. Summary: Risk appetite has begun to cool off International equity ETF’s are seeing significantly less inflows than domestic equity ETF’s in absolute dollar terms (but similar inflows relative to their asset base) Emerging market equity ETF’s…

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  • ETF-Report April 2013

    Alexander Gloy

    Please find our latest ETF-Report here: http://www.scribd.com/doc/141248746/Lighthouse-ETF-Report-2013-April   Conclusions: Current risk appetite remains high International equity ETF’s are seeing less inflows than domestic equity ETF’s in absolute dollar terms but higher inflows relative to their asset base Emerging market equity ETF’s are still outpacing those investing broadly in international equities but have experienced a significant slow-down…

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  • ETF Report – March 2013

    Alexander Gloy

    Please find our latest ETF Report here: http://www.scribd.com/doc/133857690/Lighthouse-ETF-Report-2013-March Conclusions: Current risk appetite remains high International equity ETF’s are seeing less inflows than domestic equity ETF’s in absolute dollar terms but higher inflows relative to their asset base Emerging market equity ETF’s are still outpacing those investing broadly in international equities but have experienced a significant slow-down…

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  • ETF Report – February / March 2013

    Alexander Gloy

    Please find our latest ETF Report here Summary: Current risk appetite is high International equity ETF’s are seeing similar inflows to domestic equity ETF’s in absolute dollar terms and higher inflows relative to their asset base Emerging market equity ETF’s are outpacing those investing broadly in international equities Inflows into speculative bond ETF’s have ended…

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  • September data reveals increased risk appetite among ETF investors

    Alexander Gloy

    Tracking flows in and out of major exchange-traded funds (ETF) can reveal investors’ risk appetite. The 23 largest ETF’s by assets under management represent approximately 50% of all US ETF assets. In September, the largest inflows in percent of assets were registered by domestic equity (SPY), gold mining stocks (GDX) and high yield bonds (HYG):…

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  • Volatility ETFs’ crazy churn

    Alexander Gloy

    Two volatility ETFs (VXX and UVXY) are having almost half of the trading volume in the world’s largest ETF (SPY). How come? First, the facts: SPY is heavily traded (19% of assets daily turnover) compared to IVV (also referring to the S&P 500). But then come the volatility ETFs. Tiny VIXY (assets $145m) turns itself…

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  • Market risk factors

    Alexander Gloy

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  • What a week

    Alexander Gloy

    Looking at asset class performance during the week August 1-5, 2011: Horrible week for the Dax index, US REITs (Real Estate Investment Trusts) and Emerging Markets. I had wondered why the Dax managed to perform so well despite Euro zone troubles. It is a pretty cyclical index, and usually outperforms the US indices – in…

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  • Fun with inverse ETFs

    Alexander Gloy

    I love Exchange Traded Funds (ETF). In theory. In practice they are being abused by issuers and traders alike (see Beware of systemic risk in ETF). But that’s another topic. Today let’s take a look what can happen with inverse ETF through the compounding effect. I like inverse ETF (i.e. SH) on the stock market,…

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