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MacroMarkets and the Practice of Financial Innovation

Michael Haliassos

in Financial Innovation: Too Much or Too Little?

Published in print:
2013
Published Online:
January 2015
ISBN:
9780262018296
eISBN:
9780262305495
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262018296.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter explores the history of MacroMarkets LLC, founded in 2001 by Yale University economist and 2013 Nobel Prize in Economics Robert J. Shiller and Samuel Masucci III. MacroMarkets' main ... More


Exchange-Traded Funds and the New Dynamics of Investing

Ananth N. Madhavan

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.001.0001
Subject:
Economics and Finance, Financial Economics

This book is about the quiet transformation of asset management through the rise of passive or index investing. A closely related phenomenon is the rise of exchange-traded funds (ETFs). An ETF is an ... More


Commodity Exchange-Traded Funds

Christopher Milliken

in Commodities: Markets, Performance, and Strategies

Published in print:
2018
Published Online:
March 2018
ISBN:
9780190656010
eISBN:
9780190656041
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190656010.003.0013
Subject:
Economics and Finance, Financial Economics

Commodity exchange-traded funds (ETCs), which debuted in 2004, enable investors to access an asset class previously difficult or expensive to access. Although a small segment of the overall ... More


The Current Landscape

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0001
Subject:
Economics and Finance, Financial Economics

Exchange-traded funds (ETFs) are an important innovation and have played a major role in the growth of passive, index investing, where investors seek to track a benchmark market index rather than ... More


Structure and Mechanics

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0002
Subject:
Economics and Finance, Financial Economics

The elegant structure of ETFs represents a hybrid between open- and closed-end mutual funds. This chapter covers the basic structure of ETFs and delves into the details of the unique ... More


Price Dynamics and Arbitrage

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0003
Subject:
Economics and Finance, Financial Economics

Premiums and discounts in ETFs are a persistent source of questions from policymakers and practitioners because there is no such analogue for an open-ended mutual fund. Specifically, why do ETFs ... More


Valuation

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0004
Subject:
Economics and Finance, Financial Economics

There are three distinct relevant valuations for an ETF: the market-determined equilibrium price of the fund, the net asset value (NAV), and intrinsic value. Arbitrage occurs when price deviates from ... More


Performance and Benchmark Tracking

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0005
Subject:
Economics and Finance, Financial Economics

One of the most misunderstood elements of ETF investing is measuring performance and cost. Many investors are puzzled and concerned about seemingly large tracking errors relative to the benchmark ... More


Liquidity and Transaction Costs

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0006
Subject:
Economics and Finance, Financial Economics

ETF investors need to understand the sources of liquidity in both primary and secondary markets. This chapter explains why ETFs transaction costs are usually small relative to the trading costs of ... More


Uses of ETFs

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0007
Subject:
Economics and Finance, Financial Economics

This chapter covers how practitioners use ETFs for a diverse set of investment objectives. Both retail or institutional investors are increasingly using ETFs as vehicles for gaining exposure to broad ... More


Commodities

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0009
Subject:
Economics and Finance, Financial Economics

Commodities are of interest to investors who seek diversification and a possible hedge against inflation. For investors, ETFs offer in theory convenient, low-cost access to commodities. However, ... More


Investing in Volatility

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0011
Subject:
Economics and Finance, Financial Economics

Volatility is not an asset class in the sense that it is not a financial investment that produces or lay claims to a stream of income over time, but investors should have a view as to how the second ... More


Alternatives and Multi-Asset Strategies

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0012
Subject:
Economics and Finance, Financial Economics

The fastest growing area of passive investing today is the extension beyond traditional portfolios of stocks and bonds to include other asset classes and strategies. More esoteric “alternative” ... More


Active Strategies

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0013
Subject:
Economics and Finance, Financial Economics

Departing from market capitalization weights implies some form of active investing that may make sense for many investors who are not representative of the market; they may also make sense in markets ... More


Smart Beta and Factor Investing

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0014
Subject:
Economics and Finance, Financial Economics

Factor investing seeks to capture systematic sources of return through transparent, rules-based portfolio construction. For investors, factor investing can reduce risks (especially unintended factor ... More


Flows

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0015
Subject:
Economics and Finance, Financial Economics

Flows into and out of ETFs have attracted considerable attention from investors and regulators. Flows are a timely and cross-asset class barometer of the market sentiment of sophisticated investors. ... More


Leveraged and Inverse Products

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0016
Subject:
Economics and Finance, Financial Economics

Leveraged and inverse products offer investors a multiple of the day’s return in a given index. They can be useful tools for short-term hedging or tactical exposures. Longer run investors need to be ... More


Public Policy Issues

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0018
Subject:
Economics and Finance, Financial Economics

The benefits of ETFs are relatively clear and—as proved by their continuing and growing adoption worldwide—are economically significant. There is no evidence that ETFs have exacerbated volatility in ... More


Future Opportunities

Ananth N. Madhavan

in Exchange-Traded Funds and the New Dynamics of Investing

Published in print:
2016
Published Online:
August 2016
ISBN:
9780190279394
eISBN:
9780190279424
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190279394.003.0019
Subject:
Economics and Finance, Financial Economics

Exchange-traded funds (ETFs) have grown substantially in diversity and size in recent years, reflecting a broader shift toward passive, index investing. As a consequence, there is increased attention ... More


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