ETFs for the Single Stock Manager: Correlations, Myths & Realities
高盛报告
2012年1月 共23页
目录Table of Contents
Portfolio Manager Summary: ETFs under a microscope 3
The state of the industry 4
ETFs passively channel beta, but active variations are emerging 4
Marking the tremendous rise in ETF trading activity 4
ETF AUM growth is outpacing traditional mutual funds 5
ETFs are taking share of passive strategies, less so from active 5
The ETF market in pictures 6
Considerations in context: Key observations on ETF impact 7
Observation #1: Correlations have risen within sectors 7
Observation #2: Sector equity ETFs – lots of offerings, but concentrated activity 8
Observation #3: ETF activity does not impact all stocks equally 9
Observation #4: Short Interest metrics can be misleading for ETFs 14
Observation #5: ETF settlement risk is misunderstood 15
Institutional cases for ETFs 16
ETFs fit into the investment process in a number of ways 16
Be wary of ETFs as a blunt hedging tool 17
ETFs as investor sentiment tools 18
ETFs provide a view onto expectations of intra-sector correlations of stock returns 18
Skew view: Gauging sentiment through the ETF options market 19
Appendix: The ETF Lifecycle – Creation/Redemption 101  20