The ETF Handbook, + website How to Value and Trade Exchange Traded Funds

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  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2010-03-29
  • Publisher: Wiley
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The first technical guide to ETFs geared towards professional advisors, institutional investors, and financial professionals seeking to understand the mechanics of ETFsAuthor/trader Dave Abner has created The ETF Handbook as a resource for everyone utilizing these sophisticated tools. With this book as your guide, you'll learn from a professional ETF trader with practical guidance for valuation and best execution techniques.This reliable handbook skillfully touches upon the technical details of ETFs not covered elsewhere. From the mechanics of ETF development to pricing and valuation techniques, this guide provides a complete background on ETF mechanics and offers extensive insights on using them from a professional's perspective. It addresses how to position ETFs efficiently within a portfolio, and examines who ETF users are and how the funds are employed. Along the way, Abner also offers recommendations on where to find data related to these financial instruments. Contains the technical ETF information needed by today's financial professionals Includes pricing and valuation spreadsheets and an instructional webinar that walks you through the world of ETFs Touches upon topics such as calculating NAV (net asset value) and best practices for executing ETF order flowFilled with in-depth insights and expert advice, The ETF Handbook contains ETF information that is critical for virtually every financial professional.

Author Biography

David J. Abner is the Director of Institutional Sales and Trading at WisdomTree, an issuer of exchange traded funds with a very broad client base of advisors and other investors. Prior to this, he was with BNP Paribas, where he was managing director and head of ETF trading from 2006–2008. From 1992–2006, Abner was with Bear Stearns where he traded in index arbitrage, baskets, Asian equity, and closed end funds before being tapped to head Bear's ETF trading business. Abner gives frequent seminars on the many different aspects of trading and investing using ETFs.

Table of Contents

Prefacep. ix
Acknowledgmentsp. xvii
Introduction to the ETF Marketplacep. 1
Development of an ETFp. 5
Market Access or Outperformance?p. 6
Index Tracking or Actively Managed?p. 7
Underlying Assetsp. 8
Rebalancing and Index Changesp. 9
ETF Basketp. 10
Conclusionp. 21
Structure of an ETFp. 23
Categorizing Exchange-Traded Productsp. 24
ETF Regulationp. 26
Exchange-Traded Notesp. 32
Taxationp. 34
When Structural Issues Arisep. 37
Conclusionp. 39
Bringing an ETF to the Marketp. 41
Partnering with an Exchangep. 42
Lead Market Makerp. 42
ETF Incubationp. 44
Comparing Fees by Structurep. 53
Marketing and Launchp. 54
Conclusionp. 55
Investment Companies, Now and in the Futurep. 57
In the Beginning, There Were Closed-End Fundsp. 59
Mutual Fundsp. 64
Actively Managed ETFsp. 67
ETFs within the Portfoliop. 68
Closing of ETFsp. 72
Conclusion: The Future of ETFsp. 73
Exchange-Traded Fund Valuationp. 77
ETFs with Domestic Constituentsp. 79
Calculating the Net Asset Valuep. 80
Discounts and Premiumsp. 83
Calculating the Intraday Indicative Valuep. 88
Conclusionp. 92
ETFs with International Constituentsp. 93
International ETFsp. 94
Providing Liquidityp. 101
Conclusionp. 104
Fixed-Income and Currency ETFsp. 105
Fixed Incomep. 107
Currency ETFsp. 112
Conclusionp. 117
Leveraged, inverse, and Commodity Productsp. 119
Introduction to Leveraged Productsp. 119
Understanding Inverse ETFsp. 126
Commodity ETVsp. 128
Conclusionp. 131
ETF Trading and Executionp. 133
Trading Volumes and ETF Liquidity: Keys to Unlocking Value from the ETF Structurep. 135
How Is an ETF Different from a Stock?p. 136
A Brief Look at Equity Trading Volumesp. 137
A Detailed Look at ETF Trading Volumesp. 138
ETF Money Flowsp. 145
Conclusionp. 153
ETF Trading Business: Assessing and Providing Liquidityp. 155
Trading Modelp. 156
Measuring Potential Available ETF Liquidityp. 159
Requirements for an ETF Trading Businessp. 163
Conclusionp. 165
Execution: Handling Client Order Flow and Achieving Execution in ETFsp. 167
Time Frames and Order Typesp. 168
Market Ordersp. 170
Limit Ordersp. 172
Algorithmsp. 174
Risk Markets (Utilizing Broker-Dealer Capital)p. 176
Creations and Redemptionsp. 179
Examples of Executions in the Marketp. 185
Conclusionp. 190
Market Participants and Their Trading Strategiesp. 193
Broker-Dealer Facilitation Desksp. 195
Electronic Market Makingp. 202
Liquidity Aggregatorsp. 206
Trading Strategiesp. 207
Conclusionp. 216
List of U.S. ETF Issuersp. 219
Research and Data Providersp. 221
ETF-Related Web Sites and Blogsp. 223
List of ETFs in Registrationp. 225
Notesp. 243
About the Authorp. 247
Indexp. 249
Table of Contents provided by Ingram. All Rights Reserved.

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