New Trends in Portfolio Allocation Antoine Giannetti, PhD

Incorporating Leverage Example: Leveraged ETFs (LETFS) Double Up, Double Down Down and even even Triple Up and Triple down. Guarantee daily leveraged returns on common indices. On S&P 500, SSO is +2X and SDS is -2X

Implementing Portfolio Theory Example: Global Minimum Variance ETFs USMV implements a global minimum variance portfolio.

Equal Weighted vs Value Weighted Example: RSP is an equal weighted ETF on S&P 500 that beats SPY, the common S&P 500 ETF.

Exploiting Views on Volatility Example: VXX and VXZ are ETFs that allow investors to speculate on changes in market volatility. They are based on the VIX index.

Accessing the Fixed Income Market Example: Fixed Income ETFs like: TLT long US bonds TIP treasury inflation protected securities LQD Liquid Investment Grade HYG High Yield Corporate Debt

Investing in Sectors Example: XLP (consumer staples) vs XLY (consumer discretionary) Allows for easy implementation of Beta neutral strategies

Betting on Value vs Growth Example: IWM Russell 2000 Index IWD Russell 2000 Value stocks IWF Russell 2000 Growth stocks