Data Analytics Capstone Project: A data-driven approach to building and running themed ETFs

How can data analytics methods drive the creation of themed ETFs?

This 2-day workshop explores the issues and approaches.

Suitability

This course is for data analysts with some background in Python. It’s also suitable for asset managers, trading desks, structurers and others.

Learning Outcomes

Participants will be able to:

  • Describe and use data-driven methods for determining ‘sticky’ themes
  • Understand issues in benchmarking, especially for ground-breaking themes
  • Describe and choose fund types
  • Explain regulatory and operational issues around managing an ETF

Course Content

  • Orientation: what current themed ETFs exist, who are the players, what are the issues
  • Case studies from: robotics, silver economy, autonomous vehicle, mobility, space, diversity and inclusion, women leaders, water, climate, ESG, traditional Big AM firms, index providers from established to Fintech disruptors, sell sides, regulators
  • Regulatory concerns and how to find information on getting regulators comfortable
  • Where will we then list them? world exchanges, pros and cons
  • Sales and marketing plan pre-launch, launch, post-launch
  • Capital markets function; transaction costs, spreads, impact of reg like MiFID II on passive
  • Choosing a theme: data-gathering and NLP techniques
  • Sources of data – open and alt sources
  • Try it: query google/twitter search API
  • First steps – create corpus, eliminate stop words
  • Finding most frequent words and building uni, bi, tri groupings around them
  • More advanced topic modelling (LDA)
  • Other analyses: sentiment analysis (using a simple tool like Text Blob)
  • Stock/ security selection
  • Return a list of 20 stocks/ securities based on our theme criteria
  • What screening processes are used? Fundamentals/ pricing/ vol criteria, thematic relevance
  • Once stocks are selected, what fund type? market cap weight, same weight, smart beta, factor based, multi factor, low vol, etc. and why people pick different types
  • Benchmark selection
  • Pricing an ETF; market comparison, if it’s a true leader then how do we benchmark? examples through bitcoin ETNs on OMX bonds, equity, commodities – across the products, dynamic, non-transparent ETFs AUM game for beta builders while selective exposure more important for more esoteric
  • Backtesting: based on historical data and simulation, does the fund fulfil its mandate?
  • Building a backtester: what are the essential components?
  • Implementing random walks and bootstrap simulations
  • Capturing key stats: AUM, Sharpe Ratio, Beta, Vol
  • Handling portfolio rebalancing, redemptions and inflows

100%

of our clients would recommend Alpha to a colleague or peer

90%

of a cohort was promoted within 2 years after participating in an Alpha course.

96%

of participants felt more confident in their role, following an Alpha commercial leadership course.

Why study with Alpha?

Innovation and creativity born from experience

We are thought leaders in instructional and learning journey design and holistic solution architects. We have extensive finance and investments experience combined with skills application to deliver performance improving results. We develop immersive learning environments that maximize time to productivity, support talent retention and added value to improving quality of hires.

Knowledge Exchange Evangelists

We are focused on mining the embedded organisational intellectual capital for the benefit of the next generation. We create and curate best in class practice gathered from our experience with the leading financial institutions. We design our programmes with the end in mind – what results are you trying to achieve with this intervention? What metrics will we set ourselves to achieve that?

Generation Proof

Quality and innovation, using current market and industry best practices, have made us a trusted partner in delivering dynamic and motivating training for the financial and capital markets. Our programmes are generation proof and responsive to evolving learner needs and styles. Our solutions use a multi-stakeholder engagement strategy that expands beyond relationships between the learner and learning provider. We create connections with managers, peers and the wider business to drive impactful return on investment..

Enquire now

"*" indicates required fields

This form collects your contact information so that we can correspond with you.
Check out our privacy policy for more information about how we protect and manage your data.
This field is for validation purposes and should be left unchanged.
The team are so friendly and pleasant to work with, everyone is very professional and keen to help us. Building a relationship over the past couple of years helps us to feel like the Alpha team are even more able to understand our needs and provide more proactive solutions.
Find out more about our in-house training courses