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Alternatives to cap-weighted indexes gain favor
October 4, 2010--Adding value: James Norman said the DBI strategy uses equally weighted ‘risk clusters.’
A growing number of institutional investors could make allocations to an expanding array of alternatives to market-cap-weighted indexes in the coming year, as broader efforts to boost returns and lower volatility extend to the passive portions of their barbelled portfolios.
While opinion remains divided on whether those alternate benchmarks should be considered passive, active or something in between, some industry veterans predict the small-cap and value equity premiums many of those benchmarks mine could help them gain currency among investors turning over every rock to avoid the next market bubble.
Consideration by investors of what to do with their passive exposure is “very actively going on,” noted Cynthia Steer, managing director and chief research strategist at Rogerscasey Inc., Darien, Conn.
Institutional investors and their consultants have done enough research about options “that exist outside of traditional cap-weighted indexes ... to begin moving some of their passive allocations over,” predicts Jason Tsu, chief investment officer of Newport Beach, Calif.-based Research Affiliates LLC, whose fundamental indexes have had the most success thus far in chipping away at the overwhelming dominance of market-capitalization-weighted indexes.
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Source: Pensions & Investments
Remarks, Swap Execution Facility Conference
Chairman Gary Gensler
October 4, 2010--Good morning. I thank the Wholesale Markets Brokers’ Association for inviting me to speak at the “Swap Execution Facility Conference.” Swap execution facilities – or SEFs – comprise a new category of trading platforms that was established in the Dodd-Frank Wall Street Reform and Consumer Protection Act. In so doing, Congress sought to bring greater transparency, more efficient markets and better pricing for end users and to lower risk in the financial system.
As we work to develop requirements for SEFs – with broad input from the public – it is important that we keep in mind the context of the unusual market events that took place on May 6 of this year. Those events created significant uncertainty for American investors.
May 6
As outlined in the joint staff report released this past Friday by the Commodity Futures Trading Commission (CFTC) and Securities and Exchange Commission (SEC), there were three chapters of the May 6 market events:
very fragile and uncertain markets due in part to the unsettling news concerning the European debt crisis; a liquidity crisis in the E-Mini S&P 500 futures contracts (E-Mini) and related index securities; and a liquidity crisis in individual securities. I will focus primarily on the second point – the liquidity
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Source: CFTC.gov
Exchange-Traded Funds: US ETF Weekly Update-Morgan Stanley-October 04, 2010
October 4, 2010--Weekly Flows: $1.7 Billion Net Inflows
ETFs Traded $334 Billion Last Week
Launches: 3 New ETFs-iSharesSemiconductor ETF to Undergo Changes
US-Listed ETFs: Estimated Largest Flows by Individual ETF
VWO posted net inflows of $781 mlnlast week, the most of any ETF
We estimate VWO has generated net inflows of $13.2 blnYTD (posted net inflows all but 1 week YTD)
Over 13-wk period, SPY has exhibited net inflows of $7.9 bln, the most of any ETFSource
US-Listed ETFs: ETF Dollar Volume
Market share of mthly ETF volume as % of listed volume has more than doubled over 5 yrs
S Large-Cap accounts for 43% weekly ETF volume, but only has 21% of market cap
Fixed Income accounts for only 4% weekly ETF volume, but has 16% of market cap
US-Listed ETFs: Change in Short Interest
Data Unchanged: Based on data as of 9/15/10
Largest increase in short positions in GLD
Roughly $270 million in additional short interest
Largest decline in short interest in SPY
Roughly $2.4 billion in reduced short interest
request report
Source: ETF Research-Morgan Stanley
Opening Statement, Public Meeting on First Series of Proposed Rules Under Dodd-Frank Act
Commissioner Michael V. Dunn
October 1, 2010--Today we begin the first steps of implementing the Dodd Frank Act - this country's most significant financial reform bill during my government service. While Congress worked for nearly two years crafting this legislation, they have charged us with implementing it in 360 days. For an agency the size of the CFTC, with very limited fiscal and human resources at its disposal, this will be a Herculean task.
Under the leadership of Chairman Gensler, almost a third of the CFTC staff has been working in thirty areas to develop the rules necessary to implement this legislation. We will be holding a series of public meetings this fall to consider rules in an effort to meet the timeline mandated by Congress.
Congress has worked hard, our staff is working hard and now it is the time for the public to go to work. In most cases we will be adopting proposed regulations. There will be a period of time for the public to comment on these proposals and then we will adopt final regulations taking the public’s comments into account. Concurring Statement, Open Meeting on First Series of Proposed Rules Under the Dodd-Frank Act read more
Commodity Futures Trading Commission’s Global Markets Advisory Committee to Meet October 5, 2010
This is the first meeting of the Committee since the passage of Dodd-Frank and Japanese legislation, and since the EC released its legislative proposals. “This meeting cannot come at a better time to discuss issues critical to the global financial markets and regulatory reform” said Commissioner Sommers. “We are very honored to be hosting Mr. Sumi and Mr. Pearson and look forward to a productive dialogue with them at the meeting and as regulatory reform progresses.” read more
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company. Statement by CFTC Chairman Gensler and SEC Chairman Schapiro on the Joint Report Regarding the Market Events of May 6th “We appreciate the incredible effort of all the professionals at both agencies who have worked tirelessly, scouring the data, interviewing market participants and reconstructing the events of May 6th. This report identifies what happened and reaffirms the importance of a number of the actions we have taken since that day. We now must consider what other investor-focused measures are needed to ensure that our markets are fair, efficient and resilient, now and for years to come.”
view the Staff Findings Regarding the Market Events of May 6, 2010-joint report Claymore has filed with the SEC Russell files with the SEC
Russell One World All Cap ETF (OWA)
Russell One World All Cap Growth ETF (OWAG) Russell One World All Cap Value ETF (OWAV) Russell One World ex-U.S. Large Cap ETF (OXL) Russell One World ex-U.S. Large Cap Growth ETF (OXLG) Russell One World ex-U.S. Large Cap Value ETF (OXLV) Russell One World ex-U.S. Small Cap ETF (OXS) Russell One World ex-U.S. Small Cap Growth ETF (OXSG) Russell One World ex-U.S. Small Cap Value ETF (OXSV) Russell One World ex-U.S. All Cap ETF (OXA) Russell One World ex-U.S. All Cap Growth ETF (OXAG) Russell One World ex-U.S. All Cap Value ETF (OXAV)
Russell Developed ex-U.S. Large Cap ETF [TICKER] Russell Emerging Markets Large Cap ETF [TICKER] Principal U.S. Listing Exchange for each ETF: NYSE Arca, Inc. view filing
Source: CFTC.gov
Commissioner Scott D. O’Malia
October 1, 2010-I concur in the Commission’s proposal of rules pursuant to Section 726 of the Dodd-Frank Act (the “Act”). However, I have a number of concerns associated with the prescriptiveness of the proposed conflict of interest rules. I believe, given the goals of the Act, it is appropriate to consider more flexible ownership structures and voting rights levels as well as the availability of waivers for derivatives clearing organizations (“DCOs”).
Ownership and Voting Limits on DCOs
A main goal of the Act is to mitigate systemic risk in the U.S. financial system by imposing a mandatory clearing requirement on swaps. Additionally, the business of clearing is serious and financially complex. I am concerned that the proposed rules may not properly consider the effect on mitigation of systemic risk, competition, and capital formation in the DCO space, or afford the Commission with the necessary flexibility to achieve those outcomes. Given that the Commission has yet to consider any new DCO applications under the Act, it is extremely unwise to conduct an experiment with the ownership structure of DCOs.
Source: CFTC.gov
Committee to Discuss Global Financial Regulatory Reform
October 1, 2010--The Commodity Futures Trading Commission (CFTC) will convene a meeting of its Global Markets Advisory Committee (GMAC) on Tuesday, October 5, 2010, to obtain the views of international regulators, futures industry professionals and market participants on global financial regulatory reform and regulatory reform in the United States (U.S.) underway to implement the Dodd-Frank Wall street Reform and Consumer Protection Act (Dodd-Frank). The Committee is comprised of individuals representing various U.S. and foreign exchanges, self-regulatory organizations, intermediaries, market users and traders with extensive experience and expertise involving global futures markets issues, and has been chaired by CFTC Commissioner Jill E. Sommers since February 2008.
The Committee will host Mr. Chikahisa Sumi, Deputy Commissioner for International Affairs and Competitiveness at the Japanese Financial Supervisory Agency to discuss Japan’s legislation relating to OTC clearing, and Mr. Patrick Pearson, Head of the Financial Markets Infrastructure Unit in the European Commission’s (EC) Internal Market Directorate General to discuss the EC’s legislative proposals governing clearing and reporting obligations with respect to OTC derivatives, and the regulation of clearinghouses and trade repositories.
Source: CFTC.gov
October 1, 2010--Standard & Poor's Canadian Index Operations announces the following index changes:
The unitholders of Pembina Pipeline Income Fund (TSX:PIF.UN) have approved the conversion of the company to a corporate structure through a Plan of Arrangement.
The units will be exchanged on a 1-for-1 basis for Pembina Pipeline Corporation (TSX:PPL). As a result of the conversion, Pembina Pipeline Income Fund will be removed from the S&P/TSX Income Trust and Capped Energy Trust Indices. Pembina Pipeline Corporation will be added to the S&P/TSX Equity, Capped Equity and Equity Completion Indices. The conversion is effective after the close of Monday, October 4, 2010. The name and ticker change, with no change in capitalization, will be effective in the S&P/TSX Composite, Capped Composite and the S&P/TSX Completion indices.
Source: Standard & Poors
October 1, 2010-- The staffs of the Commodity Futures Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) today released a joint report presenting their findings regarding the market events of May 6, 2010. The report will be presented to the Joint CFTC-SEC Advisory Committee on Emerging Regulatory Issues. Twelve days after May 6th, the staffs of the Commissions released a preliminary report on the events of that day.
CFTC Chairman Gary Gensler SEC and Chairman Mary L. Schapiro issued the following statement in connection with the report:
Source: CFTC.gov
October 1, 2010--Claymore has filed an application for exemptive relief with the SEC.
view filing
Source: SEC.gov
October 1, 2010--Russell has filed a pre-effective amendment No. 3, registration statement with the SEC for20 ETFs.
Russell One World Large Cap ETF(OWL)
Russell One World Large Cap Growth ETF (OWLG)
Russell One World Large Cap Value ETF (OWLV)
Russell One World Small Cap ETF (OWS)
Russell One World Small Cap Growth ETF (OWSG)
Russell One World Small Cap Value ETF (OWSV)
Source: SEC.gov
