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S&P GSCI to Raise Brent, Lower WTI Weightings in Index for 2012
November 4, 2011--The Standard & Poor’s GSCI Commodity Index will raise the weighting of Brent crude in 2012 as it reduces that of West Texas Intermediate.
The index weight of Brent crude traded on the ICE Futures Europe exchange will increase to 17.35 percent from 15.93 percent as the share of WTI traded on the New York Mercantile Exchange decreases to 30.25 percent from 32.59 percent, according to a company statement dated yesterday.
U.S. Department of the Treasury Economic Statistics - Monitoring the Economy Update
November 3, 2011--The Office of Economic Policy monitors key economic indicators to produce the following summary tables of monthly and quarterly U.S. economic statistics.
view the U.S. ECONOMIC STATISTICS - MONTHLY DATA
view the US Economic Data - Quarterly
Congressmen agitate for US transaction tax
November 3, 2011--Two US Congressional Democrats have announced they will again present legislation to introduce a US transaction tax modelled on the European transaction tax that is already set to take effect from 2014.
Senator Tom Harkin and Congressman Peter DeFazio said they plan to introduce legislation that will impose a 3 basis point tax on financial transactions, one third the European rate, reported Bloomberg.
Morgan Stanley Exchange-Traded Funds Quarterly Cash Flows Report-ETFs Exhibited Net Inflows of $19.3 Billion in 3Q11
November 3, 2011--There have been 205 new ETFs listed in the US
so far in 2011, of which 35 were issued in the third quarter. So far this year, nine ETFs have been liquidated, resulting in net new issuance of
196 ETFs. As of October 28, 2011, there were 34 issuers with 1,163 ETFs listed in the US.
Net inflows into US-listed ETFs were $19.3 billion during the third quarter of 2011. This number is below the average quarterly net cash
inflows of $35.3 billion over the past three years and marks the lowest quarterly net inflows since the first
quarter of 2010 (net cash inflows of $7.7 billion).
The largest net cash inflows this past quarter went into fixed income and leveraged/inverse ETFs. These asset classes had net cash inflows of $11.8 billion and $5.0 billion, respectively, in the third quarter of 2011. ETFs providing exposure to US sectors and industries as well as emerging market equities had the largest net cash outflows at $4.8 and $3.2 billion, respectively, in the third quarter. Through the first three quarters of 2011, fixed income ETFs had the highest net cash inflows at $28.0 billion followed by international developed market equity ETFs at $15.4 billion.
US ETF industry assets of $1.1 trillion are ~9% higher than their level at the end of 2010. Despite the growth of the ETF market, it remains concentrated with three providers and 20 ETFs accounting for almost 78% and 48% of industry assets, respectively.
Russell Investments and Axioma Expand Factor Index Series
Russell's family of indexes, designed to track and manage risk exposure, now includes developed international markets.
November 3, 2011--Russell Investments, a leader and innovator in indexes, and Axioma, Inc., a leading provider of advanced tools for portfolio optimization and risk analysis, have extended their collaboration to include developed market ex-U.S. factor based indexes.
Through five new Russell-Axioma factor indexes, international investors will now be able to better track and manage exposure to a range of investment risk factors within their portfolios of stocks outside the United States. The new indexes employ the same Russell rules-based index methodology as the U.S. factor based indexes, and are built from the underlying constituents of the Russell Developed ex-U.S. Large Cap Index.
The additional indexes that have been added to the series are:
Russell-Axioma Developed ex-U.S. Large Cap Low Volatility Index
Russell-Axioma Developed ex-U.S. Low Beta Index
Russell-Axioma Developed ex-U.S. High Momentum Index
Russell-Axioma Developed ex-U.S. High Volatility Index
Russell-Axioma Developed ex-U.S. High Beta Index
"Our clients are continually asking us for additional and more sophisticated tools to help manage risk exposure in this challenging investment environment, particularly with respect to international markets," said Rolf Agather, global director of research and innovation for Russell Indexes. "Our continued partnership with Axioma, a leader in the field of risk factor analysis, tools and research, helps ensure that our expanding family of indexes anticipates and responds to changing investors needs as the markets change and evolve."
Russell launches three international equity "factor" ETFs
Comprehensive series of factor ETFs now features 13 U.S. and international options
November 3, 2011--Russell Investments launched its first international equity factor exchange-traded funds (ETFs) today, designed to provide investors with focused exposure to fundamental risk factors within their portfolio's international equity allocation.
The three new factor ETFs, which listed today on NYSE Arca, focus on some of the same factors as the existing set of 10 domestic factor ETFs: low beta, low volatility and high momentum.
"Russell now offers a comprehensive global family of factor-based ETFs, providing investors with a readily accessible way to gain exposure to low volatility, low beta and high momentum factors within a portfolio that covers U.S. large cap, U.S. small cap and ex-U.S. large cap markets," said James Polisson, managing director of Russell's global ETF business. "The addition of these international equity factor ETFs is particularly timely as investors may be starting to look toward year-end portfolio rebalancing."
The following chart describes the three new Russell Developed ex-U.S. factor ETFs, which offer exposure to low beta, low volatility and high momentum stocks in 24 developed countries including Canada. Based on Russell research, these three risk factors have shown strong influences on portfolio returns:
Oral Testimony before the U.S. Senate Homeland Security and Governmental Affairs, Permanent Subcommittee on Investigations, Washington, DC
November 3, 2011--Good morning Chairman Levin, Ranking Member Coburn and members of the Subcommittee. I thank you for inviting me to today’s hearing on the changing nature of the derivatives market and on position limits.
The derivatives markets have changed significantly since the CFTC opened its doors in 1975.
First, the swaps market emerged in the 1980’s and now is seven times the size of the futures market.
Second, instead of being traded in trading pits, more than 80 percent of futures are traded electronically.
Third, while the futures market has always been where hedgers and speculators meet, a significant majority of the market is made up of swap dealers, hedge funds and other financial traders.
Fourth, the vast majority of trading volume is day trading or trading in calendar spreads.
Standard & Poor's Announces Changes In The S&P/TSX Venture Indices
November 3, 2011--Standard & Poor's will make the following changes in the S&P/TSX Venture Indices:
The Toronto Stock Exchange announced today in the Daily Bulletin that the shares of Aston Hill Financial Inc. (TSXVN:AHF) will graduate to trade on TSX at the open of trading on Monday, November 7, 2011.
The ticker symbol will remain "AHF" and the CUSIP number will remain 04623R 10 9. The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Friday, November 4, 2011.
Aston Hill is also a constituent of the S&P/TSX Venture Select Index. The company will be removed from this index effective after the close of Thursday, November 10, 2011, at which time it will be listed on TSX.
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.
SEC Announces Agenda and Panelists for Inaugural Roundtable of Financial Reporting Series
November 3, 2011--The Securities and Exchange Commission today announced the agenda and panelists for next week’s inaugural public roundtable of the Financial Reporting Series.
The November 8 roundtable entitled “Measurement Uncertainty in Financial Reporting” – announced last month – will feature three panels discussing the extent to which financial reporting should include measurement uncertainties, and the information that investors find important to understanding and assessing those uncertainties. The SEC staff has previously prepared a briefing paper highlighting the issues to be considered at the roundtable discussion.
The roundtable will begin at 10 a.m. in the multi-purpose room at the SEC’s Washington D.C. headquarters with public seating on a first-come, first-served basis. The event also will be viewable by live webcast on the SEC website, and will be archived for later viewing
Direxion files with the SEC
November 2, 2011-Direxion has filed a post-effective amendment, registration statement with the SEC for the Market Vectors Renminbi Bond ETF.
view filing
FRB And Federal Open Market FOCOM Release Economic Projections From The November 1-2 FOMC Meeting
November 2, 2011--The Federal Reserve Board and the Federal Open Market Committee on Wednesday released the attached table and charts summarizing the economic projections made by Federal Reserve Board members and Federal Reserve Bank presidents for the November 1-2 meeting of the Committee.
The table will be incorporated into a summary of economic projections released with the minutes of the November 1-2 meeting. Summaries of the economic projections are released on an approximately quarterly schedule.
Standard & Poor's Announces Changes In The S&P/TSX SmallCap Index
November 2, 2011--Standard & Poor's will make the following changes in the S&P/TSX Canadian Indices:
Shareholders of Open Range Energy Corp. (TSX:ONR) approved on November 1, 2011, the Plan of Arrangement whereby the company will spin out its modular fracturing fluid tank rental business to shareholders.
For every share of Open Range held, shareholders will receive 0.8839 shares of a new company named Poseidon Concepts Corp. Poseidon Concepts will trade on TSX for the first time (the ex-date of the spin-off) on November 4, 2011, under the ticker symbol "PSN" and CUSIP number 73731R 10 3. The spun out shares of Poseidon Concepts will be added at zero price to the S&P/TSX SmallCap and Equity SmallCap Indices after the close of trading on Thursday, November 3, 2011. Effective after the close of Friday, November 4, 2011, the shares of Poseidon Concepts will be removed from the same two 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.
Federal Reserve Issues Federal Open Market Committee Statement
November 2, 2011--Information received since the Federal Open Market Committee met in September indicates that economic growth strengthened somewhat in the third quarter, reflecting in part a reversal of the temporary factors that had weighed on growth earlier in the year. Nonetheless, recent indicators point to continuing weakness in overall labor market conditions, and the unemployment rate remains elevated. Household spending has increased at a somewhat faster pace in recent months. Business investment in equipment and software has continued to expand, but investment in nonresidential structures is still weak, and the housing sector remains depressed.
Inflation appears to have moderated since earlier in the year as prices of energy and some commodities have declined from their peaks. Longer-term inflation expectations have remained stable.
Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee continues to expect a moderate pace of economic growth over coming quarters and consequently anticipates that the unemployment rate will decline only gradually toward levels that the Committee judges to be consistent with its dual mandate. Moreover, there are significant downside risks to the economic outlook, including strains in global financial markets. The Committee also anticipates that inflation will settle, over coming quarters, at levels at or below those consistent with the Committee's dual mandate as the effects of past energy and other commodity price increases dissipate further. However, the Committee will continue to pay close attention to the evolution of inflation and inflation expectations.
To support a stronger economic recovery and to help ensure that inflation, over time, is at levels consistent with the dual mandate, the Committee decided today to continue its program to extend the average maturity of its holdings of securities as announced in September. The Committee is maintaining its existing policies of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities and of rolling over maturing Treasury securities at auction. The Committee will regularly review the size and composition of its securities holdings and is prepared to adjust those holdings as appropriate.
Fed slashes growth forecasts
November 2, 2011--The US Federal Reserve slashed its growth forecasts and forecast low inflation for years to come on Wednesday but made no short-term changes to monetary policy.
Markets rallied as investors anticipated that the dismal outlook for growth and the prospects for inflation will eventually prompt the Fed to ease monetary policy further. The were also encouraged by chairman Ben Bernanke’s statement that more asset purchases are a “viable option”.
Bet on volatility goes awry after Vix jump
November 2, 2011--Investors who bet that US equity volatility was set to keep falling in the wake of a eurozone deal on its debt crisis have been wrongfooted as Wall Street’s Vix – its so-called “fear gauge” – has surged in recent days.
After closing last week below 25, the Vix, which is a measure of expected volatility in the S&P 500 and commonly know as a gauge of investor fear or complacency about risk, was up more than 30 per cent at 33.34 on Wednesday, and rose as high as 37.53 on Tuesday.
