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Presentation for CFTC Agricultural Advisory Committee Meeting on August 05, 2010
August 2, 2010--Committee to Discuss Livestock and Convergence in Wheat Markets
State Street Releases Vision Focus Report on Trends in Asset Allocation
Identifies New Approaches to Managing Portfolio Risks
July 30, 2010-- State Street Corporation, one of the world's leading providers of financial services to institutional investors, today released its latest Vision Focus report on new trends in asset allocation following the financial crisis. Entitled "Rethinking Asset Allocation," the report examines the changing views of traditional practices and identifies new techniques and investment strategies that focus on measures of market turbulence, risk, liquidity and diversification.
The market volatility over the course of 2007 - 2009 has challenged long-held tenets of asset allocation, including investors' reliance on portfolio construction and risk models centered on average market behavior and normal return distributions.
"The financial crisis exposed the need to understand the limitations of traditional practices such as Modern Portfolio Theory, and heightened the need for new approaches to strategic and tactical asset allocation," said Dan Farley, global head of the Multi-Asset Class Solutions group at State Street Global Advisors. "Thanks to lessons learned from this period, many investors have gained a more nuanced reminder of portfolio risks centering on market volatility, portfolio construction and trading liquidity."
The credit-driven nature of the financial crisis made liquidity management a critical new challenge. To better integrate liquidity considerations into asset allocation decisions, investors should enhance their allocation process with optimal rebalancing, the Vision Focus report recommends.
Non-normal investment returns and dramatic swings in valuation may occur more frequently in coming years, the report states. Consequently, investors should give new consideration to within-horizon risk, investment regimes and turbulence.
"Increasingly, investors are turning to regime-specific risk analysis to form a more complete picture of portfolio risk," said Will Kinlaw, managing director and head of Portfolio and Risk Management Research at State Street Global Markets. "The study of turbulence, a statistical measure designed to identify periods of unusual financial returns, helps us to understand how specific market segments react during turbulent and non-turbulent times."
As evidence of the rethinking now underway, the Vision Focus report cites "new, emerging quantitative approaches aimed specifically at the challenges of turbulent markets and the non-normal returns they engender. The study of turbulence and unusual price movements, for example, helps investors to understand market sentiment and construct robust risk models."
State Street's Vision Series addresses key trends and developments impacting the financial services industry. Previous reports have focused on pensions, exchange-traded funds and sovereign wealth funds. To download a copy of this Vision Focus report or others in State Street's Vision series of in-depth reports, please visit www.statestreet.com/vision.
Dissemination Of Real-Time Data Feeds For Several S&P/TSX Indices Delayed
July 30, 2010--Due to technical difficulties, Standard & Poor's has been unable to provide real-time, intra-day index levels for several of the S&P/TSX Indices since 11:37am EDT today.
Once the technical issues are resolved, intra-day pricing levels will again be disseminated.
For more information on Standard & Poor's indices, please visit: www.standardandpoors.com/indices.
CFTC.gov Commitments of Traders Reports Update
July 30, 2010--The CFTC.gov Commitments of Traders Reports for the week of July 27, 2010 has been updated and is now available.
view reports
U.S. Department of the Treasury Economic Statistics - Quarterly Data Update
July 30, 2010--The U.S. Department of the Treasury Economic Statistics - Quarterly Data has been updated and is now available.
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Fees: A portfolio's silent killer
July 30, 2010--When investors track the performance of their investments, they typically focus on one number: annualized return. It's the obvious choice, distilling months or years of ups and downs into a single data point. It's easy to understand, discuss, and compare. But there's another number, often ignored, with a big impact on long-term outcomes: expense ratio.
If we think of a portfolio as bucket being filled for future use, it's natural to focus on what goes into the top of the bucket through the purchase of securities, plus dividends and price appreciation. But portfolio buckets leak. Fees paid to money managers, mutual fund managers, or ETF managers slowly drain value from a portfolio. These fees diminish positive market results and exaggerate negative ones.
Stage set for Fed bond ‘strippers’ to perform
July 30, 2010--When it comes to seeking outsized returns, “stripping” has been a lucrative venture so far this year.
“Strips”, bonds that have been “stripped” of their interest payments until maturity, tend to outperform regular bonds when interest rates fall sharply – as has been the case since April.
Buying 30-year “stripped” Treasuries has generated total returns of about 17 per cent so far this year. Earlier this month, returns were more than 20 per cent, handily beating the S&P 500, down 1 per cent since January.
National Income and Product Accounts-Gross Domestic Product: Second Quarter 2010 (Advance Estimate)-Revised Estimates: 2007 through First Quarter 2010
July 30, 2010--Real gross domestic product -- the output of goods and services produced by labor and property
located in the United States -- increased at an annual rate of 2.4 percent in the second quarter of 2010,
(that is, from the first quarter to the second quarter), according to the "advance" estimate released by the
Bureau of Economic Analysis. In the first quarter, real GDP increased 3.7 percent.
The Bureau emphasized that the second-quarter advance estimate released today is based on
source data that are incomplete or subject to further revision by the source agency (see the box on page 3).
The "second" estimate for the second quarter, based on more complete data, will be released on
August 27, 2010.
The estimates released today reflect the regular annual revision to the national income and product accounts (NIPAs), beginning with the estimates for the first quarter of 2007. Annual revisions, which are usually released in July, incorporate source data that are more complete, more detailed, and otherwise more reliable than those previously available. This release includes the revised quarterly estimates of GDP, corporate profits, and personal income and provides an overview of the effects of the revision
The increase in real GDP in the second quarter primarily reflected positive contributions from nonresidential fixed investment, exports, personal consumption expenditures, private inventory investment, federal government spending, and residential fixed investment. Imports, which are a subtraction in the calculation of GDP, increased.
The deceleration in real GDP in the second quarter primarily reflected an acceleration in imports and a deceleration in private inventory investment that were partly offset by an upturn in residential fixed investment, an acceleration in nonresidential fixed investment, an upturn in state and local government spending, and an acceleration in federal government spending.
TDX Independence Funds files with the SEC
July 30, 2010--TDX Independence Funds has filed a post-effetive amendment, registration statement with the SEC for
TDX Independence 2010 Exchange-Traded Fund (NYSE Arca, Inc. – TDD)
TDX Independence 2020 Exchange-Traded Fund (NYSE Arca, Inc. – TDH)
TDX Independence 2030 Exchange-Traded Fund (NYSE Arca, Inc. – TDN)
TDX Independence 2040 Exchange-Traded Fund (NYSE Arca, Inc. – TDV)
TDX Independence In-Target Exchange-Traded Fund (NYSE Arca, Inc. – TDX)
Huntington Asset Advisors files with the SEC
July 30, 2010--Huntington Asset Advisors has filed an amended application for exemptive relief with the SEC for actively managed ETFs.
view filing
BNY Mellon Asset Servicing Becomes First Service Provider to Support ETF Short Positions
Provides ETF Services for Actively Managed Mars Hill Global Relative Value ETF
July 29, 2010-- BNY Mellon Asset Servicing, the global leader in securities servicing, became the first service provider to support short positions in an exchange-traded fund (ETF) after being selected to provide ETF services, custody, fund accounting and fund administration for the Mars Hill Global Relative Value ETF (NYSE: GRV), the first actively managed ETF to pursue a long-short equity strategy.
This ETF, the first to hold short positions, is managed by AdvisorShares and sub-advised by Mars Hill Partners.
"We selected BNY Mellon to provide these critical services because of its ability to develop a customized solution regarding the servicing of short positions," said Noah Hamman, chief executive officer and founder of AdvisorShares. "BNY Mellon also has demonstrated its expertise in providing ETF services to our Dent Tactical ETF (NYSE: DENT), which we launched September, 2009."
"Our continuing investments in technology and customer service provide us with the infrastructure required to support short positions and actively managed ETFs," said Joseph Keenan, managing director and global head of exchange-traded fund services at BNY Mellon Asset Servicing. "We see increasing demand for actively managed ETFs as investors appreciate the additional flexibility that they can provide when compared with traditional mutual funds."
CME Group Inc. Reports Solid Second-Quarter 2010 Financial Results
July 29, 2010--CME Group Inc. (Nasdaq: CME) today reported that second-quarter total revenues increased 26 percent to $814 million and operating income increased 29 percent to $515 million from the year-ago period. Second-quarter 2010 operating margin was 63 percent, up from 62 percent in second-quarter 2009. Operating margin is defined as operating income as a percentage of total revenues.
Second-quarter net income was $271 million and diluted earnings per share were $4.11, up 22 percent and 23 percent respectively from the same period last year. Second-quarter 2010 results included a $20.5 million write down of goodwill of the company's subsidiary, Credit Market Analysis Limited (CMA). Excluding the write down, second-quarter diluted EPS would have been $4.43*, a 33 percent increase versus second-quarter 2009.
"During a volatile second quarter, CME Group's markets performed well in their critical functions of providing liquidity, transparency, reliability and security to market participants," said CME Group Executive Chairman Terry Duffy. "Our extensive track record of operating safe and secure markets is what our customers rely on, and what helped us achieve strong second quarter results. We are pleased that the newly signed Dodd-Frank Act reinforces the value of these attributes, and look forward to working with market participants to efficiently implement the tenets of the Act while preserving the integrity of U.S. financial markets."
CME Group Gold Futures Reach Record Volume
July 29, 2010-- CME Group, the world’s leading and most diverse derivatives marketplace, had record volume yesterday in its COMEX gold futures contract of 424,316 contracts. The prior record was 409,842 on May 25, 2010.
Additionally, it was the third highest volume for the metals complex ever with 560,564 contracts traded in the gold, silver, copper, palladium, platinum and US steel futures and options on futures listings. That record volume for the complex is held at 581,484 on November 27, 2009.
As the world’s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets.
CFTC Adopts Amendment Regarding the Operation of a Commodity Broker in Bankruptcy
July 29, 2010-- The Commodity Futures Trading Commission (CFTC) today announced that it adopted an amendment to its regulations regarding the operation of a commodity broker in bankruptcy. Under appropriate circumstances, as determined by the Commission, the amendment would permit the trustee of a commodity broker in bankruptcy to operate the business of such commodity broker in the ordinary course, including entering into new commodity contracts on behalf of customers.
Currently, Regulation 190.04(d)(2) prohibits a bankruptcy trustee, immediately upon the commencement of the commodity broker’s bankruptcy case, from processing any new trades on behalf of customers (with limited exceptions). This amendment is intended to more fully protect customers of a bankrupt commodity broker in cases where a transfer may be practicable: e.g., where customer property in segregation is sufficient, and where the commodity broker has sufficient capital to operate. Moreover, it permits customers to manage their accounts during the bankruptcy.
The amendment will become effective 30 days after publication in the Federal Register. Copies of the regulation may be obtained by contacting the CFTC's Office of the Secretariat, Three Lafayette Centre, 1155 21st Street, NW, Washington, DC 20581, 202-418-5100, or by accessing the CFTC's website, www.cftc.gov.
Global X Funds Lists Global X Brazil Financials ETF on NYSE Arca
July 29, 2010--–- NYSE Euronext (NYX) announced that its wholly-owned subsidiary, NYSE Arca, today began trading the Global X Brazil Financials ETF (Ticker: BRAF). The ETF is sponsored by Global X Funds.
The Global X Brazil Financials ETF seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Solactive Brazil Financials Index, which is designed to reflect the performance of the financial sector in Brazil.
