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FTSE Group and EDHEC-Risk Institute collaborate to create innovative benchmarking with new risk efficient indices
January 18, 2010-- FTSE Group (“FTSE”), the award winning global index provider and EDHEC-Risk Institute, the leading centre for applied asset and risk management research, have today launched the FTSE EDHEC-Risk Efficient Indices, an index series which uses a risk-adjusted strategy to that of traditional market capitalisation-weighted indices, to deliver investors with an optimal risk:return ratio.
The FTSE EDHEC-Risk Efficient Index Series, a global offering, can be used by asset owners and investment consultants to capture equity market returns with improved risk/reward efficiency. This efficiency is achieved by maximising what is known as the Sharpe ratio, by weighting the constituents of the indices accordingly. This enhanced methodology, combined with a constituent base deriving from the renowned FTSE All World Index Series, allows investors to develop new passive investment strategies, an area that is consistently growing amidst the global recovery. These indices serve a different purpose to traditional market capitalisation-weighted indices which are created to track the performance of the market, using an advanced methodology to achieve efficient risk to return.
Professor Noël Amenc, Director of EDHEC-Risk Institute, said: “Overall, traditional commercial capitalisation -weighted indices are not designed to be at the pinnacle of efficiency or provide well-diversified portfolios, as they principally track the market. EDHEC-Risk Institute has therefore undertaken major research in a methodology that minimises excessive concentration of risk and affords investors the ability to benefit from the maximum Sharpe ratio portfolio. This simple concept is primarily based on the concept of a positive and robust long-term relationship between the risk of a stock and its return and we are pleased to have partnered with FTSE Group, an authority in the field of indexing, to achieve this within an innovative index series.”
Mark Makepeace, Chief Executive FTSE Group said: “Increasingly, investors are looking to diversify their core passive funds across a range of benchmarks weighted by market cap and other weighting schemes. The weighting methodology developed by the EDHEC-Risk Institute provides a robust and transparent approach to constructing a benchmark seeking to achieve an efficient risk return.”
Source: EDHEC
Luxembourg FM calls for European tax
January 18, 2010-- Luxembourg's finance minister called for a new tax to fund the European Union's budget, saying in Monday's Le Figaro newspaper he favoured a levy on financial transactions or a carbon tax.
Our citizens have a direct link with their national budget but this is not at all the case when it comes to the European Union budget," the minister, Luc Frieden, wrote in a commentary for the French daily.
"It would therefore make sense to rethink the financing of the European budget through a European tax imposed on certain services or products that would go directly into the European budget," he said.
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Source: EU Business
Marshall Wace plans listed ETF to track strategy
January 18, 2010--Marshall Wace, one of Europe’s largest hedge funds, will on Monday unveil plans to launch a publicly listed exchange-traded fund to track its flagship Tops fund strategy in an effort to rebuild assets after huge redemptions in 2009.
The move marks a rekindling of a trend popular among top-tier hedge funds at the height of the boom to list versions of their restricted, proprietary strategies on stock exchanges
The Marshall Wace vehicle, expected to raise $500m (£307m), will be structured as an ETF, the first such structure of its kind, and unlike a closed-ended listing will be able to grow in size according to investor demand.
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Source: FT.com
CESR publishes consolidated information on depositary obligation for all 29 CESR Members
January 15, 2010--Since late 2008, CESR has been working on a number of issues related to UCITS depositaries. At the outset, the focus was on assessing the impact of the Madoff fraud on the fund industry; this work was then widened to include consideration of the duties and responsibilities of UCITS depositaries.
In this context, a mapping exercise was carried out among CESR Members to establish how the various rules on depositary obligations have been implemented in Member States. A high-level summary of that mapping exercise was included as an annex to CESR’s response to the Commission’s consultation on the UCITS depositary function (Ref. CESR/09-781 published on 28 September 2009).
However, since the mapping work began early last year, there have been a number of requests from external stakeholders to have access to the detailed, country-level information that had been collected. The full mapping exercise being published on the today includes consolidated information for all 29 CESR Members.
view the Mapping of duties and liabilities of UCITS depositaries
Source: CESR
CESR publishes update of FAQ and common positions regarding prospectuses
January 15, 2010--CESR published today the 10th updated of FAQ and commonly agreed positions by CESR Members regarding prospectuses.
view the Frequently asked questions regarding Prospectuses: Common positions agreed by CESR Members 10th Updated Version - December 2009
Source: CESR
ETF Statistics December 2009-London Stock Exchange
January 15, 2010--The ETF Statistics December 2009 of the London Stock Exchange is now available.
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Source: London Stock Exchange
Amundi IS, formerly known as CASAM, has listed an additional 13 ETFs on the NYSE Euronext European markets
January 15, 2010--Amundi IS, formerly known as CASAM, has listed the following13 ETFs on the NYSE Euronext European markets:
CASAM ETF COMMODITIES S&P GSCI (LE)
ISIN: FR0010821728
ETF Symbol:CL7
CASAM ETF COMMODITIES S&P GSCI AGRICULTURE
ISIN:FR0010821736
ETF Symbol:CA8
CASAM ETF COMMODITIES S&P GSCI NON ENERGY
ISIN:FR0010821777
ETF Symbol:NEG
CASAM ETF COMMODITIES S&P GSCI METALS
ISIN:FR0010821744
ETF Symbol:CME
CASAM ETF MSCI BRAZIL
ISIN:FR0010821793
ETF Symbol:BRZ
CASAM ETF MSCI EUROPE EX EMU
ISIN:FR0010821819
ETF Symbol:CU9
CASAM ETF MSCI EUROPE EX SWITZERLAND
ISIN:FR0010821835
ETF Symbol:CS9
CASAM ETF SHORT GOVT BOND EUROMTS BROAD
ISIN:FR0010821850
ETF Symbol:SB0
CASAM ETF SHORT GOVT BOND EUROMTS BROAD 10-15
ISIN:FR0010823385
ETF Symbol:S10
CASAM ETF SHORT GOVT BOND EUROMTS BROAD 1-3
ISIN:FR0010821876
ETF Symbol:S13
CASAM ETF SHORT GOVT BOND EUROMTS BROAD 3-5
ISIN:FR0010823401
ETF Symbol:S35
CASAM ETF SHORT GOVT BOND EUROMTS BROAD 5-7
ISIN:FR0010823443
ETF Symbol:S5B
CASAM ETF SHORT GOVT BOND EUROMTS BROAD 7-10
ISIN:FR0010823450
ETF Symbol:S71
Source: NYSE Euronext
iShares lists seven new ETFs on NYSE Euronext
January 14, 2010-NYSE Euronext is pleased to announce that iShares, the Exchange Traded Fund (ETF) arm of Barclays Global Investors today has listed seven new Exchange Traded Funds (ETFs) on the Amsterdam market of NYSE Euronext. Trading began in five accumulating versions of iShares largest and most successful equity-based ETFs, that reinvest dividend income and two government bond ETFs.
The NYSE Euronext ETF segment continues to grow and is very successful both on its European and US markets. In Europe, NYSE Euronext now has 487 listings of 439 ETFs based on more than 265 indices.
Scott Ebner, Senior Vice President, European Exchange Traded Products at NYSE Euronext said: “We are very happy to include these new iShares to our ETF segment. The fast growth of the segment clearly indicates the popularity of ETFs amongst European issuers and investors. So far this year, already 97 ETFs have been listed on NYSE Euronext European markets.”
Product information:
The accumulating funds are based on five of iShares’ most successful equity-based ETFs, that pay out dividend income to investors on a periodic basis. By contrast, the accumulating funds will automatically reinvest any dividend income into the fund, rather than paying it to investors. The newly listed accumulating funds are:
• iShares MSCI Emerging Markets (Acc) – ISIN IE00B4L5YC18, Trading Symbol IEMA
• iShares S&P 500 (Acc) – ISIN IE00B4L5ZD99, Trading Symbol IACC
• iShares MSCI World (Acc) – ISIN IE00B4L5Y983, Trading Symbol IWDA
• iShares MSCI Europe (Acc) – ISIN IE00B4K48X80, Trading Symbol IMAE
• iShares MSCI Japan (Acc) – ISIN IE00B4L5YX21, Trading Symbol IJPA
The new fixed income products are:
• iShares Barclays Euro Government Bond 10 - 15 (ISIN IE00B4WXJH41, Trading Symbol IEGZ) which tracks the Barclays Capital Euro Government Bond 10 – 15-year term index and offers exposure to the performance of 10 – 15 year maturity bonds issued by EMU member states.
• iShares Barclays Euro Government Bond 5 - 7 (ISIN IE00B4WXJG34, Trading Symbol IEGY) which tracks the Barclays Capital Euro Government Bond 5 – 7-year term index and offers exposure to the performance of 10 year maturity bonds issued by EMU member states with a remaining maturity of 5 – 7 years.
Source: NYSE Euronext
ISE and Muscat Securities Market signed Memorandum of Understanding
January 15, 2010--The Istanbul Stock Exchange and Muscat Securities Market (MSM) signed a Memorandum of Understanding (MoU) in Muscat, OMAN on December 27, 2009. The MoU was signed by Mr. Hüseyin Erkan, ISE Chairman & CEO, and Mr. Ahmed Saleh Al-Marhoon, Director General of MSM.
The MoU envisages the two parties to cooperate with each other to facilitate the development of channels of communication and to foster a continuing relationship between the two parties for the benefit of the Turkish and Oman securities markets. Within the framework of the MoU, the parties intend to exchange experience, information, technical support and seconding employees between the two exchanges as well as cooperation on conducting joint researches and seminars.
Source: Istanbul Stock Exchange
Man Group funds fall 4% in third quarter
January 15, 2010--Shares in Man Group, the hedge fund manager, stumbled on Friday after it said that funds under management had fallen 4 per cent in the final three months of 2009.
The decline reflected a $1.2bn quarterly loss on investments made by its AHL arm, which follows computer-driven trading strategies, as well as redemptions by institutional investors.
However, the fund manager also said that it had won, subject to contract, a mandate from a large unnamed pension fund this month – a deal that could potentially swell funds under management by about $1bn.
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Source: FT.com
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