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UBS climbs ETF rankings with European push
July 16, 2012--UBS Global Asset Management is making a determined push to improve on its status as Europe's sixth-largest exchange-traded fund provider. At the end of June, it listed 64 ETFs on the London Stock Exchange - the bourse's biggest bulk offering to date.
Clemens Reuter, the Swiss bank’s ETF head, said: “We initiated 18 cross-listed strategies in the first half of the year. I would like to develop another 18 to 20 in the second half.”
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Source: Financial News
EDHEC-Risk Institute research finds hedge fund alpha not correctly measured
July 13, 2012--Research by the EDHEC-Risk Institute into non-linear risk adjusted hedge fund returns has found flaws in measurements made via previous studies into the source of alpha.
Its latest study - Robust Assessment of Hedge Fund Performance through Nonparametric Discounting - suggests that "what was incorrectly measured as hedge fund alpha in previous studies is actually some form of fair reward obtained by hedge fund managers from holding a set of relatively complex linear and non-linear exposures with respect to various risk factors."
view the EDHEC-Robust Assessment of Hedge Fund Performance through Nonparametric Discounting
Source: EDHEC
AMF publishes 2012 edition of Risk and Trend Mapping for Financial Markets and Savings
July 13, 2012--For the sixth year running, the AMF has reviewed key market trends, changes to market
organisation and structure, and developments in saving and collective investment, as well as the
potential consequences for business financing and investor protection.
The AMF is today publishing the 2012 edition of Risk and Trend Mapping for Financial Markets and
Savings. The European sovereign debt crisis worsened in 2011, underscoring the key trends identified
during the last mapping exercise in May 2011. This was true of markets, with severe pressures on fixed
income activities and banks, sluggish equity performance and persistent weakness in securitisation. It was
also true of the behaviour of retail investors, who last year showed a marked preference for bank deposits
over higher risk investments.
The 2012 edition highlights various risks, including:
persistently high levels of macro-financial risk, which depends on a consolidation of the situation in the euro area and banks’ ability to withstand a potential deterioration in economic and financial conditions in Europe or worldwide;
view the AMF 2012 edition of Risk and Trend Mapping for Financial Markets and Savings
Source: AMF
Clarification on Treatment of Euro Zone Exit in EURO STOXX indices
July 13, 2012--STOXX Limited has today published a clarification of its index rules regarding the treatment of potential changes to the EURO STOXX Indices following hypothetical changes to the list of eligible countries.
STOXX considers two purely hypothetical scenarios in this clarification: an "orderly exit" of any one country from the Euro zone, as well as an "unscheduled disorderly exit".
Today’s clarification of the STOXX index rules states how STOXX would treat changes to the EURO STOXX Indices as a result of a change of the composition of the Euro zone. Currently, the countries eligible for inclusion in the EURO STOXX Indices are: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
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Source: STOXX
Fund Managers Expect Huge Growth In ETF Market- New Research
July 12, 2012--Recent research carried out for Lyxor Asset Management suggests that 78 per cent of fund managers expect the value of assets invested in European exchange-traded funds and products to increase over the next three years.
And 56 per cent of them expect assets to grow by over 10 per cent, with 20 per cent expecting over 30 per cent growth. Around 8 per cent expect the size of the market to fall, however.
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Source: Wealth Briefing
DB - European ETF Market: Implementation strategy : Extracting value from credit markets through CDS benchmarked ETFs
July 12, 2012--The period from 2007 through to 2009 saw many credit markets transform, with credit spreads moving from all time lows to all time highs. Prior to the credit crunch these lows contributed to classic credit investments often being subordinated to equity when making portfolio asset allocation decisions. Credit has sharply re-priced since 2008.
The re-pricing of credit is increasingly leading to reconsideration of its role in portfolio construction and asset allocation. Portfolio managers are more vigilant about the potential downside due to credit risk exposure. They also use credit value driven instruments, such as Credit Default Swap indexed products and corporate bond benchmarked products, to extract value from credit yield fluctuations and improve portfolio returns.
Historically, direct access to credit markets via a fund was only possible through cash bond benchmarked products. The European ETF market now houses products that can give access to credit yield related returns both through cash bond as well as CDS index benchmarked products. There are currently 34 ETFs benchmarked on corporate bond indices and 25 ETFs benchmarked on CDS indices in the European ETF market.
CDS indices have enjoyed stable and liquid market conditions, with open interest of $11.4 trillion as of 15/06/12, comprising 43% of the overall CDS market open interest. CDS benchmarked ETFs benefit from CDS market liquidity and thus often do away with pricing issues that are prevalent in the wider fixed income market, especially in less liquid segments such as high yield.
2012 ETF cash flows reflect the renewed role of credit in portfolios through the corporate bonds market. Corporate bond benchmarked ETF flows – a sub-category of fixed income – gathered an impressive €3.1 billion of inflows over the first half of 2012. This accounts for close to 60% of the entire 2012 European ETF industry overall cash flows (€5.2 billion). This trend also held true for the US ETF market, where corporate bond benchmarked ETFs gathered $20 billion of inflows over 2012, accounting for close to 30% of the US ETF market’s YTD inflows.
CDS indexed ETFs in the European market are a relatively new and less used product. They have gathered marginal flows of €50 million this year. However we believe that they represent an interesting addition to the ETF investor’s tool box given current credit market conditions. The elevated role of credit returns when making asset allocation decisions is relevant both when taking risk-on as well as risk-off views.
CDS benchmarked ETFs can be used as a hedge to protect against downside from credit risk. They can also be used to take directional views on credit spreads. There are certain factors that need to be looked at closely when considering making asset allocation decisions involving CDS benchmarked ETFs. In this report we explore both the characteristics of the CDS benchmarked ETF wrapper as well as those of their respective benchmarks. Such factors include basis risk between a cash bond portfolio and a CDS index, ETF liquidity evaluation, the impact of path dependence from using short and/or leveraged CDS benchmarked ETFs and index construction characteristics, just to name a few.
The following link will be available for 90 days. For more information, please click on the link for the full PDF. If you have any trouble viewing the link, copy and paste the link in a browser. http://pull.db-gmresearch.com/p/625-DCE4/79533802/European_ETFs_Implementation_Strategy.pdf
Source: Christos Costandinides, European Head of ETF Research & Strategy, Deutsche Bank
ETF Stat June 2012-Borsa Italiana
June 12, 2012--The ETF Statistics of the ETF Plus Market for the month of June 2012 are now available.
view report
Source: Borsa Italiana
ECB-Review of the international role of the euro
July 11, 2012--The European Central Bank (ECB) publishes today its report on "The international role of the euro", which examines developments in the use of the euro by non-euro area residents during the year 2011.
The report finds that the international role of the euro remained relatively resilient during 2011. When compared with other major international currencies, the share of euro-denominated instruments fluctuated only marginally between 2010 and 2011 in the market segments examined. The share of euro-denominated instruments decreased by 0.4 percentage points in global holdings of foreign exchange reserves when adjusted for valuation effects. With regard to the turnover in foreign exchange markets, the share of the euro increased by around one and a half percentage points , while it dropped by 1.3 percentage points in the stock of internationally issued debt securities (also after valuation adjustment).
The report this year contains four special feature articles. The first of these finds that the response of foreign investors in 2011 to the euro area sovereign debt crisis was different from the global shock in 2008, lessening their demand for euro area securities, in particular those of the high-yield sovereign issuers.
view the ECB report-The international role of the euro
Source: ECB
London Stock Exchange and Singapore exchange sign cross quotation agreement
FTSE 100 and top 36 SGX stocks to be traded on both markets
Agreement launches LSE's "International Board"
Expands international footprint of both exchange groups
Investors to benefit from greater trading opportunities
Companies to benefit from broader global investor base
July 11, 2012--London Stock Exchange (LSE) today announces that it has signed a Memorandum of Understanding (the "Agreement") with Singapore Exchange Limited (SGX) to allow the largest and most actively traded stocks on each exchange to be traded by their respective member firms.
Under the Agreement, LSE members will be able to trade the top 36 SGX-listed companies on LSE’s newly-created "International Board". These include securities of Singapore’s leading indices; the Straits Times Index and MSCI Singapore Index. Similarly, SGX members will be able to trade FTSE 100 securities on SGX’s GlobalQuote Board.
For investors, the collaboration will extend trading hours for the most actively traded securities in both markets to around 15 hours each day, providing more opportunities for investment, trading, and risk management for participants in London and Singapore.
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Source: London Stock Exchange Group
Swap-based corporate bond ETF from db X-trackers
July 11, 2012--Db x-trackers has launched a Ucits IV-compliant ETF that gives exposure to an index of liquid sterling-denominated corporate bonds.
The db x-trackers II iBoxx GBP Liquid Corporate 100 Index ETF provides exposure to up to 100 sterling-denominated corporate bonds that have been screened for liquidity.
An eligible bond will be one that has at least two years to run until maturity and a minimum outstanding of £400m.
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Source: International Adviser
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