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EDHEC-Risk’s annual European ETF Survey reveals investor attitudes to risk, replication and asset allocation
March 28, 2012--EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2011, which represents a comprehensive survey of 174 European ETF investors. The survey was conducted as part of the Amundi ETF research chair at EDHEC-Risk Institute on "Core-Satellite and ETF Investment."
In relation to the issues raised by financial authorities and international organisations on ETF risks, the survey suggests that investors have a differentiated view on different replication methods, taking several dimensions into account such as cost, tracking error, and accessibility of broad indices, among others, when making choices on the preferred replication mechanism. Depending on the objectives at hand, different replication mechanisms are perceived to have different types of benefits.
Industry communication on the risks of ETFs has led to the counterparty risk of physical ETFs being underestimated. As a result, investors think that full physical replication (a positive score of 2.28 out of 3) is less risky than synthetic replication (1.41 out of 3) in terms of counterparty risk. Even though almost all physical replication ETFs engage in securities lending, investors fail to appreciate the risk of this activity, giving full replication a score of 2.11 out of 3 for operational risk caused by securities lending, compared to 1.55 out of 3 for synthetic replication, even though synthetic replication ETFs do not use securities lending directly.
view the The EDHEC European ETF Survey 2011
Source: EDHEC-Risk Institute
Excellent creditworthiness at Deutsche Boerse Commodities
March 28, 2012--The independent rating agency Hoppenstedt gave Deutsche Börse Commodities GmbH a rating of "excellent creditworthiness". The rating agency awarded the company a score of 1.7 points on a scale of 1 to 6. The score reflects factors such as equity ratio, debt structure and operating margin.
“We are pleased to be awarded this score by an independent rating agency and feel this confirms our excellent business model,” said Martina Gruber, managing director at Deutsche Börse Commodities GmbH. “The joint venture Deutsche Börse Commodities is owned by seven strong partners, including Deutsche Börse. Xetra Gold, the bearer bond physically backed 100% by gold, is our sole business objective, meaning investors will hardly find more security anywhere.”
56.2 tonnes of gold valuing around €2.2 billion are currently stored in the German central vault for securities.
Source: Deutsche Börse Commodities
Economy: Bigger euro bailout fund needed to create space to boost growth, OECD says
March 27, 2012--Euro area finance ministers meeting this week need to boost the firepower of the European stability funds to at least one trillion euros, OECD Secretary-General Angel Gurría said today.
The current level of commitment to the rescue funds is not enough to restore market confidence, he said. A credible financial firewall will provide governments with the breathing space they need to focus crucially on revitalising Europe’s economic growth and competitiveness.
“Weak financial conditions, fiscal consolidation and economic adjustment are restricting demand in the short-term before the long-term benefits on stability and growth are felt,” Mr Gurría said. “Decisive action to restore confidence and support demand is needed now.”
Presenting the OECD’s Economic Surveys of the Euro Area and the European Union in Brussels, Mr Gurría said: “The recent measures already taken to strengthen fiscal discipline, provide liquidity and implement growth-enhancing reforms – particularly in Greece, Italy, Portugal and Spain - are important advances towards a brighter economic outlook, but the challenges remain daunting.”
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Source: OECD
DB - Equity Research-ETF Research : Weekly European ETF Market Monitor
March 27, 2012----The most recent issue ofthe Weekly European ETF Market Monitor is now available. The report includes key statistics on the European ETF market as well as global ETF market highlights
view report
Source: Christos Costandinides, European Head of ETF Research & Strategy, Deutsche Bank
Moderating Risks, Bolstering Growth: Russian Economic Report 27
March 27, 2012--Russia's latest economic performance has been robust, in spite of the fact that output growth is slowing this year in line with weaker growth in Europe and in a number of emerging economies, says the World Bank’s Russian Economic Report №27 (PDF 1.5 Mb) launched today in Moscow.
The report analyzes the country’s recent economic developments and prospects. Special focus is on the invitation to Russia to accede to the WTO by the summer of 2012 - a unique and important opportunity for the country’s economic development.
Half a year ago, Russia’s economic prospects looked uncertain since the global economy was losing momentum, the expansion in the euro zone was grinding to a halt, and the commodities prices were beginning to fall. But at the end of 2011, the country’s economy returned to its pre-crisis level supported by the growing domestic consumption.
In 2011, measured in current dollar terms, Russia’s economy was the ninth biggest in the world, compared to the eleventh biggest in 2007. In 2012, Russia’s output might exceed US$ 2 trillion. Equalizing for prices difference with purchasing power parity, today Russian economy is already the sixth biggest in the world.
view the Moderating Risks, Bolstering Growth: Russian Economic Report 27
Source: World Bank
STOXX introduces Market Classification Model ande Emerging Markets Index
March 27, 2012--STOXX Limited, the market-moving provider of innovative, tradable and global index concepts, today introduced a market classification model to group countries included in the STOXX index universe into Developed and Emerging Markets. At the same time, the launch of the STOXX Emerging Markets Total Market Index was announced, which comprises those countries classified as Emerging Markets under the new model.
“With the launch of the STOXX market classification model and subsequently the STOXX Emerging Markets Index we once again take a step to confirm our commitment to developing rules-based and transparent index concepts that are at the same time highly innovative,” said Hartmut Graf, chief executive officer, STOXX Limited. “Emerging Markets continue to be global growth drivers. The new STOXX model is the first of its kind to offer market participants a completely comprehensible classification for Developed and Emerging Markets in five transparent steps.”
The STOXX market classification model relies on a completely rules-based and transparent methodology, and is the first such concept to exclude any subjective decisions from the process. The model is based on a three-step approach applying only five screening criteria, for which only data publicly available from the International Monetary Fund (IMF), World Bank, as well as data supplied by PricewaterhouseCoopers (PwC) is used.
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Source: STOXX
Lyxor: Nothing to fear from Esma rules
March 27, 2012--Lyxor’s chairman says synthetic exchange traded funds have nothing to fear from a recent consultation paper issued by the European Securities and Markets Authority, which aims to increase transparency in the sector.
Speaking at this month’s Alfi conference in Luxembourg, Alain Dubois told delegates that some have misinterpreted draft guidelines published by the regulatory body in January to be a potential crackdown on certain types of ETFs.
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Source: FT.com
Credit Suisse to switch swap-based ETFs range to physical
March 27, 2012--Credit Suisse is to convert seven of its synthetic exchange traded funds (ETFs) to physical products, as part of a drive to become one of Europe's leaders in the physical ETF space.
The Swiss ETF provider said the conversion of the seven swap-based products will occur between 30 April and 10 May this year.
The move marks the second wave of conversions for the firm, following a similar process in November last year, which saw four CS ETFs switched to physical funds.
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Source: CityWire
12 new Commerzbank ETNs launched on Xetra
March 26, 2012--Twelve new exchange-traded notes (ETNs) issued by Commerzbank AG have been tradable on Xetra since Monday.
The new exchange-traded notes track both the positive and the inverse performance of the benchmarks SGX Nikkei 225 Index Future, Hang Seng Index Future and HSCEI Future (H-shares) with a respective leverage factor of three or four.
The underlying indices are strategy indices which are oriented to the price movement of the reference entity and consist of a leverage component and an interest rate component.
ETNs are tradable notes that track the performance of underlying reference indices outside of the commodities sector and provide investors with access to additional asset classes.
Deutsche Börse’s ETN segment product range currently comprises 135 instruments. The monthly trading volume of ETNs on Xetra averages around €100 million.
view the 12 ETNs listed for the first time including ISIN and management fee from 26 March 2012
Source: Xetra/FWB
Four new Lyxor commodity index ETFs launched on Xetra
March 26, 2012--Deutsche Börse continues to expand its XTF segment for exchange-traded
index funds. Four new Lyxor commodity index ETFs have been tradable since Monday.
ETF name: Lyxor ETF Broad Commodities Momentum TR
Asset class: commodity index ETF
ISIN: LU0721447596
Total expense ratio: 0.35 percent
Distribution policy: non-distributing
Benchmark: S&P Commodities Curve
Momentum Beta+ TR TM
The Lyxor ETF Broad Commodities Momentum TR tracks a strategy index weighted according to the situation in the commodities market. This means that in a backwardation situation, commodities have a heavier weighting in order to realise rolling profits. Rolling profits are generated when shorter futures are more expensive than longer ones.
ETF name: Lyxor ETF Broad Commodities Optimix TR
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Source: Xetra
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