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MSCI Launches the MSCI EM 50 Index
A new tradable index for the Emerging Markets
October 5, 2011-MSCI Inc. (NYSE: MSCI), a leading provider of investment decision support tools worldwide, announced today the launch of a new tradable index, the MSCI EM 50 Index.
The index is highly correlated to the flagship MSCI Emerging Markets Index, but is composed of just 50 of its largest constituents.
“We have seen significant demand from clients around the world for a tradable version of our market-leading MSCI Emerging Markets Index—especially from those who face various obstacles in replicating broader emerging markets indices,” said Theodore Niggli, MSCI Managing Director. “We expect the MSCI EM 50 Index will serve as the basis for numerous index-linked investment vehicles, ultimately providing investors with new ways to gain exposure to Emerging Markets, which have been a critical driver of the global economy over the past decade.”
Based on the broad MSCI Emerging Markets Index, the MSCI EM 50 Index is a representative and easily replicable alternative. The new index applies eligibility screens to exclude some of the smallest Emerging Markets countries and uses depositary receipts for certain markets that are less accessible to foreign investors.
For further information on the MSCI EM 50 Index, visit www.msci.com/indices/tradable/EM_50
Source: MSCI
EDHEC-Risk Institute research shows benefits of using ETFs in a dynamic core-satellite investment approach
October 5, 2011-In a new study produced as part of the Amundi ETF research chair on “Core-Satellite and ETF Investment,” EDHEC-Risk Institute researchers have analysed the performance of risk-controlled dynamic asset allocation strategies and concluded that appropriate implementation of the Dynamic Core-Satellite approach can boost portfolio returns while keeping downside risk under control.
Dynamic risk budgeting methodologies such as Dynamic Core-Satellite strategies are used to provide risk-controlled exposure to different asset classes. There is extensive evidence that investment strategies based on momentum and value are attractive for portfolio managers who seek outperformance. Momentum and value are among the most robust return drivers in the cross section of expected returns. In this study, the EDHEC-Risk researchers examine how to exploit the value and momentum anomalies using a Dynamic Core-Satellite investment model.
The implementation of the portfolio strategies is enabled by exchange-traded funds, which are natural investment vehicles since they offer a broad exposure to the markets and provide the necessary liquidity to the frequent rebalancing of the Dynamic Core-Satellite model.
Eurozone economy into reverse: survey
October 5, 2011-- The eurozone economy flipped into reverse in September, falling to its worst level in more than two years, a closely-watched survey showed on Wednesday.
Ahead of new growth figures expected to show the debt-laden currency area slipping towards recession, the final Eurozone Composite Output Index compiled by London-based researchers Markit logged 49.1 points, compared with 50.7 in August.
A score below 50 indicates contraction.
Markit noted "faster rates of contraction in Italy and Spain accompanied by near-stagnation in France and Germany."
The survey also highlighted a sharpening rate of decline for new business orders, as well as slowing job creation.
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Source: EUbusiness
NYSE Euronext announces new ETF on European markets
October 5, 2011--NYSE Euronext is pleased to announce that SPDR ETFs has listed 6 new ETFs on NYSE Euronext's Paris market today:
| Trading name | ISIN | Symbol | Reuters RIC | BBG Ticker | Underlying index | TER |
| SPDR EMD Local | IE00B4613386 | EMLD | EMLD.PA | EMLD FP | Barclays Capital EM Local Currency Liquid Government | 0.55% |
| SPDR Euro Agg | IE00B41RYL63 | EAGG | EAGG.PA | EAGG FP | Barclays Capital Euro Aggregate | 0.2% |
| SPDR US Agg | IE00B459R192 | USAG | USAG.PA | USAG FP | Barclays Capital US Aggregate | 0.2% |
| SPDR Euro Govt | IE00B3S5XW04 | GOVY | GOVY.PA | GOVY FP | Barclays Capital Euro Treasury | 0.15% |
| SPDR Euro Corp | IE00B3T9LM79 | EUCO | EUCO.PA | EUCO FP | Barclays Capital Euro Corporate | 0.2% |
| SPDR US Treasury | IE00B44CND37 | TSYE | TSYE.PA | TSYE FP | Barclays Capital US Treasury | 0.15% |
NYSE Euronext has now 684 listings of 586 ETFs based on more than 400 indices. So far this year, there have been a total of 145 new listings on the NYSE Euronext European cash markets, including 117 new primary listings and 28 cross-listings.
NYSE Euronext has now 684 listings of 586 ETFs based on more than 400 indices. So far this year, there have been a total of 145 new listings on the NYSE Euronext European cash markets, including 117 new primary listings and 28 cross-listings.
Source: NYSE Euronext
Turnover on Xetra increases by 28 percent in September
Transactions on Xetra up by 56 percent
October 4, 2011--Order book turnover on Xetra and the Xetra Frankfurt specialist trading stood at €131.6 billion in September – an increase by 26.7 percent year-on-year (September 2010: €103.8 billion). Of the €131.6 billion, €126.1 billion were attributable to Xetra (+28 percent y-o-y, September 2010: €98.3 billion). €5.5 billion were attributable to the Xetra Frankfurt specialist trading, an small increase y-o-y (September 2010: €5.4 billion). Order book turnover on Tradegate Exchange* totalled €2.9 billion in September.
In equities, turnover reached €108.4 billion on Deutsche Börse’s cash markets (Xetra: €106.2 billion, Xetra Frankfurt specialist trading: €2.2 billion). Turnover in bonds was €1.6 billion, and in structured products on Scoach €3.1 billion. Order book turnover in mutual funds and exchange-traded funds (ETFs) amounted to €18.6 billion.
A total of 25.3 million transactions were executed on Xetra in September, an increase of 56.5 percent y-o-y (September 2010: 16.2 million).
The DAX security with the highest turnover in September was Deutsche Bank AG at €8.3 billion. Wacker AG led the MDAX equities at €817.8 million, while Derby Cycle AG topped the SDAX equity index with €77.8 million, and Aixtron SE headed TecDAX with €432.9 million. The ETF with the highest turnover on Xetra was iShares DAX with €2.8 billion.
Further details are available online in Deutsche Börse’s cash market statistics. For a pan-European comparison of trading locations, see the statistics provided by the Federation of European Securities Exchanges (FESE) at www.fese.be
Source: Deutsche Börse
Average daily volume of 12.4 million contracts at Eurex Group in September
Eurex Exchange: equity index derivatives with highest growth y-o-y/ Eurex Repo: GC Pooling with new all-time high
October 4, 2011--In September 2011, the international derivatives exchanges of Eurex Group recorded an average daily volume of 12.4 million contracts (Sep 2010: 9.9 million). Of those, 9.1 million were Eurex Exchange contracts (Sep 2010: 7.3 million), and 3.3 million contracts (Sep 2010: 2.6 million) were traded at the U.S.-based International Securities Exchange (ISE).
The growth of 25 percent y-o-y is due to the stronger hedging needs of market participants driven by uncertainty resulting from the European sovereign debt crisis, which led to an increasing use of exchange-traded and centrally cleared derivatives in the current market environment. In total, 201.1 million contracts were traded at Eurex Exchange and 68.8 million at ISE.
At Eurex Exchange, equity index derivatives as the largest segment recorded 112.6 million contracts (Sep 2010: 69.4 million), an increase of 62 percent y-o-y and the second-best month in 2011. The future on the EURO STOXX 50 Index totaled 51.0 million contracts, its best monthly result year-to-date. The option on this blue chip index totaled 41.3 million contracts. Futures on the DAX index recorded 5.5 million contracts, also a monthly record in 2011. The DAX options reached another 6.5 million contracts. The Eurex KOSPI Product achieved its second-best monthly result with 2.2 million contracts, an ADV of 101,000 contracts.
The equity derivatives (equity options and single stock futures) segment at Eurex Exchange reached 27.1 million contracts (Sep 2010: 30.0 million). Thereof, equity options totaled 21.8 million contracts and single stock futures equaled 5.3 million contracts. Equity derivatives volume y-o-y is influenced by the change of contract specifications: In Q1/2011, Eurex Exchange increased the contract size of most equity options and single stock futures to match international standards, with the effect of potentially lower turnover in these products. The adjusted figure of monthly volume in the equity derivatives segment in August would have been approximately close to 32 million contracts based on an extrapolation.
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Source: Eurex
EU removes last London obstacle to derivatives curbs
October 4, 2011-- Big guns led by Germany, France and EU chair Poland, backed Britain into a corner before sealing a deal Tuesday for Europe to regulate trade in over-the-counter (OTC) derivatives.
"Our financial services will be stronger regulated on a healthy basis Europe-wide," European Union markets commissioner Michel Barnier, a former French foreign minister, told AFP on leaving talks delayed by rising concerns over debt-stricken Greece and banking woes.
"We will look at how to ensure there is no discrimination in the application of this regulation but this will not affect the City of London's standing in the industry," he said.
Britain's financial centre controls three quarters of the derivatives trade across Europe and half of the trade worldwide.
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Source: EUbusiness
Regulatory fog cannot cut off Europe to hedgies
October 4, 2011--Former shareholders in Gartmore, an accident-prone investment manager, are unlikely to wish Guillaume Rambourg bon voyage as he heads to Paris to set up a $1bn hedge fund. The suspension of the star stock picker amid allegations of trading irregularities wounded Gartmore, paving the way for its low-cost takeover.
Mr Rambourg will depart not so much under a cloud, as swathed in regulatory fog. The Financial Services Authority dropped an investigation into Mr Rambourg concerning his allocation of trades to favoured brokers. The body, which trumpets its victories, discreditably failed to announce its setback.
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Source: FT.com
EU Makes Derivatives Deal That Osborne Says Benefits U.K.
October 4, 2011--European Union finance ministers reached an agreement on how to move forward with derivatives legislation in a way that satisfies the concerns of the U.K.
“We came here in a minority, somewhat outnumbered, but through some hard negotiating we have very much improved the directive in the direction that the United Kingdom wanted to see,” U.K. Chancellor of the Exchequer George Osborne told reporters after the meeting in Luxembourg today.
The agreement doesn’t widen the scope of the current derivatives legislation, as the U.K. had sought. Instead, it provides for an EU declaration that forthcoming financial market legislation will cover any derivatives that are not forced into central clearing by the proposal.
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Source: Bloomberg BusinessWeek
ESMA publishes its technical advice on possible delegated acts concerning the Prospectus Directive as amended by the Directive 2010/73/EU
October 4, 2011-- The European Commission (the Commission) sent a formal request on Tuesday 25 January 2011 to ESMA to provide technical advice on possible delegated acts concerning the Prospectus Directive as amended by Directive 2010/73/EU.
Following a call for evidence and a consultation, the final technical advice has been submitted to the European Commission, and is published today.
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