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STOXX Launches Minimum Variance Index for Europe
New index initiated by and licensed to Ossiam to underlie exchange-traded fund
June 24, 2011-STOXX Limited, the market-moving provider of innovative, tradable and global index concepts, today announced the launch of the iSTOXX Europe Minimum Variance Index. The new strategy index uses Harry M. Markowitz’ Nobel Prize winning Modern Portfolio Theory to create a hypothetical, long-only risk-optimized portfolio that selects and weights constituents of the STOXX Europe 600 Index in such a way that the portfolio’s expected variance is minimized.
The iSTOXX Europe Minimum Variance Index has been initiated by and licensed to Ossiam to underlie an exchange-traded fund. The new index also is the first offering to be categorized under the iSTOXX brand, and complements indices launched previously by Deutsche Börse AG that follow a similar methodology and are now being maintained and marketed by STOXX Limited.
“The launch of the iSTOXX Europe Minimum Variance Index marks two important steps for STOXX. First, the new index offers market participants access to an innovative concept that applies Markowitz’ Modern Portfolio Theory to the renowned European benchmark index,” said Hartmut Graf, chief executive officer, STOXX Limited. “Second, the new index is the first one to be launched under the iSTOXX brand, which is designed to enhance transparency and client service.”
"The methodology of the iStoxx Europe Minimum Variance Index, initiated by Ossiam’s quantitative Research and Investment team, combines the best attributes of passive and quantitative management," said Fabien Dornier, Chief Investment Officer of Ossiam. " "The launch of the iSTOXX Europe Minimum Variance Index provides investors with an efficient portfolio management tool."
Lenders told to come clean on loans to debt-ridden Eurozone countries
June 24, 2011--British banks have been ordered to provide much greater disclosure on their loans to debt-ridden Eurozone countries under plans outlined by Britain’s new financial policemen.
The Bank of England’s new financial policy committee (FPC) will force lenders to spell out more clearly their exposure to Europe’s debt-laden periphery.
Bank Governor Sir Mervyn King, who’ll also head the FPC, warned that the crisis enveloping Greece is the ‘most serious and immediate’ threat to the British banking system.
New ETF issuer Ossiam Lux starts on Xetra
June 24, 2011--Five exchange-listed index funds from the new issuer Ossiam Lux will be tradable on Xetra from Monday for the first time. Ossiam is a subsidiary of Natixis, the investment bank owned by French savings and cooperative banks. Ossiam offers index funds which are based on both quantitative and fundamental data.
We welcome new issuer Ossiam to Xetra and are pleased that Ossiam has chosen to be listed on Europe’s leading platform for exchange-listed index products. Investors across Europe are now able to benefit from the innovative concepts of Ossiam's products,” said Rainer Riess, Managing Director of Xetra Market Development at Deutsche Börse.
The two ETFs Ossiam ETF STOXX® EUROPE 600 equal weight NR and Ossiam ETF EURO STOXX 50® equal weight NR follow the same investment strategy: each ETF invests in all the shares in its respective underlying index, STOXX® EUROPE 600 and EURO STOXX 50®, respectively. However, the securities are not weighted according to their market capitalisation as in the underlying index. Instead, each company occupies an equal proportion of the portfolio, which is normally 0.1667% and 2% respectively. This thus also results in a different weighting in the various market sectors.
The three ETFs on the indices of the Ossiam Minimum Variance series give the investor the opportunity to participate in the performance of strongly diversified portfolios which are composed in a dynamic process. The weighting of the selected shares is set in accordance with an optimisation process which creates high risk diversification and accordingly low variance. No company can exceed a maximum of 5% of the portfolio and no sector can represent more than 20% of the total.
The Ossiam ETF Europe Minimum Variance Index NR draws from the 300 most liquid companies on the STOXX® Europe 600 Index. The Ossiam US Minimum Variance Index Net Return USD, on the other hand, selects from the 250 most liquid equities in the S&P 500® Index. Each ETF tracks the latter in its trading and fund currency, the Euro and US Dollar respectively.
The product offering in Deutsche Börse’s XTF segment currently comprises a total of 816 exchange-listed index funds, making it the largest offering of all European stock exchanges.
Istanbul Stock Exchange starts calculating dividend indices
June 24, 2011--The Istanbul Stock Exchange (ISE) will start calculating the ISE Dividend Index and the ISE Dividend 25 Index as of July 1, 2011.
The ISE Dividend Index will be constituted of companies;
o Having made profits in the last three annual financial statements,
Having distributed cash dividends for such periods,
Having made profits in the 12-month period preceding the date of the last financial statement,
The ISE Dividend 25 Index will be constituted of 25 companies with highest free float market capitalization selected among the companies ranking in the first 2/3 echelon of the ISE Dividend Index constituents having the highest dividend yield as of the review date.
Banks face deadline to rerun EU stress tests
June 24, 2011--European banks have until Friday to rerun their data for newly toughened European Union-wide stress tests that require them to be prepared for additional losses on sovereign bonds.
The European Banking Authority plans in mid-July to release results for the tests, which will assess whether 90 banks have enough capital to survive an economic and housing downturn.
Eurozone crisis is biggest threat to UK stability: BoE
June 24, 2011-- The eurozone debt crisis represents the biggest threat to Britain's financial stability, the Bank of England's new watchdog warned on Friday.
"Sovereign and banking sector strains in some peripheral euro-area economies are the most material and immediate threat to UK financial stability," said the minutes from the first meeting of the BoE's Financial Policy Committee (FPC).
It added: "Market concerns remain over fiscal positions in a number of euro-area countries and the potential for contagion to banking systems.
Ten days to save the euro as EU puts its faith in Athens
June 24, 2011-- The EU has 10 days to save the euro and prevent any harm to the world economy after putting its faith in Athens to make good on a vow to impose even more unpopular austerity measures on a restive people.
An initial bounce for the euro when EU leaders agreed to grant debt-stricken Greece a second bailout in little over a year faded swiftly as markets looked beyond Thursday's EU pledge to do "whatever necessary" to shield the currency.
The creaking symbol of European unity is caught in the biggest challenge of its short life, after a series of bailouts and no guarantees that another one will finally tame the debt crisis threatening to torpedo the eurozone dream.
ESMA -Publication of an Accepted Market Practice on Liquidity agreements
June 23, 2011--This AMP was accepted by the Dutch Ministry of Finance on 4 may 2011.
view the ACCEPTED MAREKT PRACTICE ON LIQUIDITY AGREEMENTS
IMF raises alarm over Spain
June 22, 2011-- The IMF warned on Tuesday of "considerable" risks to Spain's battered economy, saying the authorities had responded robustly to the serious challenges but repairs were incomplete
Spain faced grave economic risks if it failed to crack down harder on spending, shake up the financial sector and loosen up the labour market, the International Monetary Fund said.
Euro-securities will be explored: Rehn
June 22, 2011--- The European Commission has agreed to examine possible legislation to create bonds issued directly at eurozone level, EU economy commissioner Olli Rehn told the European Parliament on Wednesday.
"You have got a commitment from the commission to do a study on euro-securities within six months of the entry into force of the legislation," he said, referring to new laws aimed at reinforcing cross-border eurozone economic governance.
Legislation intended to punish countries which fail to meet common EU macro-economic targets consistently will be voted on by the European Parliament on Thursday.
