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EPEX Spot/EEX Power Derivatives: Power Trading Results in December 2010
January 10, 2011--Leipzig, Paris 10 January 2011. In December 2010, a total volume of 110.6 TWh was traded on the Power Spot and Derivatives Market operated by EPEX Spot SE and EEX Power Derivatives (same month of the previous year: 85.7 TWh).
Power trading on the day-ahead auctions on EPEX Spot accounted for a total of 24,970,420 MWh (December 2009: 17,984,051 MWh) and can be broken down as follows:
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Source: EPEXSPOT
New EDHEC-Risk Institute research provides a suggestion for remedying the overstated performance of non-investable hedge fund indices
January 10, 2011--The biases that inflate the performance of hedge funds have been well documented in the financial literature. Survivorship bias, which results from the ex-post exclusion of unsuccessful funds from databases, and backfill or instant history bias, which occurs when the historical performance of a successful fund is retroactively added (backfilled) into the database, distort the performance of the hedge fund industry.
These biases tend to inflate the returns posted by non-investable hedge fund indices. Investable hedge fund indices can help investors mitigate the effects of these biases, but investable indices cannot include all existing funds. The number of underlying funds is often twenty times less than that of non-investable indices. In these conditions, investable indices are naturally less representative than non-investable indices. Consequently, it is hardly surprising that investable indices tend to underperform their non-investable versions.
In a new study entitled “A Suggestion for Remedying the Overstated Performance of Non-Investable Hedge Fund Indices,” EDHEC-Risk Institute examines whether the liquidity crisis that followed the Lehman collapse and significantly impacted the performance of hedge fund strategies (especially the strategies exposed to credit risk) has increased this excess return or not. The study compares the excess returns of non-investable indices and those of their investable counterparts before and after 2008.
The results show a striking contrast between liquid and illiquid strategies. For the latter, the significant increase in the excess returns of the non-investable indices during the second period perfectly coincided with the global credit crunch. By contrast, the most liquid strategies saw the excess returns of the non-investable indices decrease over the second period. By comparison with the upward trend characterising illiquid strategies, however, this downward trend is negligible
view report-EDHEC-Risk Publication Suggestion for Remedying the Overstated Performance of Non-Investable Hedge Fund Indices
Source: EDHEC
ISE puts in place a new mechanism for effective market surveillance: “ISE Automatic Circuit Breaker System”
January 7, 2011--Well aware of the importance of surveillance in assuring the transparent, orderly and fair functioning of the markets, and in consideration of the recent developments and technological innovations in the national and international markets, Istanbul Stock Exchange (ISE) regularly reviews its surveillance strategy in close cooperation and coordination with the Capital Markets Board (CMB) of Turkey, the regulatory authority of the Turkish capital markets. Within this framework, the Istanbul Stock Exchange has introduced the “ISE Automatic Circuit Breaker System”, enabling the fully automated suspension on a stock basis.
“ISE Automatic Circuit Breaker System”, aimed at drawing investors’ attention to the possible abnormal price or quantity movements in the ISE Stock Market and ensuring that they apply the necessary prudence with such movements, is designed as a two-tier system and will be in place on January 10, 2011.
Preliminary Stage: First Circuit Breaker
ISE Stock Market will be monitored on a real-time basis by the system and in the event of an abnormal price or quantity movement in a certain stock in consideration of its past data; the system will automatically suspend the trading of that specific stock for a pre-defined period of time. The suspension period is parametrical, and is initially defined as 15 minutes for the stocks traded with continuous auction trading method, or for the rest of the session, if there is less than fifteen minutes to the end of the session.
Furthermore, in the event that a circuit breaker is applied, such information, including the time the stock will re-start trading, will be announced automatically and simultaneously through the Public Disclosure Platform. When the circuit breaker is off, the relevant stock will automatically re-start trading.
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Source: Istanbul Stock Exchange (ISE)
BlackRock announces amendments to two iShares fund names
January 7, 2011--iShares, the Exchange Traded Funds (ETF) platform of BlackRock, Inc. (NYSE: BLK) today confirmed that it has amended the names of two of its funds, effective from today, 7 January.
The changes affect the name of the funds only, and will not impact any other aspect of the funds’ structure or investment approach.
The funds affected are:
1. iShares FTSE/Xinhua China 25 fund becomes the iShares FTSE China 25 fund following the complete acquisition of the Xinhua Indices by FTSE on the 16th December 2010. This change of ownership is also reflected in the index name, which will become FTSE China 25 Index
2. iShares Markit iBoxx Euro High Yield fund becomes the iShares Markit iBoxx Euro High Yield Bond fund, bringing its name in line with the rest of the iShares bond fund range.
The iShares FTSE China 25 and iShares Markit iBoxx Euro High Yield Bond funds have assets under management of $1.18bn and €352.10m respectively. iShares, the global product leader in exchange traded funds, has over 480 funds and assets under management of over $500 billion.
Further information on these funds is available at www.ishares.com
Source: Blackrock
Landesbanken poised to sell DekaBank stake
January 7, 2011--Germany’s state-owned banking sector is set to be partially restructured with the expected sale by the country’s troubled Landesbanken of a 50 per cent stake in DekaBank, the fund manager, for about €2.3bn ($2.97bn).
Under the deal Deka would become wholly owned by Germany’s public sector savings banks, which already own the other 50 per cent. Savings banks are by far the largest customers of Deka, whose investment products are used by savings banks and sold to their clients.
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Source: FT.com
db X-trackers launches Europe’s first short emerging markets ETF
January 6 2011--: Deutsche Bank’s exchange-traded fund (ETF) platform, db X-trackers, has launched Europe’s first ETF that gives investors systematic daily short exposure to emerging markets.
The db x-trackers MSCI Emerging Market Short Daily Index ETF, designed for active, short-term traders, provides investors with the daily inverse performance of the MSCI Emerging Markets Index, an index that reflects the performance of large and mid capitalisation companies in emerging markets across the world. It has been listed on the London Stock Exchange and represents the latest addition to db X-trackers’ suite of daily short ETFs. db X-trackers is the largest provider in Europe of ETFs that give exposure to daily short indices.
“Our new emerging markets daily short ETF provides investors with a positive return when the underlying market experiences negative performance. Active investors can, therefore, via a liquid and easily traded product, potentially profit when the underlying market experiences negative performance,” said Manooj Mistry, head of db X-trackers, UK.
The db x-trackers MSCI Emerging Market Short Daily Index ETF resets on a daily basis, which means its compounded performance across a number of days differs from the total return of the underlying index (see editor’s notes). The product is, therefore, particularly suited to active traders managing short-term positions. For tactical investors, the ETF provides a straightforward route to taking short exposure. ETFs do not require the management of margin positions, for example, as a futures contract would. The short ETF can therefore act as an effective substitute for a derivatives contract. The ETF can also be used as a hedging tool.
“Trading in emerging markets was extremely active in 2010. The db x-trackers MSCI Emerging Market Short Daily Index ETF gives investors the opportunity to actively hedge their long emerging markets positions on a short term basis should they wish to maintain that exposure but fear a downturn,” said Mistry.
Source: Deutsche Bank
New financial watchdogs on duty
January 6, 2011--As the Hungarian Presidency took office on 1 January 2011, three new European supervisory authorities started their operations. In November 2010 the Council of the European Union decided to put in place a new European financial framework system and new supervisory authorities. The reform also involved a reorganisation of macro and microprudential supervisory authorities.
It was aimed to provide more stringent risk surveillance both in the system as a whole and in individual financial services. This is in line with the plan of the Hungarian Presidency, which is to promote the establishment of a framework system for crisis prevention and management, which is vital for the stable workings of financial markets and can contribute to the sharing of burdens in crisis situations.
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Source: eu2011.hu
db X-trackers listet in London ersten Short-ETF auf Schwellenländer-Index und weltweite Sektoren-ETFs
January 6, 2011-db X-trackers, die Plattform der Deutschen Bank für
Exchange Traded Funds (ETFs), hat an der London Stock Exchange (LSE) den
europaweit ersten ETF gelistet, der die inverse tägliche Wertentwicklung eines
Schwellenländer-Index abbildet. Das Ziel des db x-trackers MSCI Emerging Market Short Daily Index ETF ist es, die umgekehrte tägliche Wertentwicklung des MSCI Emerging Market Index abzubilden, zuzüglich eines Zinsanteils.
Der MSCI Emerging Market Index spiegelt die Wertentwicklung der Aktien von großen und mittelgroßen Unternehmen in Schwellenländern weltweit wieder.
„Mit unserem ETF wird Investoren erstmals in Europa die Möglichkeit gegeben, auf täglicher Basis an täglichen fallenden Marktbewegungen in Schwellenländern invers zu partizipieren“, sagt Thorsten Michalik, verantwortlich für db X-trackers. „Da die Performance des db x-trackers MSCI Emerging Market Short Daily Index ETF auf täglicher Basis berechnet wird, eignet sich das Produkt vor allem für aktive Investoren, oder auch als kurzfristiges Absicherungsinstrument.“
Darüber hinaus hat db X-trackers, ebenfalls an der LSE, zehn ETFs auf Indizes gelistet, die weltweite Sektoren im Aktienmarkt abbilden. Die unterliegenden MSCIIndizes spiegeln die Entwicklung der größten Unternehmen beispielsweise im Finanz-, Energie- oder Gesundheitssektor wider. Beispiele für entsprechende ETFs sind der db x-trackers MSCI World Financials TRN Index ETF, der db x-trackers MSCI World Energy TRN Index ETF oder der db x-trackers MSCI World Health Care TRN Index ETF. db X-trackers bietet bereits eine Reihe von ETFs auf Sektoren im europäischen Aktienmarkt an. Nun haben Investoren die Möglichkeit, sich mit einem Produkt an der weltweiten Entwicklung eines Sektors zu beteiligen.
Für weitere Informationen: www.etf.db.com
Source: db X-trackers
Tradegate Exchange with new records in 2010
January 6, 2011--Tradegate Exchange hit new record figures in 2010. A total of more than 3.2 million transactions in equities, funds, ETFs and bonds were concluded last year. This corresponds to 33 percent growth year-on-year (2009: 2.4 million trades).
The trading volume of equity transactions rose by 62 percent in 2010 from EUR 10.5 billion to almost EUR 17 billion. With 3.1 million equity transactions in 2010 (2009: 2.3 million), Tradegate Exchange reached a market share among German trading floors of 34 percent, a growth of 3 percent over 2009.
Tradegate Exchange has operated as a regulated stock exchange since January 2010. The newest German regional stock exchange sees the last year’s results as a clear sign of approval from private investors, “Most of our traders are well-informed private investors who choose Tradegate personally. In 2011 we expect more orders from clients who ask their bank to select the best trading venue,” said Jochen Thiel, managing director of Tradegate Exchange GmbH. Several banks and savings banks have integrated Tradegate Exchange into their Best Execution Policies, choosing it as the best execution venue for their private clients’ securities transactions.
Source: Tradegate Exchange
Commission seeks views on possible EU framework to deal with future bank failures
January 6, 2011--Following the publication of a Communication on 20 October 2010 on a European crisis management framework for the financial sector (see IP/10/1353), the European Commission has today launched a consultation on technical details underpinning that framework. Today's consultation should be read in conjunction with that Communication. The Commission intends to come forward with a legislative proposal for a comprehensive framework for dealing with failing banks before the Summer of 2011. The deadline for contributions to this consultation is 3 March 2011.
The possible options set out in this consultation would constitute a significant step for the EU in delivering the commitment made at the G20 summit in June 2010, by ensuring that authorities across the EU have the powers and tools to restructure or resolve (the process to allow for the managed failure of the financial institution) all types of financial institution in crisis, without taxpayers ultimately bearing the burden. They are also consistent with the principles for ensuring that resolution is a viable option for systemically important financial institutions that are being developed by the Financial Stability Board. This Consultation focuses on measures for banks and investment firms. The Commission will report by the end of 2011 on appropriate measures for other kinds of financial institution, including insurers and Central Counterparties.
Currently, there are very few rules at EU level which determine which actions can and should be taken by authorities when banks fail and, for reasons of financial stability, cannot be wound up under ordinary insolvency rules. This consultation seeks input on the technical details underpinning the policy issues identified in the Communication of 20 October 2010. These include
Common and effective tools and powers to deal with failing banks at an early stage, and to minimise costs for taxpayers, for example:
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Source: Europa
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