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Unscheduled Free Float Adjustments in SDAX and TecDAX
Adjustment for Colonia Real Estate AG in SDAX and SMARTRAC N.V. in TecDAX as of 9 November 2010 (Adjustment for Colonia Real Estate AG and not for TAG Immobilien AG as announced this morning)
November 5, 2010--: Deutsche Börse has announced unscheduled adjustments to the free float of Colonia Real Estate AG in SDAX and SMARTRAC N.V. in TecDAX.
Due to corporate actions, the free float of both shares changed by more than 10 percentage points.
According to the index rules, the free float of Colonia Real Estate AG will be adjusted from the current 76.94 percent to 55.51 percent. The free float of SMARTRAC N.V. will be adjusted from 85.01 percent to 49.49 percent.
Both adjustments will be effective next Tuesday, 9 November 2010.
The next regular review of the Deutsche Börse equity indices is scheduled for 3 December 2010.
Please find more information on our indices at www.dax-indices.com.
Source: Deutsche Börse
DB Global Equity Index & ETF Research : European Weekly ETP Review: European ETP industry moves past the 25% growth mark 2010 YTD
November 4, 2010--Weekly European ETP Market Roundup
New Weekly Report Section Added: Instrument Focus
As of this week we have introduced a new ‘Instrument Section’ in our weekly report. Our ETP research covers a cross section of funded and secure instruments spanning across all asset classes. We are thus introducing these two new tables in order to enable readers to track evolution of ETFs and ETCs by provider. As the industry grows, specialists are emerging.
Assets Under Management (AUM): Past 25% growth YTD
European ETP AUM continued to climb and rose by 0.7%, to €213.4 billion. This week’s rise was attributed primarily to a rise in the price of gold, and thus commodities contributed 0.4% to the region’s asset growth. The rest of the growth was funded by equity inflows which contributed 0.2% of this week’s growth. Year to date, European ETP AUM are up by 25.4%. ETFs, which comprise 92% of the European ETP universe, are up by 24.2% year to date. ETCs, which comprise 8% of the ETP universe, are up by 42.4% year to date. The influx of new money into gold ETPs accounts for the faster ETC growth rates.
Investment Outlook: Equity cash flows continue amid oscillating equity markets
The equity markets oscillated in anticipation of the US elections. Most of the major European broad equity indices finished the week in negative territory. The Euro Stoxx 50 index: was down 0.8%, the CAC 40 Index: fell by 0.9%, the DAX was down 0.1% and the FTSE 100: fell by 1.2%. Gold (USD) regained some of the prior week’s losses and finished the week 2.3% up.
The European ETP industry continued to see healthy inflows, totaling €1.0 billion (vs. €1.2 billion inflow in previous week). Allocation of new flows was heavily skewed towards equity, the asset class received 80% of the week’s flows. Fixed income and commodities shared 10% each.
European Equity ETP inflows totaled €793 million (vs. €1022 million inflow last week). Fixed Income inflows totaled €103 million (vs. €342 million outflow last week) and commodity flows netted €108 million of inflow (vs. €121 million inflow during previous week).
Despite downward pressure in equity market prices, cash flows continue to conform to intra-asset class patterns observed in the past few weeks. Most of the new equity inflows went into broad developed market indices (€504 million) while the interest in emerging markets also continued (€298 million), albeit at a slower pace. Leveraged long and short ETFs saw net outflows of €230 million, a sign pointing to the absence of strong directional views.
Gold flows continued to lag, with €81 million of net outflows for the week, following the €68 million of outflows in the week before. Soft demand continues to point to a leveling interest in gold. The biggest commodity inflows for the week were received by ETFs tracking broad diversified commodity indices, a move that helped keep commodity flows in positive territory.
Fixed income flows continued to be on a scale that is not reflective of the asset class’ status on the continent. Corporate bond benchmarked ETFs attracted €145 million of inflows, while all other fixed income sub-sectors had a quiet week.
New Listings Calendar: Fixed Income capabilities grow, when will investors follow?
Europe registered three new ETF launches and six cross-listings for the week.
Deutsche Bank continued to beef up its fixed income ETF capabilities with the launch of two new ETFs, with a primary listing on Deutsche Boerse. This marks the launch of the first financials specific fixed income ETF, and it continues the trend of fixed income ETFs tracking corporate bonds issued by sector specific borrowers.
Lyxor launched a new Euro Stoxx 50 Total Return equity ETF, enhancing its coverage on the popular European broad equity index. This follows the successful run of its ETF tracking the (price plus dividends) Euro Stoxx 50 ETF, which is the region’s largest Euro Stoxx 50 ETF and it holds €5.0 billion. Lyxor also cross listed five of its ETFs on BME and Borsa Italiana.
On-Exchange ETP turnover: Flat for the week
Average rolling 22 day on-exchange ETP turnover for the week remained flat at €1.89 billion. Equity ETF turnover was down by 0.8%, to €1.40 billion. Fixed Income ETF turnover was up by 5.3`%, to €195 million, and commodity turnover also rose by 0.5%, to €288 million.
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Source: DB Global Equity Index & ETF Research
New Price List to turn EEX into a One-Stop Shop from January 2011
November 4, 2010--European Energy Exchange AG (EEX) will introduce a
new price list which reflects the position of EEX as an integrated market platform for energy
and is based on simplicity and transparency with effect from 1 January 2011.
From 2011 only one overall annual fee of EUR 25,000 p.a. will be charged for trading on all Spot and Derivatives Markets of EEX Group. This already includes a technical connection.
In order to facilitate the entry for new trading participants a reduced annual fee of EUR 16,000 p.a. is charged during the first year of participation in trading.
read more
Source: EEX
EPEX Spot / EEX Power Derivatives: Power Trading Results in October
November 4, 2010--In October 2010, a total volume of 108.3 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: 104.1 TWh).
Power trading on the day-ahead auctions on EPEX Spot accounted for a total of
23,079,399 MWh (October 2009: 16,998,229 MWh) and can be broken down as
follows:
read more
Source: EEX
EDHEC Risk Institute research finds that enhanced parameter estimates can lead to significant improvements in hedge fund portfolios
November 4, 2010--A new study by Lionel Martellini, Scientific Director of EDHEC-Risk Institute, with Giovanni Zambruno and Asmerilda Hitaj of the University of Milano – Bicocca, entitled “Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters,” supported by Newedge Prime Brokerage as part of the research chair on “Advanced Modelling for Alternative Investments,” aims to enhance understanding of the dynamic and non-linear relationship between hedge fund returns and the returns on underlying fundamental systematic factors, and to analyse the implications for managing portfolios that include hedge funds.
Since hedge fund returns are not normally distributed, mean-variance optimisation techniques, which would lead to substantial welfare losses from the investor’s perspective, need to be replaced by optimisation procedures incorporating higher-order moments and comoments. In this context, optimal portfolio decisions involving hedge fund style allocation require not only estimates for covariance parameters but also estimates for coskewness and cokurtosis parameters.
This is a formidable challenge that severely exacerbates the dimensionality problem already present with mean-variance analysis. The paper presents an application of the improved estimators for higher order co-moment parameters, recently introduced by Martellini and Ziemann (2010), in the context of hedge fund portfolio optimisation. The authors find that the use of these enhanced estimates generates a significant improvement for investors in hedge funds. They also find that it is only when improved estimators are used that portfolio selection with higher order moments consistently dominates mean-variance analysis from an out-of-sample perspective. The results have important potential implications for hedge fund investors and hedge fund of funds managers who routinely use portfolio optimisation procedures incorporating higher moments.
view EDHEC-Risk Publication Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters
Source: EDHEC
Euro recovery losing steam: purchasing index
November 4, 2010--- Growth signals across the 16-nation eurozone economy slumped to an eight-month low point in October with a leading indicator pointing on Thursday to a further slowdown in coming months.
Recovery in the 16-nation eurozone "lost further impetus" as the big two economies of France and Germany lead a rebound but others dragged behind, according to the purchasing managers' index (PMI), a survey of 4,500 euro area companies compiled by London-based data and research group Markit.
Its combined manufacturing and services index for October fell to an eight-month low of 53.3 points in October, down from 54.1 in September.
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Source: EUbusiness
Barclays Bank has launched its first iPath exchange-traded note listed on Borsa Italiana, SeDeX segment.
November 4, 2010--This ETN is designed to provide investors with exposure to European equity volatility, and is the first product listed in Italy linked to volatility.
“We are pleased to announce the first iPath ETN listed on Borsa Italiana,” says Uwe Becker, managing director and head of investor solutions for Europe, Barclays Capital. “The launch marks a natural extension of Barclays iPath platform, adding to the suite of products we offer investors globally to help them diversify their portfolios.”
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Source: ETF Express
Boerse Stuttgart reports turnover of more than EUR 7.75 billion
Total turnover up by around 2.5 percent/ growth in derivatives trading
November 4, 2010--In October 2010 Boerse Stuttgart, according to its order book statistics, had a turnover of more than EUR 7.75 billion. Trading volumes were up by 2.5 percent in comparison with the previous month's figures.
At Europe's biggest stock market for securitised derivatives this asset class also accounted for a substantial proportion of turnover. In total, Boerse Stuttgart's trading volume in leverage and investment products amounted to more than EUR 4.25 billion in October. These figures very clearly show that investors are increasingly favouring warrants. Trading volumes in these products were around 16 percent up on the previous month's results.
This month Boerse Stuttgart can also report a significant growth in equities trading where turnover amounted to EUR 970 million. Trading in German equities was up by more than 16 percent in comparison with September, while international equities saw a growth of almost 12 percent. In the case of international equities, investors were particularly active in trading commodities, with rare earth equities from China attracting particularly strong demand. The recent reporting period also saw unusually high volumes of international equities being traded at the end of the quarter.
The boom in exchange-traded funds (ETFs) continues, with trading volume up by almost 34 percent as compared with the previous month, rising to more than EUR 516 million.
In a year-on-year comparison, trading volumes for ETFs even rose by more than 70 percent.
Bond trading at the Stuttgart Stock Exchange remained at a high level. Convertible bonds and Länder jumbos issued by the German federal states showed above-average growth. The lion's share in this trading segment was generated by corporate bonds where trading volumes amounted to almost EUR 1.2 billion.
Source: Boerse Stuttgart
ATHEX: Start Of Trading Of The New ETF Tracking The GT-30 Index
November 3, 2010--NBG Asset Management has launched a new ETF, the NBGAM ETF Greece & Turkey 30 Equity, Mondovisione reports. The new product will track the common index of the Greek and Turkish market, Greece - Turkey 30 (GT-30).
The vehicle is the first multimarket ETF, which will provide access to the largest stocks of the Greek and Turkish market simultaneously. The GT-30 index is a partnership of the Exchanges of Athens and Istanbul along with the index provider, STOXX.
Source: Mondovisione
Second ETN on EURO STOXX 50 Volatility Index Launched in Deutsche Börse’s ETN Segment
Barclays Bank extends its ETN offering on volatility indices
November 3, 2010--A new Barclays Bank ETN with the product name iPath has been tradable on Xetra since Wednesday.
The iPath VSTOXX Mid-Term Futures Total Return ETN offers investors the opportunity to participate in volatility trends on the European equity market.
The EURO STOXX 50 Volatility Mid-Term Futures Total Return Index (VSTOXX) reflects the performance of a notional rolling long position in VSTOXX futures with maturities of between four and seven months.
ETN name: iPath VSTOXX Mid-Term Futures Total Return ETN
Asset class: volatility
ISIN: DE000BC2KYE1
Management fee: 0.89 percent
Benchmark: EURO STOXX 50 Volatility Mid-Term Futures Total Return Index
Deutsche Börse’s ETN segment product range currently comprises 35 instruments on volatility, currency and equity indices. ETNs are exchange-traded notes that track the performance of underlying reference indices outside of the commodities sector. They have been tradable on Xetra since December 2009.
Source: Deutsche Börse
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