Global ETF News Older than One Year
MSCI adds Saudi Arabia, Argentina indexes to emerging markets index
May 13, 2019--MSCI Inc, the world's largest index provider, said on Monday it would include the MSCI Saudi Arabia and MSCI Argentina indexes in its closely watched and widely duplicated emerging-markets index, in a move that could draw billions of dollars into the stocks.
MSCI said 30 Saudi Arabian securities would be added, representing an aggregate weight of 1.42% in the MSCI Emerging Markets Index, while eight Argentinian securities would be added at an aggregate weight of 0.26% in the MSCI Emerging Markets Index. All changes will be implemented as of the close of May 28.
Source: Reuters
MSCI Equity Indexes May 2019 Index Review
May 13, 2019--MSCI Inc., a leading provider of research-based indexes and analytics, announced the results of the May 2019 Semi-Annual Index Review for the MSCI Equity Indexes-including the MSCI Global Standard, MSCI Global Small Cap and MSCI Micro Cap Indexes, the MSCI Global Value and Growth Indexes, the MSCI Frontier Markets, and MSCI Frontier Markets Small Cap Indexes, the MSCI Global Islamic and MSCI Global Islamic Small Cap Indexes, the MSCI Pan-Euro and MSCI Euro Indexes, the MSCI US Equity Indexes, the MSCI US REIT Index, the MSCI China A Indexes, MSCI China A Onshore Indexes and the MSCI China All Shares Indexes.
All changes will be implemented as of the close of May 28, 2019. These changes have been posted on the Index Review web page on MSCI's web site...
Source: MSCI Inc.
IMF Working Papers The Motives to Borrow
May 10, 2019--Summary
Governments issue debt for good and bad reasons. While the good reasons-intertemporal tax-smoothing, fiscal stimulus, and asset management-can explain some of the increases in public debt in recent years, they cannot account for all of the observed changes.
Bad reasons for borrowing are driven by political failures associated with intergenerational transfers, strategic manipulation, and common pool problems. These political failures are a major cause of overborrowing though budgetary institutions and fiscal rules can play a role in mitigating governments' tendencies to overborrow. While it is difficult to establish a clear causal link from high public debt to low output growth, it is likely that some countries pay a price—in terms of lower growth and greater output volatility—for excessive debt accumulation.
view the IMF Working Papers The Motives to Borrow
Source: IMF
IMF Working paper-CoMap: Mapping Contagion in the Euro Area Banking Sector
May 10, 2019--Summary
This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages.
We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
view the IMF Working paper-CoMap: Mapping Contagion in the Euro Area Banking Sector
Source: IMF
Research Announcement: Moody's-ETFs ability to weather liquidity risk governed by its underlying market
May 9, 2019--ETFs have experienced rapid expansion in a calm environment
Extended bursts of volatility could reveal that ETF liquidity mirrors underlying market liquidity
The liquidity of exchange traded funds (ETFs) differ owing to the varying characteristics determined by their underlying markets and indexes.
Liquidity providers of ETFs are rewarded through arbitrage but are also exposed to market, liquidity and operational risks.
These risks, when coupled with an exogenous systemwide shock, could in turn amplify systemic risk, a credit negative for market participants, Moody's Investors Service says in a new report. This includes unexpected market liquidity shortfalls which would be further pronounced within ETFs tracking inherently illiquid markets, such as high-yield credit.
"In the event of a liquidity drought in underlying markets, market makers would likely reflect this risk in their ETF quotes. So in effect, ETFs track not only the performance of their underlying assets, but also the liquidity of these assets," according to Fadi Abdel Massih, a Moody's Assistant Vice President-Analyst.
Source: Moody's Investors Service
Above $6,000: Bitcoin's Price Spikes to 6-Month High
May 9, 2019--Bitcoin's price rose above $6,000 on most cryptocurrency exchanges for the first time today in nearly six months.
At 00:57 UTC on Thursday, the world's largest cryptocurrency by market capitalization, which accounts for more than half of all other cryptocurrencies combined, picked up a bid and saw its price reach as high as $6,076 – its highest price since Nov. 14, 2018.
Source: coindesk.com
Can emerging markets be a source of global troubles again?
May 9, 2019--According to popular perception, emerging-market economies have not experienced serious macroeconomic and financial turbulence since the beginning of this century. This perception was not entirely correct because it disregarded spill-over effects of the global financial crises of 2008–2009, the consequences of the decline of oil and other commodity prices in 2014–2016, economic and financial troubles caused by violent conflicts and regional political instability.
After two turbulent decades (1980s and 1990s) when emerging-market economies were frequent victims of financial crises, in the first two decades of the 21st century their macroeconomic performance improved. Nevertheless, there were three crisis episodes that hit some of these countries: (i) the spill-over effects of the global financial crisis in 2008–2009; (ii) the consequences of the decline in commodity prices in 2014–2016 for their exporters; (iii) the turbulence in Argentina and Turkey in 2018.
Source: Bruegel
Tradeweb Reports April 2019 Trade Volume
May 9, 2019--CONTINUED STRONG TRADING ACTIVITY YEAR TO DATE
Average daily volume (ADV) across rates, credit, money markets and equities for Tradeweb Markets in April 2019 was the second highest monthly total ever at Tradeweb. ADV for April 2019 of $665.5 billion (bn) rose 34.2 percent (%) year over year (YoY) while average daily trades totaled 49,423.
During the month, activity in interest rate swaps and swaptions rose significantly YoY to ADV of $169.9 bn. U.S. high-grade credit ADV was $2.9 bn; Tradeweb volumes accounted for a record 12.7% of TRACE due in part to the continued growth of portfolio trading. Mortgage trading of $169.0 bn per day included a marked increase in forward trading of uniform mortgage-backed securities (UMBS) month over month (MoM). Activity in U.S. and European government bonds rose 19.1% and 12.3% YoY, respectively. ADV in European ETFs rose 42.1% YoY. Equity convertibles, swaps and options set a new record as ADV rose 164.8% YoY to $1.8 bn. ADV in repurchase agreements of $186.8 bn exceeded $180 bn for the first time since the crisis.
Source: Tradeweb
Algo Trading Market to Surpass $18.8 Billion in Five Years
May 9, 2019--Among algorithmic market applications, the stock markets segment is expected to exhibit the highest growth rate.
According to MarketsandMarketsTM, the global algorithmic trading market will be valued at $11.1 billion in 2019, and is projected to grow by a compound annual growth rate (CAGR) of 11.1 percent over the next five years. The research firm expects this figure to hit $18.8 billion by 2024.
Algo trading involves the use of automated programs to follow a set of instructions to perform trades, taking into account factors such as time, price and volume. Such platforms take advantage of artificial intelligence and human intelligence in order to reduce trading costs and help money managers control their business procedures.
Source: financemagnates.com
How the fund industry can flush out the closet trackers
Disclosure of the true cost of active management will help both investors and society.
May 8, 2019--At the same time, critics of active managers claim there are too many closet trackers-funds that charge active fees (typically five to 10 times...
Source: FT.com
