Global ETF News Older than One Year
New factor research-Factor valuation considerations
March 19, 2019--In our latest factor research paper we examine how the increasing popularity of factor investing has raised questions about the valuation of factors. As with individual stocks, there is no definitive valuation metric that provides a clear answer, and different valuation metrics may well result in different conclusions.
The situation is even more intricate in the case of factor indexes. The way factor indexes are constructed may introduce time-varying exposures to other factors, further muddying the valuation picture.
view the FTSE Russell Factor valuation considerations paper
Source: FTSE Russell
The Eurekahedge Report March 2019
March 19, 2019--Highlights from this month's report
The Eurekahedge Hedge Fund Index gained 0.89% in February, bringing its year-to-date return to 3.26%. The risk-on sentiment among investors driven by the Fed's patient stance and optimism over the potential resolution of the US-China trade tension persisted through the month, sending global equity markets on a rally through February.
The global hedge fund industry saw performance growth totalling US$39.5 billion over the first two months of 2019, supported by the global equity market performance since the beginning of the year. Despite the positive performance figures, net investor redemptions stood at US$15.1 billion over the same period.
Source: Eurekahedge
IMF Working Paper-Fundamental and Speculative Demands for Housing
March 19, 2019--Summary:
This paper separates the roles of demand for housing services and belief about future house prices in a house price cycle, by utilizing a feature of user-cost-of-housing that it is sensitive to demand for housing services only.
Optimality conditions of producing housing services determine user-cost-of-housing and the elasticity of substitution between land and structures in producing housing services. I find that the impact of demand for housing services on house prices is amplified by a small elasticity of substitution, and demand explained four fifths of the U.S. house price boom in the 2000s.
A net 25% of surveyed money managers this month expect global growth to weaken over the next 12 months, up 22 percentage points from the previous month. Meanwhile, 59% of managers are bearish on both the growth and inflation outlook for the global economy over the next 12 months, the highest since October 2016, cementing the return of secular stagnation as the consensus view among investors.
Source: pionline.com
IMF Working Papers-Liquidity Management under Fixed Exchange Rate with Open Capital Account
The paper then discusses operational solutions that stabilize money market rates close to the level implied by the Uncovered Interest Rate Parity (UIP). Liquidity management under fixed exchange rate with an open capital account presents specific challenges due to: (1) the larger liquidity shocks induced by foreign reserve swings that challenge the development of money markets; and (2) more complicated liquidity forecasts. The theoretical framework is empirically tested based on the estimate of "offset" coefficients for Denmark and Hong Kong SAR. view the IMF Working Papers-Liquidity Management under Fixed Exchange Rate with Open Capital Account
Source: IMF
Bassanese Bites: Two or less?
Lurking in the background is growing confidence that the US and China will eventually settle their trade differences, although there is no longer an explicit deadline in place. Even more important than the actual deal itself is growing recognition that neither side appears to have the appetite to escalate tensions further-through tit-for-tat tariff increases. In terms of key market moves, US and Australian 10-year bond yields broke to new lows in the downtrend that has been in place since late last year.
Economic news was less reassuring elsewhere. German industrial production was weaker than expected in January, though temporary factors like strikes and model change-over disruptions were blamed. China’s monthly “data dump” was also soft, with ongoing weakness in retail sales and industrial production-though again hope springs eternal that the Government is set to re-stimulate the economy.
In Australia, the negative news also continued: the NAB index of business conditions slipped back in February, consumer confidence dropped and home loan approvals dropped further.
Source: BetaShares
APs Embrace Equity ETFs in February, While Fund Investors Turn Risk-Averse
While investors continued to embrace news that trade talks between the U.S. and China were advancing and cheered a softer, gentler Federal Reserve Board-pushing the Dow Jones Industrial Average to its ninth consecutive week of plus-side returns-they turned a cold shoulder to equity funds. For the ninth month in ten, stock & mixed-asset funds witnessed net outflows (-$10.3 billion) for February. With investors' renewed search for yield, the fixed income funds macro-group witnessed net inflows for the second month in a row, taking in $36.3 billion-their largest haul since February 2018.
Source: Refinitiv
Flow Traders releases February 2019 ETP Market statistics
Source: FlowTraders
IEA-Oil Market Report: Supply cushion insures against losses
During the past week, industry operations were seriously disrupted and ongoing losses on a significant scale could present a challenge to the market. As it happens, 1.2 mb/d is also the size of the output cuts agreed by OPEC countries and some non-OPEC producers. The cuts were implemented in January and compliance by OPEC reached 94% in February, with Saudi Arabia cutting back by about 170 kb/d more than required. The non-OPEC countries are complying more slowly at a rate of 51%, with Russia reducing its output very gradually.
Source: IEA (International Energy Agency)
BIS-Statement on crypto-assets
While crypto-assets are at times referred to as "crypto-currencies", the Committee is of the view that such assets do not reliably provide the standard functions of money and are unsafe to rely on as a medium of exchange or store of value. Crypto-assets are not legal tender, and are not backed by any government or public authority.1 Through this newsletter, the Basel Committee is setting out its prudential expectations related to banks' exposures to crypto-assets and related services, for those jurisdictions that do not prohibit such exposures and services.
Source: BIS
March 18, 2019--Summary:
This paper introduces a theoretical framework for liquidity management under fixed exchange rate arrangement, derived from the price-specie flow mechanism of David Hume. The framework highlights that the risk of short-term money market rates un-anchoring from the uncovered interest rate parity due to money and foreign exchange market frictions could jeopardize financial stability and market development.
March 18, 2019--Week in Review
Confidence returned to global equities last week-after a modest pull back over the previous week-largely due to reassuring US economic data. US retail sales rebounded nicely in January-after worrying softness in Q4-while the US CPI also remained comfortably benign.
March 18, 2019--For the second month in a row, investors were net purchasers of mutual fund assets, injecting $64.4 billion into the conventional funds business (excluding ETFs, which are reviewed in the section below) for February. However, the headline number is slightly misleading.
March 15, 2019--Flow Traders N.V. ("Flow Traders") (Euronext: FLOW), today releases the monthly ETP (Exchange Traded Products) market statistics for February 2019. This refers to general market observations only.
March 15, 2019--The electricity crisis in Venezuela has paralysed most of the country for significant periods of time. Although there are signs that the situation is improving, the degradation of the power system is such that we cannot be sure if the fixes are durable. Until recently, Venezuela's oil production had stabilised at around 1.2 mb/d.
March 13, 2019--The past few years have seen a growth in crypto-assets. While the crypto-asset market remains small relative to that of the global financial system, and banks currently have very limited direct exposures, the Committee is of the view that the continued growth of crypto-asset trading platforms and new financial products related to crypto-assets has the potential to raise financial stability concerns and increase risks faced by banks.
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