Global ETF News Older than One Year
Market for locked hedge funds opens
November 25, 2012--Brokers such as Tullett Prebon are launching platforms to let investors trade hedge fund investments in order to circumvent often lengthy lock-up periods.
The schemes allow investors either to sell hedge funds stakes directly, or to sell the returns from their hedge fund investments through derivative contracts.
Source: FT.com
Record number of ETFs shut down
November 22, 2012--A record number of exchange-traded funds closed down in the 10 months to October, according to a survey by ETFGI, coinciding with a drop in the number of new ETF listings.
In a survey by the independent analysis firm run by Deborah Fuhr, 157 ETFs were delisted by 26 providers from 15 different exchanges worldwide.
This compares to 28 delistings over the 10 months in 2011 and 55 during the 10 months in 2010. The largest number of products delisted in the course of a full year was 101 in 2009.
Source: Financial News
Central Bank, ETF and gold coin buying buoy gold price
Central bank gold purchases, ETP holding increases and coin sales all point to a stronger gold price, although a stronger greenback is mitigating rises in US dollar terms.
November 22, 2012--The latest data from the IMF shows that Central Banks are continuing to accumulate gold with some 40 tonnes purchased in October keeping purchases on track to match last year's 456 tonnes of net purchases.
Key buyers were Brazil, which took on 17.2 tonnes, pushing its gold reserves to their highest in 11 years, Kazakhstan with 7.5 tonnes and Turkey with 17.5 tonnes (although this is slightly anomalous in that Turkey is now accepting gold in its reserve requirements from commercial banks – a change in status implemented earlier this year). Russia too continued to gradually grow its reserves (by 0.4 tonnes in October).
Source: MineWeb
Basel III FAQs on counterparty credit risk rules
November 21, 2012--The Basel Committee on Banking Supervision today issued frequently asked questions (FAQs) on Basel III's counterparty credit risk rules.
To promote consistent global implementation of Basel III, the Committee has agreed to periodically review frequently asked questions and publish answers along with any technical elaboration of the rules text and interpretative guidance that may be necessary.
<view the Basel III counterparty credit risk-Frequently asked questions document
Source: BIS
IMF 2012 Spillover Report-Background Papers
November 21, 2012--Summary:This note conducts a business cycle accounting analysis for systemic economies, with an emphasis on spillover effects from macroeconomic versus financial shocks.
The systemic economies under consideration are China, the Euro Area, Japan, the United Kingdom, and the United States. This analysis is based on historical decompositions of output growth derived from the estimated structural macroeconometric model of the world economy, disaggregated into thirty five national economies, documented in Vitek (2012). Within this framework, each economy is represented by interconnected real, external, monetary, fiscal, and financial sectors. Spillovers are transmitted across economies via trade, financial, and commodity price linkages.
view the IMF 2012 Spillover Report-Background Papers
Source: IMF
Credit Suisse splits off investment bank
Swiss bank announces plans to carve out investment banking from newly merged private banking and wealth management
November 20, 2012--Credit Suisse cited "the new regulatory reality" as it announced plans to carve out its investment banking from its newly merged private banking and wealth management business.
The move comes amid turmoil in Swiss banking with UBS axing 10,000 roles as it pulls out of areas of investment banking, such as bond trading, that are not profitable enough.
Sandy Chen, analyst at Cenkos Securities said the Credit Suisse restructuring put pressure on the new management of Barclays to cut costs at its investment bank. "There is now scope for disappointment if Barclays doesn't announce a similarly bold restructuring."
Source: The Guardian
IOSCO Emerging Markets Prepare for Bigger Role in the Global Economy
November 20, 2012--The emerging market members of the International Organization of Securities Commissions (IOSCO) met in Santiago de Chile this week to continue work aimed at preparing emerging securities markets to play a bigger role in driving growth in the global economy.
Fernando Coloma, Chair of the Superintendencia de Valores y Seguros, Chile, chaired the meeting. Masamichi Kono, Chairman of the IOSCO Board attended the meeting. During its Annual Conference on 19 – 21 November, members of IOSCO’s Emerging Market Committee (EMC) debated its future within IOSCO, while stressing the importance of building regulatory capacity and developing safe and robust securities markets in emerging economies.
The EMC comprises eighty-six members that account for more than 80% of IOSCO’s ordinary membership. The EMC members also represent the world’s fastest growing economies and include 10 of the G-20 members. Emerging economies are expected to represent a growing portion of IOSCO membership as new members continue to join.
Source: IOSCO
Credit Suisse Shakes Up Management in Restructuring
November 20, 2012--Credit Suisse shook up its management team on Tuesday, appointing a co-head of investment banking and merging its asset management division into its wealth management and private banking unit.
The announcement comes less than a month after Credit Suisse said it would find additional cost savings totaling 1 billion Swiss francs by 2015. The bank now expects to save a combined 4 billion francs ($4.25 billion), partly from the previously announced layoffs of 3,500 workers.
Source: NY Times
Macro Matters- Global Markets Retreated on Persistent Uncertainties
November 20, 2012--China-New leadership announced.
Both Hong Kong and China market dropped as investors reduced risk exposure given uncertainties over the policies of the new leaders.
Early this week, encouraging export data and a pledge by the country’s securities regulator to support the domestic market triggered bargain hunting in big-name property counters and banks.
However, markets, in particular property developers, dropped after Xinhua reported the country’s housing minster saying that Beijing is "actively studying" expanding property tax beyond Chongqing and Shanghai, Chinese.
The China’s ruling communist Party unveiled the new leadership on Thursday. Xi Jin Ping, the new leader of China's ruling Communist Party, emphasized the need for continued economic reforms and ousting corruption from the Party without using most of slogans that his predecessor did, which some viewed positively.
India-Weak economic data dragged down market.
Indian market retreated in the week of Dawali festival on continued concerns over the U.S. budget talks and EU debt issues and disappointing industrial production data.
Amid continued weak cues from global markets including the U.S. and Europe, disappointing industrial production dragged down the market. Industrial production unexpectedly contracted by 0.4%.
Manufacturing output, which accounts for three-quarters of the Index of Industrial Production, contracted by 1.5 percent while capital goods — such as factory plant equipment — plunged by 12.2 percent.
Brazil-Lack of momentum across the board.
Markets retreated in the week ending November 15th. The combination of a weak Q3 earnings season in Brazil and renewed concerns over the growth outlook in the developed world have resulted in deterioration in market sentiment and flows.
The Brazilian market lacks momentum across the board, with domestically focused YTD outperformers seeing profit taking, and large cap exporters / commodity plays / banks yet to attract significant interest despite underperformance and depressed headline valuation.
The Economic Activity Index (IBC-Br) posted a negative print of 0.52% in September month-on-month, following the +0.95% MoM gain reported in August.
Russia-Global uncertainties continued to persist.
Euro zone finance ministers are to reconvene to decide on the disbursement of the next installment of financial aid to Greece, following the adoption of deeper austerity measures passed by the Greek parliament last week.
In the US, talks begin in Congress over a deal to avert / moderate $607bn in automatic spending cuts and tax hikes in January. The ability of policymakers on both sides of the Atlantic to successfully negotiate both the Euro zone sovereign debt crisis and US Fiscal Cliff will have a material impact on near-term market direction.
Source: Mirae Asset Financial Group
Yet Another Blow to Modern Portfolio Theory
November 19, 2012--Modern Portfolio Theory is predicated on the ability to construct an efficient frontier based on returns, correlations, and volatility.
Each of these parameters needs to be accurate for the efficient frontier to be accurate. Since forecasting is tough, often historical averages are used. Since the next five or ten years is never exactly like the last 50 years, that method has significant problems. Apologists for modern portfolio theory claim that better efficient frontiers can be generated by estimating the inputs. Let’s imagine, for a moment, that this can actually be done with some accuracy.
There’s still a big problem. Volatility bumps up during adverse market conditions, as reported by Research Affiliates. And correlations change during declines—and not in a good way.
From the abstract of a recent paper, Quantifying the Behavior of Stock Correlations Under Market Stress:
view the Quantifying the Behavior of Stock Correlations Under Market Stress
Source: systematicrelativestrength.com/
