Global ETF News Older than One Year
EDHEC-Risk Institute research provides insights into optimal hedge fund allocation
February 15, 2012--In a research paper published in the Winter 2012 issue of the Journal of Alternative Investments, entitled "Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters," EDHEC-Risk Institute has provided insights into optimal portfolio decisions involving hedge funds.
Drawn from research conducted as part of the “Advanced Modelling for Alternative Investments” research chair at EDHEC-Risk Institute, supported by the Prime Brokerage Group at Newedge, the paper presents an application of the improved estimators for higher-order co-moment parameters, 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. It is only when improved estimators are used and the sample size is sufficiently large 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.
visit edhec-risk.com for more info
Source: EDHEC
Markets Optimistic for Greek Bailout Plan-BRICs Weekly Report
February 15, 2012--PBOC drains liquidity from banks.
The Chinese market went up despite experiencing some volatility. The European sovereign debt crisis was the main focus, with negotiations continuing on the bailout plan for Greece. There is considerable optimism that a positive result will be reached.
Internal and External Factors Spur Market Rally.
The Indian markets have been one of the best performing markets. The rally has been a culmination of macro factors like the interest rates peaking and currency tailwinds. The other big factor has been global liquidity and global investors have pumped in almost $3.7 billion year to date.
Source: Mirae Asset Financial Group
Forwarding from the White House: Joint Fact Sheet on Strengthening U.S.-China Economic Relations
February 14, 2012--Building on the consensus reached by President Hu Jintao and President Barack Obama during President Hu's January 2011 state visit to the United States, the United States and China affirm that our two countries are promoting the healthy and steady development of the U.S-China cooperative partnership based on mutual respect and mutual benefit.
Under the framework of the Economic Track of the U.S.-China Strategic and Economic Dialogue (S&ED), the United States and China recognize the following outcomes.
Promoting Strong, Sustainable, and Balanced Growth
1. To address challenges to the global economic outlook, the United States and China pledge to enhance macroeconomic cooperation to work to ensure that the global recovery is durable and promotes steady job growth, and to establish strong, sustainable, and balanced future global growth. The United States and China commit to take comprehensive policy measures to achieve more balanced trade and expanded investment in each other’s economies. China wishes to increase imports from the United States, including in commercial high technology products.
2.The United States and China are committed to continuing to exchange views on developments in European financial markets and discuss approaches that can support Europe’s own efforts to respond to its sovereign debt crisis.
3. The U.S. economy is rebalancing toward sustainable growth, with higher domestic saving, a commitment to long-term fiscal sustainability, and productivity-enhancing investments. In line with the President’s FY2013 Budget, the United States commits to achieving more than $4 trillion in deficit reduction over the next ten years, including the $1 trillion in discretionary spending reductions enacted last year, and to gradually reducing debt as a share of the economy from the middle of this decade.
Source: US Department of the Treasury
San Miguel Corp. Of The Philippines Added To Dow Jones Emerging Markets Consumer Goods Ttans 30 Index
February 14, 2012--San Miguel Corp. of the Philippines will be added to the Dow Jones Emerging Markets Consumer Goods Titans 30 Index, Dow Jones Indexes announced today.
The addition of San Miguel follows the removal of China’s Shanda Interactive Entertainment Ltd. ADS due to its acquisition by Premium Lead Co. Ltd. of the British Virgin Islands.
Established in 1890 as a single-product brewery, San Miguel is the Philippines’ largest beverage, food and packaging company.
The changes in the Dow Jones Emerging Markets Consumer Goods Titans 30 Index will be effective as of the opening of trade on Friday, February 17, 2012.
Source: Dow Jones Indexes
State Street Global Markets Intends to Join LCH.Clearnet's SwapClear Service
January 13, 2012--LCH.Clearnet Ltd. (LCH.Clearnet) today announced that State Street Global Markets, LLC (SSGM), intends to join SwapClear, LCH.Clearnet's global over-the-counter (OTC) IRS clearing service, by June, 2012 subject to regulatory approval. SwapClear's total clearing membership is currently 61.
"Our membership will provide our institutional investor clients with a key venue for clearing the multiple swap products now being brought into a cleared environment under the emerging regulatory changes in Europe and the United States," said Clifford Lewis, executive vice president and head of State Street's Exchange business. "State Street's diverse, global client base demands a wide range of clearing choices across regions, exchanges and products. We look forward to joining SwapClear as a member and to making the benefits of its services available to our clients."
"As we continue to grow our global footprint, State Street, a highly respected financial institution, will be a welcome addition to our membership roster," said Michael Davie, SwapClear CEO. "Expanding our membership reinforces our position as the clearing service with the deepest pool of liquidity, and further demonstrates our commitment to providing superior risk management to the global IRS market."
Source: Swap Clear
Institutional Investors Call on U.S. Securities and Exchange Commission to Implement Financial Market Reforms
February 13, 2012--A coalition of institutional investors from around the globe today released a list of financial market reform priorities that they believe are necessary to protect shareowner rights and bolster investor confidence.
The 14 pension funds and plan sponsors representing $1.6 trillion in assets called on the U.S. Securities and Exchange Commission to complete what they called “unfinished business” in the wake of the financial crisis.
“We encourage the Commission to continue work on a proactive agenda advancing your mission to protect investors, maintain fair, orderly, and efficient markets, and to facilitate sustainable capital markets,” wrote the investor group in a letter to Mary Schapiro, Chair of the SEC. “Despite the enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act, we believe there is unfinished business that is critical to protecting and strengthening shareowner rights and investor confidence in the financial markets.”
Source: Calpers
ETFS US Precious Metals Weekly:Investors On Edge Over Greece Despite CME Cutting Precious Metals Futures Margins
February 13, 2012--CME Group lowers the margin requirements for gold, silver and
platinum for first time since June 2011 as volatility drops. 21-day volatility has plunged from highs over 25%p.a. to currently be under 15%p.a., prompting the CME to reduce margins on precious metals by 12%, 14% and 22% for gold, silver and platinum, respectively.
Ongoing uncertainty about the global economic outlook, however, contained price action in the precious metals space last week.
Gold trades narrow range, as uncertainty over Greece debt talks balanced by central bank stimulus. Gold eased off 10-week highs last week but offsetting influences have confined gold price to a narrow range between US$1700-$1760 over the past two weeks. Although gold’s positive correlation to other cyclical has risen recently, it has lagged the price gains of other precious metals over the past month. Investors remain cautious as the ongoing deliberations over the next tranche of Greek bailout funds threaten to break down, at the same time as central banks ramp up stimulus efforts. Ongoing liquidity support from the European Central Bank and the additional $50bn QE stimulus pumped into the UK economy by the Bank of England at last week’s MPC meeting should help keep the gold price supported. Recent currency volatility has also stymied physical buying, particularly in emerging markets as financial market sentiment remains unpredictable.
visit www.etfsecurities.com for more info.
Source: Source: ETF Securities
Spillovers to Low-Income Countries: Importance of Systemic Emerging Markets
February 13, 2012--Summary:This paper documents the expanding economic linkages between low-income countries (LICs) and a narrow group of "Emerging Market leaders" that have become major players in regional and global trade and financial flows. VAR models show that these linkages have increased the share of growth volatility that can be attributed to foreign shocks in LICs.
Dynamic panel models further analyze the impact of LIC trade orientation and production structure on the sensitivity to foreign shocks. The empirical results demonstrate that the elasticity of growth to trading partners’ growth is high for LICs in Asia, Latin America and the Caribbean, and Europe and Central Asia. However, for commodity-exporting LICs in Sub-Saharan Africa and the Middle East, terms of trade shocks and demand from the emerging market leaders are the main channels of transmission of foreign shocks.
view IMF Working paper-Spillovers to Low-Income Countries: Importance of Systemic Emerging Markets
Source: IMF
Pendulum swings in favour of equities
February 10, 2012--Investment managers are moving more money into shares, in response to improving market sentiment towards Europe and the US. But opinions still differ over where, and how long, to maintain these equity holdings.
In the past week, several UK firms have announced new, or “overweight” positions in equity markets, having shifted funds out of bonds, cash and other lower-risk asset classes.
Source: FT.com
IMF Working Paper-Debt, Taxes, and Banks
February 10, 2012-Summary
Understanding the impact of the asymmetric tax treatment of debt and equity on the capital structures of financial institutions is critical to shaping and assessing responses to the problem of excessive leverage that underlay the 2009 financial crisis - but there is no empirical evidence to draw on.
Guided by a simple model of banks‘ financing decisions in the presence of both regulatory constraints and tax asymmetries, this paper explores the impact of corporate tax bias on bank leverage, the use of hybrid instruments and regulatory capital ratios for a panel of over 14,000 commercial banks in 82 countries over nine years. On average, the sensitivity of banks‘ debt choices proves very similar to that of non-financial firms, consistent with rough offsetting of two opposing effects suggested by the theory. As the model predicts, somewhat counter-intuitively, the impact of tax on hybrids is generally weak or insignificant. Responsiveness to taxation varies significantly across banks, however: those holding smaller equity buffers, and larger banks, are noticeably less sensitive to tax.
view IMF Working paper-Debt, Taxes, and Banks
Source: IMF
