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EDHEC-Risk Institute receives Eurex support for new research on volatility derivatives
March 3, 2011--EDHEC-Risk Institute (London, Nice, Singapore) has announced it will be conducting new research exploring the uses of volatility derivatives in equity portfolio management with the support of leading derivatives exchange Eurex. The research project’s emphasis will be on optimising access to the equity risk premium while controlling for downside risk and will be co-managed by Stoyan Stoyanov, head of research at EDHEC Risk Institute–Asia and Lionel Martellini, scientific director of EDHEC-Risk Institute.
According to Professor Stoyanov: “In 2008, worldwide equity markets collapsed and assets which conventional investment wisdom regarded as effective equity diversifiers also experienced dramatic falls. Meanwhile, equity volatility skyrocketed causing long positions in equity volatility derivatives to rally. These events dashed the exaggerated hopes placed in traditional forms of diversification and created interest in the possible use of volatility derivatives as diversifiers for traditional and alternative portfolios in general, and equity positions in particular. Against this backdrop, this new research project will look at how investors can use volatility derivatives to design equity portfolios with attractive downside-risk properties.”
Peter Reitz, member of the Executive Board of Eurex, said: “Eurex has been supporting worldwide academic research since 2003 and EDHEC-Risk Institute was one of the first and most active European institutions we have supported. As EDHEC-Risk Institute celebrates its tenth anniversary and develops into Asia, we are delighted to renew our partnership and sponsor new research into the uses of volatility derivatives.”
“The global financial crisis and stricter regulatory constraints have focused the attention of professional investors on the volatility and downside risk of their equity holdings, whetting their appetite for instruments that can help them manage their exposure. We believe that volatility derivatives are one suitable instrument and are looking forward to seeing academic research on this issue,” he added.
The Real Effects of Financial Sector Interventions During Crises-IMF Working Paper
March 2, 2011--Summary: We collect new data to assess the importance of supply-side credit market frictions by studying the impact of financial sector recapitalization packages on the growth performance of firms in a large cross-section of 50 countries during the recent crisis. We develop an identification strategy that uses the financial crisis as a shock to credit supply and exploits exogenous variation in the degree to which firms depend on external financing for investment needs, and focus on policy interventions aimed at alleviating the bank capital crunch.
We find that the growth of firms dependent on external financing is disproportionately positively affected by bank recapitalization policies, and that this effect is quantitatively important and robust to controlling for other financial sector support policies. We also find that fiscal policy disproportionately boosted growth of firms more dependent on external financing. These results provide new evidence of a quantitatively important role of credit market frictions in influencing real economic activity.
view the The Real Effects of Financial Sector Interventions During Crises IMF Working paper
Sovereign Credit Ratings and Spreads in Emerging Markets: Does Investment Grade Matter?
March 1, 2011--Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic fundamentals.
This compares to a 5-10 percent reduction in spreads following upgrades within the investment grade asset class, and no impact formovements within the speculative grade asset class, ceteris paribus. While global financial conditions play a central role in determining spreads, market sentiment improves with lower external public debt to GDP levels and higher domestic growth rates.
Oil jumps on Mideast unrest
March 1, 2011--Brent crude oil prices pushed back above $114 a barrel on Tuesday as the potential supply disruptions and unrest in the Middle East and North Africa kept investors on edge.
Clashes between opposition supporters and Iran's security forces in Tehran reported by an opposition website added to investor concerns about the security of oil supplies in the region
Black Rock New Report ETF Landscape: Industry Review - End January 2011
February 28, 2011--At the end of January 2011, the global ETF industry had 2,501 ETFs with 5,701 listings and assets of US$1,334.6 Bn from 138 providers on 47 exchanges around the world. This compared to 2,055 ETFs with 3,941 listings and assets of
US$984.0 Bn from 114 providers on 40 exchanges at the end of January 2010.
Additionally, there were 1,072 other ETPs with 1,785 listings and assets of US$164.3 Bn from 56 providers on 22 exchanges. This compared to 620 ETPs with 911 listings and assets of US$148.8 Bn from 38 providers on 19 exchanges at the end of January 2010.
Combined, there were 3,573 products with 7,486 listings, assets of US$1,498.9 Bn from 172 providers on 51 exchanges around the world, as at the end of January 2011. This compared to 2,675 products with 4,852 listings, assets of US$1,132.8 Bn from 137 providers on 43 exchanges at the end of January 2010.
International trade statistics: trends in fourth quarter 2010
February 25, 2011--Merchandise trade growth quickened in the final quarter of 2010 in most major economies, with record trade figures in China. Total exports of G7 and BRICS countries grew by 8% in the fourth quarter compared to 1% in the previous quarter and total imports grew by 7% compared to 1% in the previous quarter.
Exports were up 3% in China (to US$ 420 billion). But with imports rising at 9% (to US$ 379 billion), China’s trade surplus fell by US$ 17 billion to US$ 41 billion. In the United States the trade deficit decreased to US$ 152 billion, compared to US$ 160 billion in the third quarter, as exports grew by 5%and imports by 1%.
Germany’s trade surplus increased by US$ 10 billion in the fourth quarter of 2010 to reach US$ 54 billion, as export growth of 7% outpaced import growth of 4%. Double-digit export growth in Russia (19%) and South Africa (14%) also led to large increases in these countries’ trade surplus. In India export growth of 21% resulted in a significant decrease in the trade deficit.
Commodity Inflation in a Multi-Speed World -- Corporate Winners and Losers
February 24, 2011--Overview
Against a backdrop of continued recovery in the global economy and general improvements in corporate credit profiles, the recent sharp and sustained increase in a
basket of commodity prices represents a growing source of concern for fixed-income investors. Although core inflation measures in the U.S. and other developed economies remain largely in check (core CPI increased only
1.0% y-o-y as of January), input
inflation across a broad range of agricultural, energy, and industrial commodities has spiked sharply and is expected to put increasing pressure on margins and end-user prices in a number of commodity-dependent sectors in 2011.
Numerous factors point to the likely continuation of commodity input inflation as a drag on selective U.S. corporate credit quality improvement this year. The Fed’s persistent commitment to monetary stimulus in the face of high U.S. unemployment, reflected in its decision to continue with its $600 billion program to purchase Treasury securities, as well as the unevenness of the global recovery, highlighted by the weakness of the U.S. labor market and slower growth in Europe, is driving a bias toward policy stimulus in the U.S. that will likely support strong commodity pricing in 2011. Recent U.S. tax policy initiatives, contributing to a widening of the fiscal 2011 federal budget deficit projection to $1.6 trillion, have reinforced this pro-cyclical tendency. In addition, white-hot growth rates in major emerging markets such as China and Brazil continue to push up demand for commodities ? from energy, steel, and copper to beef and cotton. Absent more aggressive contractionary policies in the largest emerging economies, the drivers of robust commodity demand in emerging markets appear set to remain in place.
February 2011 “Market’s Measure” Preliminary Report
February 24, 2011--A Monthly Report From Dow Jones Indexes On The Performance Of U.S., European, Asia And Other Global Stock Market Indexes - Dow Jones Industrial Average Posts 1.80% Gain in February, European Stocks Gain 1.19%, Asia Rises 1.83% and World Equities Rise by 1.67% - Oil & Gas Sector Posts Biggest Gain for February in U.S - Technology Sector Takes the Hardest Hit for February in Asia & Worldwide
As of February 23, the Dow Jones Industrial Average rose 1.80% in February, closing at 12105.78. Stock market indexes in Europe, Asia and globally were up in February, according to preliminary monthly figures from global index provider, Dow Jones Indexes.
February 2011 “Islamic Market’s Measure” Preliminary Report - Monthly Report On The Performance Of The Dow Jones Islamic Market Indexes
February 24, 2011--Based on the close of trading on February 22, the global Dow Jones Islamic Market Titans 100 Index, which measures the performance of 100 of the leading Shari’ah compliant stocks globally, gained
1.40% month-to-date, closing at 2326.40. In comparison, the Dow Jones Global Titans 50 Index, which measures the 50 biggest companies worldwide, posted a gain of 1.82%, closing at 185.87.
-Euro nears key resistance; Swiss franc touches record high
February 24, 2011--Dollar hits record low vs Swiss franc for 2nd straight day
Fall in oil prices from peaks lends dollar some support
Euro nears $1.3862 resitance, above that would be 3-½ mth high
Aussie hits 10-year high vs NZ dollar on diverging rate view
The euro edged closer to a key resistance against the dollar on Friday, supported by more inflation-fighting rhetoric from the European Central Bank, while the Swiss franc touched a new peak on fears the unrest in Libya may spread to other oil producers.