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The equity weighting of the Dow Jones Golden Crossover US Large-Cap Total Stock Market Index is to increase over the next four days to 100% from 25%.
Previously, the remaining 75% had been allocated to US T-Bills.
The index’s quantitative and rules-based algorithm has signalled the start of an upward-trending market condition. The indication, called a “Golden Cross”, occurs when a market’s 50-day moving average crosses above its 200-day moving average.
The Dow Jones Golden Crossover US Large-Cap Total Stock Market Index applies the “Moving Average Crossover System” to US large-cap equity securities. Based on a risk-based methodology,
The Hedge Fund Standards Board (HFSB) has agreed a series of changes to make its Standards more international and to strengthen them in the light of the financial crisis.
The amendments, which follow a consultation with investors and managers, pave the way for an HFSB drive to increase support among investors and hedge fund managers in the US and Asia.
Reflecting the growing international focus, Towers Watson, the global investment consultant, has recently become a Core Supporter of the HFSB. Goldman Sachs Hedge Fund Strategies, a business within the Goldman Sachs’ Alternative Investments & Manager Selection group, Grosvenor Capital
HSBC has launched a High Net Worth & Institutional share classes for the HSBC Next Generation Fund.
The HSBC Next Generation Fund invests in new and upcoming hedge fund managers globally aiming for an annualised target return of 12% to 15% over a market cycle with target volatility of 8% to 10%. The Fund offers monthly liquidity.
The HSBC Next Generation Fund is a concentrated portfolio comprising of 10 to 15 emerging managers investing across all hedge fund strategies. The underlying managers must have sound industry reputation and a proven track record at investment banks and established hedge funds.
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
South Korea-based Truston Asset Management is preparing to launch a pan-Asia long/short equity fund from its Singapore office reported <
Dan McNicholas, former director and head of financing sales for Global Mark
Ranodeb Roy (pictured), Morgan Stanley’s former head of fixed income
The US Commodity Futures Trading Commission (CFTC) has charged Angel Fernando Collazo of Salinas, Puerto Rico, and his companies, ACJ Capital, Inc. (ACJ) and Solid View Capital LLC (Solid View), both of San Juan, with fraud and misappropriation in a USD1 million off-exchange leveraged foreign currency (forex) Ponzi scheme.
On 9 February, 2012, the court entered a statutory restraining order freezing the defendants’ assets. On 14 February, 2012, the court entered a consent preliminary injunction maintaining the asset freeze and barring defendants from violating various anti-fraud and registration provisions of the Commodity Exchange Act and Commission regulations.
The CFTC complaint alleges that Collazo and his
State Street Corporation has expanded its end-to-end derivatives solution to include an execution platform for the trading of derivatives products.
The launch of this swap execution facility (SEF), SwapEx, coincides with the 2012 implementation of significant regulatory changes in the United States and Europe.
State Street’s comprehensive derivatives solution already includes clearing, servicing, custody and accounting, collateral management, valuation, and risk and analytics.
As the Dodd-Frank Act and similar measures under European Market Infrastructure Regulation (EMIR) and Markets in Financial Instruments Directive (MiFID) are adopted, the large majority of swap contracts currently traded over the counter (OTC) directly between two
Vistra Fund Services has launched Vistra Fund Services Asia Limited, to complement the group’s fund administration operations in Jersey and Luxembourg. The new operation, which is based in Hong Kong, will provide fund administration and associated services to fund managers throughout Asia.
Rapid growth and acquisitions in this region by fund management clients of Vistra’s Jersey and Luxembourg offices have been behind the strategic decision to broaden operations into Asia with a specific fund services offering designed to meet the individual requirements of the Hong Kong and Asian markets.
Vistra has assembled a highly experienced team to spearhead growth
