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Arbitrageurs can propagate liquidity shocks between related markets. That’s the premise of an intriguing new white paper presented by Professor Francesco Franzoni (pictured) of the Swiss Finance Institute, University of Lugano, at the Lyxor Research 4th Annual Hedge Fund Research Conference in Paris.
Franzoni, along with co-authors Rabih Moussawi of The Wharton School, University of Pennsylvania and Itzhak Ben-David, Fisher College of Business, Ohio State University, chose to focus on exchange traded funds in their paper ETFs, Arbitrage and Contagion, because of the incredible boom they’ve enjoyed over the last decade (there are now over 1,000 in the US alone).
SVM Asset Management, the Edinburgh based investment boutique, has launched a strategic partnership with Level E Capital, an Edinburgh based hedge fund.
SVM Asset Management has made a significant level of investment in the Maya Market Neutral fund, a long short absolute return fund, through the SVM Global fund.
The Maya Market Neutral fund, which launched in early January, is a systematic, long short equity fund investing in large cap UK and US equities. The fund has a liquid, diversified portfolio of 400 positions, an average gross exposure of 200% and a target return of 15%, with a market correlation
Singapore Exchange (SGX) saw year-on-year growth in its commodities, clearing and fixed income activities in January 2012.
Securities daily average value was notably 47% higher at SGD1.3 billion in January compared to a seasonally quiet December 2011, but down 27% year-on-year.
Exchange traded fund turnover declined 36% to SGD509 million.
Structured warrants volume increased 67% year-on-year to 3.5 billion units.
Derivatives daily average volume was up 10% at 265,590 contracts compared to December 2011, and up 2% year-on-year.
On a month-on-month basis, China A50 futures trading increased 18% to 403,621 contracts; Nikkei 225 futures trading decreased 12% to 1.7 million
The Blackstone Group has reported Economic Net Income (ENI) of USD1.389 billion for the full year 2011, slightly lower than USD1.418 billion ENI for the full year 2010.
The decline in ENI compared to the full year 2010 was driven principally by a slowing in the rate of increase in the carrying value of assets as of 31 December, 2011 across Blackstone’s investment segments, offset by an increase of USD246.5 million, or 15%, in Total Management and Advisory Fees to USD1.878 billion for the full year 2011.
ENI was USD449.9 million for the three months ended December 31, 2011, a
EFAMA this week was broadly in agreement with proposals setting out future guidelines on UCITS ETFs and other UCITS issues detailed by the European Securities and Markets Authority (ESMA) in
AllianceBerstein has rolled out a new US equity fund with the intention of capitalizing on growth opportunities in large and mid-cap stocks thrown up by slow economic growth reported Citywire Globa
US-based Monsoon Capital, which focuses on emerging markets, has selected SEI to provide full fund administration, trustee and custodial services for its newly launched UCITS fund.
It’s been a busy start to the year for ML Capital.
The Swiss Competition Commission (COMCO) has opened an investigation into twelve major banks over suspicions that they may have colluded to depress interbank interest rates used in multi-billion derivatives trades.
Beside the two major Swiss banks UBS and Credit Suisse, ten foreign banks (Bank of Tokyo-Mitsubishi UFJ, Citigroup Inc., Deutsche Bank Aktiengesellschaft, HSBC Holdings plc, JP Morgan Chase & Co, Mizuho Financial Group Inc., Rabobank Groep N.V., Royal Bank of Scotland Group plc, Société Générale S.A., Sumitomo Mitsui Banking Corporation) and other financial intermediaries are subject to this investigation led by COMCO’s Secretariat. One of the key aims of the
MarketAxess has released its first year-end review of trading activity in the US corporate bond market for 2011. The analysis was conducted by MarketAxess Research.
The analysis is based on FINRA TRACE and other publicly-disseminated data, as well as proprietary trading data from MarketAxess from January through December 2011. MarketAxess Research uses its own proprietary approach to analyze price movements and liquidity trends.
Rick McVey, Chairman and CEO of MarketAxess, says: “Following a period of generally favourable conditions in the credit markets in 2010 and early 2011, the second half of 2011 saw headwinds develop, with widening credit spreads
