Solutions
LCH.Clearnet Limited’s (LCH.Clearnet) market leading over-the-counter (OTC) interest rate swap (IRS) clearing service, SwapClear, has extended the range of currencies available for clearing. Interest rate swap trades denominated in Hungarian Forint (HUF), Czech Koruna (CZK) and Singaporean Dollars (SGD) out to 10 years can now be cleared.
Following the extension, 17 of the world’s largest currencies with maturities of up to 50 years are available for clearing through SwapClear. The unique and extensive product scope the service offers enables over 95% of all eligible IRS trades to be cleared, fostering transparency and security in the OTC derivatives market. Broadening the
JP Morgan has been selected by investment management firm AQR Capital Management, LLC (AQR), adviser to the AQR Funds, to provide prime custody and fund administration to its newly launched mutual fund – the AQR Multi-Strategy Alternative Fund. As described by AQR, the Fund seeks exposure to the following sub-strategies: Convertible Arbitrage, Event Driven (including Merger Arbitrage), Fixed Income Relative Value, Equity Market Neutral, Long/Short Equity, Dedicated Short Bias, Global Macro, Managed Futures and Emerging Markets.
AQR, which was founded in 1998, is based in Greenwich, Connecticut and indicates as of June 30, 2011 that it manages approximately USD40 billion in
Singapore Exchange (SGX) is consulting the public on its proposal to change the algorithm used to compute the equilibrium price at which orders are matched at the end of the opening and closing routines and adjust phases in the securities market.
The proposed algorithm will compute a price that is a better reflection of the market. This is because the algorithm’s parameters allow for a better accounting of the forces of supply and demand. This algorithm is also used by the Australian Securities Exchange (ASX) and NASDAQ OMX.
To facilitate market participants’ understanding of the proposed algorithm the changes to
Managed futures lost 1.31% in June according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, the Barclay CTA Index is down 1.51%. Seven of Barclay’s eight CTA indices had losses in June.
The Barclay Diversified Traders Index dropped 2.24%, Systematic Traders were down 1.97%, Agricultural Traders lost 0.11%, and Currency Traders were down 0.35%.
“The only thing that went up in June was volatility,” says Sol Waksman (pictured), founder and president of BarclayHedge. “Three major trends are creating a deep underlying uncertainty that is driving this volatility.
“The first issue is loose money in developed markets in an attempt
Although they outperformed the broader market, July was a second tough month at the office for Australian hedge fund managers. Based on 70% of the funds that have reported to date, the average fund lost -1.41% compared with the ASX 200 which fell -2.13%. This follows from May’s negative results when the average fund lost -0.68% compared with the ASX 200 which fell -2.38%.
At one stage the ASX200 was down around 6%, before a rally and some year end window dressing left the market looking much more respectable than it really was. Downward pressure from the Euro zone debt
NYSE Euronext has extended its range of indices into the commodity asset class with the launch of four single commodity indices based on its NYSE Liffe Milling Wheat Futures Contract and Cocoa Futures Contract respectively.
The new single commodity indices will measure the performance of a strategy which consists of investing in the most active delivery month of the relevant Futures Contract, measured by level of open interest. When the expiry date of this delivery month approaches, the investment is rolled into the next most active delivery month. The indices offer investors an easy way to track the NYSE Liffe
NYSE Liffe, the global derivatives business of NYSE Euronext, has gained the first broker headquartered in the People’s Republic of China through its Hong Kong subsidiary. GF Futures (Hong Kong) Co Ltd became a trading member of NYSE Liffe on 14 July 2011.
Dr XIAO Cheng, the General Manager of GF Futures, says: “We are honoured to be the first Chinese broker to become a member of NYSE Liffe. This will give us a better understanding of the European market. Being a member of NYSE Liffe offers our customers the access to international market as well as being a
ProShares has launched the ProShares Hedge Replication ETF (HDG). HDG’s benchmark is based on Merrill Lynch’s recognised hedge fund replication model. The ETF lists on NYSE Arca today.
HDG seeks to provide the risk/return characteristics of a broad universe of hedge funds without many of the challenges of hedge fund investing. Historically, a broad universe of hedge funds, as measured by the HFRI Fund Weighted Composite Index, has had attractive risk-adjusted returns relative to equities (past performance is not a guarantee of future results). However, there are many deterrents to investing in hedge funds, such as illiquidity, limited transparency and
Newedge has posted the monthly performance data for its suite of hedge Fund Indices. All bar one of the indices were in negative territory dung the month with the Newedge Volatility Trading Index the only positive performer at +0.89% (+5.11% year-to-date).
The Newedge CTA Index was down 1.69% in June (-3.96 YTD) while the index’s top performers for the month included: IKOS FX Fund: est. +3.36 per cent; Ortus Capital Mgmt. (Currency): est. +1.07 per cent; and Mapleridge Capital (Diversified): est. +0.06 per cent.
The Newedge AlternativeEdge Short-Term Traders index meanwhile, was down 0.12%. Its top performers for the
Quintillion Limited, an independently operated hedge fund administration company, has released a new version of its client reporting portal, Q-Reports.
The new portal provides Quintillion’s hedge fund clients with ground-breaking transparency, uniquely enabling them to view real-time information on the progress of their fund through all stages of Quintillion’s world class control and exception management environment. Hedge funds will now have a live view as each stage is completed and reviewed all the way from trade capture to investor statement production.
Q-Reports brings the recognised efficiency and transparency of Quintillion’s respected Q-Control dashboard directly to the client’s desk.
