Tag Archives: liquidity

How the Liquidity of S&P 500 Investment-Grade Bonds Compares Against Non-S&P 500 Bonds

Liquidity may be defined as the ability to buy or sell a bond within a reasonable period of time and at a reasonable price.  A simple way to compare two bonds is through the use of Trade Reporting and Compliance Engine (TRACE) daily volume data.  The data represents the daily aggregation of each reported trade Read more […]

Rieger Report: Factors impacting bond liquidity

Issuer name recognition and entity size seem to be factors in bond liquidity and as a result may be important considerations in index design.  Tracking the trade activity of corporate bonds issued by the ‘blue chip’ companies of the S&P 500 Index indicates liquidity is improved for these bonds over other bond issues. Of course, when making decisions Read more […]

The Rieger Report: Liquidity and Bond Index Design

As the liquidity of recent markets have been tested by the impact of low energy prices a look at index design and results may be valuable.  Focusing on investment grade corporate  bonds we can see dramatic differences in depth of liquidity as a result of index design. For investment grade corporate bonds two indices tracking these markets have very Read more […]

The Rieger Report: Junk Bond Trading Concentration & Impact on Liquidity

The concentration of bonds trading in the secondary market rises the weaker the credit quality of bonds. The distressed segment of the junk bond market has the most concentrated trading activity indicating that the majority of bonds in that segment are significantly less liquid. The top 20% of bonds in the S&P U.S. Distressed High Read more […]

Dow Jones Commodity Index Wins Independence

There could be no more symbolic time than just before the July 4th holiday for S&P Dow Jones Indices (S&P DJI) to announce the Dow Jones Commodity Index (DJCI), an alternative to the former DJ-UBS. This is the first ever commodity index under the Dow Jones brand to be fully free from conflicts of interest, plus Read more […]

A Glance at the Liquidity of the Sukuk Market

Despite the challenging global environment and the shrinkage in sukuk issuance in 2013, the liquidity of the sukuk market, as tracked by the Dow Jones Sukuk Index, showed a slight improvement in the same period. The Dow Jones Sukuk Index is designed as an independent benchmark to measure the performance of the U.S.-dollar-denominated, investment-grade sukuk Read more […]

Taking Risk and Making Money

My colleagues, Daniel Ung and Xiaowei Kang, recently published an article on alternative commodity strategies. Below is an intro and some highlights: “Ever since the publication of Professor Harry Markowitz’s work in 1952, modern portfolio theory has been one of the cornerstones of asset allocation and portfolio construction. Until recently, the principal building blocks used to Read more […]