Let’s suppose for a moment that you are given a choice between two hypothetical exchange traded funds (ETFs) tracking the same index. Fund A has an annual management fee of 0.4% while Fund B has an annual management fee of 0.1%. At first glance, Fund B seems like the better option: it offers similar performance Read more […]
A new paper published today provides a new perspective on the active usage of products linked to S&P DJI indices, and illustrates the network of liquidity that has developed around the S&P 500® and other popular benchmarks. “Active” and “passive” are colloquial terms, and it can be hard to distinguish one from the other at Read more […]
In a prior blog, Getting to Know the S&P/BMV IPC – An Iconic Representation of the Mexican Equity Market, we examined the evolution of the S&P/BMV IPC and tracked its role from being a financial market indicator to serving as the basis for index-linked liquid investment products. In this blog post, we look at the Read more […]
The fixed income market has historically been relatively illiquid in India, as well as globally. The Indian bond market is smaller than other Asian markets like China and Korea, but it is more liquid than they are, yet it is still largely inaccessible to retail investors. The nature of trading that is almost entirely over Read more […]
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 […]
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 […]
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 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 […]
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 […]
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 […]
