Download - IndexUniverse.com

More documents

Recommendations

Info

number of indexers moving into the frontier market category. The new index covers 50 of the largest and most-traded companies from 17 countries in Asia, Africa, Europe and the Middle East. The list includes companies from countries like Nigeria, Cyprus, Kazakhstan and Morocco. Vietnam, one of the most spectacular frontier market success stories, is also included. Stocks eligible for inclusion must have a minimum market capitalization of $500 million and a minimum three-month average daily turnover of $750,000. They must also have a foreign ownership limit of more than 15 percent. There is not yet an ETF tied to the index, but many expect one to launch in the future. News the same methodology as the UBS Bloomberg Constant Maturity Commodity Index, which incorporates multiple maturities into its calculation and has a complex, multifactored weighting methodology. “The UBS Bloomberg CMCI Food Index was developed in response to a growing demand from investors looking to hedge against this price inflation as well as from those looking to buy food-related commodities for diversification purposes,” said UBS head of Commodity Index Structuring Morgan Metters. At the index’s launch, corn had the largest weighting, at 17.33 percent, followed by soybeans, at 14.94 percent. According to UBS, the new index is designed to underlie investable index-based funds tied to the benchmarks, which are the company’s first broad-based, global benchmarks. The indexes evaluate more than 700 stocks from 24 countries around the world, and include a flagship index and five regional subindexes. Northern Trust rolled out its Northern Global Sustainability Index Fund in March. The no-load mutual fund charges an expense ratio of 65 basis points. Meanwhile, TIAA-CREF has licensed the index to use in its previously all-domestic, actively managed CREF Social Choice variable annuity account. The portfolio is the largest socially screened portfolio in the U.S., with 430,000 investors and $9.2 billion in assets. Finally, Pax World Management Not even a year after it launched its global sustainability indexes, KLD is licensing them near and far. UBS Index Tracks Food Inflation Spurred on by the continuous increases in food prices, UBS AG and Bloomberg Finance have launched the UBS Bloomberg CMCI Food Index. The new commodity index covers 13 different food commodities ranging from orange juice and lean hogs to coffee and soybeans. The index is based on Merrill Lynch recently launched a carbon emissions benchmark. products like ETFs. It is calculated in U.S. dollars, euros and Swiss francs. KLD Racks Up Licensees Not even a year after it launched its global sustainability indexes, KLD is licensing them near and far. As of March 2008, Northern Trust, TIAA-CREF and Pax Worldwide Management Corp. now offer KLD Corp. has licensed the KLD Global Sustainability Index, the KLD North America Sustainability Index and the KLD Europe Asia Pacific Sustainability Index for use in a variety of investable products, including ETFs. Merrill Tracks Emissions Contracts With New CO2 Emissions Index Merrill Lynch recently launched a carbon emissions benchmark, the MLCX Global CO 2 Emissions Index, that tracks two types of emissions contracts. The contracts are the European Union Allowance (EUA) contracts established under the European Union Emission Trading Scheme and the Certified Emission Reduction (CER) contracts that are part of the Kyoto protocol. The two contracts have equal standing in the index, but component weightings are based on liquidity. Merrill also calculates a subindex for both contract types. According to a Reuters article, CER contracts represent about 29 per- 50 July/August 2008
cent of the index, while EUA contracts represent about 71 percent. It is likely the firm will add other types of emissions contracts to the broad emissions index as they begin trading on the relatively new and developing global carbon credit market. Merrill’s intent is for the MLCX Global CO2 Emissions Index to be used to underlie investable products, like ETFs. S&P Offers A Narrow Slice Of India At the end of March, S&P launched the S&P India 10 Index. With only 10 components, the new index seems comparatively narrow. Capitalization minimums are the reason. Companies eligible for inclusion must have market capitalizations of at least $500 million and a monthly average daily traded value of $1 million. Rather than size, the components are selected and weighted based on liquidity, with a 20 percent cap placed on individual components. Stocks are selected from the S&P/IFCI India Index. All components trade as ADRs or GDRs on developed market exchanges. S&P accounts for the foreign ownership restrictions when determining a company’s float, which should take care of the new restrictions on capital inflows imposed by the Indian government last year. The index itself was designed to underlie investment products, according to S&P. News S&P Offers Access To Africa With Three New Indexes Standard & Poor’s recently launched its Africa index series, the first of its kind from a large index provider. The S&P Pan Africa Index is designed to represent 80 percent of the market capitalization of each of 12 African markets: Botswana, Cote D’Ivoire, Egypt, Ghana, Kenya, Mauritius, Morocco, Namibia, Nigeria, South Africa, Tunisia and Zimbabwe. It has a total of 333 companies and represents about $362 billion in adjusted market capitalization. The S&P Africa Frontier Index excludes Egypt, Morocco, South Africa and Tunisia and has a market cap of around $72 billion. Lastly, there is the narrowly defined S&P Africa 40 Index, which includes the largest and most liquid stocks in the continent. It has components from eight African countries and a market cap of $207 billion. New Alternative Long-Short Fund From Rydex In March, Rydex Investments launched a new long-short index mutual fund that uses a fund of funds approach to investing in alternative benchmarks that include ETFs. The Rydex Alternative Strategies Allocation Fund (RYFOX) can allocate its assets to absolute strategies in five segments using ETFs or mutual funds. Around the time of its launch, the fund was invested primarily in (by order of total assets) the Rydex Managed Futures Strategy Fund (RYMFX), which tracks the S&P Diversified Trends Indicator index (47.5 percent of the portfolio); the Power- Shares DB G10 Currency Harvest (AMEX: DBV) ETF (21 percent); and the Rydex Commodities Strategies Fund (RYMEX), which follows the S&P GSCI Commodity Index (14 percent). The remainder of the portfolio was invested in the Rydex Real Estate Fund (RYREX). The RYFOX fund rebalances monthly but can do so even more often depending on its quant screens. The annual expense ratio is estimated at 1.76 percent. No fund of funds fees are charged. Direxion Leverages India In March, Direxion Funds expanded its offering of leveraged mutual funds that track emerging markets with the launch of its India Bull 2X Fund (DXILX), which aims to capture 200 percent of the daily price performance of the MSCI India Total Return Index. The new fund invests mainly in the iPath MSCI India Index exchange-traded note (NYSE Arca: INP) and derivatives linked to it. Direxion says it will use other exchange-traded products that track India’s market if INP continues to have difficulty tracking its index. DXILX charges a net management fee of 1.50 percent. AROUND THE WORLD OF ETFS PowerShares Puts A Twist On Things With Three New Funds In early April, PowerShares launched three new exchange-traded funds that evaluate well-known markets in innovative ways. The PowerShares Global Nuclear Energy Portfolio (NYSE Arca: PKN) uses an underlying index with a hybrid weighting methodology combining equal weighting and marketcapitalization weighting to track the nuclear energy market. The index is provided by WNA Global Indexes, which was formed last year in partnership with the World Nuclear www.journalofindexes.com July/August 2008 51
Page 1 and 2: How Neuroeconomics Can Make You A B
Page 3 and 4: Contributors David Blitzer Matt Hou
Page 5 and 6: David Smith Publisher dsmith@fa-mag
Page 7 and 8: From the world’s leading ADR expe
Page 9 and 10: [The following is an excerpt from J
Page 11 and 12: • It became a common belief, base
Page 13 and 14: targets; instead, these neural conn
Page 15 and 16: Zweig: Absolutely, it is a lot of w
Page 17 and 18: The naked eye sees ten good investm
Page 19 and 20: Behavioral finance has been making
Page 21 and 22: quite a while, and during those per
Page 23 and 24: JoI: What are the biggest mistakes
Page 25 and 26: The Frontier From Different Views S
Page 27 and 28: Figure 3 Annual Index % Performance
Page 29 and 30: Israelsen continued from page 29 of
Page 31 and 32: Exchange-traded fund investors love
Page 33 and 34: liquidity of the underlying compone
Page 35 and 36: Exchange-traded funds, long known a
Page 37 and 38: Figure 1 Large-Cap Comparison Ticke
Page 39 and 40: used as the case study for this pap
Page 41 and 42: The ABCs Of ETFs Alpha, Beta and Co
Page 43 and 44: Figure 3 Source: ETFGuide.com Avera
Page 45 and 46: Behavioral Finance Roundtable conti
Page 47 and 48: Figure 1 Peak Date Ups And Downs Of
Page 49: apidly in the 2004/2005 periods, wi
Page 53 and 54: ship restrictions at each review. T
Page 55 and 56: Philadelphia Board of Trade subsidi
Page 57 and 58: Global Index Data Selected Major In
Page 59 and 60: Morningstar U.S. Style Overview Jan
Page 61 and 62: Exchange-Traded Funds Corner Larges

Download - IndexUniverse.com

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?