Full Year 2013 Market Fact Book
|
|
- Ariel Foster
- 5 years ago
- Views:
Transcription
1 Full Year 2013 Market Fact Book Weeden & Co. Weeden Program Trading Group January, 2013 Highlights from our Full Year 2013 Market Fact Book When most people look back on 2013, they are going to undoubtedly remember the historic 29.6% run for the S&P 500. What will likely be forgotten is the record number of IPOs, secondaries and spin-offs that we believe could mark the beginning of a surge in the equity industry as a whole. With all the capital that was raised this year, don t be surprised to see historic M&A activity in 2014 after what was a surprisingly average year for the space in Despite a poor December, Small Cap stocks led the market higher in 2013 with the Russell 2000 topping the S&P 500 by 7%. We saw other risk on trends emerge when we ran our full year factor decile analysis of the S&P 500. The best performing decile was the 50 stocks with the highest short interest ratio as of December 31 st, 2012, while the decile with the highest dividend yield was the worst performing group in the entire index last year. No year would be complete with-out more changes to the US market structure landscape. In April, the exchanges rolled out Limit Up/Limit Down and new market-wide circuit breakers in response to the Flash Crash of We recap all of this year s changes in our 2013 Market Structure Time Line, and provide some interesting statistics regarding what we ve learned since odd lots began printing to the tape.
2 Corporate Actions Accentuate 2013 Bull Run Though it is well known that 2013 was one of the best years ever for equity performance, it was not the run in the S&P 500 that caught our eye last year but the way in which companies were utilizing the capital markets. We saw a historic level of IPOs and secondaries in 2013, with 217 companies going public in the US more than any year we could find going back to Secondary offerings boomed, with more than double the amount of offerings in 2013 than most years in recent history. 121 Number of Secondaries ( ) We believe that the budding activity in the corporate action space, coupled with undeniable Year Source: Bloomberg performance across almost every sector is one of the more long-term bullish signals the US markets have seen since the collapse of Lehman. Another way in which companies were utilizing the capital markets to grow their businesses last year was via spin-offs. We saw more spin-offs in the US than in any year since 2008, with 27 companies effecting spin-offs in the US. One interesting thing to note is that despite all the chatter around the bizarrely valued Tech IPOs and acquisitions, it was the consumer space that led the surge in corporate actions last year. Consumer IPOs made up 38% of the 2013 calendar, more than any other sector, with seven times as many new issues as there were in the tech space. Likewise, nine of the 27 spin-offs affected this year were in the consumer space, more than Tech, Industrials, Energy, and Materials combined Number of US IPOs (Dot-Com Bubble through 2013) Source: Bloomberg Year A few other bullet points that are worth mentioning with-in the context of our bullish sentiment: Three month Realized Correlation for the S&P 500 according to Bloomberg is.25, one of the lowest readings we ve seen since 2008 Both domestic and international equity funds reported historic inflows in See page 11 for specifics Equity volumes seem to finally be in a trough, after double digit decreases year over year, US volumes were pretty much flat in We are hopeful that active IPO, spin off, secondary and split calendars will propel volumes higher in the near future
3 3 Asset Class & Sector Performance in 2013 Major Asset Class Performance in 2013 Russell 2000 Small Cap Index S&P 500 Large Cap Index Natural Gas Cotton Crude Oil High Yield Debt (JNK) MSCI Reit Investment Grade Corporate Debt (LQD) MSCI Emerging Markets Index (EEM) 10 Year Treasury Coffee Spot Gold Spot Silver -45% -30% -15% 0% 15% 30% 45% Discretionary Tops All Sectors in % 26% 26% 26% 36% 41% 41% 43% 13% -54%
4 4 Volumes & Venue Market Share December Russ Odd Lot Statistics $1,400 $1,200 PCLN GOOG The chart displays Russell 3000 stocks with more than 10% of volume trading in Odd Lots (20% of Index) $1, Share Price $800 MA $600 AAPL CMG Bubble size is total Odd Lot Volume from 12/10 12/20 37 stocks saw a 20% increase in volume due solely to odd lot reporting $400 $200 $0 7.00% -$ % 17.00% 22.00% 27.00% 32.00% 37.00% 42.00% % of Volume Attributable to Odd Lots US Equity Volumes Down only 3.5% Year over Year, Were Down 18% 2011 to ,000 7,000 6,000 5, , ,000 2,000 1,000 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
5 # of Odd Lot Trades (MMs) 5 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% % of Volume on the Close Reaches New Highs in % Venue Full Year 2013 Break Down 2 BATs BZX 8.43% B/D Internalized & Other ATS 35.98% Boston 2.47% NYSE 11.68% ARCA 10.59% NASDAQ 15.67% BATs BYX 1.97% BIDs 1.14% AMEX 0.29% PSX 0.70% Direct Edge 11.08% 966,086, Average Daily Volume On Major US Exchanges 720,505, ,201, ,962, ,645, ,456, ,671,541 42,993,463 17,950,485 NASDAQ NYSE Direct Edge ARCA BATs BZX Boston BATs BYX PSX AMEX Distribution of S&P 500 Odd Lot Trades by Size
6 Liquidity Seeking Liquidity Seeking Standard Strategies Standard Strategies 6 Self-Traded Strategy Usage 2012 Strategy Breakdown CLOSE 6% POV 7% TWAP 1% VWAP 33% Arrival Price 5% Bullseye 5% Capture 6% Ghost 9% OnePipe 27% 2013 Strategy Breakdown CLOSEIQ 11% POV 11% TWAP 3% VWAP 32% Arrival Price 3% Bullseye 3% Capture 6% Ghost 7% OnePipe 22% Capture, 6% Bullseye, 5% Arrival Price, 5% Close, 6% POV, 7% Ghost, 8% TWAP, 1% VWAP, 33% OnePipe, 27% Bullseye, 3% Capture, 6% POV, 11% TWAP, 3% Ghost, 7% CloseIQ, 11% Arrival, 3% OnePipe, 22% VWAP, 32% In 2013, we introduced a new algorithmic trading strategy called CloseIQ, which optimizes the way in which our customers can interact with the ever increasing amount of volumes into and on the close (See Page 5). In its first year of inception, CloseIQ made up 11% of all shares executed by customers algorithmically. Customers executed 128% more shares via CloseIQ in 2013 than they did purely on the close in 2012 Algorithmic flow as a whole was up 19% in 2013 (Year over Year). Interestingly, OnePipe usage was essentially flat year over year (up 75Bps) making up 22% of 2013 usage vs 27% in 2012, as accounts favored POV and CloseIQ strategies
7 Jan. 11 SEC disapproves Nasdaq s bid for Benchmark Order types (VWAP, TWAP, POV) February March 7 SEC unanimously approves Regulation SCI, which will require exchanges, clearing firms, and large dark pools to adopt policies to prevent failures, and perform regular stress testing Apr. 8 FINRA rolls out Phase I of Limit Up/Limit Down Pilot Program and NYSE decommissions its Liquidity Replenishment Program at the request of the SEC April May 31 NYSE files to reinstitute their Liquidity Replenishment Program (LRP) after several stocks fall to a penny due to lack of LU/LD curbs in first 15 and last 30 minutes of the day May 7 January Jan. 10 BATS admits it allowed a small amount of trades to violate Reg. NMS for four years March Feb. 26 Exchanges officially file Consolidated Audit Trail (CAT) Request for Proposal Apr. 8 Exchanges begin one year pilot program for new market-wide circuit breakers with reduced thresholds June 2013 Market Structure Timeline June 14 Exchanges begin drafting pilot program for wider spreads in illiquid, small-cap stocks as part of the JOBS act July 15 FINRA approves proposal which would require Dark Pools to report trades at the end of each week Aug. 26 BATS and Direct Edge announce proposed merger agreement Aug. 8 SEC amends Large Trader, requiring brokers to maintain only DMA trades as of Nov Final compliance date has been extended to Nov 2015 October Oct % Buyside-owned venue IEX opens trading December Dec. 9 Odd Lots begin printing to the tape with new I modifier July July 23 Exchanges extend Limit Up/Limit Down curbs to the first 15 minutes of trading Aug. 22 Message flood takes down SIP, halting trading on Nasdaq for over three hours Sept. 3 New Front Running Rule 5270 becomes effective, requiring only negative consent Oct. 17 US Debt Ceiling Deadline November Dec. 4 Exchanges delay Limit Up/Limit Down curbs for the last 15 minutes of trading to February 24 th, 2014
8 8 What Worked In 2013 S&P 500 Factor Decile Analysis *See last page for how to read our factor analysis Highlights from our Decile Analysis It may come as little surprised that yield was the big story of No other factor had a wider spread between the top/bottom deciles than yield, with the 50 lowest yielding names in the 500 crushing the 50 highest yielding names by 34%. At the same time, the 50 highest yielding names were the single worst performing decile in the S&P last year. Three other factors that had notable spreads between the top and bottom deciles were Short Interest, Volatility, and Financial Leverage all of which paint a picture of risk being on in 2013 o The 50 stocks that had the highest short interest on 12/31/2012 were the best performing decile in 2013, followed closely by the 50 most levered stocks, which were driven by performance in the big banks. One interesting theme that was different from what we saw in 2012: momentum persisted throughout 2013, with the more over-bought stocks outperforming the more over-sold stocks as measured by 30D RSI on 12/31/2012 o The 50 stocks with the highest RSI on 12/31/2012 were the best performing decile by RSI, up 42.5% in That group was flat to the market in 2012, with strength coming in the middle of the pack for RSI that year
9 9 Equity Fund Flows 4 Annual Net Flows by Product Including Exchange Traded Funds $123.4 $72.7 $60.2 $54.2 US Equity Intl Equity Money Mkt Taxable Bonds Muni Bond $(47.9) $ January Flows a Harbinger for Record Returns $36.5 $(11.7) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
10 10 How to Read the Factor Analysis Our factor analysis breaks down the S&P 500 into 100 groups based on the factors listed on the far left of the chart. Each row takes a factor (e.g. Market Capitalization) and sorts the S&P 500 into 10 groups of 50 based on that factor (called deciles). For example, the first row listed (Market Cap) is sorted from largest to smallest (as indicated) with decile one consisting of the 50 largest stocks in the index and decile 10 consisting of the 50 smallest. It s important to note that a stock in decile one for Market Cap will likely not be in decile one for any other factor. For example, GOOG is in decile one for Market Cap, but decile 10 for Dividend Yield, as it does not pay a dividend. Blue shading means that decile outperformed the S&P, while red shading means the opposite. A simple spread analysis exists on the right which shows the capturable spread between decile one and ten. The growth vs. value decile ranks the S&P 500 names based on their weights in the growth and value 500 indices as described in the figure. Contacts Matthew Ciccone Director of Quantitative Strategy Weeden Program Trading Group mciccone@weedenco.com 1 Excludes Third Friday of Each Quarter and Russell Reconstitution 2 Venue market share reported by BATs, Direct Edge, BIDs, and Level Daily Trading summary 3 Calculated for the S&P 500 over the period of 12/10 1/3 4 All fund flows reported by Thomas Reuters Lipper Funds, formerly AMG All Market Data is from Bloomberg or NYSE TAQ Disclosure: This publication is prepared by Weeden & Co.'s trading department, and not its research department. This publication is for information purposes only and is based on information and data from sources considered to be reliable, but it is not guaranteed as to accuracy and does not purport to be complete and are subject to change without notice. This publication is neither intended nor should be considered as an offer or the solicitation of an offer to sell or buy any security or other financial product. Nothing contained herein is intended to be, nor shall it be construed as, investment advice. Information contained herein provides insufficient information upon which to base an investment decision. Any comments or statements made herein do not necessarily reflect those of Weeden & Co. LP or its affiliates Weeden & Co. LP.
January Market Fact Book
January Market Fact Book Weeden & Co. Weeden Program Trading Group January, 2014 Highlights from our January Market Fact Book Though many on the Street want to hit the panic button after what was one of
More informationWeeden Market Structure Fact Book
Weeden Market Structure Fact Book November 2018 Updates It was a volatile month in the energy markets as crude was down over 2 while natural gas was up over 4; the energy sector was down ~2%. The Russell
More informationWeeden Market Structure Fact Book
Weeden Market Structure Fact Book June 2018 Updates The New York Stock Exchange criticized the SEC, claiming the proposed SEC fee plan would be too disruptive and could potentially cost investors $1 Billion.
More informationWeeden Market Structure Fact Book
Weeden Market Structure Fact Book May 2018 Updates The Federal Reserve proposed in May easing the original Volcker rule set forth during the financial crisis. The proposal, known as Volcker 2.0, would
More informationJuly 2012 Chartbook The Halftime Report
Average Daily $VA LUE Traded ($Billions ) $Billions (212 ( US China Japan CHI-X London Hong Kong Germany France Canada Korea Australia Brazil Taiwan Spain India Italy $billions Switzerland Sweden Amsterdam
More informationThe Impact of Exchange Traded Funds on Intraday Correlations Weeden & Co. Program Trading Group April 11, 2013
The Impact of Exchange Traded Funds on Intraday Correlations Weeden & Co. Program Trading Group April, 23 Abstract. The proliferation of exchange traded funds over the past decade has raised concern around
More informationThe Bull Market: Six Years Old And Not Over
The Bull Market: Six Years Old And Not Over April 22-24, 2015 FOR PROFESSIONAL USE ONLY. FURTHER DISTRIBUTION OF THE INFORMATION CONTAINED HEREIN IS PROHIBITED WITHOUT PRIOR PERMISSION. Disclosures This
More informationThe Evolution of Alternative Beta: Using Index-Based Investment Strategies
Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 Investor Solutions The Evolution of Alternative Beta: Using Index-Based Investment Strategies This presentation may not be altered except
More informationFoundations of Investing
www.edwardjones.com Member SIPC Foundations of Investing 1 5 HOW CAN I STAY ON TRACK? 4 HOW DO I GET THERE? 1 WHERE AM I TODAY? MY FINANCIAL NEEDS 3 CAN I GET THERE? 2 WHERE WOULD I LIKE TO BE? 2 Develop
More informationMTA Educational Web Series
MTA Educational Web Series One Practitioner s Guide to Combining Macro, Fundamentals and Technical Analysis Presented by: Keith Lerner, CFA, CMT Chief Market Strategist SunTrust Bank July 2014 Outline:
More informationCoreLogic S&P Case-Shiller Home Price Index Update A Compass Report for the San Francisco Metro Area, January 29, 2019
CoreLogic S&P Case-Shiller Home Price Index Update A Compass Report for the San Francisco Metro Area, January 29, 2019 The CoreLogic S&P Case-Shiller Home Price Index does not evaluate median sales price
More informationCapturing Alpha Opportunities with the Nasdaq Commodity Crude Oil Index
Capturing Alpha Opportunities with the Nasdaq Commodity Crude Oil Index RICHARD LIN, CFA, NASDAQ GLOBAL INFORMATION SERVICES Executive Summary A volatile crude market has created many exciting trading
More informationSummit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri
Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri 63105 314.727.7211 Quarterly Review Global Equity Market Update GLOBAL EQUITY MARKETS CALENDAR YEAR RETURNS 2002 2003 2004 2005
More informationJune 9 th Client Comment
Client Comment June 9 th 2017 You are receiving this email because you are a client of Nick Foglietta s and you own one or more positions in the Tactical Equity Allocation Model (TEAM Model), or you are
More informationShort Volatility Trading with Volatility Derivatives. Russell Rhoads, CFA
Short Volatility Trading with Volatility Derivatives Russell Rhoads, CFA Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive
More informationTechnology and Models for Quantifying the Benefits and Costs of Trading in Dark Pools
Technology and Models for Quantifying the Benefits and Costs of Trading in Dark Pools Richard Coggins May, 2012 Overview Analysing infrastructure and modelling requirements for trading in the dark Qualifying
More informationStock Market Report. December 08, 2004
December 8, 24 Stock Market Report Market Analysis for Period Ending Friday, December 3, 24 This document presents technical and fundamental analysis commonly used by investment professionals to interpret
More informationLast week's rating: C Marketperform Percentile Ranking: 60 Data as of 10/12/2018
SCHWAB EQUITY RATING Percentile Ranking: 61 Data as of 10/19/ A 1-10 Strongly Outperform BUY B 11-30 Outperform C 31-70 Marketperform D 71-90 Underperform BUY HOLD SELL F 91- Strongly Underperform SELL
More informationPlaying The Bull Market s Final Inning(s)
Playing The Bull Market s Final Inning(s) Douglas Ramsey, CFA, CMT Mid-September 2013 FOR PROFESSIONAL USE ONLY. FURTHER DISTRIBUTION OF THE INFORMATION CONTAINED HEREIN IS PROHIBITED WITHOUT PRIOR PERMISSION.
More informationKey Commodity Themes. Maxwell Gold Director of Investment Strategy. Gradient Investments Elite Advisor Forum October 5 th, 2017
Key Commodity Themes Maxwell Gold Director of Investment Strategy Gradient Investments Elite Advisor Forum October 5 th, 2017 2001 2002 2002 2003 2004 2005 2006 2007 2007 2008 2009 2010 2011 2012 2012
More informationOpportunities in Turbulent Markets:
Opportunities in Turbulent Markets: Risk and Reward Budgeting in Below-Investment Grade Ty Anderson Global Head of High Yield Strategies When the tide goes out, we get to see who s not wearing a bathing
More informationVolatility returns, fundamentals remain strong
Capital market insights Conversation guide February 2018 Volatility returns, fundamentals remain strong If record-low volatility and more than a year of positive monthly returns on the S&P 500 Index had
More informationCor Capital Fund MONTHLY REPORT & FACT SHEET 31 OCTOBER MTD: -3.7% 12M: -2.0% 3yr Ann: 4.7% 3yr Vol: 7.4% Description
MONTHLY REPORT & FACT SHEET 31 OCTOBER 218 MTD: -3.7% 12M: -2.% 3yr Ann: 4.7% 3yr Vol: 7.4% Description The Cor Capital Fund is an Australian registered managed investment scheme that seeks to generate
More informationLast week's rating: C Marketperform Percentile Ranking: 53 Data as of 07/06/2018
SCHWAB EQUITY RATING Percentile Ranking: 55 A 1-10 Strongly Outperform BUY B 11-30 Outperform C 31-70 Marketperform D 71-90 Underperform BUY HOLD SELL F 91-100 Strongly Underperform SELL PRICE VOLATILITY
More informationCommentary. CBOE Volatility Index (VIX) Brexit Election VIX
LongRun Monthly Strategy Review Mar 2018 AR -0.7% AG -2.9% TMG -2.3% SP500-2.7% GDP 0.0% Commentary I finished last month s commentary with a caution that equity markets might retest the lows of February
More informationCommon stock prices 1. New York Stock Exchange indexes (Dec. 31,1965=50)2. Transportation. Utility 3. Finance
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis 000 97 98 99 I90 9 9 9 9 9 9 97 98 99 970 97 97 ""..".'..'.."... 97 97 97 97 977 978 979 980 98 98 98 98 98 98 987 988
More informationStock Market Briefing: Daily Indexes
Stock Market Briefing: Daily Indexes September 18, 218 Dr. Edward Yardeni 516-972-7683 eyardeni@ Joe Abbott 732-497-536 jabbott@ Please visit our sites at www. blog. thinking outside the box Table Of Contents
More informationCLICK TO EDIT MASTER TITLE STYLE Market Perspective
Market Perspective Global Earnings Remain Supportive November 8, 2017 Keith Lerner, CFA, CMT Managing Director, Chief Market Strategist 2017 SunTrust Banks, Inc. SunTrust is a federally registered service
More informationA Compelling Case for Leveraged Loans
A Compelling Case for Leveraged Loans EXECUTIVE SUMMARY In the current market environment, there are a number of compelling reasons to invest in leveraged loans. In a situation where most assets are trading
More informationIntroduction to VIX Futures. Russell Rhoads, CFA Instructor The Options Institute
Introduction to VIX Futures Russell Rhoads, CFA Instructor The Options Institute CBOE Disclaimer Options and futures involve risks and are not suitable for all investors. Prior to buying or selling options,
More informationMOST RECENT 3-MO. trend TYPICAL range EXTREME range. Typical Typical. Typical Typical
CURRENT AS OF JUNE 29, 2018 Economic indicators dashboard MOST RECENT 3-MO. trend TYPICAL range EXTREME range Market Volatility (CBOE VIX) SEE HISTORICAL DETAILS 4 10 Yr. U.S. Treasury Yield SEE HISTORICAL
More informationInteractive Brokers Webcast. VIX Trading Strategies Russell Rhoads, CFA Senior Instructor The Options Institute CBOE
Interactive Brokers Webcast VIX Trading Strategies Russell Rhoads, CFA Senior Instructor The Options Institute CBOE Disclosure Statement Options involve risks and are not suitable for all investors. Prior
More informationStock Market Report. January 26, 2005
January 26, 25 Stock Market Report Market Analysis for Period Ending Friday, January 21, 25 This document presents technical and fundamental analysis commonly used by investment professionals to interpret
More informationGlobal Equities. Q&A roadshow #QAroadshow2016. Gavin Marriott Product Manager
Global Equities Q&A roadshow 216 #QAroadshow216 Gavin Marriott Product Manager June 216 For professional advisers only. This material is not suitable for retail clients Questions What will drive global
More informationAlphaSolutions Sector Rotation Model
AlphaSolutions Sector Rotation Model An investment model based on trending and momentum strategies Portfolio Goals Primary: Seeks long term growth of capital by investing in highranked U.S. Equity Sectors
More informationRussell 2000 Index Options
Interactive Brokers Webcast Russell 2000 Index Options April 20, 2016 Presented by Russell Rhoads, Senior Instructor Disclosure Options involve risks and are not suitable for all investors. Prior to buying
More informationEconomic Overview First Quarter Partnering With Families To Make Life Better
Economic Overview First Quarter 2018 Partnering With Families To Make Life Better Market Summary Data Through March 31, 2018 Last 3 Months Last 12 Months Last 5 Years Last 10 Years Last 15 Years FIXED
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JUNE 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationFTSE Nareit All Equity REITs equity market capitalization = $986.8 billion
Nareit REIT Industry Fact Sheet Data as of, except where noted. Unless otherwise noted, all data are derived from, and apply only to, publicly traded US REITs. Industry Size FTSE Nareit All REITs equity
More informationSummit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri
Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri 63105 314.727.7211 Quarterly Review Global Equity Market Update GLOBAL EQUITY MARKETS CALENDAR YEAR RETURNS 2002 2003 2004 2005
More informationManagement. Christopher G. Lamoureux. March 28, Market (Micro-)Structure for Asset. Management. What? Recent History. Revolution in Trading
Christopher G. Lamoureux March 28, 2014 Microstructure -is the study of how transactions take place. -is closely related to the concept of liquidity. It has descriptive and prescriptive aspects. In the
More informationLooking at a Variety of Municipal Valuation Metrics
Looking at a Variety of Municipal Valuation Metrics Muni vs. Treasuries, Corporates YEAR MUNI - TREASURY RATIO YEAR MUNI - CORPORATE RATIO 200% 80% 175% 150% 75% 70% 65% 125% Average Ratio 0% 75% 50% 60%
More informationTMT Deep Dive 2/20/2017
60 Deep Dive 2/20/2017 Technology continues its surge as absolute and relative prices reach new highs on a cap, equal weight, and global basis. Tech remains our top ranked sector however, our sector rankings
More informationLongRun Monthly Strategy Summary (6/30/2013) Commentary
Commentary June was a take-no-prisoners month in the markets. All 14 ETFs that we track for our strategies were down, ranging from -0.8% for US Small Cap Equity (IWM) to -11.5% for Metals & Mining (XME).
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS SEPTEMBER 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 140.00% 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX
More informationSEC TICK SIZE PILOT MEASURING THE IMPACT OF CHANGING THE TICK SIZE ON THE LIQUIDITY AND TRADING OF SMALLER PUBLIC COMPANIES
SEC TICK SIZE PILOT MEASURING THE IMPACT OF CHANGING THE TICK SIZE ON THE LIQUIDITY AND TRADING OF SMALLER PUBLIC COMPANIES APRIL 7, 2017 On May 6, 2015, the Securities & Exchange Commission (SEC) issued
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JANUARY 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationPresent situation of alternative markets and their control in the U.S.
Japanese FIX Steering Committee FPL Japan Electronic Trading Conference 2012 Royal Park Hotel October 2, 2012 Present situation of alternative markets and their control in the U.S. Yoko Shimizu The Department
More informationAssessment of the Business Clock Synchronization Requirements of the Consolidated Audit Trail Pursuant to Section 6.6(a)(ii) of the CAT NMS Plan
Assessment of the Business Clock Synchronization Requirements of the Consolidated Audit Trail Pursuant to Section 6.6(a)(ii) of the CAT NMS Plan Executive Summary Pursuant to Section 6.6(a)(ii) of the
More informationMarket Maps. Bob Dickey, Technical Strategist, Portfolio Advisory Group. December RBC Capital Markets, LLC / Portfolio Advisory Group
Market Maps Bob Dickey, Technical Strategist, Portfolio Advisory Group RBC Capital Markets, LLC / Portfolio Advisory Group All values in U.S. dollars and priced as of market close, December 1, 2017, unless
More informationNLS Plus. Version 2.1
NLS Plus Version 2.1 A trade-by-trade data feed with Nasdaq, Nasdaq BX and Nasdaq PSX transactions and consolidated volume information for U.S. exchange-listed equities Page 1 Table of Contents 1 Product
More informationManaging market ups and downs. Three tips to help you invest with confidence RETIREMENT PLAN SERVICES
RETIREMENT PLAN SERVICES Managing market ups and downs Three tips to help you invest with confidence Insurance products issued by: The Lincoln National Life Insurance Company Lincoln Life & Annuity Company
More informationMan AHL Diversified plc
NAV per unit USD 88.19 Total NAV USD 988,635,806 No. units 11,209,426 Against a backdrop of the beginning of the end to QE, December proved to be a slightly volatile month for the fund, with gains in stocks,
More informationInvesting Insights. Managing Downturns
December 31, 2017 Managing Downturns 2 Number of Months 1902 1907 1910 1913 1918 1920 1923 1926 1929 1937 1945 1948 1953 1957 1960 1969 1973 1980 1981 1990 2001 2007 2017 Expansion vs. Recession in the
More informationWho s Afraid of the Dark? Trading Off-Exchange
(1 ( Who s Afraid of the Dark? Trading Off-Exchange Ana Avramovic 1--48 ana.avramovic@credit-suisse.com Market Commentary 17 April 01 % of all consolidated volume % % 1% Key Points Dark pools may sound
More informationAn introduction to measuring trading costs - TCA
An introduction to measuring trading costs - TCA Ofir Gefen, Head of Research & Liquidity Managment ITG Asia Pacific 20 Investment Technology Group, Inc. All rights reserved. Not to be reproduced or retransmitted
More information2015 ANNUAL RETURNS YTD
Stephen Somers, William Somers 1410 Russell Road, Suite 100, Paoli, PA 19301 USA ph. +1-484-576-3371 fax +1-610-688-9261 http://www.somersbrothers.com ANNUAL RETURNS 2011 2012 2013 2014 2015 YTD Advisor
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JANUARY 2019 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 140.00% 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P
More informationStocks and Options and Bonds, Oh My!
Stocks and Options and Bonds, Oh My! A corporation has this great idea Capital is required to see it through I ll let you guess how much he wants Option 1: Borrow the money From a bank From bonds Option
More information2018 ANNUAL RETURNS YTD
Howard A. Bernstein 38608 Oyster Catcher Drive, Ocean View, DE 20171 USA ph. +1-302-616-1970 fax http://www.hbinvesting.com ANNUAL RETURNS 2014 2015 2016 2017 2018 YTD Advisor 5.90% -1.06% 2.55% 8.24%
More informationCommentary. If you are the smartest person in the room, then you are in the wrong room. Attributed to Confucius
LongRun Monthly Strategy Review Jun 2018 AR +0.9% AG +1.0% TMG -0.5% SP500 +0.6% GDP -0.8% Commentary June brought mixed messages from the markets. Worries about the Trump/Kim summit and Federal Reserve
More informationETFs: Regulatory (High) Impact. Commerzbank, leaders in ETF February 2018
ETFs: Regulatory (High) Impact Commerzbank, leaders in ETF February 2018 What are ETFs? Securities that track the value of an index, commodities or a basket of assets and trade like a stock on the exchange
More informationCommentary. Our greatest weakness lies in giving up. The most certain way to succeed is always to try just one more time.
LongRun Monthly Strategy Review May 2018 AR +0.2% AG +1.0% TMG +3.0% SP500 +2.4% GDP +0.7% Commentary Last month s commentary led off with our Absolute Return strategy moving to 100% cash for the month
More informationTICK SIZE PILOT INSIGHTS
Clearpool Review TICK SIZE PILOT INSIGHTS May 2017 The Securities Exchange Commission (SEC) approved the implementation of the Tick Size Pilot (TSP) to evaluate whether or not widening the tick size for
More informationThe equity derivatives market: The state of the art
The equity derivatives market: The state of the art Susan Thomas susant@igidr.ac.in http://www.igidr.ac.in/~susant August 11, 2001 Turnover Page 1 of 19 Goals Index futures Index options Stock options
More informationCMG Tactical Rotation Strategy CMG Capital Management Group, Inc. Financial Professional Use Only
CMG Tactical Rotation Strategy About CMG CMG is a Registered Investment Advisor located in King of Prussia, Pennsylvania founded in 1992 by Stephen Blumenthal. Since the beginning, CMG has embraced Uncommon
More informationMarket Observations as of Mar 2, 2018
Market Observations as of Mar 2, 2018 By Carl Jorgensen - For Objective Traders - For educational purposes only. Not Financial Advice. The markets were mixed this week as volatility raised its head back
More informationActive management headwinds:
QUANTITATIVE DESK STRATEGIES Active management headwinds: correlation and fund flows, quant vs. fundamental 1 October 211 Quantitative strategists Joseph J. Mezrich joseph.mezrich@nomura.com 1-212-667-9316
More informationETFs 304: Effectively Using. Alternative, Leveraged & Inverse ETFs. Dave Nadig. Paul Britt, CFA Senior ETF Specialist ETF.com
ETFs 304: Effectively Using Dave Nadig Chief Investment Officer ETF.com Alternative, Leveraged & Inverse ETFs Paul Britt, CFA Senior ETF Specialist ETF.com ETFs 304 - Questions 1. Do geared ETFs have a
More informationAlpha Bonds Strategy
Alpha Bonds Strategy Strategy Overview The Alpha Bonds Strategy combines conservative bond funds with Alpha s fourth quarter power periods to create what we believe is a unique solution to the conservative
More informationCommentary. Just because the river is quiet doesn't mean the crocodiles have left. Malay proverb
LongRun Monthly Strategy Review Mar 2016 AR -0.11% AG +8.52% TMG +1.91% SP500 +6.72% R2000 +8.02% GDP +9.17% Commentary Equity markets around the world registered impressive gains in March as follow-through
More informationMachine Learning for Trading Financial Investing Part 3 of Course Overview and Introduction
Machine Learning for Trading Financial Investing Part 3 of Course Overview and Introduction So you want to be a Portfolio Manager? What is Computational Investing? Types of funds Liquidity and Capitalization
More informationWisdomTree & Currency Hedging FOR FINANCIAL PROFESSIONAL USE ONLY. FOR FINANCIAL PROFESSIONAL USE ONLY.
WisdomTree & Currency Hedging Currency Hedging in Today s World The influence of central bank policy Gauging the impact currency has had on international returns Is it expensive to hedge currency risk?
More informationRethink your income strategy
Rethink your income strategy BlackRock Multi-Asset Income Fund (BIICX) 1 THE CHALLENGE Yields remain low Yields are low across the income landscape, with less than 25% of fixed income assets yielding over
More informationThursday December 3, Major Market Internals (% Issues above 50 Day MA)
Thursday December 3, 2015 RenMac s Strategic Global Blueprint 20 day highs surged for the DAX twice in the past week, reaching 60% on Thursday and 53% again on Monday. Despite the bearish trend and the
More informationLongRun Monthly Strategy Review. Commentary. Oct 2017
LongRun Monthly Strategy Review Oct 2017 AR 1.78% AG -0.61% TMG +1.50% SP500 +2.36% R2000 +0.73% GDP +0.35% Commentary Market history says that October can be a dangerous month and 2017 marked the 40 th
More informationCBOE Equity Market Volatility Indexes
Interactive Brokers Webcast CBOE Equity Market Volatility Indexes March 26, 2014 Presented by Russell Rhoads, CFA Disclosure Options involve risks and are not suitable for all investors. Prior to buying
More informationQ MARKET PERSPECTIVES. Matthew F. Beaudry, CPA, CIMA, CMFC, CRPC, AAMS Senior Investment Director, Capital Markets
Q1 2018 MARKET PERSPECTIVES Matthew F. Beaudry, CPA, CIMA, CMFC, CRPC, AAMS Senior Investment Director, Capital Markets Table of contents Accelerating global growth: Odds of a U.S. and global economic
More informationCOPYRIGHTED MATERIAL. Index. JWBT786-bind JWBT786-Chan Printer: Courier Westford September 7, :9 Trim: 6in 9in
Index Aggressive Cross Finder, 42 All-Tech, 34 ARCA. See Archipelago ECN NYSE ARCA (P) Archipelago ECN NYSE ARCA (P), 18, 33 auction strategies and, 136 trading for rebates and, 87 Archipelago Securities
More informationFourth Quarter 2015 Market Review. March 2016
Fourth Quarter 2015 Market Review March 2016 Agenda Market Review Investment Outlook and Portfolio Positioning 2 2015 was a Challenging Year for Investment Returns Last year was the first time since 2001
More informationNew Risk Management Strategies
Moderator: Jon Najarian, Co-Founder, optionmonster.com New Risk Management Strategies Wednesday, May 4, 2011; 2:30 PM - 3:45 PM Speakers: Jim Lenz, Chief Credit and Risk Officer, Wells Fargo Advisors John
More informationAn introduction to Invesco s Equity Long/Short Strategies
An introduction to Invesco s Equity Long/Short Strategies This marketing document is exclusively for use by Professional Clients and Financial Advisers in Germany. This document is not for consumer use,
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JULY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER BCOMM
More informationEconomic and Market Outlook
Economic and Market Outlook Third Quarter 2018 Investment Products: Not FDIC Insured No Bank Guarantee May Lose Value Past performance is no guarantee of future results. Financial term and index definitions
More informationFactual Studies on Managed Futures Interaction with Stocks
Factual Studies on Managed Futures Interaction with Stocks Trading futures and options involves substantial risk of loss and is not suitable for all investors. The use of the phrase Managed Futures refers
More informationCommentary. "The inevitable may be certain, but it is not always punctual." - Jim Grant - Grant's Interest Rate Observer
LongRun Monthly Strategy Review Nov 2017 AR +2.2% AG +2.1% TMG +2.7% SP500 +3.1% R2000 +2.9% GDP +0.9% Commentary November saw global markets focused on the prospects for US tax reform and Washington managed
More information200 Years Of The U.S. Stock Market
200 Years Of The U.S. Stock Market Professor John McConnell Krannert School of Management Purdue University September 25, 2018 1 200 Years Of The U.S. Stock Market Market Overview The long term The averages
More informationWHY EQUITIES NOW? THINGS TO CONSIDER
October 4, 2017 WHY EQUITIES NOW? THINGS TO CONSIDER Scott Krauthamer, CFA, CAIA Managing Director Equities, AB MJ Zayac Director, Institutional Retirement Specialist, AB There is no guarantee that any
More informationCommentary. Things turn out best for the people who make the best of the way things turn out. - John Wooden
LongRun Monthly Strategy Review Dec 2018 AR +0.1% AG -0.3% TMG -9.8% SP500-8.8% GDP -4.9% Commentary As noted last month, December got off to a bad start wiping out November s equity market gains in the
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JUNE 2017 80.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% -80.00% ABCERI S&P GSCI ER BCOMM ER
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JANUARY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER
More informationFinding the sweet spot between risk and return. Sandy McIntyre President and Chief Executive Officer
Finding the sweet spot between risk and return Sandy McIntyre President and Chief Executive Officer Updated on May 4, 2012 Disclaimer Commissions, trailing commissions, management fees and expenses all
More informationSpheria Australian Smaller Companies Fund
29-Jun-18 $ 2.7686 $ 2.7603 $ 2.7520 28-Jun-18 $ 2.7764 $ 2.7681 $ 2.7598 27-Jun-18 $ 2.7804 $ 2.7721 $ 2.7638 26-Jun-18 $ 2.7857 $ 2.7774 $ 2.7690 25-Jun-18 $ 2.7931 $ 2.7848 $ 2.7764 22-Jun-18 $ 2.7771
More informationAxis Dynamic Equity Fund. (An open ended dynamic asset allocation fund)
Axis Dynamic Equity Fund (An open ended dynamic asset allocation fund) Net equity inflow --> Nifty 50 Index Emotions and Impact Manual market timing Emotions have impacted investment decisions 20.7% Value
More informationInvestment Perspectives. From The Global Investment Committee
Investment Perspectives From The Global Investment Committee Global Risk Aversion Reached Extreme Levels Morgan Stanley Standardized Global Risk Demand Index As of October 15, 2014 Complacent Extreme Fear
More informationMonthly Mutual Fund Report
July, Monthly Mutual Fund Report Statistics for May-June Sales and Redemptions Total assets for all funds increased in May by $9. billion, or., to $.7 trillion. Money market funds had a net cash outflow
More informationBeginning Date: January 2016 End Date: June Managers in Zephyr: Benchmark: Morningstar Short-Term Bond
Beginning Date: January 2016 End Date: June 2018 Managers in Zephyr: Benchmark: Manager Performance January 2016 - June 2018 (Single Computation) 11200 11000 10800 10600 10400 10200 10000 9800 Dec 2015
More informationLast Gasp in the Dollar. Market Update May 18, Seattle Technical Advisors
SeattleTA provides investment managers with technical analysis of the equity, fixed-income, commodity, and currency markets. While equities are expected to take a hit this week, the big news is expected
More informationNasdaq Chaikin Power US Small Cap Index
Nasdaq Chaikin Power US Small Cap Index A Multi-Factor Approach to Small Cap Introduction Multi-factor investing has become very popular in recent years. The term smart beta has been coined to categorize
More informationBeginning Date: January 2016 End Date: September Managers in Zephyr: Benchmark: Morningstar Short-Term Bond
Beginning Date: January 2016 End Date: September 2018 Managers in Zephyr: Benchmark: Manager Performance January 2016 - September 2018 (Single Computation) 11400 - Yorktown Funds 11200 11000 10800 10600
More information