Index tracker
Formulations to select assets for constructing sparse index tracking portfolios
The authors put forward methods to chose assets for sparse index tracking portfolios and demonstrate the tracking performance with numerical examples.
Oil funds want to reduce risk. Will investors let them?
Despite posting big losses, funds that track front-month contracts remain popular with investors
Banks tout early roll dates for FX swaps as quarter-end looms
Asset managers open to more flexible hedging strategies since March turbulence, say dealers
When are index delays justified? Industry standards are vital
Relying on discretion is not sustainable, argues index executive in wake of rebalance delays
FX swap users hope to avoid month-end crunch
Blowout in spreads prompted SSGA and other managers to limit need for hedges today
Innovation of the year, Asia: BOCI
Energy Risk Asia awards, 2018: Bank of China International launches first broad-based Chinese commodity index
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
ETFs under scrutiny over liquidity risk
Secondary market trading in funds could freeze up in times of stress, supervisors fear
Stock selection with principal component analysis
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
Hedge funds warned fee ratios still too high
Costs have fallen already, but investors demand better deals