Mutual funds
EU funds loaded up on US debt in 2019
Net purchases of US debt up +962% in 2019
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
EU insurers pile into loans, funds and private equity
Fund investments make up 12% of exposures as of Q3 2019
Ties between banks and non-banks at pre-crisis levels – FSB
Other financial intermediaries grow share of total financial assets to 30.5% in 2017
Growth of shadow banks slowed in 2018 – FSB
Funds susceptible to run risk make up 72% of narrowly-defined non-bank universe
SEC derivatives rule may lead to new products
Proposed VAR limit is expected to benefit risk parity and defined outcome strategies
EU funds buy €89bn of overseas debt in Q3
Net purchases year-to-date almost three times total transactions in 2018
Non-banks muscle in on UK financing
Non-banks account for 51% of total financial sector assets
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
Fund ratings flip as 2008 losses fade from view
Over 90% of top-rated US equity funds have betas greater than one
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
Banks rethink fund-linked trades ahead of FRTB
Some stop offering longer-dated structured products ahead of expected 2023 rules in EU
State Street top trading partner of Dodge & Cox Funds in 2018
Custody bank made up over 90% of all principal transactions
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Extending the ETF frontiers: Institutions are finding new ways to use ETFs
Growing institutional adoption of exchange-traded funds (ETFs) has been an undeniable trend over the past few years. In this article, Hong Kong Exchanges and Clearing (HKEX) explains why institutions are increasingly using ETFs to gain targeted exposure,…
Networks of common asset holdings: aggregation and measures of vulnerability
This paper quantifies the interrelations induced among financial institutions by common asset holdings.
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
ETFs under scrutiny over liquidity risk
Secondary market trading in funds could freeze up in times of stress, supervisors fear
A fuzzy data envelopment analysis model for evaluating the efficiency of socially responsible and conventional mutual funds
The authors of this paper use data envelopment analysis (DEA) to assess the relative efficiency of a sample of US equity mutual funds.
Modeling redemption risks of mutual funds using extreme value theory
This paper shows how redemption risks of mutual funds can be modeled using the peaks-over-threshold approach from extreme value theory.