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IGM Credit, IGM FX and Rates

China Insight: Implications of CGB Inclusion in The WGBI

China Insight

As widely expected, FTSE Russell on 24 Sep in the New York afternoon announced that China Government Bonds (CGBs) will be included into the World Government Bond Index (WGBI), effective Oct 2021. Major investment banks estimate that CGBs would receive a weighting of around 5.7% in the WGBI. Assuming AUMs benchmarked to WGBI index is around USD2.5tn, the inclusion would result in USD142bn inflows to the CGB market. Assuming the phasing-in will last for 20 months, same as the time frame set for Bloomberg Barclay's Global Aggregate Index inclusion, CGBs will receive USD7bn inflows per month as a result of WGBIs month-end rebalancing. Once included, China will become the second highest-yielding country in the WGBI (chart 1), which should be very appealing to yield-seekers.

Topic Industry News

Zephyr Portfolio Analytics

Why SMAs are Suddenly Poised for Mainstream Adoption

Why SMAs are Suddenly Poised for Mainstream Adoption

Once reserved for institutional investors or ultra-high-net-worth clients, separately managed accounts (SMAs) are suddenly growing more popular in U.S. wealth management portfolios. Why? With more and more asset allocators strategically seeking mass affluent clientele to add to their books of business, there is also a need to diversify from traditional, more one-size-fits-all investment products. Allocators are now adding products such as SMAs and UMAs to differentiate their product line-up and attract new clients in an increasingly competitive market. In this first webinar of Zephyr’s Be Active series on SMAs, we’ll shed some light on the industry in a fun, interactive webinar format modeled after the boardgame Mystery Date. You’ll hear from leading due diligence experts as they explain their approach to SMAs. And learn from top-performing SMA providers who illustrate their different investment strategies, philosophies and approaches to aligning SMAs with SRI and ESG investments to meet the growing demand for more transparency, control and customization in a post-pandemic world.

Topic Industry News

EPFR - fund flow & allocations data

Predictive power of EPFR: a Quants perspective

Predictive power of EPFR: a Quants perspective

Our webinar demonstrates the 'predictive power' of EPFR Fund Flows and Allocations data for our APAC audience! Our event, hosted by our EPFR Director of Research - Cameron Brandt and our esteemed Quant team, Vik Srimurthy, Steven Shen and Sayad Baronyan provides a walkthrough of the EPFR models that support tracking peers, market predictions and risk management, as well as a deep dive into China through the lens of the pandemic, and valuations on Equity Flows and Rotations.

Topic Industry News

Zephyr Portfolio Analytics

Ryan Nauman's Weekly Recap: COVID-19 Market Edition 09.21.20

Ryan Nauman's Weekly Recap: COVID-19 Market Edition

Data from the red-hot housing market continues during the upcoming week with the release of existing and new home sales. Both numbers should be strong, particularly new homes, as we found out this week the confidence for home builders is at record highs due to the increase in demand for new homes, as limited existing home inventory has pushed buyers to build. Additionally, the manufacturing and services PMIs for September will be released on Wednesday. After rising above the breakpoint level of 50, which signals expansionary conditions, the question remains will both PMIs continue to signal expansion. Ryan Nauman's Weekly Recap: COVID-19 Market Edition and subscribe to have it delivered to your inbox each week!

Topic Industry News

EPFR - fund flow & allocations data

Quants Corner - Factor flow: Augmenting the toolkit.

Quant Corner

EPFR subscribers have traditionally looked at the kinds of funds money is moving into. Active or passive? ETF or mutual fund? Equity or Bond? Energy or Technology? They have also looked at where: Pacific or Europe, Global or GEM. They have usually overlooked factors. Based on their prospectus, EPFR’s data team classifies funds by Style (Growth/Value/Blend), Size (Large/Mid/Small) and Social Responsibility (ESG/not ESG). However, merely by looking at past returns, it is also possible to also classify funds by Momentum, Reversal, Volatility, Beta and Oil Sensitivity. Finally, to add icing to the cake, it is possible to classify funds based on Flow. This blog details what happens, both in terms of additional information and for returns, when you break down money flow in terms of these factors.

Topic Industry News

IGM FX and Rates

Asian FX focus: Can IDR play catch up in Q4?

IGM FX and Rates

In this piece we highlight the underperformance of IDR FX within the USD/Asia bloc in Q3. We outline the likely drivers of this underperformance, with pay back from an exceptional Q2 performance, central bank intervention to accumulate USDs and weaker seasonality (particularly in August and September), as the most likely drivers. Lack of offshore capital inflows into the local bond market was also a contributor. Looking ahead into Q4 we argue that IDR can play catch up with the stronger EM Asia FX trend. Seasonal headwinds should dissipate, the central bank should be more comfortable with appreciation and guard against a break above 15000, whilst there is ample scope for offshore investors to re-allocate to Indonesia, given attractive real yields on offer and dovish Fed backdrop. We recognize that global equity market sentiment is weaker now, but USD/IDR spikes should be used as opportunities to average into a short USD position. Read more...

Topic Industry News

IGM FX and Rates

EM FX Viewpoint: Upside risks to Usd/Mxn are greater after Q3 leading slide

IGM FX and Rates

Since the start of Q3 the Mexican Peso has been the best EM currency performer vs the USD, rising over 7.0%. However, as an EM sentiment bellwether the MXN may well have had its best run. There is also the risk of a credit rating downgrade to junk which could spur huge outflows. For more read our EM FX Viewpoint Blog >

Topic Industry News

IGM Credit, IGM FX and Rates

China Insight: Liquidity Remains Tight, Despite Sizeable MLF

China Insight

PBOC on 15 September conducted a CNY600bn 1-year medium-term lending facility (MLF), more than enough to roll over the same type of facility (sized at CNY200bn) that expired in the same week. Despite the rate being unchanged at 2.95%, the facility size was large enough to stir up speculation over a possible re-emergence of a looser liquidity environment before and after the upcoming Golden Week holiday. However, what actually happened over the rest of the week suggested the surprisingly large MLF operation was mainly aimed at supporting market sentiment before the CGB auction held on 16 September. As soon as the auction was wrapped up, PBOC immediately showed its reluctance to let liquidity go any looser again. On 17 Sep, PBOC only conducted a small-sized 7-day OMO reverse repo, resulting in a re-emergence of net liquidity withdrawal.

Topic Industry News