The Blotter (formerly known as Insights) cuts through the noise to explain the issues that impair your trading desk, undermine your investment process, and cloud your business strategies. Subscribe to The Blotter’s RSS feed. Find our latest thinking on market structures, technology, and policy to take control of the information you need to set a course in the right direction.
In this edition of The Blotter, Chad Dale, Director, Index & ETF Research, provides a review of the 2013 Russell Reconstitution.
The past several years exhibited dramatically different results—2009 was a textbook index rebalance without the involvement of the speculative community (which was risk averse coming out of the credit crisis), 2010 was influenced by a series of rule changes implemented by Russell while the rebalances in 2011 and 2012 were more “normal” events in both composition and performance. With little in the way of additional rule/methodology changes, and no significant changes in the global macro-economic environment (or corresponding risk appetites) since the 2012 reconstitution, we expect this year’s trade to remain “normal” in much the same way that the prior 2 reconstitutions were.
In this issue of the blotter we provide a review of trading characteristics and aim to identify any major changes in 2012.
We examine volatility, spread and trading costs of constituents of the S&P500®, Russell 2000®, MSCI World® and MSCI Emerging Markets® indices.
In this edition of The Blotter, Jacqueline King, Director, ITG Analytics Research, presents evidence that trading characteristics of small cap securities improved over time and cannot conclude that a rapid decline of small cap IPOs is due to the deterioration of small cap trading characteristics.
The European financial landscape is facing a rigorous legislative pipeline to address the economic crisis and concerns with the current legislation. The so-called Trialogue negotiations process between the European Council and the European Commission will soon begin – where many twists and turns are to be expected. This guide is intended to provide clarity to the various confusing terms and acronyms relevant to the current market structural changes.
MiFID II negotiations have heated up but is there a light at the end of the tunnel? This week’s edition of The Blotter explores some of MiFID’s hot button issues.
Could the much-debated European Financial Transaction Tax (FTT) proposal come to pass? JP Urrutia discusses new developments among EU member states.
Concerns about dark pools have come to a head and alternative markets in Asia Pacific are among those under scrutiny. This week’s edition of The Blotter explores this topic with a focus on the Australian market.
This issue of The Blotter explores the activity and performance around the major portion of this September’s index review, taking a look at the impact of the trade and how it was traded to in order to explain what was seen as a high level of volatility.
As of October 15, 2012 the new Canadian Dark liquidity rules will come into effect. As we approach this date, the various trading venues have made public their strategies for complying with the rule. We are now at a point where we feel confident in making some predictions around the impact the rules will have on the marketplace as a whole, and many of the impacted trading venues. In this week’s edition of The Blotter, Doug Clark recaps the coming rule change, outlines the strategies taken by the various trading venues, offer ITG’s take on the impact the rules will have on the market share of each venue, and finally discusses the still unsettled anti-avoidance approaches
An accurate estimate of auction volume is critical to optimal auction participation but historical models often fall short. Experts discuss the merits of imbalance feeds to predict volume.