Day: September 25, 2017

New Paper Advocates for Managed Futures

Portfolios that include managed futures funds perform better and reduce more risk than those without them, according to research jointly published by the Alternative Investment Management Association (AIMA) and Societe Generale.

The paper, titled ‘Riding the Wave’, analysed the risk and return profiles of investment portfolios including and excluding managed futures funds from 2000-2016. 

For example, it showed the performance of a traditional asset mix of 60% bonds and 40% equities is enhanced with the addition of CTA strategies, which may increase the return and risk-adjusted returns (by lowering the volatility), as well as considerably lowering and shortening drawdowns.

The FX Tape, What’s Different This Time Round?

The consolidated tape for FX launched by FastMatch today looks very different to the one initially proposed by its CEO, Dmitri Galinov. Galen Stops takes a look at what’s changed.

FastMatch has today announced plans to launch a consolidated tape for FX, something that its CEO, Dmitri Galinov, has been working towards for some time.

Profit & Loss previously reported on an earlier proposed iteration of this tape back in May 2016, but the one launched today looks significantly different.

FastMatch Launches FX Consolidated Tape

FastMatch has launched a consolidated tape for FX in a bid to bring more transparency to the market.

Speaking exclusively to Profit & Loss about the new venture, FastMatch CEO, Dmitri Galinov, explains that any type of FX market participant is welcome to contribute to the new tape, subject to certain stipulations.

The first such condition is that there is a minimum requirement of $2 billion per day in notional volume for those wishing to contribute to the tape. Contributors must also sign a contract with FastMatch confirming that they own the rights to the trades that they are submitting to the tape and agreeing to independent audits of the trades being submitted. 

FXPB: What Does the Global Code of Conduct Say?

“Prime Brokerage Participants should strive to monitor and control trading permissions and credit provision in Real Time at all stages of transactions in a manner consistent with the profile of their activity in the market to reduce risk to all parties.” – Principle 41

Prime Brokerage Participants should strive to develop and/or implement robust control systems that include the timely allocation, monitoring, amendment, and/or termination of credit limits and permissions and adequately manage associated risks.

• Prime Brokerage Clients should strive for Real-Time monitoring of their available lines and permitted transaction types and tenors so that only trades within permitted parameters are executed.

The Global Code: Back to the Future

When I joined a US investment bank in London as a graduate trainee in 1969, it was explained to me that they did not actually have a graduate programme nor were they particularly interested in the economics and politics that I had spent three years studying.

I had been hired because I had a sound education and they believed, after several interviews, that I had the qualities of honesty and integrity that they insisted on for all employees, at all levels of job function and experience.

Unbundled Services: Credit and Liquidity – Old Problems, New Solutions

One of the things that makes FX a truly unique market is both its scale and the diversity of the market participants that operate within it. Asset managers, corporates, international banks, regional and mid-tier banks, hedge funds and prop trading firms from all around the world have a real need to access the wholesale FX market.

In many cases though, today, this access occurs via credit intermediaries. This intermediary model places fundamental constraints on the credit available to clients and, subsequently, on the counterparties that they can access.

And Finally…

The feedback period for Principle 17 of the Global Code – dealing with last look in FX markets – is over and we await the outcome. My understanding is that the outcome will not be as clear cut as many thought just a short while ago, but, sticking my neck on the line, I am happy to predict which way the decision will fall. After all, the legal industry is already circling FX on this issue – why give it more ammunition?

Cürex Unveils Time Stamp Functionality

Cürex Group has unveiled plans to introduce additional time stamp functionality to its pre-trade analytics platform.
The new capability will allow Cürex’s customers to prove their compliance with the upcoming MiFID II’s mandated pre-trade market check through a time stamp provision, which provides recorded proof that the market check took place before an FX trade was executed.
The time stamp will be included both on each client’s FX trade confirmation and in end-of-day trading reports that Cürex provides to its customers.

Investec Bank Joins TraderTools’ ULN

TraderTools has announced that Investec Bank has joined its Unique Liquidity Network (ULN).
Through hosted facilities in Equinix LD4 and Equinix NY4, the ULN now consists of over 60 unique liquidity providers, making prices in G10 and emerging and underserved market currencies, the firm says.
Using the ULN, Investec plans to provide its customers with improved pricing and execution, and to increase its reach within the electronic FX marketplace. Access by Investec customers will be via the TraderTools API, and through a variety of FX venues.