Three years after the Monetary Authority of
Singapore (MAS) sanctioned
20 banks and 133 traders over breaches in good conduct regarding the local
interest rate fixing (Sibor), two US investment funds filed a class action lawsuit
in New York on Friday (July 1) ...
In a surprise move the Bank of England’s Monetary Policy
Committee overwhelmingly voted to maintain bank rates at 0.5% Thursday,
although it said it expects to take some stimulus measures in August.
At its meeting ending July 13, the MPC voted ...
The Bank of Canada (BOC) announced that it is maintaining its target for the overnight rate at 0.5%. The bank rate is correspondingly 0.75% and the deposit rate is 0.25%.
In a release issued today, the BOC says that global growth in the first half of 2016 was slower than it had projected in its July Monetary Policy Report (MPR), although the Bank continues to expect it to strengthen gradually in the second half of this year. The US economy was weaker than expected in the second quarter, notably reflecting a contraction in business and residential investment.
The Bank of England’s (BoE) Monetary Policy Committee (MPC) has voted unanimously to maintain the measures it introduced in its Brexit-induced stimulus package announced in August.
This means that it will hold the Bank Rate at 0.25% and continue with the programme of sterling non-financial investment-grade corporate bond purchases totalling up to £10 billion, financed by the issuance of central bank reserves.
The MPC also voted unanimously to continue with the programme of £60 billion of UK government bond purchases to take the total stock of these purchases to £435 billion, financed by the issuance of central bank reserves.
The European Central Bank (ECB) has decided to hold interest rates steady, with market participants predicting further euro weakness.
At today’s meeting, the Governing Council of the ECB decided that the interest rate on the main refinancing operations and the interest rates on the marginal lending facility and the deposit facility will remain unchanged at 0.00%, 0.25% and -0.40%, respectively.
The Governing Council says that it expects the key ECB interest rates to remain at present or lower levels for an extended period of time.
The US Federal Reserve increased interest rates by a quarter point today, also indicating that it now expects to increase rates three more times in 2017.
“In view of realised and expected labour market conditions and inflation, the committee decided to raise the target range for the federal funds rate to half to three-quarters per cent. The stance of monetary policy remains accommodative, thereby supporting some further strengthening in labour market conditions and a return to 2% inflation,” says the Federal Open Market Committee in a statement issued today.
Susan Roberts, product specialist and director of investor relations at Campbell & Company, talks to Galen Stops about how the CTA industry has matured, what purpose these funds are really supposed to fulfill within a portfolio and why performance might be set for an uptick.
Galen Stops: In the research paper, Prospects for CTAs in a Rising Rate Environment: A Refresh, your analysis finds that CTA performance has not historically been interest rate regime dependent. Is this pretty much what you expected the data to tell you when you began working on the paper?
Campbell & Company argues in its paper, Prospects for CTAs in a Rising Interest Rate Environment: A Refresh, that CTA performance is less dependent upon the interest rate climate than some may think.
The paper builds on the data presented by Campbell in a 2013 paper, which showed that traditional assets, such as US equities and Treasuries, have historically underperformed when interest rates are rising. In addition, it showed that CTA performance has exhibited a different pattern from these assets and has in fact not been regime-rate dependent.