Tag Archives: liquidity
The S&P Composite 1500®: An Efficient Measure of the U.S. Market
The S&P 1500 serves as both a benchmark indicator for U.S. equity market performance and as a basis for passively replicating investment products that aim to deliver a “market” return. Our new paper examines the index from both these perspectives, and compares the S&P 1500 with other U.S. equity market indices. Here are a few…
- Categories Equities, S&P 500 & DJIA
- Other Tags
Liquidity Impacts on Fixed Income ETFs and Passive Investing
Equity markets have fared reasonably well aided by liquidity in ETFs, as my colleague Craig Lazzara highlights. Steep discounts to net asset values (NAVs) on popular fixed income ETFs are bringing an onslaught of doomsday projections. But while the signs of stress are evident, it’s important to decouple the dysfunction of the bond market from…
- Categories Fixed Income
- Other Tags
Equity Liquidity at a Reasonable Price
The fall in equity market values since February’s peak has been sudden and dramatic. During this period, the equity markets have functioned well at their primary task of facilitating price discovery at a time when values were changing rapidly. Equity investors who wanted to trade have been able to trade. (Whether they were wise to…
- Categories Equities, S&P 500 & DJIA
- Other Tags
Illustrating the Value of Liquidity
Let’s suppose for a moment that you are given a choice between two hypothetical exchange traded funds (ETFs) tracking the same index. Fund A has an annual management fee of 0.4% while Fund B has an annual management fee of 0.1%. At first glance, Fund B seems like the better option: it offers similar performance…
- Categories Equities, Strategy, Uncategorized
- Other Tags
- Categories
- Equities, Strategy, Uncategorized
- Other Tags
Mapping the S&P 500 Trading Ecosystem
A new paper published today provides a new perspective on the active usage of products linked to S&P DJI indices, and illustrates the network of liquidity that has developed around the S&P 500® and other popular benchmarks. “Active” and “passive” are colloquial terms, and it can be hard to distinguish one from the other at…
- Categories S&P 500 & DJIA, Strategy
- Other Tags
A Look at the Investability and Replicability of the S&P/BMV IPC
In a prior blog, Getting to Know the S&P/BMV IPC – An Iconic Representation of the Mexican Equity Market, we examined the evolution of the S&P/BMV IPC and tracked its role from being a financial market indicator to serving as the basis for index-linked liquid investment products. In this blog post, we look at the…
- Categories Equities
- Other Tags
- Categories
- Equities
- Other Tags
Fixed Income Liquidity and ETFs in India
The fixed income market has historically been relatively illiquid in India, as well as globally. The Indian bond market is smaller than other Asian markets like China and Korea, but it is more liquid than they are, yet it is still largely inaccessible to retail investors. The nature of trading that is almost entirely over…
- Categories Fixed Income, India
- Other Tags
- Categories
- Fixed Income, India
- Other Tags
How the Liquidity of S&P 500 Investment-Grade Bonds Compares Against Non-S&P 500 Bonds
Liquidity may be defined as the ability to buy or sell a bond within a reasonable period of time and at a reasonable price. A simple way to compare two bonds is through the use of Trade Reporting and Compliance Engine (TRACE) daily volume data. The data represents the daily aggregation of each reported trade…
- Categories Fixed Income
- Other Tags
Rieger Report: Factors impacting bond liquidity
Issuer name recognition and entity size seem to be factors in bond liquidity and as a result may be important considerations in index design. Tracking the trade activity of corporate bonds issued by the ‘blue chip’ companies of the S&P 500 Index indicates liquidity is improved for these bonds over other bond issues. Of course, when making decisions…
- Categories Fixed Income
- Other Tags
- Categories
- Fixed Income
- Other Tags
The Rieger Report: Liquidity and Bond Index Design
As the liquidity of recent markets have been tested by the impact of low energy prices a look at index design and results may be valuable. Focusing on investment grade corporate bonds we can see dramatic differences in depth of liquidity as a result of index design. For investment grade corporate bonds two indices tracking these markets have very…
- Categories Fixed Income
- Other Tags
- Categories
- Fixed Income
- Other Tags