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Thompson Hine Update: Labor Department Directed to Examine Final Fiduciary Rule
Investment Management Update
February 6, 2017--We are writing to update you on the status of the Department of Labor's final fiduciary rule (Final Rule). Currently, the Final Rule is scheduled to become applicable on April 10, 2017, with additional requirements effective January 1, 2018.
Last Friday President Trump issued a presidential memorandum regarding the Final Rule, noting that the rule "may significantly alter the manner in which Americans can receive financial advice, and may not be consistent with the policies of my Administration."
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Source: Thompson Hine
CFTC.gov Commitments of Traders Reports Update
February 3, 2017--The current reports for the week of January 31, 2017 are now available.
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Source: CFTC.gov
Nasdaq amends disputed fee proposal for key stock market data
February 2, 2017--Nasdaq Inc (NDAQ.O) no longer plans to charge additional fees to access key data essential for stock market operations following complaints of price gouging from other exchanges, trading firms and an industry trade group, according to a regulatory filing.
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Source: Reuters
CBO-Inflation, Default, and the Currency Composition of Sovereign Debt in Emerging Economies: Working Paper 2017-01
February 2, 2017--In emerging market economies, governments issue debt denominated both in their own currency and in foreign currencies.
I develop a theory of the optimal composition of sovereign debt between local and foreign currencies. In a model with a micro-founded monetary framework a government controls monetary policy and has the ability to borrow from abroad using both local and foreign currency bonds. In this model, local currency bonds differ from foreign currency bonds in two important ways. Unlike foreign currency bonds, local currency bonds function as a contingent claim, allowing governments to more easily smooth consumption over time. In addition, the threat of strategic inflation limits the amount that a government can borrow using local currency bonds (but has no direct effect on foreign currency borrowing).
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Source: Congressional Budget Office (CBO)
The Forum at ETF Research Center-Feb. '17 Sector SPDR Analyzer: First Look at 2018E
February 2, 2017--The ETF Analyzer, Sector SPDR Edition for February 2017 is ready for download. This monthly publication has succinct one-page reports on each of the 10 Select Sector SPDR ETFs in three easy-to-read sections.
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Source: AltaVista Research
CFTC.gov Swaps Report Update
February 1, 2017--CFTC's Weekly Swaps Report has been updated, and is now available.
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Source: CFTC.gov
Federal Reserve issues FOMC statement
February 1, 2017--Information received since the Federal Open Market Committee met in December indicates that the labor market has continued to strengthen and that economic activity has continued to expand at a moderate pace.
Job gains remained solid and the unemployment rate stayed near its recent low. Household spending has continued to rise moderately while business fixed investment has remained soft. Measures of consumer and business sentiment have improved of late. Inflation increased in recent quarters but is still below the Committee's 2 percent longer-run objective.
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Source: federalreserve.gov
BlackRock's Q1 Factor Outlook-Uncovering the Value of Growth
January 31, 2017--Factors are broad, persistent drivers of return, present both across and within
asset classes.
Factor investing targets these intuitive investment styles, seeking to take advantage of economic insight, diversification and efficient execution.
Quality, momentum, value, size, and minimum volatility have historically been drivers of returns across asset classes.
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Source: BlackRock
Research Affiliates-A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing
January 31, 2017--Key Points
Researchers have identified hundreds of factors that purport to predict equity returns; we find a half dozen that provide an opportunity to outperform the market.
To maximize risk-adjusted returns, diversify across smart beta strategies that access the value, low beta, profitability, investment, momentum, and size factors.
Systematic rebalancing to fixed weights-reducing exposure to popular factors that have outperformed over recent years, while increasing exposure to the out-of-favor factors that have underperformed-in a portfolio of smart betas will likely improve performance relative to a buy-and-hold weighting.
Dynamically rebalancing factor exposures using short-term momentum and long-term reversal signals further improves the return.
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Source: researchaffiliates.com
CBOE Launches S&P 500 Range-Bound Premium Income Index (SPRI)
January 31, 2017--Index Designed to Achieve Targeted Monthly Premium
Hypothetical Returns Uncorrelated to Fixed-Income Markets, Neutral to Equity Market Performance
Chicago Board Options Exchange(R) (CBOE(R)) today announced it has launched the CBOE S&P 500 Range-Bound Premium Income Index, which is designed to serve as a benchmark for investors aiming for consistent income distributions while taking the view that short-term equity returns will be range-bound.
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Source: CBOE
