AdviserVoicefutures Archives - AdviserVoice https://www.adviservoice.com.au/tag/futures/ Financial planner information & financial planner education/CPD - AdviserVoice Thu, 23 Jul 2026 20:30:20 +0000 en-US hourly 1 https://wordpress.org/?v=7.0.2 Portfolio Protection – Options versus Futures Overlays https://www.adviservoice.com.au/2015/01/cpd-portfolio-protection-options-versus-futures-overlays/ https://www.adviservoice.com.au/2015/01/cpd-portfolio-protection-options-versus-futures-overlays/#respond Wed, 28 Jan 2015 21:00:06 +0000 https://adviservoice.com.au/?p=35090 In this article we explore why a protective overlay is important to your equities portfolio, and in particular why the type of overlay is also a significant factor.

After enduring the Global Financial Crisis (GFC), investors around the world reflected on the lessons learnt and started asking how they could better protect their portfolio should such a catastrophic event reoccur.

It is commonly accepted that any time out of the market will likely reduce portfolio returns. This is partly true as the market tends to go up in the long run, and an allocation to cash erodes the portfolio performance in a rising market. The age-old adage of “time in” versus “timing” the market still rings true today. But avoiding downturns and preserving capital will always create a better long term investment outcome, due to the effects of compounding.

The rising need for both portfolio protection and maintaining market participation has prompted investors to look at different types of protective portfolio overlays. Here, we compare two main types of overlays – futures or options based. We look at how they perform in different market scenarios, and which one suits investors’ needs best.

Why the type of overlay is important: Options or Futures?

Futures definition: Agreement to buy or sell a specified asset, at a future date, at an agreed price. Futures are a type of derivative.

Options definition: A contract which gives the buyer the right, but not the obligation, to buy or sell an underlying asset at a specified price on or before a specified date. Options are a type of derivative.

The goals for both futures and options overlay strategies are often similar:

  • To maximise the return of your portfolio in all market scenarios;
  • To limit portfolio losses in falling markets; and
  • To reduce the volatility of the overall portfolio.

Before selecting a particular overlay strategy, investors must understand the pay off profile of the overlay, and how the overlay performs under different market scenarios. Options and futures overlays differ significantly in terms of the extent of protection, as well as the flexibility of protection.

Cost is another major differentiating factor when selecting between options-based and futures-based overlay. An option has an initial cost, whilst a futures contract has an opportunity cost.

What is an options overlay?

Specifically, a protective options overlay is a dynamic strategy that aims to reduce the impact of market falls on portfolio value. Strategies that utilise options act much like an insurance policy. The purchaser pays a premium to protect against a potential loss. A portfolio manager can employ different combinations of options to construct a bespoke protective overlay that suits each investment fund’s risk profile.

A put option pay off profile is asymmetric. This is the key difference between options and futures; protecting the downside and preserving the upside at the same time. Below is a simple put option payoff diagram.

 

portfolio-protection-options-vs-futures-1

 

In constructing an option portfolio, using either index or single stock options, a portfolio manager can create a payoff profile to suit an investors’ desire for upside participation and downside protection.

What is a futures overlay?

A futures overlay is a protection strategy that aims to reduce the impact of market drawdowns on investor capital.

The most important attribute of a futures strategy is that it has a symmetric payoff profile, as demonstrated in the diagram below.

 

portfolio-protection-options-vs-futures-2

 

Being symmetric in nature, it means that futures only offer investors a binary outcome i.e. equal amount of upside and downside risk. This is in contrast to a long options position, where downside risk is limited to the option premium paid, like an insurance policy.

It can be argued that a futures overlay is essentially an asset allocation tool. A futures overlay is managed in either a “risk-on” or “risk off” fashion, where the manager will move away from the risky asset and effectively increase cash exposure by selling futures.

One type of futures overlay acts as a volatility-targeting strategy. In a volatility-targeting strategy, as market volatility rises to around its long run average level, the futures overlay algorithm signals this as stress building in the system and decreases exposure to the market by selling futures. This sell decision will end up being either correct, or incorrect; i.e. if markets fall, the protection decision is correct. However if markets continue to rise, this decision is incorrect and costs any additional portfolio performance that would have been gained.

What is the difference between the overlays?

A futures overlay is a market timing device, while an option overlay is a risk management tool.

There are times where both options and futures overlays work similarly. In falling markets, both strategies will limit the effect of a falling market to varying degrees.

However, the main difference is that options have convexity (i.e. gamma) whereas futures do not. As markets fall, options increase in their effectiveness of cushioning downturns, whereas a futures exposure will remain constant. In a rising market, a put option will become less impactful on a portfolio exposure, such that the portfolio can increasingly participate; a futures contract will retain the effective short weighting. An options overlay will not penalise investors to the same extent for misjudging the market direction. The most investors can lose is the option premium.

Further, a futures overlay should not be treated as a hedge. While the strategy can provide an offset in dislocated markets, on the whole they are non-correlated. A futures overlay also requires a certain amount of time to sell futures. This makes them vulnerable to rapid reversals or the sudden onset of volatility. An options overlay is strongly negatively correlated to the underlying asset. It does not rely on market timing, thereby providing constant, definable protection. It is therefore a better hedge.

Effective exposure

The effective exposure of a portfolio is the amount of the portfolio exposed to the risky asset (in this example the ASX 200).

Below is an example of the differences between the effective exposure of a futures and options overlay strategy between 2008 and 2014. The ASX 200 is the green line and indicates its total return over this time period. The red line shows the option overlay’s effective exposure and the blue line the futures overlay effective exposure with a volatility target.

 

portfolio-protection-options-vs-futures-3

 

Negative market: e.g. January 2008 – March 2009: The ASX 200 is falling rapidly. Both futures and options overlay strategies are decreasing their effective exposure as the market falls. The key here is that the effective exposure change of the options is happening organically. That is to say, the delta of the put options is increasing as the market falls. The futures overlay effective exposure is decreasing because the strategy is selling futures. Most of the time the futures strategy is selling low when volatility spikes, and buying high as volatility subsides. Intuitively, this is not the ideal way to enhance portfolio return.

Positive market: e.g. March 2009 – March 2010: The ASX 200 line is moving upwards throughout this period. We can see a volatility targeted futures overlay (blue line) is not as quick to increase its effective exposure.

Flat/Sideways market: e.g. March 2010 – December 2012. The ASX 200 is flat but relatively volatile over the time period. Futures effective exposure (blue line) is more volatile than that of the options overlay (red line). The options strategy is adding more value as the overshoots are less frequent and effective exposure is changing without the buying or selling of assets.

Expected return profile

The chart below outlines the differences between the futures and options strategies against market returns. You can see what the volatility in the futures strategy (blue line) can do to a portfolio’s returns over time – by design it does not participate fully in market rallies. This erodes any positive performance during market declines and tends to limit your portfolio to a market like return over the long run.

In contrast, the options overlay (red line) provides a more stable return on your portfolio, enabling you to lock in the gains achieved in down markets and utilise these in a compounding effect when markets are positive.

 

portfolio-protection-options-vs-futures-4

 

Risk adjusted return

The table below shows the options overlay has the highest risk-adjusted return (i.e. information ratio), compared to the futures overlay and ASX 200 with no overlay.

The overall portfolio volatility of the options overlay is slightly higher than the futures overlay, however the return per annum is more than 1.5 times as much, therefore the information ratio is significantly higher than the futures overlay, and is twice that of the ASX 200.

 

portfolio-protection-options-vs-futures-5

portfolio-protection-options-vs-futures-6

 

Conclusion

The goal of both options and futures overlay strategies is to protect a portfolio in a falling market. This can be achieved using both approaches. However, we have found that a futures overlay pays for this protection by sacrificing participation in a rally, and long term returns tend to revert to market returns. Further, the futures overlay strategy is not correlated to the market, so its protection is uncertain and cannot safely be considered a hedge.
On the other hand, due to its asymmetric payoff profile and convexity, an options overlay strategy gives investors the ability to add value through active and dynamic hedging. The risk profile over time is improved significantly by reducing the downside volatility, and the upside returns can be preserved.
In conclusion, we believe constructing a protective overlay using liquid, exchange-traded options is the safer and more efficient way to manage portfolio risk.

Dan Bosscher, Portfolio Manager, Perennial Value Management

———-

Disclaimer: Issued by the Investment Manager, Perennial Value Management Limited, ABN 22 090 879 904, AFSL: 247293. Responsible Entity: IOOF Investment Management Limited ABN 53 006 695 021, AFSL: 230524. This promotional statement is provided for information purposes only. Accordingly, reliance should not be placed on this promotional statement as the basis for making an investment, financial or other decision. This promotional statement does not take into account your investment objectives, particular needs or financial situation. While every effort has been made to ensure the information in this promotional statement is accurate; its accuracy, reliability or completeness is not guaranteed. Past performance is not a reliable indicator of future performance.
]]> In this article we explore why a protective overlay is important to your equities portfolio, and in particular why the type of overlay is also a significant factor.

After enduring the Global Financial Crisis (GFC), investors around the world reflected on the lessons learnt and started asking how they could better protect their portfolio should such a catastrophic event reoccur.

It is commonly accepted that any time out of the market will likely reduce portfolio returns. This is partly true as the market tends to go up in the long run, and an allocation to cash erodes the portfolio performance in a rising market. The age-old adage of “time in” versus “timing” the market still rings true today. But avoiding downturns and preserving capital will always create a better long term investment outcome, due to the effects of compounding.

The rising need for both portfolio protection and maintaining market participation has prompted investors to look at different types of protective portfolio overlays. Here, we compare two main types of overlays – futures or options based. We look at how they perform in different market scenarios, and which one suits investors’ needs best.

Why the type of overlay is important: Options or Futures?

Futures definition: Agreement to buy or sell a specified asset, at a future date, at an agreed price. Futures are a type of derivative.

Options definition: A contract which gives the buyer the right, but not the obligation, to buy or sell an underlying asset at a specified price on or before a specified date. Options are a type of derivative.

The goals for both futures and options overlay strategies are often similar:

  • To maximise the return of your portfolio in all market scenarios;
  • To limit portfolio losses in falling markets; and
  • To reduce the volatility of the overall portfolio.

Before selecting a particular overlay strategy, investors must understand the pay off profile of the overlay, and how the overlay performs under different market scenarios. Options and futures overlays differ significantly in terms of the extent of protection, as well as the flexibility of protection.

Cost is another major differentiating factor when selecting between options-based and futures-based overlay. An option has an initial cost, whilst a futures contract has an opportunity cost.

What is an options overlay?

Specifically, a protective options overlay is a dynamic strategy that aims to reduce the impact of market falls on portfolio value. Strategies that utilise options act much like an insurance policy. The purchaser pays a premium to protect against a potential loss. A portfolio manager can employ different combinations of options to construct a bespoke protective overlay that suits each investment fund’s risk profile.

A put option pay off profile is asymmetric. This is the key difference between options and futures; protecting the downside and preserving the upside at the same time. Below is a simple put option payoff diagram.

 

portfolio-protection-options-vs-futures-1

 

In constructing an option portfolio, using either index or single stock options, a portfolio manager can create a payoff profile to suit an investors’ desire for upside participation and downside protection.

What is a futures overlay?

A futures overlay is a protection strategy that aims to reduce the impact of market drawdowns on investor capital.

The most important attribute of a futures strategy is that it has a symmetric payoff profile, as demonstrated in the diagram below.

 

portfolio-protection-options-vs-futures-2

 

Being symmetric in nature, it means that futures only offer investors a binary outcome i.e. equal amount of upside and downside risk. This is in contrast to a long options position, where downside risk is limited to the option premium paid, like an insurance policy.

It can be argued that a futures overlay is essentially an asset allocation tool. A futures overlay is managed in either a “risk-on” or “risk off” fashion, where the manager will move away from the risky asset and effectively increase cash exposure by selling futures.

One type of futures overlay acts as a volatility-targeting strategy. In a volatility-targeting strategy, as market volatility rises to around its long run average level, the futures overlay algorithm signals this as stress building in the system and decreases exposure to the market by selling futures. This sell decision will end up being either correct, or incorrect; i.e. if markets fall, the protection decision is correct. However if markets continue to rise, this decision is incorrect and costs any additional portfolio performance that would have been gained.

What is the difference between the overlays?

A futures overlay is a market timing device, while an option overlay is a risk management tool.

There are times where both options and futures overlays work similarly. In falling markets, both strategies will limit the effect of a falling market to varying degrees.

However, the main difference is that options have convexity (i.e. gamma) whereas futures do not. As markets fall, options increase in their effectiveness of cushioning downturns, whereas a futures exposure will remain constant. In a rising market, a put option will become less impactful on a portfolio exposure, such that the portfolio can increasingly participate; a futures contract will retain the effective short weighting. An options overlay will not penalise investors to the same extent for misjudging the market direction. The most investors can lose is the option premium.

Further, a futures overlay should not be treated as a hedge. While the strategy can provide an offset in dislocated markets, on the whole they are non-correlated. A futures overlay also requires a certain amount of time to sell futures. This makes them vulnerable to rapid reversals or the sudden onset of volatility. An options overlay is strongly negatively correlated to the underlying asset. It does not rely on market timing, thereby providing constant, definable protection. It is therefore a better hedge.

Effective exposure

The effective exposure of a portfolio is the amount of the portfolio exposed to the risky asset (in this example the ASX 200).

Below is an example of the differences between the effective exposure of a futures and options overlay strategy between 2008 and 2014. The ASX 200 is the green line and indicates its total return over this time period. The red line shows the option overlay’s effective exposure and the blue line the futures overlay effective exposure with a volatility target.

 

portfolio-protection-options-vs-futures-3

 

Negative market: e.g. January 2008 – March 2009: The ASX 200 is falling rapidly. Both futures and options overlay strategies are decreasing their effective exposure as the market falls. The key here is that the effective exposure change of the options is happening organically. That is to say, the delta of the put options is increasing as the market falls. The futures overlay effective exposure is decreasing because the strategy is selling futures. Most of the time the futures strategy is selling low when volatility spikes, and buying high as volatility subsides. Intuitively, this is not the ideal way to enhance portfolio return.

Positive market: e.g. March 2009 – March 2010: The ASX 200 line is moving upwards throughout this period. We can see a volatility targeted futures overlay (blue line) is not as quick to increase its effective exposure.

Flat/Sideways market: e.g. March 2010 – December 2012. The ASX 200 is flat but relatively volatile over the time period. Futures effective exposure (blue line) is more volatile than that of the options overlay (red line). The options strategy is adding more value as the overshoots are less frequent and effective exposure is changing without the buying or selling of assets.

Expected return profile

The chart below outlines the differences between the futures and options strategies against market returns. You can see what the volatility in the futures strategy (blue line) can do to a portfolio’s returns over time – by design it does not participate fully in market rallies. This erodes any positive performance during market declines and tends to limit your portfolio to a market like return over the long run.

In contrast, the options overlay (red line) provides a more stable return on your portfolio, enabling you to lock in the gains achieved in down markets and utilise these in a compounding effect when markets are positive.

 

portfolio-protection-options-vs-futures-4

 

Risk adjusted return

The table below shows the options overlay has the highest risk-adjusted return (i.e. information ratio), compared to the futures overlay and ASX 200 with no overlay.

The overall portfolio volatility of the options overlay is slightly higher than the futures overlay, however the return per annum is more than 1.5 times as much, therefore the information ratio is significantly higher than the futures overlay, and is twice that of the ASX 200.

 

portfolio-protection-options-vs-futures-5

portfolio-protection-options-vs-futures-6

 

Conclusion

The goal of both options and futures overlay strategies is to protect a portfolio in a falling market. This can be achieved using both approaches. However, we have found that a futures overlay pays for this protection by sacrificing participation in a rally, and long term returns tend to revert to market returns. Further, the futures overlay strategy is not correlated to the market, so its protection is uncertain and cannot safely be considered a hedge.
On the other hand, due to its asymmetric payoff profile and convexity, an options overlay strategy gives investors the ability to add value through active and dynamic hedging. The risk profile over time is improved significantly by reducing the downside volatility, and the upside returns can be preserved.
In conclusion, we believe constructing a protective overlay using liquid, exchange-traded options is the safer and more efficient way to manage portfolio risk.

Dan Bosscher, Portfolio Manager, Perennial Value Management

———-

Disclaimer: Issued by the Investment Manager, Perennial Value Management Limited, ABN 22 090 879 904, AFSL: 247293. Responsible Entity: IOOF Investment Management Limited ABN 53 006 695 021, AFSL: 230524. This promotional statement is provided for information purposes only. Accordingly, reliance should not be placed on this promotional statement as the basis for making an investment, financial or other decision. This promotional statement does not take into account your investment objectives, particular needs or financial situation. While every effort has been made to ensure the information in this promotional statement is accurate; its accuracy, reliability or completeness is not guaranteed. Past performance is not a reliable indicator of future performance.

The post Portfolio Protection – Options versus Futures Overlays appeared first on AdviserVoice.

]]> https://www.adviservoice.com.au/2015/01/cpd-portfolio-protection-options-versus-futures-overlays/feed/ 0 S&P Assigns Four-Star ‘NEW’ Rating To AQR Wholesale Managed Futures 1P Fund https://www.adviservoice.com.au/2011/06/sp-assigns-four-star-new-rating-to-aqr-wholesale-managed-futures-1p-fund/ https://www.adviservoice.com.au/2011/06/sp-assigns-four-star-new-rating-to-aqr-wholesale-managed-futures-1p-fund/#respond Wed, 01 Jun 2011 04:53:03 +0000 https://adviservoice.com.au/?p=9151 Standard & Poor’s Fund Services today assigned its four-star ‘NEW’ rating to the AQR Wholesale Managed Futures 1P Fund, an alternative strategy product focused on the trend-following managed futures or commodity trading adviser (CTA) sector.

 

U.S.-based manager AQR Capital Management LLC aims to offer investors exposure to the bulk of returns of trend-following managed futures trading in a liquid, transparent form, with internal diversification across up to 100 markets.
x
This is a new offering in the Australian marketplace, with only a short comparable track record in an offshore version. However, in our view, AQR has a strong history of such quantitative, rules-based products.
x
S&P Fund Services analyst Jason Patton said: “AQR does not pretend to the incremental alpha of the best managers of the sector, but the offering is priced accordingly, that is to say at the lower end of a traditionally expensive peer group.”
c
“We are positive in our forward-looking appraisal of the team, investment process, and risk-management framework. We view the fund as a genuinely differentiated offering and a strong newcomer to the peer group,” said Mr. Patton.
c
The fund affected by this announcement is:


 

]]> Standard & Poor’s Fund Services today assigned its four-star ‘NEW’ rating to the AQR Wholesale Managed Futures 1P Fund, an alternative strategy product focused on the trend-following managed futures or commodity trading adviser (CTA) sector.

 

U.S.-based manager AQR Capital Management LLC aims to offer investors exposure to the bulk of returns of trend-following managed futures trading in a liquid, transparent form, with internal diversification across up to 100 markets.
x
This is a new offering in the Australian marketplace, with only a short comparable track record in an offshore version. However, in our view, AQR has a strong history of such quantitative, rules-based products.
x
S&P Fund Services analyst Jason Patton said: “AQR does not pretend to the incremental alpha of the best managers of the sector, but the offering is priced accordingly, that is to say at the lower end of a traditionally expensive peer group.”
c
“We are positive in our forward-looking appraisal of the team, investment process, and risk-management framework. We view the fund as a genuinely differentiated offering and a strong newcomer to the peer group,” said Mr. Patton.
c
The fund affected by this announcement is:


 

The post S&P Assigns Four-Star ‘NEW’ Rating To AQR Wholesale Managed Futures 1P Fund appeared first on AdviserVoice.

]]> https://www.adviservoice.com.au/2011/06/sp-assigns-four-star-new-rating-to-aqr-wholesale-managed-futures-1p-fund/feed/ 0 Zenith: alternative research products in high demand https://www.adviservoice.com.au/2011/05/zenith-alternative-research-products-in-high-demand/ https://www.adviservoice.com.au/2011/05/zenith-alternative-research-products-in-high-demand/#respond Thu, 12 May 2011 01:07:03 +0000 https://adviservoice.com.au/?p=8328 Twelve months ago Zenith Investment Partners Pty Ltd (Zenith) acknowledged the need to boost its market research offering with the establishment of the Alternatives Research division to be headed by accomplished investment professional Daniel Liptak.

Reflecting on rapid growth and success of the Zenith’s Alternatives Research, Director and Co founder David Smythe said the target market for alternatives research is quite specialised and was (and continues to be) in great demand, particularly from high net worth (HNW) individuals, family offices and superannuation funds.

Initially, it was Zenith’s goal to have 60 to 80 alternative investment products fully researched, together with on-going monitoring by Q3, 2011. Zenith’s Alternatives team surpassed this target last month with 105 funds.

Commenting on the Alternatives Research rapid growth and success, Zenith Head of Alternatives Research Daniel Liptak said, “There are many factors that have contributed to the Zenith’s Alternative success and these include our global industry contacts, marketplace reputation and highly developed quantitative and qualitative screening processes.”

“Additionally, Zenith researchers meet at least five alternative fund managers every week over the course of a year and in doing so, are ideally positioned to capitalize on emerging trends, new fund launches and have the most current macro views of the local and global economies – and in doing so – are able to relay this information onto our clients.”
x
Since the beginning of 2011, Zenith’s Alternatives Research division has completed the Australian Equity Market Sector Review that reviewed nine funds. This was followed by the release of 20 CTA / Managed Futures / Global Macro / Commodities and Currency funds – and later by the Australian Long Short Equity Sector review of 15 funds.
x
Zenith has also extended its coverage to include a number of Private Equity Offerings that will have appeal to the HNW market.
x
Liptak also confirmed that Zenith also covers direct water offerings and is looking at a number of shipping funds.
x
The Zenith Alternatives Research team is currently comprised of five specialised analysts dedicated to alternatives research exclusively and if current demand continues, Liptak expects to add additional resources in the very near future.
x
“The depth, quality, insight and experience of the Alternatives team clearly reflects Zenith’s commitment to this area and one which we are confident will provide a greater depth of coverage of alternative assets than our Australian based research competitors,” added Daniel Liptak.
x
The Alternatives Research is also included on the Zenith website with content, information and fund data updated frequently. Liptak is confident that the website will grow inimportance to Zenith’s client as a valuable source of reference.
x
“Since our inception, the hedge funds and other alternative fund managers have readily embraced and welcomed the Zenith offering of deep independent research and personalised service.”
x
“Our aim is to continue to build on this foundation in the years ahead and to be acknowledged as an innovative and leading provider of quality research and alternative portfolio advice to our growing base of clients,” concluded Daniel Liptak.
x
Liptak also confirmed that in the very near future, Zenith Alternatives will be announcing a number of exclusive alternative consultancy arrangements.
]]> Twelve months ago Zenith Investment Partners Pty Ltd (Zenith) acknowledged the need to boost its market research offering with the establishment of the Alternatives Research division to be headed by accomplished investment professional Daniel Liptak.

Reflecting on rapid growth and success of the Zenith’s Alternatives Research, Director and Co founder David Smythe said the target market for alternatives research is quite specialised and was (and continues to be) in great demand, particularly from high net worth (HNW) individuals, family offices and superannuation funds.

Initially, it was Zenith’s goal to have 60 to 80 alternative investment products fully researched, together with on-going monitoring by Q3, 2011. Zenith’s Alternatives team surpassed this target last month with 105 funds.

Commenting on the Alternatives Research rapid growth and success, Zenith Head of Alternatives Research Daniel Liptak said, “There are many factors that have contributed to the Zenith’s Alternative success and these include our global industry contacts, marketplace reputation and highly developed quantitative and qualitative screening processes.”

“Additionally, Zenith researchers meet at least five alternative fund managers every week over the course of a year and in doing so, are ideally positioned to capitalize on emerging trends, new fund launches and have the most current macro views of the local and global economies – and in doing so – are able to relay this information onto our clients.”
x
Since the beginning of 2011, Zenith’s Alternatives Research division has completed the Australian Equity Market Sector Review that reviewed nine funds. This was followed by the release of 20 CTA / Managed Futures / Global Macro / Commodities and Currency funds – and later by the Australian Long Short Equity Sector review of 15 funds.
x
Zenith has also extended its coverage to include a number of Private Equity Offerings that will have appeal to the HNW market.
x
Liptak also confirmed that Zenith also covers direct water offerings and is looking at a number of shipping funds.
x
The Zenith Alternatives Research team is currently comprised of five specialised analysts dedicated to alternatives research exclusively and if current demand continues, Liptak expects to add additional resources in the very near future.
x
“The depth, quality, insight and experience of the Alternatives team clearly reflects Zenith’s commitment to this area and one which we are confident will provide a greater depth of coverage of alternative assets than our Australian based research competitors,” added Daniel Liptak.
x
The Alternatives Research is also included on the Zenith website with content, information and fund data updated frequently. Liptak is confident that the website will grow inimportance to Zenith’s client as a valuable source of reference.
x
“Since our inception, the hedge funds and other alternative fund managers have readily embraced and welcomed the Zenith offering of deep independent research and personalised service.”
x
“Our aim is to continue to build on this foundation in the years ahead and to be acknowledged as an innovative and leading provider of quality research and alternative portfolio advice to our growing base of clients,” concluded Daniel Liptak.
x
Liptak also confirmed that in the very near future, Zenith Alternatives will be announcing a number of exclusive alternative consultancy arrangements.

The post Zenith: alternative research products in high demand appeared first on AdviserVoice.

]]> https://www.adviservoice.com.au/2011/05/zenith-alternative-research-products-in-high-demand/feed/ 0 ASX Group Monthly Activity Report – April 2011 https://www.adviservoice.com.au/2011/05/asx-group-monthly-activity-report-%e2%80%93-april-2011/ https://www.adviservoice.com.au/2011/05/asx-group-monthly-activity-report-%e2%80%93-april-2011/#respond Thu, 05 May 2011 05:32:10 +0000 https://adviservoice.com.au/?p=8186
The value of ASX-listed stocks, as measured by the All Ordinaries Index, fell 0.6% during April. Other major markets rose during the month including the US up 2.8%, UK up 2.7%, Singapore up 2.2%, Japan up 1.0% and Hong Kong up 0.8%. The slight fall in Australian equity values coincided with a strong rise in the Australian dollar: up 5.5% against the US dollar, 3.9% against the Yen and 0.5% against the Euro.
Measures of volatility in the Australian equity market were generally restrained during April:
  • Current volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.7% in April (unchanged from March).
  • Expected future volatility (as measured by the S&P/ASX 200 VIX) fell on average in April to 16.2 compared to 18.7 in March.
Volatility in US markets (S&P 500 Index) declined in April with average daily movements of 0.4% (0.8% in March). Expectations of future volatility in the US fell during April.

The value of daily cash market trading in April was down slightly on the previous month’s strong performance, with an average traded value of $5.8 billion a day.

Activity in interest rate futures contracts continued its upward trend, although well down on the strong March expiry month, with trading during April in the four main contracts (3 and 10 year bonds, 90 day bank bills, and the 30 day cash rate) recording a daily average of 268,770 contracts traded.

AUSTRALIAN SECURITIES EXCHANGE

Listings and capital raisings

  • In April 2011 there were 11 new listings, 57% higher than the 7 in the previous corresponding period (pcp).
  • Total listed entities at the end of April 2011 were 2,238, up 3% on the 2,181 a year ago.
  • There was $330 million of initial capital raised in April 2011, compared to $2.5 billion in the pcp.
  • Secondary capital raisings in April 2011 increased significantly, with $6.1 billion raised, compared to $3.6 billion in the pcp. There was also $3.0 billion of other capital raised including scrip-for-scrip in April 2011.
  • Total capital raised in April 2011 amounted to $6.4 billion, up 7% on the $6.0 billion raised in the pcp.
  • For the financial year-to-date, total capital raised is down 26%, with capital raised from IPOs $23.5 billion and from secondary raisings $29.9 billion.

Trading – Cash markets (including equities, interest rates and warrants trades)

The All Ordinaries Index closed at the end of April at 4899.0 points, a fall of 0.6% over the course of the month. The index has risen 1.1% in the calendar year-to-date.

  • Total cash market trades for April 2011 were 11.2 million, up 16% on the pcp.
  • Average daily trades for April 2011 of 620,473 were 22% higher than the pcp.
  • Total cash market traded value was $103.8 billion in April 2011, down 7% on the pcp mainly due to one less trading day. The daily average value traded was $5.8 billion in April 2011, down 2% on the pcp.
  • In April 2011 the average value per trade was $9,296, down 19% on the pcp of $11,540. The percentage of traded value crossed was 28% (28% pcp).

Trading – Financial derivatives markets

  • Strong turnover was seen in all benchmark interest rate futures contracts in April, even though volatility in markets declined compared to March where heightened volatility accompanied a number of major natural disasters.
  • The RBA left the official cash rate unchanged at its April meeting. Market expectations of future policy changes were also largely unchanged over the month leading to narrower daily trading ranges across all contracts. Most key economic data was in line with expectations, with the exception of the stronger than anticipated CPI which created some volatility on the day of release.
  • Commodity markets and the Australian dollar rallied throughout the month, with the dollar hitting a new post-float closing high of $US1.09.
  • Equity derivatives volume (excluding the ASX SPI 200) for April 2011 was 1.9 million contracts, up 3% on the pcp, with a daily average of 103,067 contracts, up 8% on pcp.
  • Total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for April 2011 was 6.1 million, up 12% on the pcp, with a notional value of $3.1 trillion. Average daily contracts volume during April 2011 of 323,304 was up 18% on the pcp.       Page 3 of 6
  • A total of 5,778 ASX CFD trades were transacted in April 2011, comprising a volume of 14.1 million contracts. The total notional value of all CFD trades for April was $218.4 million, a decrease of 8% on the pcp, while the value of CFD open interest at the end of April was $77.6 million, a decrease of 34% on the pcp.

Trading – Energy and agricultural derivatives markets

  • A total of 12,587 Australian electricity futures and options contracts were traded in April 2011, a decrease of 22% on the pcp. Total open interest was 40,905 contracts at the end of April 2011.
  • The ASX grain futures and options market traded 20,868 contracts (417,360 tonnes) during the month, down 21% on the pcp. Open interest at the end of April 2011 of 87,784 futures contracts represents 1.75 million tonnes of Australian grain and oilseed.

ASX CLEARING CORPORATION

Clearing

All on-market trades (equities and derivatives markets) are novated by ASX’s two central counterparty clearing subsidiaries, ASX Clear and ASX Clear (Futures), which act as counterparties to those trades and replace bilateral counterparty exposures.

  • Total margins (including additional margins held against stress testing exposures and concentrated large positions) averaged $2.8 billion during April 2011 (including excess cash collateral but excluding equity securities lodged in excess of the margin requirement), with cash margins lodged averaging $2.2 billion.
  • There were intraday margin calls made on two separate days in April 2011 totalling $8.0 million compared to intra-day margin calls in March 2011 totalling $75.8 million.

ASX SETTLEMENT CORPORATION

ASX Settlement

There were no delays to the completion of batch settlement in the equities market during April 2011.

  • Total equity settlement delivery fail rates averaged 0.7% per day during April 2011 (no change from March 2011).

Austraclear Settlement
There were no disruptions to the Austraclear settlement sessions during April 2011.
  • The levels of total debt holdings in Austraclear increased over the course of April by $3.6 billion to $1.223 trillion. Treasury bonds increased by $4.3 billion, semi-government securities by $3.1 billion and corporate bonds by $1.1 billion, whilst there were decreases in treasury notes by $3.4 billion and electronic certificates of deposit by $1.4 billion. All other holdings decreased by $204 million.

]]>
The value of ASX-listed stocks, as measured by the All Ordinaries Index, fell 0.6% during April. Other major markets rose during the month including the US up 2.8%, UK up 2.7%, Singapore up 2.2%, Japan up 1.0% and Hong Kong up 0.8%. The slight fall in Australian equity values coincided with a strong rise in the Australian dollar: up 5.5% against the US dollar, 3.9% against the Yen and 0.5% against the Euro.
Measures of volatility in the Australian equity market were generally restrained during April:
  • Current volatility (as measured by the average daily movement in the All Ordinaries Index) was 0.7% in April (unchanged from March).
  • Expected future volatility (as measured by the S&P/ASX 200 VIX) fell on average in April to 16.2 compared to 18.7 in March.
Volatility in US markets (S&P 500 Index) declined in April with average daily movements of 0.4% (0.8% in March). Expectations of future volatility in the US fell during April.

The value of daily cash market trading in April was down slightly on the previous month’s strong performance, with an average traded value of $5.8 billion a day.

Activity in interest rate futures contracts continued its upward trend, although well down on the strong March expiry month, with trading during April in the four main contracts (3 and 10 year bonds, 90 day bank bills, and the 30 day cash rate) recording a daily average of 268,770 contracts traded.

AUSTRALIAN SECURITIES EXCHANGE

Listings and capital raisings

  • In April 2011 there were 11 new listings, 57% higher than the 7 in the previous corresponding period (pcp).
  • Total listed entities at the end of April 2011 were 2,238, up 3% on the 2,181 a year ago.
  • There was $330 million of initial capital raised in April 2011, compared to $2.5 billion in the pcp.
  • Secondary capital raisings in April 2011 increased significantly, with $6.1 billion raised, compared to $3.6 billion in the pcp. There was also $3.0 billion of other capital raised including scrip-for-scrip in April 2011.
  • Total capital raised in April 2011 amounted to $6.4 billion, up 7% on the $6.0 billion raised in the pcp.
  • For the financial year-to-date, total capital raised is down 26%, with capital raised from IPOs $23.5 billion and from secondary raisings $29.9 billion.

Trading – Cash markets (including equities, interest rates and warrants trades)

The All Ordinaries Index closed at the end of April at 4899.0 points, a fall of 0.6% over the course of the month. The index has risen 1.1% in the calendar year-to-date.

  • Total cash market trades for April 2011 were 11.2 million, up 16% on the pcp.
  • Average daily trades for April 2011 of 620,473 were 22% higher than the pcp.
  • Total cash market traded value was $103.8 billion in April 2011, down 7% on the pcp mainly due to one less trading day. The daily average value traded was $5.8 billion in April 2011, down 2% on the pcp.
  • In April 2011 the average value per trade was $9,296, down 19% on the pcp of $11,540. The percentage of traded value crossed was 28% (28% pcp).

Trading – Financial derivatives markets

  • Strong turnover was seen in all benchmark interest rate futures contracts in April, even though volatility in markets declined compared to March where heightened volatility accompanied a number of major natural disasters.
  • The RBA left the official cash rate unchanged at its April meeting. Market expectations of future policy changes were also largely unchanged over the month leading to narrower daily trading ranges across all contracts. Most key economic data was in line with expectations, with the exception of the stronger than anticipated CPI which created some volatility on the day of release.
  • Commodity markets and the Australian dollar rallied throughout the month, with the dollar hitting a new post-float closing high of $US1.09.
  • Equity derivatives volume (excluding the ASX SPI 200) for April 2011 was 1.9 million contracts, up 3% on the pcp, with a daily average of 103,067 contracts, up 8% on pcp.
  • Total futures and options on futures contracts volume (excluding equity derivatives and CFDs) for April 2011 was 6.1 million, up 12% on the pcp, with a notional value of $3.1 trillion. Average daily contracts volume during April 2011 of 323,304 was up 18% on the pcp.       Page 3 of 6
  • A total of 5,778 ASX CFD trades were transacted in April 2011, comprising a volume of 14.1 million contracts. The total notional value of all CFD trades for April was $218.4 million, a decrease of 8% on the pcp, while the value of CFD open interest at the end of April was $77.6 million, a decrease of 34% on the pcp.

Trading – Energy and agricultural derivatives markets

  • A total of 12,587 Australian electricity futures and options contracts were traded in April 2011, a decrease of 22% on the pcp. Total open interest was 40,905 contracts at the end of April 2011.
  • The ASX grain futures and options market traded 20,868 contracts (417,360 tonnes) during the month, down 21% on the pcp. Open interest at the end of April 2011 of 87,784 futures contracts represents 1.75 million tonnes of Australian grain and oilseed.

ASX CLEARING CORPORATION

Clearing

All on-market trades (equities and derivatives markets) are novated by ASX’s two central counterparty clearing subsidiaries, ASX Clear and ASX Clear (Futures), which act as counterparties to those trades and replace bilateral counterparty exposures.

  • Total margins (including additional margins held against stress testing exposures and concentrated large positions) averaged $2.8 billion during April 2011 (including excess cash collateral but excluding equity securities lodged in excess of the margin requirement), with cash margins lodged averaging $2.2 billion.
  • There were intraday margin calls made on two separate days in April 2011 totalling $8.0 million compared to intra-day margin calls in March 2011 totalling $75.8 million.

ASX SETTLEMENT CORPORATION

ASX Settlement

There were no delays to the completion of batch settlement in the equities market during April 2011.

  • Total equity settlement delivery fail rates averaged 0.7% per day during April 2011 (no change from March 2011).

Austraclear Settlement
There were no disruptions to the Austraclear settlement sessions during April 2011.
  • The levels of total debt holdings in Austraclear increased over the course of April by $3.6 billion to $1.223 trillion. Treasury bonds increased by $4.3 billion, semi-government securities by $3.1 billion and corporate bonds by $1.1 billion, whilst there were decreases in treasury notes by $3.4 billion and electronic certificates of deposit by $1.4 billion. All other holdings decreased by $204 million.

The post ASX Group Monthly Activity Report – April 2011 appeared first on AdviserVoice.

]]> https://www.adviservoice.com.au/2011/05/asx-group-monthly-activity-report-%e2%80%93-april-2011/feed/ 0 CMC Markets and optionsXpress Australia partner for CFDs and share trading https://www.adviservoice.com.au/2010/09/cmc-markets-and-optionsxpress-australia-partner-for-cfds-and-share-trading/ https://www.adviservoice.com.au/2010/09/cmc-markets-and-optionsxpress-australia-partner-for-cfds-and-share-trading/#respond Wed, 15 Sep 2010 02:04:50 +0000 https://adviservoice.com.au/?p=718 Superior education offering combined with cutting edge trading platform provides innovative investment solution

CMC Markets and optionsXpress Australia, a leading online derivatives trading firm, today announced a new partnership for CFDs and share trading that is set to transform the education and broking experience for investors.

The partnership includes the entire optionsXpress Australia family: HUBB Financial, Safety in the Market, optionsXpress and Optionetics.

optionsXpress has chosen to partner with CMC Markets because of the advanced and flexible nature of CMC Market’s Application Programming Interface (API) and wide range of investment tools and products. CMC Markets will provide optionsXpress with the flexibility to offer multiple front ends based on the needs of the individual client.

The partnership means that all optionsXpress Australia clients will automatically have access to trading solutions such as CFDs and shares, and can act on whatever trading signals are generated by optionsXpress’ state of the art Profit Source and Integrated Investor platforms encompassing signals based trading.

“This partnership expands the relationship between the Australian subsidiaries of both firms, which have been delivering unique investment opportunities for traders in Australia for several years now. The agreement we now have in place delivers on optionsXpress’ goal of making it easy for everyday investors to trade derivative products,” said John-Paul Drysdale, Managing Director of optionsXpress Australia.

“We are proud to offer CFDs to optionsXpress Australia’s traders and investors, and to be able to give our clients an important asset class as part of their plans to grow their wealth,” said Mr Drysdale.

“The appeal of working with optionsXpress is that they have a large and loyal client base, both domestically (with HUBB Financial) and overseas. The fact that optionsXpress’ clients were clearly dedicated to the company, across several continents, was a very positive sign to CMC Markets,” said Jamie Clinnick, Head of Partners (Wholesale) Australia and New Zealand at CMC Markets.

“CMC Markets is a strong advocate of trading and investment education and this partnership gives CMC Markets even stronger education options to potentially offer to its own clients, that optionsXpress can support,” said Mr Clinnick.

]]> Superior education offering combined with cutting edge trading platform provides innovative investment solution

CMC Markets and optionsXpress Australia, a leading online derivatives trading firm, today announced a new partnership for CFDs and share trading that is set to transform the education and broking experience for investors.

The partnership includes the entire optionsXpress Australia family: HUBB Financial, Safety in the Market, optionsXpress and Optionetics.

optionsXpress has chosen to partner with CMC Markets because of the advanced and flexible nature of CMC Market’s Application Programming Interface (API) and wide range of investment tools and products. CMC Markets will provide optionsXpress with the flexibility to offer multiple front ends based on the needs of the individual client.

The partnership means that all optionsXpress Australia clients will automatically have access to trading solutions such as CFDs and shares, and can act on whatever trading signals are generated by optionsXpress’ state of the art Profit Source and Integrated Investor platforms encompassing signals based trading.

“This partnership expands the relationship between the Australian subsidiaries of both firms, which have been delivering unique investment opportunities for traders in Australia for several years now. The agreement we now have in place delivers on optionsXpress’ goal of making it easy for everyday investors to trade derivative products,” said John-Paul Drysdale, Managing Director of optionsXpress Australia.

“We are proud to offer CFDs to optionsXpress Australia’s traders and investors, and to be able to give our clients an important asset class as part of their plans to grow their wealth,” said Mr Drysdale.

“The appeal of working with optionsXpress is that they have a large and loyal client base, both domestically (with HUBB Financial) and overseas. The fact that optionsXpress’ clients were clearly dedicated to the company, across several continents, was a very positive sign to CMC Markets,” said Jamie Clinnick, Head of Partners (Wholesale) Australia and New Zealand at CMC Markets.

“CMC Markets is a strong advocate of trading and investment education and this partnership gives CMC Markets even stronger education options to potentially offer to its own clients, that optionsXpress can support,” said Mr Clinnick.

The post CMC Markets and optionsXpress Australia partner for CFDs and share trading appeared first on AdviserVoice.

]]> https://www.adviservoice.com.au/2010/09/cmc-markets-and-optionsxpress-australia-partner-for-cfds-and-share-trading/feed/ 0