{"id":11742,"date":"2010-08-05T20:08:16","date_gmt":"2010-08-06T00:08:16","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=11742"},"modified":"2010-08-05T20:08:16","modified_gmt":"2010-08-06T00:08:16","slug":"august-5-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=11742","title":{"rendered":"August 5, 2010"},"content":{"rendered":"

The hedge fund migration<\/a> is continuing:<\/p>\n

Goldman Sachs Group Inc.\u2019s principal- strategies business, a group that makes bets with the firm\u2019s own capital, plans to transform into a fund and raise outside money, a person with direct knowledge of the decision said.<\/p>\n

Goldman Sachs may announce as soon as tomorrow plans to discontinue the business, which is part of the New York-based bank\u2019s equities unit, the person said, declining to be named because the decision hasn\u2019t been made public. The team, which aims to complete the process by the end of the year, hasn\u2019t set a target for the amount it wants to raise, the person said.<\/p><\/blockquote>\n

Bad times are over! The UK has lots of money<\/a>!<\/p>\n

The U.K., known for rain and gray skies, enjoyed record installations of solar panels in July after the government guaranteed prices for electricity from renewable energy up to 10 times market rates.<\/p>\n

Photovoltaic panels with the capacity to generate 4.6 megawatts were fitted last month, energy regulator Ofgem said on its website. That\u2019s more than in the whole of 2009, according to Bloomberg New Energy Finance, which forecasts the nation\u2019s solar market will increase 12-fold this year.
…<\/b>
The National Farmers Union has had a \u201csignificant number\u201d of inquiries from financiers and its members about using farmland and barn roofs to host panels, said Jonathan Scurlock, the union\u2019s chief renewable adviser.<\/p>\n

Farmers are being offered rent of 1,000 pounds to 2,000 pounds per hectare for their fields, more than they can make from livestock or crops, he said.<\/p><\/blockquote>\n

The BoC has released<\/a> a working paper by Fuchun Li titled Identifying Asymmetric Comovements of International Stock Market Returns<\/a>:<\/p>\n

Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. The test is used to detect whether asymmetric comovements exist in international stock markets. We find the following empirical facts. First, asymmetric comovements exist between the United States (U.S.) stock market and the stock markets for Canada, France, Germany, and the United Kingdom (U.K.), but the data are unable to reject the null hypothesis of the symmetric comovements between the U.S. and Japanese stock markets. Second, either a larger negative drop or a positive increase in stock prices leads to stronger comovements of stock market returns, indicating that comovements in the data are different from comovements implied by a bivariate symmetric distribution, which implies that comovements tend to zero as the market returns become more positive or more negative.<\/p><\/blockquote>\n

I don’t think there’s anything particularly startling in the conclusion (although those who swear by VaR and are surprised by 25-standard-deviation fluctuations<\/a> in their asset values might be a little startled!); the main contribution of this paper is its critique and replacement of the Pearson Coefficient:<\/p>\n

All the empirical evidence mentioned above in favor of asymmetric comovements is based on the Pearson correlation coefficient as the measure of comovements.1 It is well known that the validity of the Pearson correlation coefficient as the measure of comovements crucially depends on the assumptions that the relationship between two variables is linear and that the two variables are jointly normally distributed. However, a number of empirical studies have documented that a linear relationship based on the normal distribution assumption clearly fails to explain the stylized facts observed in data and that it is highly undesirable to perform various policy evaluations, risk management and financial forecasts (Granger (2002), Rodriguez (2007), and papers therein).<\/p><\/blockquote>\n

PerpetualDiscounts just kept on keeping on in the Canadian preferred share market today, gaining 7bp, while FixedResets were about as flat as they could be. Volume was light. MFC issues were noticable in both the performance and volume tables, presumably related to their lousy 2Q10 results<\/a> and S&P Downgrade<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1306 %<\/td>\n2,077.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1306 %<\/td>\n3,147.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.52 %<\/td>\n2.13 %<\/td>\n36,219<\/td>\n22.01<\/td>\n4<\/td>\n-0.1306 %<\/td>\n2,243.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.88 %<\/td>\n-2.36 %<\/td>\n109,663<\/td>\n0.09<\/td>\n9<\/td>\n0.2017 %<\/td>\n2,358.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.17 %<\/td>\n1.46 %<\/td>\n72,380<\/td>\n0.08<\/td>\n2<\/td>\n-0.2548 %<\/td>\n2,246.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2017 %<\/td>\n2,156.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.78 %<\/td>\n5.53 %<\/td>\n103,664<\/td>\n5.62<\/td>\n7<\/td>\n0.2712 %<\/td>\n1,948.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.80 %<\/td>\n5.85 %<\/td>\n183,105<\/td>\n14.10<\/td>\n71<\/td>\n0.0740 %<\/td>\n1,867.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.31 %<\/td>\n3.44 %<\/td>\n297,139<\/td>\n3.42<\/td>\n47<\/td>\n-0.0008 %<\/td>\n2,232.9<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-05
\nMaturity Price : 19.06
\nEvaluated at bid price : 19.06
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.61
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Premium<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n101,505<\/td>\nNesbitt crossed 75,000 at 26.84.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.61
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n38,811<\/td>\nRBC crossed 25,000 at 19.65.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-05
\nMaturity Price : 19.64
\nEvaluated at bid price : 19.64
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n31,805<\/td>\nNational crossed 20,000 at 27.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.56
\nBid-YTW : 3.44 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n29,140<\/td>\nTD crossed 16,900 at 25.70.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-05
\nMaturity Price : 23.33
\nEvaluated at bid price : 25.65
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n25,800<\/td>\nRBC crossed 25,000 at 21.60.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-05
\nMaturity Price : 21.56
\nEvaluated at bid price : 21.56
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n25,036<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-05
\nMaturity Price : 19.06
\nEvaluated at bid price : 19.06
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
There were 20 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The hedge fund migration is continuing: Goldman Sachs Group Inc.\u2019s principal- strategies business, a group that makes bets with the firm\u2019s own capital, plans to transform into a fund and raise outside money, a person …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-11742","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11742","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=11742"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11742\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=11742"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=11742"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=11742"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}