We extend our preliminary study published on 6/29/2012 to include the trading period between T-15 (6/1/2012) and T+15 (7/16/2012). We examine volume, spread, volatility and trading costs. We also look at algorithmic trading results for the constituents added to or removed from the Russell 1000 Index (R1K) and Russell 2000 Index (R2K). Furthermore, we look at trading characteristics of the iShares Russell 2000 Index Fund (IWM), a widely traded ETF that tracks the Russell 2000 Index and iShares Russell 1000 Index Fund (IWB), an ETF that tracks the Russell 1000 Index.
In this edition of the The Blotter, index expert Charles Behette recaps this year’s Russell Rebalance. His effective date, period and post-event analysis includes detailed performance metrics on add/deletes, migrations, funding, and effective day closing print & full day performance.
With this year’s Russell Reconstitution just a week past, we analyzed the trading characteristics of Russell adds and deletes to provide color on the reconstitution and the two days surrounding the event in this week’s edition of The Blotter.
Our analysis focuses on the trading characteristics of constituents added to or removed from the Russell 1000® (R1K) and Russell 2000® (R2K) indices. With the available data and trend analysis, we aim to help clients assess whether the execution strategy implemented was most conducive to the trading characteristics associated with these securities.
ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance in this edition of The Blotter. Of note this year will be increased speculative activity as well as heightened turnover in the Financial Sector.
In this edition of The Blotter, Juan Pablo Urrutia discusses the long-awaited European Parliament Report on MiFID II. The first installment of this report reveals that Broker Crossing Systems could go the way of the dinosaurs, while dark MTFs could be preserved in a tight, but politically unbiased, market structure environment.
The French financial transaction tax (French FTT) was adopted February 29 by the French National Assembly despite fierce opposition from the French left (in particular as the proposal was bundled with the abolition of employers’ social contributions and compensated with a rise in sales tax that the French left considers it will hit the poorest hardest). ITG’s Juan Pablo Urrutia discusses the new policy.
Uncertainty surrounding the European sovereign debt crisis and anemic economic recovery motivated marked asset re-allocation in January 2012. ITG’s Jacqueline King discusses this shift in trade flows.
As of October, Australia now has two competing, price-forming equity trading venues. In the coming months, there will be an impact on all those who trade Australian equities, and those buyside firms that use this change as a catalyst to adopt sophisticated technology and flexible trading tools will be those that benefit the most from this new, competitive market.
On August 11, 2011, in light of market volatility unseen since late 2008, financial market authorities in Europe adopted measures to ban short sales of financial stocks. Based on our analysis, prices of these stocks continued to fall, volume decreased, and spreads widened after the short sales restrictions took effect.
Using a two-month window around the Citigroup event, we observe a shift in trading activity from alternative markets to exchanges, accompanied by increases in trade size on alternative markets with corresponding decreases on the exchanges. ITG’s team of experts presents their full research.