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Panel 4: Fixed income ETFs 2.0: What do the new breed of products look like?

With BlackRock controlling over 60% of the fixed income ETF market in Europe, ETF providers are moving away from the traditionally passive space that is dominated by the bigger players. Fixed income smart beta, credit default swaps and fallen angel ETFs, to name but a few, are quickly developing areas, however, are they viable investment options and do investors need them?

Moderator: David Stevenson, Editor-in-Chief, ETF Stream
Panellists: Irene Bauer, CIO Twenty20 Investments, Co-Founder Algo-Chain
Recorded Sep 23 2019 27 mins
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David Stevenson, ETF Stream | Irene Bauer, Algo-Chain
Presentation preview: Panel 4: Fixed income ETFs 2.0: What do the new breed of products look like?
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  • 2020 Investment Outlook: What could disrupt consensus expectations? Dec 17 2019 6:30 am UTC 60 mins
    Philip Lawlor, managing director, global markets research at FTSE Russell
    Global Markets Research, FTSE Russell.
    (Webinar for investors based in the APAC region)

    In this webinar, Philip Lawlor, managing director, global markets research at FTSE Russell, will discuss some of the risks confronting investors in 2020, before addressing questions via a live Q&A with webinar participants.

    Key discussion points:

    • Reviewing 2019’s global equity and bond market performance, in the context of a deteriorating macroeconomic backdrop.
    • Appraising the current economic, profit, valuation and financial conditions market drivers.
    • Exploring what’s priced in and what could surprise in 2020.
  • 2020 Investment Outlook: What could disrupt consensus expectations? Dec 11 2019 4:00 pm UTC 60 mins
    Alec Young, managing director, global markets research at FTSE Russell
    Global Markets Research, FTSE Russell.
    (Webinar for investors based in the Americas)

    In this webinar, Alec Young, managing director, global markets research at FTSE Russell, will discuss some of the risks confronting investors in 2020, before addressing questions via a live Q&A with webinar participants.

    Key discussion points:

    • Reviewing 2019’s global equity and bond market performance, in the context of a deteriorating macroeconomic backdrop.
    • Appraising the current economic, profit, valuation and financial conditions market drivers.
    • Exploring what’s priced in and what could surprise in 2020.
  • 2020 Investment Outlook: What could disrupt consensus expectations? Dec 11 2019 10:00 am UTC 60 mins
    Philip Lawlor, managing director, global markets research at FTSE Russell
    Global Markets Research, FTSE Russell.
    (Session for investors based in Europe)

    In this webinar, Philip Lawlor, managing director, global markets research at FTSE Russell, will discuss some of the risks confronting investors in 2020, before addressing questions via a live Q&A with webinar participants.

    Key discussion points:

    • Reviewing 2019’s global equity and bond market performance, in the context of a deteriorating macroeconomic backdrop.
    • Appraising the current economic, profit, valuation and financial conditions market drivers.
    • Exploring what’s priced in and what could surprise in 2020.
  • Yield Book Analytics Webinar: Introducing the Loan Collateral Analyzer (LCA) Dec 4 2019 3:00 pm UTC 60 mins
    Aysegul Erdem, Analytics Product Manager and Mo Bhuiyan, Analytics Product Manager
    With the abundance of loan-level information, there is a growing need to analyze varied and complex data sets. Yield Book, part of Information Services Division at London Stock Exchange Group is proud to present Loan Collateral Analyzer (LCA). LCA provides the ability to peer into securities, whether it is a level 1 pool or ReREMIC, and go down to the most granular form, the loan-level while keeping track of participation. In addition to the linking of securities to loan-level, users are then able to categorize and filter based on customizable specifications. All of which is linked to our extensive historical loan-level database to provide past performance/speeds.

    Webinar will cover:
    •Overview of LCA
    •Displaying balance and prepay dispersions across loan characteristics for a deal
    •Loan-level comparison of two similar pools
    •Benchmark analysis using Yield Book CMO cohort
    •Viewing the loan level data and explaining the challenges
  • Hedging downside risk in US small caps with built-in buffers Recorded: Nov 20 2019 51 mins
    Rolf Agather, managing director, research & innovation, FTSE Russell; Trevor Terrell, Vice President, Sales, Innovator ETFs
    The US small-cap Russell 2000 Index has returned 6.6% annually over the past 20 years on a price basis as of September 30 as compared to a 4.6% annual price return for the US large-cap Russell 1000 Index for the same period.
    And while US small cap returns look relatively good for investors in hindsight over the past two decades, these returns have come with much higher relative volatility. The Russell 2000 had a 19.5% annualized standard deviation over the last 20 years as compared to 14.8% for the Russell 1000 and the Russell 2000 had a maximum drawdown of 54%.

    How can investors hedge downside risk?

    Join experts from FTSE Russell and Innovator ETFs as they discuss US small cap equities and hedging downside risk with built-in buffer.

    Discover more about the benefits of the Russell 2000 Index: FTSE Russell’s infographic, "Because markets change" and FTSE Russell’s and Innovator ETFs’ recent joint blog, "A defining moment for us small-cap stocks" at www.ftserussell.com
  • Mortgage Model Release Update Recorded: Nov 6 2019 52 mins
    Hui Ding, Director, Agency RMBS Prepayment Modeler and Jake Katz, Director, Non-Agency RMBS Modeler
    The new Agency & Non-Agency RMBS model V21.5 will become the default production model for Yield Book on November 17th.

    This webinar will cover the update from V21.4 to V21.5 which includes:

    1. Agency RMBS Prepayment
    - Primary/secondary spread model enhancements
    - Cash-out model enhancements
    - Refinance response recalibration enhancements
    - Other miscellaneous model changes update

    2. Non-agency loss severity model enhancements for CRTs

    3. Non-agency adjustments and updates to rate refi component of prepayment model for Jumbo Near Prime

    Featured Speakers:

    Hui Ding, Director, Agency RMBS Prepayment Modeler, Yield Book, part of Information Services Division at London Stock Exchange Group

    Jake Katz, Director, Non-Agency RMBS Modeler, Yield Book, part of Information Services Division at London Stock Exchange Group

    Joe Reel, Managing Director, MQA Mortgage Analysis, Citigroup, Inc.
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    Alec Young, Managing Director, Global Markets Research
    A live event presented by Alec Young, Managing Director, Global Markets Research.

    Alec will provide a global macroeconomic update and its asset allocation implications global equities, credit and alternatives.

    This webinar will cover:
    •Are recession fears overblown?
    •With the cost of capital already at record low, can Fed rate cuts
    really revive growth?
    •US/China trade – How to separate signal from noise?
    •What are the major asset allocation implications of a strong dollar?
    •With valuations historically elevated, what are the best risk adjusted opportunities across equities, credit and alternatives?
  • Yield Book Analytics Webinar: Tax considerations for municipal bond analytics Recorded: Oct 23 2019 45 mins
    Mikhail Bezroukov, Analytics Product Manager and Yu Zou, Quantitative Analyst Director
    Please join us on Wednesday, October 23, for an interactive webinar about Yield Book analytics: Tax considerations for municipal bond analytics.

    Given the tax considerations and unique dynamics of the municipal bond markets, traditional bond analytics may not accurately capture market behavior. To improve upon traditional bond analytics for the muni market, Yield Book offers tax-adjusted analytics to ensure accurate and complete coverage of your municipal bond universe.

    The webinar will cover:
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    •Description of the methodology for Yield Book tax-adjusted Yield, OAS, effective durations and partial durations
    •In-depth look at tax-adjusted scenario analysis for more accurate municipal bond risk assessment
    •How-to access the metrics in Yield Book
  • Developed and emerging market bonds in a low interest rate world Recorded: Oct 17 2019 39 mins
    Robin Marshall, Director, Fixed Income Research, Global Markets Research, FTSE Russell
    ETF Stream Big Call: Fixed Income (23 September 2019)

    Re-recorded presentation by Robin Marshall

    FTSE Russell Global Markets Research, Global Macroeconomic and Asset Allocation Insights -

    Developed and emerging market bonds in a low interest rate
  • The FTSE Russell Q3 Factor Performance Review Recorded: Oct 16 2019 28 mins
    Philip Lawlor, Managing Director Global Markets Research, Marlies van Boven, Managing Director, Research
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    We will close the webinar with a Q&A session.

    Please join us for our first quarterly factor performance review.
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    FTSE Russell
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    Andy Dougan, director research & analytics, Jake Bambridge head of product marketing alt weighted indexes
    Smart Beta and Factor Tilts are sometimes treated as though they are distinct entities. The consensus is that the factor exposures of Smart Beta indexes drive their performance outcomes, however there continues to be a debate regarding whether there is additional, incremental alpha associated with the mere act of re-balancing or use of non-market capitalisation weighting schemes.

    In this webinar we demonstrate that the performance of the “big three” smart beta indexes, Equal Weight, Fundamental Weighting and Minimum Variance are driven solely by their factor exposures.

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    We demonstrate that the time varying magnitude of factor exposures of Equal Weighted and Fundamental indexes are given by simple measures of cross-sectional dispersion of factor values. A minimum variance portfolio is more complex, but when approximated by an (inverse) risk weighted portfolio an equivalent dispersion measure may be derived for the level of factor exposure.

    In conclusion we demonstrate these Smart Beta indexes are a subset of factor indexes whose factor exposures are simply determined by the cross-sectional dispersion of factor values.
  • Yield Book Analytics Webinar – what’s new for the liquidity ratio metrics? Recorded: Sep 25 2019 49 mins
    Mikhail Bezroukov, Analytics Product Specialist
    The Yield Book is offering a new Liquidity Ratio metric that is able to incorporate both traded price and volume informationm, as well as adjust for yield curve and sector-wide movements. The suite of liquidity metrics is calculated daily and made available through multiple delivery channels, including the Yield Book, Add-In, and API for USD-denominated bonds. Historical data is available for a 5-year period, which allows backfill of significant datasets to create an internal golden source for liquidity calculation as well as backtest historical portfolio liquidity.The webinar will take a closer look at liquidity metrics and transaction-level approaches to liquidity ratio analytics within fixed income markets.

    The Webinar will cover:
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    - Scalable measure that can be extended to global fixed income markets, beginning with coverage of the US corporate bond universe
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    Our live webinar will be hosted by Mikhail Bezroukov, Analytics Product Specialist.
  • The state of global equity markets through the lens of FTSE GEIS Recorded: Sep 24 2019 47 mins
    Penny Ning Pan, Catherine Yoshimoto, and Alec Young
    FTSE Russell’s flagship global equity indexes, the FTSE Global Equity Index Series (FTSE GEIS) will be rebalanced during the September 23, 2019 semi-annual index review. Through this rules-based process, the index’s eight regional components will be adjusted to reflect changes that have occurred across 49 developed and emerging equity markets globally.

    Join FTSE Russell on September 24th for a discussion that will explore the global equity market landscape via a summary of trends observed and changes captured during the latest global equity rebalance. A review of FTSE Russell’s phased approach to including China A Shares in FTSE GEIS will also be provided.
  • Keynote: The Development of Passive Investment in Europe Recorded: Sep 23 2019 35 mins
    Riccardo Rebonato, EDHEC Business School | Ashley Fagan, Amundi | Tom Eckett, ETF Stream
    Presentation of the results of the EDHEC-Risk European ETF Survey 2019

    Panelists: Riccardo Rebonato, PHD, Professor of Finance, EDHEC Business School
    Ashley Fagan, Global Head of ETF, Indexing & Smart Beta Strategic Clients & UK/IE Strategy & Distribution, Amundi
    Tom Eckett, Senior Writer, ETF Stream
  • Panel 4: Fixed income ETFs 2.0: What do the new breed of products look like? Recorded: Sep 23 2019 27 mins
    David Stevenson, ETF Stream | Irene Bauer, Algo-Chain
    With BlackRock controlling over 60% of the fixed income ETF market in Europe, ETF providers are moving away from the traditionally passive space that is dominated by the bigger players. Fixed income smart beta, credit default swaps and fallen angel ETFs, to name but a few, are quickly developing areas, however, are they viable investment options and do investors need them?

    Moderator: David Stevenson, Editor-in-Chief, ETF Stream
    Panellists: Irene Bauer, CIO Twenty20 Investments, Co-Founder Algo-Chain
  • Panel 3: Investigating the increasing demand in fixed income ETFs Recorded: Sep 23 2019 37 mins
    Tom Eckett, ETF Stream | Jose Garcia-Zarate, Morningstar Europe | James McManus, Nutmeg
    Global assets in fixed income ETFs recently surpassed $1trn however, many believe the asset class is only just getting started. ETFs still account for less than 5% of the entire fixed income market so the growth potential is huge. This panel will explore current investor behaviours and the different ways they are gaining exposure to the asset class.

    Moderator: Tom Eckett, Senior Writer ETF Stream

    Panellists: Jose Garcia-Zarate, Associate Director, Passive Strategies Research, Morningstar Europe
    James McManus, Head of ETF Research, Nutmeg
  • Fireside Chat: What next for strategic bond investors? Recorded: Sep 23 2019 26 mins
    David Stevenson, ETF Stream | Jim Leaviss, M&G Global Macro Bond Fund
    David Stevenson, Editor-in-Chief, ETF Stream & Jim Leaviss, Head of Fixed Income (Mutuals Funds), Fund manager M&G Global Macro Bond Fund
  • Panel 2: New ideas in the search for yield Recorded: Sep 23 2019 34 mins
    Jeffrey Sacks, Citi Private Bank | Henry Cobbe, Elston Consulting | Paul Syms, Invesco | Stephen Isaacs, Alvine Capital
    With the Federal Reserve almost certain to cut interest rates later this year, investors who want a steady yield are being forced to turn away from government bonds and look at other options. Gone are the days when the 10-year US Treasury paid you 7%, instead, the 10-year German Bund is being auctioned for -0.24%. In this low yield environment, investors are being forced to other parts of the market however, this presents significant risks so late in the cycle. This session explores some new ways investors can approach the never-ending search for a greater risk-return profile.

    Moderator: Jeffrey Sacks, Citi Private Bank, Head - EMEA Investment Strategy

    Panellists: Henry Cobbe, Head of Research, Elston Consulting
    Paul Syms, Head of EMEA ETF Fixed Income Product Management, Invesco
    Stephen Isaacs, Chairman of the Investment Committee, Alvine Capital
  • Panel 1:Central banks and trade wars: What fundamentals are driving fixed income Recorded: Sep 23 2019 22 mins
    Ed Bowsher, ETF Stream | Chris Peel, Tavistock Wealth
    Bonds have bounced back in terrific fashion this year as central banks turned away from their hawkish policies following the wobble in Q4 2018. As the Federal Reserve continues to release dovish signals to the market, investor appetite is increasing for riskier parts of the market. However, is this a wise idea so late in the cycle?

    The ongoing trade war between the US and China combined with the evergreen risk of another eurozone crisis makes navigating the bond market a tricky prospect even for the most skilled investor.

    Moderator: Ed Bowsher, Senior Writer, ETF Stream

    Panellists: Chris Peel, CIO, Tavistock Wealth
    Jean-Paul Jaegers, Head of Asset Allocation, Barclays Investment Solutions
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FTSE Russell is a leading global provider of benchmarking, analytics and data solutions for investors, giving them a precise view of the market relevant to their investment process. A comprehensive range of reliable and accurate indexes provides investors worldwide with the tools they require to measure and benchmark markets across asset classes, styles or strategies.

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  • Title: Panel 4: Fixed income ETFs 2.0: What do the new breed of products look like?
  • Live at: Sep 23 2019 10:30 am
  • Presented by: David Stevenson, ETF Stream | Irene Bauer, Algo-Chain
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