Toward Greater Transparency and Efficiency in Trading Fixed-Income ETF Portfolios
| Autor: | Stephen Laipply, Ananth Madhavan, Aleksander Sobczyk |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
010407 polymers
050208 finance Trading turret Transparency (market) Financial economics Bond 05 social sciences General Medicine computer.software_genre 01 natural sciences Bond market index 0104 chemical sciences Market liquidity Corporate bond 0502 economics and business Economics Portfolio Algorithmic trading computer |
| Zdroj: | The Journal of Trading. 13:62-70 |
| ISSN: | 2168-8427 1559-3967 |
| DOI: | 10.3905/jot.2018.13.4.062 |
| Popis: | The over-the-counter global corporate bond market, characterized by opacity and illiquidity, is undergoing a rapid transformation driven by new regulations and technology. Bond exchange-traded funds (ETFs) offer one vision of the possible future of the market, trading on organized exchanges with typically narrow spreads and high liquidity. The success of bond ETFs relies critically on the efficient functioning of arbitrage. In recent years, improved real-time technology combined with greater post-trade transparency (e.g., through TRACE) has made it possible to generate intraday estimates for a fixed-income portfolio based on individual bond data and macro-market parameters. In this article, the authors describe one possible approach to developing and implementing such an intraday estimate. From a practical perspective, they illustrate how investors and traders can use these estimates as a complement to existing data (such as end-of-day NAV) to better understand the underlying bond portfolio value during the trading day and for transaction cost analysis. More generally, the article illustrates the potential for new analytics to increase transparency and further accelerate the ongoing evolution of fixed-income markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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