DTCC Deriv/SERV to expand data coverage
The Depository Trust & Clearing Corp. is expanding the data its DTCC Deriv/SERV unit generates about credit default swaps.
Through its Trade Information Warehouse, a central trade registry, the unit will track on a weekly basis registered trading activity, such as new trades, terminations and assignments, and reflecting gross notional values and the number of contracts.
This data will be provided in the aggregate for major indices.
“By publishing CDS contract data each week from its Trade Information Warehouse, the DTCC is delivering critical transparency to the credit default swaps market,” Frank De Maria, managing director of New York-based DTCC and chief operating officer of DTCC Deriv/SERV, said in a statement.
Analysts and regulators rely on the information because it provides a global view of weekly market activity, he said.
Clients for DTCC Deriv/SERV include global derivatives dealers and more than 1,300 buy-side firms in 35 countries.
DTCC will begin to generate the data Jan. 20.
Unveiling a new performance model
Mutualdecision, an online source for predictive mutual fund models, has unveiled the Judging Fund Managers Model, enabling financial advisers to rank U.S. mutual funds based on academic research.
The research recommends that investors judge a money manager’s skill based on the extent to which other managers have the same holdings.
It also examines the extent to which a manager’s portfolio changes were also made by other managers, according to Mutualdecision of Arlington, Va.
“The [model] is unique in that it evaluates each fund manager’s skill by the extent to which his or her investment decisions resemble those of other managers with distinguished past performance records, arming investors with predictive information about future fund returns,” George Comer, chief academic officer at Mutualdecision and associate professor of finance at the McDonough School of Business at Georgetown University in Washington, said in a statement.
“On the heels of 2008’s market performance, where no mutual fund category was spared from significant, across-the-board percentage declines, traditional methods for evaluating top funds based on past performance become less reliable.”
The authors of the research are Joshua Coval, professor of business administration at the Harvard Business School in Boston, and Lubos Pastor, professor of finance at University of Chicago Graduate School of Business.
Readers interested in testing the model can visit
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Davis D. Janowski is on vacation.
