Research2013 CFO OutlookWill the post-election landscape create a path for growth? Our annual CFO Outlook study provides new insight into what U.S. financial executives are thinking and planning for the months ahead. Download PDF (6 MB) More |
PERSPECTIVE |
Trader TrendsDoes your broker run a 4.19 or a 4.82 40? Speed Matters!In searching for hard to find liquidity, today's traders are increasingly relying on more aggressive algorithms to intelligently source safe trading venues. BofAML research has shown that dark liquidity can significantly improve order performance. BofAML has developed new routing technology, Instinct Access™, to reach these venues more quickly and actively than ever before. More |
Trader TrendsSwaps: Dynamically Financing Your PortfolioTake advantage of short term funding movements by varying your roll dates. Using data from 2000-2012, BofAML's Delta One Desk calculates that the implied funding cost in S&P 500 futures cheapens on average by 3bps post expiration. As expiration gets closer, long SPX futures rollers drive rolls richer. In Q4 2012, our most recent and extreme example, funding richened 51bps over the last two weeks of the roll and then cheapened 35bps three days after expiration. More |
Trader TrendsFed Funds Rate Announcements Affect Overall Market VolumeVolume prediction and real-time volume tracking play a key role in algorithmic performance, especially for long-duration Scheduling strategies. Special market events can concentrate liquidity at certain times of day and alter the overall volume profile. At BofA Merrill Lynch we have found that Fed Funds Rate announcements affect the volume curve at the time of the announcement and affect overall market volume on the announcement day and the following 2 trading days. More |
Trader TrendsEfficiently Source Liquidity at the End of the DayEnd of day trading continues to play an important role in how institutions are completing orders and sourcing liquidity. BofAML has found during the last 15 minutes, typically spreads are tighter, volatility is lower and more liquidity is available to trade because of a number of micro-structure changes. More |
Trader TrendsHow can market movements be incorporated into single stock algorithm orders to improve execution quality?High correlations between market indexes, ETF's and single stocks provide opportunities to improve the performance of single stock algorithms. Recognition of a trending market or delta in relative returns can be leveraged into more enlightened order placement. Instinct® can now recognize even a short term divergence in relative returns to improve trading performance. More |
Trader TrendsHow Do You Effectively Execute A Corporate Buyback with an Execution Algorithm?BofAML's ShareRepo algo is designed to execute corporate repurchases in the open market consistent with the price and timing guidelines set forth in the SEC's Rule 10b-18 safe harbor. Guidelines include restrictions on the total order quantity that can be traded, the end time of an order and that execution prices cannot exceed the higher of the last independent transaction price or the current best independent bid, as reported through the consolidated tape. More |
Trader TrendsAre you maximizing momentum during pre- and post-earnings announcements?In the period surrounding earnings announcements, equity market microstructure changes. On average, correlations break apart, spreads and volatility increase, and prices can have significant momentum. Choosing a more opportunistic algorithm such as Instinct® 5 for small cap stocks may help to reduce slippage by capturing momentum in the name. More |
Trader TrendsAre You Optimizing Crossing Opportunities?Current market fragmentation causes traders to increasingly rely on ATSs for clean liquidity to maximize their performance. BofA Merrill Lynch's MLXN NBBO is constructed from direct market data feeds from exchanges. All algorithms and smart routing can access available liquidity in MLXN. More |
Trader TrendsCan Equity ETFs Aid an Investor Seeking Yield?Investors are living longer and searching for yield in a low return market. Select equity ETFs such as IYR, DVY and SDY provide exposure to companies that pay dividends, but transacting in the ETFs can pose liquidity challenges. At BofAML, the ETF trading desk utilizes an array of trading tools and techniques including the ETF-aXe® algo to look beyond the liquidity of the ETF itself to achieve excellent execution quality with reduced market impact. More |
- 2013 CFO Outlook Research
Mar., 2013 - Does your broker run a 4.19 or a 4.82 40? Speed Matters! Trader Trends
Apr., 2013 - Swaps: Dynamically Financing Your Portfolio Trader Trends
Mar., 2013 - Fed Funds Rate Announcements Affect Overall Market Volume Trader Trends
Feb., 2013
- Efficiently Source Liquidity at the End of the Day Trader Trends
Jan., 2013 -
- How Do You Effectively Execute A Corporate Buyback with an Execution Algorithm? Trader Trends
Nov., 2012 - Are you maximizing momentum during pre- and post-earnings announcements? Trader Trends
Oct., 2012
- Are You Optimizing Crossing Opportunities? Trader Trends
Sep., 2012 - Can Equity ETFs Aid an Investor Seeking Yield? Trader Trends
Aug., 2012
