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Newsletters & other publications Risk and Trend Mapping: Archive

2019 Markets and Risk Outlook

Published on July 2, 2019

The AMF issued its 2019 Markets and Risk Outlook, a yearly risk assessment based upon the economic, financial and regulatory evolutions. It focuses more specifically on the financing of the economic activity, on the financial markets’ structure, on the asset management industry and on the household savings.

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Analysis of the aggressive behaviour of market participants: do HFTs trade opportunely?

Published on March 12, 2019

This microstructure study analyses the market participants "aggressive" orders on the most liquid stocks on Euronext Paris during a 3 months period, from September 2017 to November 2017. The aim of this work is on the one hand to quantify the impact of these orders on price formation, and on the other to estimate the informational advantage of High Frequency Traders compared to the rest of the market.

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MiFID II: Impact of the new tick size regime after several months of implementation

Published on February 15, 2019

After an initial study carried out just after the implementation of the harmonised tick size regime in Europe on 3 January 2018, further to the new Markets in Financial Instruments framework (MiFID 2), the Autorité des Marchés Financiers has published an analysis carried out over a longer period including phases of greater volatility. This new study confirms the positive effects that were initially observed.

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The comparative performance of different investment strategies on foreign financial instruments

Published on February 11, 2019

The AMF publishes a study that complements the analysis on the comparative performance of different savings strategies that use French instruments, by extending it to other countries (equity and bond indices from the US, Germany and Japan). The Japanese case, particularly atypical, is described more specifically. What returns could be expected should we hypothesize a Japanese-style scenario for the future? We adopt the point of view of a French saver who would have been confronted with a counter-factual scenario for asset prices (i.e. reflecting not the historical French series, but rather the Japanese ones). The results displayed account for stylized hypotheses on fees and taxes, and distinguish one-off investments from regular savings.

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First results from AIFM reporting

Published on January 23, 2019

In response to the 2008 financial crisis, the AIFM Directive imposes a set of requirements on asset managers, including a reporting to regulators. This first study on alternative funds in France provides information on funds’ portfolio, their exposures and their risk level. On the whole, the majority of AIFs are traditional funds, whereas there are very few of the riskiest funds, especially hedge funds. Their exposure, liquidity management and use of leverage are consistent with their investment strategies, at an aggregated level as well as on a fund-by-fund basis. This study will help to better monitor alternative funds and will participate in the revision of European regulations.

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French ICOs - A New Method of Financing?

Published on November 14, 2018

ICOs, a recent phenomenon, appear to be a method of fundraising that is still in its infancy and that is beginning to take shape, allowing the emergence and the financing of new businesses in innovative technology sectors. At the global level, ICO financing remains marginal, but a recent form of professionalisation and concentration can be observed. Analysis of French ICO projects, with the help of an original database, demonstrates the growing interest in this type of fundraising by certain project initiators, who seem to welcome the opportunity to call on a community of international investors and introduce this method along with other, more traditional methods of financing. In order to ensure the protection of consumers, the study also presents the French proposal for an optional ICO visa.

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Study of the Volatility of French Money Market Funds

Published on October 31, 2018

In order to mark the entry into force of European regulation on money-market funds, the AMF carried out a historical analysis of the volatility of French money market funds, both standard funds and short-term funds, whose net asset value varies depending on their market value.The analysis shows that daily volatility on an annualised basis for French money market funds is low overall.

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2018 Markets and Risk Outlook

Published on July 5, 2018

The AMF issued its 2018 Markets and Risk Outlook, a yearly risk assessment based upon the economic, financial and regulatory evolutions. It focuses more specifically on the financing of the economic activity, on the financial markets’ structure, on the asset management industry and on the household savings.

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Closet Index Funds: a contribution to the debate in Europe

Published on July 3, 2018

The possible existence of closet index funds, is an important matter for financial regulators, including the AMF, both in terms of financial information and investor protection. Today the AMF is keen to contribute to the European debate and analysed nearly 800 French funds using a method based on fund return and market data. It enables more funds to be examined than was previously possible, especially through a holding-based approach. This approach does not relieve the regulator of carrying out an in-depth individual analysis of the funds flagged as least active in the sample.

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Macro-stress tests: What do they mean for the markets and for the asset management industry?

Published on June 13, 2018

The Autorité des marchés financiers proposes a review and analysis of macro stress tests carried out by authorities in the field of financial markets and asset management and possible ways to improve their development for the future.

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Head of publications: The Executive Director of AMF Communication Directorate.
Contact: Communication Directorate – Autorité des marches financiers 17 place de la Bourse – 75082 Paris cedex 02