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My Resume Ppt

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  • 1. An unconventional tour of My Resume‘Talib Garba
  • 2. “ I have developed these from MS Excel based models and collated data to demonstrate value from my experience through this presentation”
  • 3. Market Conditions, Portfolio/TradingStrategy & Equity Risk Management
  • 4. I created an auto-updating model using historical NSEASi index levels to express volatility in the equities market to support portfolio asset allocation decisions. For forecast EWMA levels I use the GARCH (1,1) Model with simplistic assumptions that future index volatility is strongly correlated with implied volatilities of peer emerging markets indices where equity derivatives trade 10D EWMA Volatility Nigerian All Share Index
  • 5. Sector trends I created this model to help rank sector volume trendsthrough 60-trading days and better our otherwise “snapshot view” of sector dominance
  • 6. Appraising Market Conditions for Mandate Execution… These charts help describe (with average trading positions and trading frequencies) the challenges of execution given trading liquidity issues per stock. The supporting model optimises allocation based on these factors modelled over a historic timeframe…
  • 7. Modeling & Back-testing Trading Arbitrage Portfolio strategies… Portfolio vs. index trading bull & bear pay-offs Index vs. portfolio trends Back-tested Portfolio allocation weights based on either minimising VaR, downside risk, liquidity or co-integration Portfolio VaR and expected shortfall based on 95% Confidence level Sample portfolio tested against sample market momentumActive Risk Squared, information ratio and Tracking Error Volatility reported here variables, beta and unexplained factors in OLS regression
  • 8. Stock market Trade Dynamics and Technical Analysis… 7,000 700.00 Millions 6,000 600.00 5,000 500.00 4,000 400.00 3,000 300.00 2,000 200.00 1,000 100.00 - - BANKING
  • 9. Credit Analysis of Money MarketCounterparties/Debt instruments & Risk Management
  • 10. Counterpart credit appraisal and money market allocation….
  • 11. Z-Scores above 3.00offers comfort over the projected horizon (1 year)
  • 12. SURVIVORSHIP AND CREDIT LOSS ESTIMATION FOR RATED BONDS/ COUNTERPARTIES95% CONFIDENCE LEVEL FOR LARGELY 95% CONFIDENCE LEVEL FOR LARGELY A RATED CREDITS CCC RATED CREDITS
  • 13. DEFAULT CORRELATIONS, RATINGS EXPECTATIONS /PROJECTIONS & CREDIT VAR A B C A 1.000 B 0.067 1.000 C -0.775 -0.258 1.000 Term Credit Ratings Expectations /ProjectionsA 7 Aa A Aa Aa Aa Aa Aa AaB 2 Ba BaC 10 Baa A Baa Aa Aa Aa Aa Aa Aa Aa Aa Notional Expected/Projected Default Rate (S&P based)A 45 1.60% 1.67% 0.85% 0.54% 0.36% 0.22% 0.07% 0.00%B 175 3.43% 1.42%C 5 7.99% 2.93% 6.25% 1.60% 1.21% 0.85% 0.54% 0.36% 0.22% 0.07% 0.00%
  • 14. CREDIT LOSS PROJECTIONS AND CREDIT EXPOSURES USING CREDIT TRANSITION MATRICES AND FORECAST Year 0 1 2 3 4 5 6 7 8 9 10Expected Credit Loss (N’m) on None 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 A 0.64 0.85 0.41 0.26 0.17 0.10 0.03 0.00 0.00 0.00 0.00 B 5.43 2.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 C 0.38 0.07 0.17 0.05 0.04 0.03 0.02 0.02 0.01 0.00 0.00 position A,B 0.11 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 A,C 0.06 0.03 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 B,C 0.49 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 A,B,C 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 E[CL] 7.12 3.42 0.61 0.32 0.22 0.14 0.05 0.02 0.01 0.00 0.00 None 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Naira (N’m) Value Credit VaR A 44.360 52.439 50.957 49.437 48.088 46.910 45.902 0.000 0.000 0.000 0.00 B 169.565 170.837 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 C 0.000 0.000 2.645 3.196 3.575 3.906 4.194 4.441 4.654 4.841 0.00 A,B 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 A,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00 B,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00 A,B,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00 N’CVaR 213.93 223.28 53.60 52.63 51.66 50.82 50.10 17.81 18.65 19.37 0.00
  • 15. OPTION ADJUSTED SPREAD FOR CORPORATE BOND PRICING (TREASURY BENCHMARK REFERENCE) 14.50% COUPON, CALLABLE ISSUE Yield Option OAS/Option Curve Z-Spread OAS Cost Cost Shift -500.0 1398.7 -158.3 1557.0 0.10 -400.0 1298.7 -58.3 1357.0 0.04 -300.0 1198.7 41.7 1157.0 0.04 -200.0 1098.7 141.7 957.0 0.15 -100.0 998.7 241.7 757.0 0.32 0.0 898.7 341.7 557.0 0.61 100.0 798.7 841.7 -43.0 19.59 200.0 698.7 741.7 -43.0 17.27 300.0 598.7 641.7 -43.0 14.94 400.0 498.7 541.7 -43.0 12.61 500.0 398.7 441.7 -43.0 10.28 1000.0 -101.3 -658.3 557.0 1.18
  • 16. ALLOCATION OF MONEY MARKET PLACEMENTS BY COUNTERPARTY CREDITSCORE…RATIONALISED BY INTERNAL, EXTERNAL RATING AGENT AND PREDICTED DEFAULT RISK FROM THE ALTMAN Z-SCORE STRUCTURAL MODEL
  • 17. MODELING MARKET CONDITIONS OF FI MARKET DEFAULT RISK
  • 18. Security/Fund Selection, Performance presentation,Portfolio Risk & Return Attribution & Portfolio Optimisation
  • 19. PREDICTED FUNDAMENTAL FACTORS AND CONFIRMATION THROUGH OLS REGRESSIONS Income (% Value In (Audited Size (% Growth In Income Earnings To Price (% Contributed Value To Market Contributed Past Period Class Stock (% Contributed By Contributed By By Stock To Price (% By Stock To Returns Stock To Total) Stock To Total) Total) Contributed By Total) MOBIL 9.4% 3.4% ASHAKACEM 9.3% 3.4% FCMB 9.2% 3.5% UACN 9.1% 3.4% PZ 8.9% 3.4% NB 8.7% 3.6%Large Capitalisation, Income GUARANTY 8.4% 12.7% 3.5% 27.19% UBA 8.2% 3.5% PRESCO 8.0% 2.9% DIAMONDBNK 7.6% 3.2% ACCESS 7.4% 3.2% UNILEVER 5.9% 2.9% ETI 57.3% 10.1% 3.4% 66.43% DNMEYER 26.0% 8.6% 2.7%Large Capitalisation, Growth CAP 4.0% 12.2% 3.0% 6.38% NIG-GERMAN 0.0% CCNN 13.7% 3.4% FIDELITYBK 13.1% 3.5% 7UP 12.8% 3.2% Large Capitalisation, Book FIRSTBANK 12.5% 3.7% Value JBERGER 12.5% 3.3% ECOBANK 12.4% 3.4% GUINNESS 10.8% 3.3% DANGSUGAR 10.8% 3.6% OANDO 10.8% 3.5% TOTAL 10.7% 3.4%Large Capitalisation, Market AP 10.5% 3.3% Related Value NESTLE 10.4% 3.5% ZENITHBANK 10.3% 3.6% WAPCO 9.7% 3.3% SKYEBANK 8.0% 3.0% Unclassifed OKOMUOIL
  • 20. Performance presentation
  • 21. Returns and Risk Performance Attribution MM 0.00% Equity 100.00% Recommended Actual (%) Return explained by NSE Movements 12.86% 29.43% Correlation with NSE Returns 35.9% 54.2% Beta 0.35 0.90 Total risk - Portfolio 0.92% 1.54% Total risk NSE Index 0.93% 0.93% Return (Portfolio) 11.51% 22.62% Return (NSE Index) 19.67% 19.67% Risk free rate 5.00% 5.00% Risk Adjusted Return (Portfolio) 7.11 11.46 Risk Adjusted Return (NSE Index) 15.83 15.83 Port Risk Actual (X > Actual vs (X > Recommended Portfolio Index Differences in Weights Recommended) NSE) (X> NSE) 4.52 4.68 0.59BANKING 73.68% 28.87% 44.81%FOOD/BEV. & TOBACCO 11.91% 11.34% 0.57%BREWERIES 5.26% 13.61% -8.35%BUILDING 8.94% 31.67% -22.73%AUTOMOBILE & TYRE 0.02% 0.01% 0.01%INSURANCE 0.14% 1.43% -1.30%MARITIME 0.03% 0.06% -0.03%CONGLOMERATES 0.02% 4.30% -4.28%PACKAGING 0.00% 0.36% -0.36%OTHER FINANCIAL INSTITUTIONS 0.01% 0.13% -0.12% 100.0% 91.3% 8.7% Contributions Returns Risk Allocation / Index Sector Allocation Total % Risk Fund Position Security Selection Selection Position Return Contribution Contribution InteractionBANKING -8.51% -5.52% -7.72% 2.18% 3.39% -2.15% 30.18%FOOD/BEV. & TOBACCO 3.34% 0.25% 0.02% 2.93% 0.15% 3.10% 46.38%BREWERIES 1.46% 2.49% -0.16% 1.29% -0.79% 0.34% 6.91%BUILDING 1.42% 1.27% -1.34% 3.75% -2.69% -0.28% 3.43%AUTOMOBILE & TYRE 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.02%INSURANCE 0.00% 0.02% -0.04% -0.05% 0.04% -0.04% 0.17%MARITIME -0.01% -0.02% 0.01% 0.00% 0.00% 0.01% 0.00%CONGLOMERATES 0.02% 0.53% -0.61% 4.03% -4.01% -0.59% 12.85%PACKAGING 0.00% 0.00% 0.00% 0.05% -0.05% 0.00% 0.06%OTHER FINANCIAL INSTITUTIONS 0.00% 0.00% 0.00% -0.01% 0.01% 0.00% 0.00% Portfolio Total -2.29% -0.98% -9.84% 14.18% -3.96% 0.38% 2.11% Portfolio NSE DifferenceTrue return -2.29% -1.88% -0.40%
  • 22. SECTOR PERFORMANCES (REBASED: UN-WEIGHTED) IDENTIFIED WITHIN A SINGLE PORTFOLIO31-Dec-09 28-Jun-10 20-Dec-10 17-Jun-11 300.0% BANKING FOOD/BEV. & TOBACCO 250.0% BREWERIES BUILDING AUTOMOBILE & TYRE INSURANCE 200.0% MARITIME CONGLOMERATES PACKAGING 150.0% 100.0% 50.0% 0.0% -50.0%
  • 23. SECTOR PERFORMANCES (REBASED AND WEIGHTED) IDENTIFIED WITHIN A SINGLE PORTFOLIO FOR PERFORMANCE PRESENTATION31-Dec-09 28-Jun-10 20-Dec-10 17-Jun-11 BANKING 40.0% FOOD/BEV. & TOBACCO BREWERIES BUILDING AUTOMOBILE & TYRE INSURANCE 30.0% MARITIME CONGLOMERATES PACKAGING OTHER FINANCIAL INSTITUTIONS 20.0% 10.0% 0.0% -10.0% -20.0%
  • 24. Equity (OLS) Beta Reversion modeling
  • 25. Optimisation for Asset Allocation via Monte Carlo
  • 26. Multifactor Pricing confirmation
  • 27. Modeling Principal Component Analysis for Nigerian Treasuries with Singular Value Decomposition in VBA Algorithm PC1 = Yield Curve Level PC2 = Yield Curve Slope PC2 = Yield Curve Maturity
  • 28. Fundamentals screen in “quick” sheets…. Company Based on Prices for 17-Feb-11 ZENITHBANK FIRSTBANK GUARANTY UBA NB OKOMUOIL Average Latest price (N) Latest price (N) 15.66 16.00 19.60 0.53 77.00 14.60 17.09 Share performance YTD (%) Share performance YTD (%) 4.3% 16.5% 10.4% 15.1% -0.1% -3.9% 10.4% Market Capitalisation Mkt cap (N’bn) 616.95 522.11 457.02 272.39 582.32 6.96 532.03 Trailing Price to Earnings P/E (x) 12.33 12.49 13.29 79.54 n/a 5.76 12.70 Trailing Dividend Yield DY (%) 2.87 0.65 5.15 0.97 3.44 2.06 2.89 Trailing Price to Book P/BV (x) 13.96 12.35 10.62 8.66 6.78 10.31 12.31 Forward Price to Earnings FWD P/E (x) 7.66 7.62 10.09 15.67 15.48 21.96 8.45 Forward Price to Book FWD P/BV (x) 2.47 1.52 2.24 0.63 35.24 1.97 2.08 Forward Dividend Yield FWD DY (%) 7.84 7.87 5.98 3.89 6.51 4.55 7.23 Latest Earnings E (x) 0.66 0.10 1.02 0.09 3.69 2.53 0.59 Forward Earnings E FWD (x) 0.02 0.02 0.02 0.01 0.05 0.01 0.02 Latest Dividend D (Y) 0.45 0.10 1.00 0.10 2.65 0.30 0.52 Forward Dividend D FWD 1.23 1.21 1.16 0.40 5.02 0.66 1.20Market Implied One Period Div Growth Market Implied One Period Div Growth 172.8% 1109.0% 16.0% 301.8% 89.3% 121.1% 432.6% Market Implied Cost of Equity Market Implied Cost of Equity 14.97% 14.15% 15.63% 16.44% 15.23% 7.17% 14.9% Book Value Per Share BVPS (N) 1.12 1.24 1.83 1.19 11.36 1.41 1.40 2009 Dividend Payout 2009 Dividend Payout 0.0% 102.3% 98.4% 108.9% 71.8% 11.9% 66.9% 2010E Dividend Payout 2010E Dividend Payout 60.0% 60.0% 60.3% 60.9% 100.9% 100.0% 60.1% 2009 Return on Equity [ROE] 2009 Return on Equity [ROE] 15.0% 3.6% 17.7% 21.1% 79.7% 17.2% 12.1% 2010E Return on Equity [ROE] 2010E Return on Equity [ROE] 10.2% 14.1% 22.7% 10.5% 60.2% 16.6% 15.7% Volatility of ROE Volatility of ROE 31.8% 287.0% 28.4% 50.3% 24.5% 3.5% 115.7% Loss Correlations Downside Correlation with NSEASI 0.09 0.34 0.42 0.40 0.31 N/A 0.28 Total Risk Total Risk 2.03% 2.23% 2.28% 2.77% 2.47% 1.84% 2.18% Sharpe Ratio (Risk Adjusted Return) 2.13 7.41 4.55 5.45 (0.05) (2.14) 4.69 Risk Adjusted Return - rank Risk Adjusted Return - rank 4 1 3 2 5 6 3 Actual 2010 Growth 14.99% -0.08% 0.28% -1.89% 22.48% 15.19% 5.06% Estimate 2011E Growth 4.1% 5.6% 9.0% 4.1% -0.5% 0.0% 6.25% Estimate Compound Growth Rate (2Yr) 10.4% Last Trade Deals 295 642 414 199 108 10 Last Traded Volume 4,417,780 23,234,760 12,122,850 19,960,460 360,271 40,140 Last Average Traded Value 234,516.73 579,059.44 573,932.03 1,056,199.22 256,859.88 58,604.40 This weeks position -1.88% Loss 3.69% Gain 0.72% Gain 1.25% Gain 0% Flat -4.76% Loss
  • 29. Mutual Fund/ Investment Advisory Aids…
  • 30. RETURNS BASED STYLE ANALYSIS OF NIGERIAN MUTUAL FUNDS
  • 31. Asset Class Selection / Comparative Performance
  • 32. Asset Class Selection /Comparative Performance The risk adjusted performance of theportfolio in slide 14 is less than these assets
  • 33. Asset Class Selection /Comparative Performance
  • 34. Asset Class Selection /Comparative Performance Select Portfolio with 25% bonds is superior on risk adjusted basis
  • 35. Mutual Funds/Individual Securities Portfolios Mutual Fund Ratings Variable Explanatory Classes 9: out of 17 Power Risk Free Rate 85.00% Begin Value 250,000,000.00 Inflation 57.50% End Value 268,113,951.39 Target No.Years 7 Interest Rates 27.50% Income 16,244,444.44 Gross Monthly Income 1,353,703.70 GDP Growth 10.00% Expected Growth% 0.75% Excess Available for Liquidation/ Reinvestment 2,504,532.99 Income% 6.50% Barrier/ Potential Annuity 3,858,236.69 Residuals Explained 71.260% Standard Deviation (±) 9.31% 9.31% Target Annual Income 25,000,000.00Residuals Unexplained 28.740% Portfolio Variance 0.009 PV at current inflation rate (11.75% p.a ) 16,655,926.55 Portfolio Sharpe 0.2413 ARM ARM ETHICAL ARM AGRESSIVE GROWTH NSE All Share Cost 2.50% 3.13% 3.42% 1.94% Return -10.61% -12.32% -5.94% -25.01% Standard Deviation 6.52% 4.00% 4.51% 9.28% Sharpe - 2.394 - 4.329 - 2.427 - 3.236 Sortino - 0.416 - 0.483 - 0.429 - Treynor Ratio - 0.168 - 0.207 - 0.093 - Information Ratio - 1.537 - 1.784 - 0.861 - Beta 0.633 0.596 0.636 - True Return -13.11% -15.45% -9.37% -26.95% Value (Based on True Return) - 2.777 - 5.111 - 3.187 - 3.445 3 1 6 0
  • 36. Summary of roles I can assume…• Front Office/ Sales support• Market & Credit Risk Reporting• Fundamental, Technical & Quantitative Analysis• Quantitative and Technical Trading Strategies• Equity/Fixed Income Portfolio Optimisation• Product development• Performance Presentation
  • 37. It’s the End of the Slideshow… Thanks for Viewing it! Email: mughare@gmail.com; mugrabbit@yahoo.com Mobile: +234 (0)803 284 8496 Skype: Muttalib8