This document discusses currency risk and currency funds as a diversifying investment strategy. It provides correlation data showing that currency managers historically have low correlations with other hedge fund strategies. It also discusses different currency investment strategies, including carry trades, and provides examples of how carry trades work and their risks. The document demonstrates how exchange rates can experience rapid changes and shows the return patterns of long and short currency baskets during a past period.
Op dinsdag 17 mei 2011 vond het seminar 'Scenario's voor klimaatverandering - implicaties voor strategische asset allocatie' plaats in het Drijvend Paviljoen in Rotterdam. Deze dag stond in het teken van de invloed van klimaatverandering op beleggingen van pensioenfondsen.
Jelle Beenen was de dagvoorzitter en gaf tevens samen met Will Oulton (UK office) een presentatie over het rapport 'Scenario's voor klimaatverandering' dat onlangs is verschenen.
Analysis of Fund, Portfolio Creation and Var Analysis.Saurav Mandhotra
The document analyzes and compares the fund portfolios of Aviva Life Insurance with its competitors, SBI Life Insurance and ICICI Prudential Life Insurance. It examines several funds - bond fund, growth fund, balanced fund, index fund, enhancer fund, and dynamic P/E fund. For each fund, it provides the investment objective, allocation breakdown, and performance metrics like returns, tracking error, Sharpe ratio, etc. It then creates an efficient frontier for Aviva fund investments using Markowitz portfolio theory and the Black-Litterman model to determine the optimal capital allocation across different asset classes.
Epic Research is a leading financial services provider with presence in Indian and other global capital markets. Provides Stock Tips, Forex Tips, Commodity Tips, MCX Tips, Equity Tips, Tips, Intraday Tips, NSE Tips, BSE Tips, COMEX Tips, PCG Pack and NCDEX Tips. We provide services in equity, commodity and Forex market.
The rupee edges down slightly to 54.36/37 against the US dollar as oil companies purchase dollars. Euro rises against the dollar after positive Chinese manufacturing data. The RBI signs a $15 billion currency swap agreement with the Bank of Japan to exchange local currencies against the US dollar. Most domestic commodity markets trade largely flat with some experiencing declines of 1-2%. USD/INR and EUR/INR markets look sideways with a consolidated trend, strategy is to buy on dips.
1) The document describes a leveraged certificate (3x) linked to the Fairfield Sentry Ltd. fund, an established hedge fund with a 15-year track record.
2) Fairfield Sentry uses a split-strike conversion strategy, investing in S&P 100 stocks while hedging with put and call options.
3) The certificate aims to provide a significant yield improvement over Fairfield Sentry despite slightly higher volatility due to the 3x leverage.
1) Tata Consultancy Services is an IT consulting firm that is a part of the Tata Group. It has experienced significant growth due to the leadership of its Managing Director and CEO Mr. N Chandrasekaran and Executive Director Mr. S Mahalingam.
2) TCS provides a variety of IT services, business solutions, and outsourcing to many industries. It stresses innovation through research and development.
3) In 2010, TCS was awarded a major multi-year contract by the British government to administer the National Employment Savings Trust, among other deals.
Epic Research is a leading financial services provider with presence in Indian and other global capital markets. Provides Stock Tips, Forex Tips, Commodity Tips, MCX Tips, Equity Tips, Tips, Intraday Tips, NSE Tips, BSE Tips, COMEX Tips, PCG Pack and NCDEX Tips. We provide services in equity, commodity and Forex market.
The document provides a daily commodity outlook and analysis of gold, silver, and crude futures contracts. It summarizes the opening, high, low, and closing prices. Technical indicators such as the RSI, Stochastic, and ADX are analyzed to determine trends and identify resistance and support levels. Gold and silver are expected to face selling pressure. Crude futures are in a range-bound trend, with technical indicators signaling potential for further selling. Key resistance and support levels are identified for each commodity.
Op dinsdag 17 mei 2011 vond het seminar 'Scenario's voor klimaatverandering - implicaties voor strategische asset allocatie' plaats in het Drijvend Paviljoen in Rotterdam. Deze dag stond in het teken van de invloed van klimaatverandering op beleggingen van pensioenfondsen.
Jelle Beenen was de dagvoorzitter en gaf tevens samen met Will Oulton (UK office) een presentatie over het rapport 'Scenario's voor klimaatverandering' dat onlangs is verschenen.
Analysis of Fund, Portfolio Creation and Var Analysis.Saurav Mandhotra
The document analyzes and compares the fund portfolios of Aviva Life Insurance with its competitors, SBI Life Insurance and ICICI Prudential Life Insurance. It examines several funds - bond fund, growth fund, balanced fund, index fund, enhancer fund, and dynamic P/E fund. For each fund, it provides the investment objective, allocation breakdown, and performance metrics like returns, tracking error, Sharpe ratio, etc. It then creates an efficient frontier for Aviva fund investments using Markowitz portfolio theory and the Black-Litterman model to determine the optimal capital allocation across different asset classes.
Epic Research is a leading financial services provider with presence in Indian and other global capital markets. Provides Stock Tips, Forex Tips, Commodity Tips, MCX Tips, Equity Tips, Tips, Intraday Tips, NSE Tips, BSE Tips, COMEX Tips, PCG Pack and NCDEX Tips. We provide services in equity, commodity and Forex market.
The rupee edges down slightly to 54.36/37 against the US dollar as oil companies purchase dollars. Euro rises against the dollar after positive Chinese manufacturing data. The RBI signs a $15 billion currency swap agreement with the Bank of Japan to exchange local currencies against the US dollar. Most domestic commodity markets trade largely flat with some experiencing declines of 1-2%. USD/INR and EUR/INR markets look sideways with a consolidated trend, strategy is to buy on dips.
1) The document describes a leveraged certificate (3x) linked to the Fairfield Sentry Ltd. fund, an established hedge fund with a 15-year track record.
2) Fairfield Sentry uses a split-strike conversion strategy, investing in S&P 100 stocks while hedging with put and call options.
3) The certificate aims to provide a significant yield improvement over Fairfield Sentry despite slightly higher volatility due to the 3x leverage.
1) Tata Consultancy Services is an IT consulting firm that is a part of the Tata Group. It has experienced significant growth due to the leadership of its Managing Director and CEO Mr. N Chandrasekaran and Executive Director Mr. S Mahalingam.
2) TCS provides a variety of IT services, business solutions, and outsourcing to many industries. It stresses innovation through research and development.
3) In 2010, TCS was awarded a major multi-year contract by the British government to administer the National Employment Savings Trust, among other deals.
Epic Research is a leading financial services provider with presence in Indian and other global capital markets. Provides Stock Tips, Forex Tips, Commodity Tips, MCX Tips, Equity Tips, Tips, Intraday Tips, NSE Tips, BSE Tips, COMEX Tips, PCG Pack and NCDEX Tips. We provide services in equity, commodity and Forex market.
The document provides a daily commodity outlook and analysis of gold, silver, and crude futures contracts. It summarizes the opening, high, low, and closing prices. Technical indicators such as the RSI, Stochastic, and ADX are analyzed to determine trends and identify resistance and support levels. Gold and silver are expected to face selling pressure. Crude futures are in a range-bound trend, with technical indicators signaling potential for further selling. Key resistance and support levels are identified for each commodity.
The daily commodity report summarizes the movement in gold, silver, and crude oil futures contracts on the MCX exchange on October 8th, 2012. Gold and silver futures closed slightly higher while crude oil futures closed modestly higher. Technical indicators show mixed signals with some pointing to further upside potential and others suggesting range-bound trading. The report also provides opening, high, low, and closing prices as well as previous day's close and the change.
The daily commodity report summarizes prices and trading activity for gold, silver, and crude oil. Gold and silver prices closed lower while crude oil closed modestly lower. Trading volumes increased significantly for gold and silver compared to the previous day. Technical indicators show selling pressure for gold and silver, while crude oil may see short covering and buying support at lower levels. The report provides resistance and support price levels for the commodities.
- The Indian rupee recovered against the dollar after inflation eased more than expected in November, raising hopes the central bank will cut interest rates starting in January.
- Wholesale inflation was 7.24% in November, lower than the 7.6% estimate, improving the outlook for interest rates. Some expect an interest rate cut or cash reserve ratio cut from the central bank.
- The government is pushing reforms to speed up infrastructure projects and investment in fertilizers.
The document provides a daily outlook on commodity prices and analysis of gold, silver, and crude futures contracts traded on the MCX exchange in India. It summarizes that gold and silver prices increased over the previous day while crude prices decreased. The technical indicators for gold and silver signal continued buying support. Crude futures are in an oversold position and may see short covering at lower price levels. The document outlines resistance and support price levels for gold, silver, and crude futures contracts.
The daily forex report provides the following information:
- The rupee appreciated against the dollar in early trading due to increased foreign fund flows and gains in the local stock market.
- Trading tips are given to sell the EUR/INR below 72.50 and buy USD/INR above 54.34.
- Market statistics and charts are provided showing the daily movement of various currency pairs including USD/INR, EUR/INR, and GBP/INR. Upcoming economic data releases from the US and Europe are also listed.
Fundamental Analysis & Analyst Recommendations - Uranium Exploration and Extr...BCV
This document provides financial data and metrics for several companies in the uranium exploration and extraction industry, including market capitalization, revenue, earnings, debt, and analyst ratings. The companies listed include Cameco Corp, Paladin Energy Ltd, Uranium One Inc, Denison Mines Corp, and others. Key metrics provided include estimated total revenue, EBITDA, earnings per share, price-earnings ratios, revenue and EBITDA growth rates, and credit ratings from S&P and Moody's where available.
DAILY FOREX REPORT BY EPIC RESEARCH- 21 NOVEMBER 2012Epic Research
Epic Research is a leading financial services provider with presence in Indian and other global capital markets. Provides Stock Tips, Forex Tips, Currency Tips, Commodity Tips, MCX Tips, Equity Tips, Tips, Intraday Tips, NSE Tips, BSE Tips, COMEX Tips, PCG Pack NCDEX Tips and Free Stock Tips. We provide services in equity, commodity and Forex market.
The rupee opened lower against the dollar but recovered losses on fresh selling of dollars by banks and exporters taking advantage of foreign capital inflows into the stock market. It was quoted higher by 5 paise at 54.42 against the dollar in late morning trade. The daily forex report provides the daily exchange rates and trading tips recommending selling of USD/INR below 54.28 and EUR/INR below 71.90. Upcoming economic data and events that could impact currency prices are also listed.
The daily forex report provides the following information:
- The rupee trimmed initial gains but was still up 15 paise against the dollar amid foreign capital inflows in the stock market.
- Trading tips recommend buying USD/INR above 54.62 for targets of 54.77-54.92.
- Key data and charts are provided tracking the performance of USD/INR, EUR/INR, and other currency pairs against the rupee.
- ETFs based on gold accounted for the largest percentage of total ETF turnover in October 2011 at 83.44%, with the top 3 gold ETFs contributing over 90% of gold ETF trading volumes.
- Money market ETFs based on government securities accounted for 9.93% of total ETF turnover, with trading volumes in the LiquidBEES ETF declining 37.49% from the previous month.
- International equity ETFs saw increased trading activity compared to the previous month, with returns of 9.95% for the HNGSNGBEES ETF and 8.14% for the N100 ETF tracking the Nifty 100.
The daily forex report provides analysis and trading tips on currency pairs. It summarizes the previous day's market activity and headlines affecting currencies. It provides trading strategies, such as selling EUR/INR below a certain rate and buying above another rate. Upcoming economic data releases from various countries are also listed, along with their estimated and previous values, which may impact currency movements. Charts of USD/INR and EUR/INR are included to illustrate recent trends.
The rupee fell to a near one-month low against the dollar but found resistance at 54.01 levels. Traders say dollar demand is seen from oil and gold importers. Factory output data is expected which could push the rupee lower if disappointing. The report provides trading tips and analysis on currency pairs such as EUR/INR and USD/INR, and upcoming economic data releases.
The Indian equity markets ended the week higher, with the Sensex and Nifty gaining 0.32% and 0.17% respectively. Key indices like IT and oil & gas saw gains while the realty sector declined by 5.4%. Top gainers during the week included L&T, ITC, and Maruti Suzuki. Technically, the Nifty is expected to see a range-bound movement around 6,230-5,650 this week. Globally, US and European markets were up while Asian markets finished mixed.
DAILY FOREX REPORT BY EPIC RESEARCH- 4 DECEMBER 2012Epic Research
- The Indian rupee dropped 21 paise against the US dollar to trade at 54.47, due to renewed demand for dollars from banks and exporters as the dollar strengthened overseas.
- The RBI reference rate for the USD/INR was 54.5610 as of December 3rd.
- Trading tips recommended buying USD/INR above 54.95 for targets of 55.15-55.35 with a stop loss of 54.75.
The Indian rupee trimmed initial gains against the US dollar but was still up by 15 paise. Weakness in the dollar and foreign capital inflows supported the rupee. The forex report provides the daily reference exchange rates and a technical analysis of USD/INR and EUR/INR currency pairs. Key economic data from major countries is also listed, along with trading tips and performance of various commodities in the domestic market.
General motors straddle volatility strategyKaran Shah
Created a long volatility, neutral strategy (vega >0; delta= 0). suggested investment was for an
endowment fund so have considered carefully the levels of risk involved. Justified choice by considering the following factors: (i) the short duration of the strategy; (ii) current
market conditions (levels of the VIX, for example); (iii) historic volatility
of your asset and its current implied volatility; (iv) bid-ask spread and
liquidity of the relevant options, etc.
Graphed the expected profit/loss for our strategy for various choices of X,
assuming the stock price does not change and Implied Volatility changes by +/- 3%.
The document provides information on potential equity investments for a 100 million peso fund, including sector outlooks, individual stock analyses, and optimization recommendations. Key sectors identified are consumer staples, utilities, financials, real estate, and tourism. Stock screening is done based on fundamentals like P/E, P/B, growth, and technical analyses. Optimization suggests allocations like 50% in SECB and BPI for banks, and 55% in MPI for holding firms. The fund needs to achieve a 10% annual return while meeting other constraints.
This document provides an energy outlook and summarizes commodity price movements for crude oil, natural gas, and currencies. Crude oil and natural gas futures fell over 1% on the NYMEX and declined marginally on the MCX amid growing stockpile surpluses and weaker economic data from the US. Natural gas storage saw its first withdrawal since March 2012 but prices still closed lower. The dollar index was flat while the rupee appreciated against the dollar.
- Indian stocks broke a four-week winning streak and fell significantly this week due to concerns over political tensions hindering policy reforms.
- The Nifty is expected to consolidate in the range of 5,100-5,460 this week and may face resistance at higher levels with support at lower levels.
- India's GDP grew 5.5% in the first quarter of 2012-2013, ruling out further monetary easing by the RBI in the near future.
Indian Government’s reforms drive has been powering the rally in Indian shares for the
past few sessions. The same story was repeated this week as well, with the BSE
Sensex crossing 19,000 and the NSE Nifty surpassing 5,800. US presidential election,
leadership change in China and Gujarat election are the other important events to keep
on one’s radar in the coming weeks and months. Technically Nifty is expected to remain
consolidate or may continue the bull run; Nifty this week may range 5600-5880.
- The document provides a daily technical analysis and forecast for major currency pairs (AUDUSD, EURUSD, GBPUSD, USDCAD, USDJPY), gold, and crude oil based on charts.
- For each asset, it identifies the trend, whether the price is above or below the moving average and RSI level, key Fibonacci pivot points, and buy/sell signals with price targets and stop losses.
- It concludes with contact details for the author's social media profiles to follow for further analysis.
This document provides an asset allocation recommendation for a $5 million portfolio. It recommends an allocation of 65% to equities, 29% to fixed income, and 6% to cash. Specific equity and fixed income funds and indexes are recommended across large cap US and international developed and emerging markets. Alternative investments including real estate, commodities, and natural resources are also recommended totaling 24% of the portfolio. Performance histories for the past 1, 3, 5, and 10 years are provided for many of the recommended securities.
The daily commodity report summarizes the movement in gold, silver, and crude oil futures contracts on the MCX exchange on October 8th, 2012. Gold and silver futures closed slightly higher while crude oil futures closed modestly higher. Technical indicators show mixed signals with some pointing to further upside potential and others suggesting range-bound trading. The report also provides opening, high, low, and closing prices as well as previous day's close and the change.
The daily commodity report summarizes prices and trading activity for gold, silver, and crude oil. Gold and silver prices closed lower while crude oil closed modestly lower. Trading volumes increased significantly for gold and silver compared to the previous day. Technical indicators show selling pressure for gold and silver, while crude oil may see short covering and buying support at lower levels. The report provides resistance and support price levels for the commodities.
- The Indian rupee recovered against the dollar after inflation eased more than expected in November, raising hopes the central bank will cut interest rates starting in January.
- Wholesale inflation was 7.24% in November, lower than the 7.6% estimate, improving the outlook for interest rates. Some expect an interest rate cut or cash reserve ratio cut from the central bank.
- The government is pushing reforms to speed up infrastructure projects and investment in fertilizers.
The document provides a daily outlook on commodity prices and analysis of gold, silver, and crude futures contracts traded on the MCX exchange in India. It summarizes that gold and silver prices increased over the previous day while crude prices decreased. The technical indicators for gold and silver signal continued buying support. Crude futures are in an oversold position and may see short covering at lower price levels. The document outlines resistance and support price levels for gold, silver, and crude futures contracts.
The daily forex report provides the following information:
- The rupee appreciated against the dollar in early trading due to increased foreign fund flows and gains in the local stock market.
- Trading tips are given to sell the EUR/INR below 72.50 and buy USD/INR above 54.34.
- Market statistics and charts are provided showing the daily movement of various currency pairs including USD/INR, EUR/INR, and GBP/INR. Upcoming economic data releases from the US and Europe are also listed.
Fundamental Analysis & Analyst Recommendations - Uranium Exploration and Extr...BCV
This document provides financial data and metrics for several companies in the uranium exploration and extraction industry, including market capitalization, revenue, earnings, debt, and analyst ratings. The companies listed include Cameco Corp, Paladin Energy Ltd, Uranium One Inc, Denison Mines Corp, and others. Key metrics provided include estimated total revenue, EBITDA, earnings per share, price-earnings ratios, revenue and EBITDA growth rates, and credit ratings from S&P and Moody's where available.
DAILY FOREX REPORT BY EPIC RESEARCH- 21 NOVEMBER 2012Epic Research
Epic Research is a leading financial services provider with presence in Indian and other global capital markets. Provides Stock Tips, Forex Tips, Currency Tips, Commodity Tips, MCX Tips, Equity Tips, Tips, Intraday Tips, NSE Tips, BSE Tips, COMEX Tips, PCG Pack NCDEX Tips and Free Stock Tips. We provide services in equity, commodity and Forex market.
The rupee opened lower against the dollar but recovered losses on fresh selling of dollars by banks and exporters taking advantage of foreign capital inflows into the stock market. It was quoted higher by 5 paise at 54.42 against the dollar in late morning trade. The daily forex report provides the daily exchange rates and trading tips recommending selling of USD/INR below 54.28 and EUR/INR below 71.90. Upcoming economic data and events that could impact currency prices are also listed.
The daily forex report provides the following information:
- The rupee trimmed initial gains but was still up 15 paise against the dollar amid foreign capital inflows in the stock market.
- Trading tips recommend buying USD/INR above 54.62 for targets of 54.77-54.92.
- Key data and charts are provided tracking the performance of USD/INR, EUR/INR, and other currency pairs against the rupee.
- ETFs based on gold accounted for the largest percentage of total ETF turnover in October 2011 at 83.44%, with the top 3 gold ETFs contributing over 90% of gold ETF trading volumes.
- Money market ETFs based on government securities accounted for 9.93% of total ETF turnover, with trading volumes in the LiquidBEES ETF declining 37.49% from the previous month.
- International equity ETFs saw increased trading activity compared to the previous month, with returns of 9.95% for the HNGSNGBEES ETF and 8.14% for the N100 ETF tracking the Nifty 100.
The daily forex report provides analysis and trading tips on currency pairs. It summarizes the previous day's market activity and headlines affecting currencies. It provides trading strategies, such as selling EUR/INR below a certain rate and buying above another rate. Upcoming economic data releases from various countries are also listed, along with their estimated and previous values, which may impact currency movements. Charts of USD/INR and EUR/INR are included to illustrate recent trends.
The rupee fell to a near one-month low against the dollar but found resistance at 54.01 levels. Traders say dollar demand is seen from oil and gold importers. Factory output data is expected which could push the rupee lower if disappointing. The report provides trading tips and analysis on currency pairs such as EUR/INR and USD/INR, and upcoming economic data releases.
The Indian equity markets ended the week higher, with the Sensex and Nifty gaining 0.32% and 0.17% respectively. Key indices like IT and oil & gas saw gains while the realty sector declined by 5.4%. Top gainers during the week included L&T, ITC, and Maruti Suzuki. Technically, the Nifty is expected to see a range-bound movement around 6,230-5,650 this week. Globally, US and European markets were up while Asian markets finished mixed.
DAILY FOREX REPORT BY EPIC RESEARCH- 4 DECEMBER 2012Epic Research
- The Indian rupee dropped 21 paise against the US dollar to trade at 54.47, due to renewed demand for dollars from banks and exporters as the dollar strengthened overseas.
- The RBI reference rate for the USD/INR was 54.5610 as of December 3rd.
- Trading tips recommended buying USD/INR above 54.95 for targets of 55.15-55.35 with a stop loss of 54.75.
The Indian rupee trimmed initial gains against the US dollar but was still up by 15 paise. Weakness in the dollar and foreign capital inflows supported the rupee. The forex report provides the daily reference exchange rates and a technical analysis of USD/INR and EUR/INR currency pairs. Key economic data from major countries is also listed, along with trading tips and performance of various commodities in the domestic market.
General motors straddle volatility strategyKaran Shah
Created a long volatility, neutral strategy (vega >0; delta= 0). suggested investment was for an
endowment fund so have considered carefully the levels of risk involved. Justified choice by considering the following factors: (i) the short duration of the strategy; (ii) current
market conditions (levels of the VIX, for example); (iii) historic volatility
of your asset and its current implied volatility; (iv) bid-ask spread and
liquidity of the relevant options, etc.
Graphed the expected profit/loss for our strategy for various choices of X,
assuming the stock price does not change and Implied Volatility changes by +/- 3%.
The document provides information on potential equity investments for a 100 million peso fund, including sector outlooks, individual stock analyses, and optimization recommendations. Key sectors identified are consumer staples, utilities, financials, real estate, and tourism. Stock screening is done based on fundamentals like P/E, P/B, growth, and technical analyses. Optimization suggests allocations like 50% in SECB and BPI for banks, and 55% in MPI for holding firms. The fund needs to achieve a 10% annual return while meeting other constraints.
This document provides an energy outlook and summarizes commodity price movements for crude oil, natural gas, and currencies. Crude oil and natural gas futures fell over 1% on the NYMEX and declined marginally on the MCX amid growing stockpile surpluses and weaker economic data from the US. Natural gas storage saw its first withdrawal since March 2012 but prices still closed lower. The dollar index was flat while the rupee appreciated against the dollar.
- Indian stocks broke a four-week winning streak and fell significantly this week due to concerns over political tensions hindering policy reforms.
- The Nifty is expected to consolidate in the range of 5,100-5,460 this week and may face resistance at higher levels with support at lower levels.
- India's GDP grew 5.5% in the first quarter of 2012-2013, ruling out further monetary easing by the RBI in the near future.
Indian Government’s reforms drive has been powering the rally in Indian shares for the
past few sessions. The same story was repeated this week as well, with the BSE
Sensex crossing 19,000 and the NSE Nifty surpassing 5,800. US presidential election,
leadership change in China and Gujarat election are the other important events to keep
on one’s radar in the coming weeks and months. Technically Nifty is expected to remain
consolidate or may continue the bull run; Nifty this week may range 5600-5880.
- The document provides a daily technical analysis and forecast for major currency pairs (AUDUSD, EURUSD, GBPUSD, USDCAD, USDJPY), gold, and crude oil based on charts.
- For each asset, it identifies the trend, whether the price is above or below the moving average and RSI level, key Fibonacci pivot points, and buy/sell signals with price targets and stop losses.
- It concludes with contact details for the author's social media profiles to follow for further analysis.
This document provides an asset allocation recommendation for a $5 million portfolio. It recommends an allocation of 65% to equities, 29% to fixed income, and 6% to cash. Specific equity and fixed income funds and indexes are recommended across large cap US and international developed and emerging markets. Alternative investments including real estate, commodities, and natural resources are also recommended totaling 24% of the portfolio. Performance histories for the past 1, 3, 5, and 10 years are provided for many of the recommended securities.
The document discusses financial markets in India, including their relative size and growth over time. It provides data on the size and trading volumes of different market segments like equity, debt, currency and derivatives markets. It analyzes the role of these markets in India's economic growth and internationalization. It also discusses reforms needed to improve market liquidity, efficiency and participation, such as reducing restrictions, harmonizing regulations, and developing missing markets. The goal is for financial markets to more effectively mobilize savings and allocate resources towards productive investments and innovation.
The document is a market commentary and newsletter from Valuehunt dated January 9, 2013. It provides an analysis of Aarti Drugs as an undervalued stock, discusses the company's business operations and potential 57% upside. It also lists CP-Artha Model Portfolio holdings and two special situation stocks - Ganesha Ecosphere trading at a 52-week low and Educomp Solutions announcing the sale of its Eurokids stake. Global indices movements and sectoral index prices are included along with commodity prices, bulk deals, insider trading and upcoming corporate actions.
The document summarizes economic news and statistics from India in September 2011. It provides interest rates, commodity prices, currency exchange rates, and stock market indices. It also summarizes several news stories, including the Reserve Bank of India raising interest rates for the 12th time, a road construction contract award, and an education company selling a stake to a Dubai-based firm.
The document provides a daily market update and analysis for Thailand and other global markets. It reports that Thai, Indonesian, and Philippine stock markets saw the largest declines over the past 5 days as foreign and institutional investors took profits. The Thai baht tested new highs against the US dollar while the Thai stock market index tested new lows, remaining the local market's focus along with ongoing political demonstrations. Emerging market consumer companies are valued at the most expensive levels on record as rising food and energy costs curb household spending. US treasury yields are rising ahead of government bond auctions and economic data releases later this week.
The document provides a daily market commentary and analysis. It summarizes movements in various global and domestic indices, turnover numbers for foreign and domestic institutional investors, and currency exchange rates. It also lists the top gaining and losing stocks in the Nifty index. Special situation stocks and their commentary are presented. Key news headlines from business dailies are highlighted touching on various sectors. Insider trading activity and upcoming corporate actions are also noted.
This document describes a methodology for evaluating ABX indices by projecting the monthly losses and months-to-writedown of the underlying mortgage deals. It involves creating a roll rate matrix to project the monthly states of each mortgage, deriving the monthly losses from the states, and calculating months-to-writedown by comparing the losses to the credit enhancement level. The methodology can be implemented in Excel and provides a framework for evaluating ABX performance over time in a simple way. Enhancements to improve the accuracy of the projections are also discussed.
The daily equity report for 29 February 2012 provides the following key information:
- Indian equity markets were up 1.79% with the Nifty up 94 points and Sensex up 285 points. Bank Nifty was up 412 points.
- European markets were mostly higher. Dow futures were up 41 points. The US trade balance came in at -$48.8 billion.
- FIIs were net buyers of Indian stocks while DIIs were net sellers. Top Nifty gainers were R Infra, R Power, and R Comm while top losers were Cairn, TCS, and Wipro. Daily pivots and charts for Nifty and Bank Nifty are provided.
This document summarizes 8 problems related to international financial management. It discusses spot and forward exchange rates, premiums and discounts, and uses exchange rates to calculate net present values of investments in different countries while accounting for inflation rates and interest rates in each country. It also provides an example of using forward contracts to hedge foreign exchange risk on a receivable.
The document provides a daily market update and analysis for Thailand and the US. It summarizes stock market performance in Thailand and the US on January 25th, as well as bond market data and foreign investment flows in Thailand. The document also discusses recent macroeconomic indicators and outlooks, foreign exchange markets, and economic news updates, such as South Korea's slowing growth and Thailand's debt issues.
This weekly newsletter provides a market wrap of the week's performance in the Indian equity market. Key points include:
- The Nifty and Sensex ended the week down 2.5% each, with the indices at their lowest point since January.
- Global markets also had a volatile week and ended lower.
- Top gainers and losers are listed from the NSE, along with volume top performers and sectoral indices performances.
- Technical analysis indicates the trends in the Nifty and Bank Nifty are consolidating, with noted resistance and support levels.
Nifty seems rangebound equity analysis for 23 julyGeet Sharma
- The Sensex and Nifty indices in India declined slightly on Friday, with the Sensex falling 0.70% and the Nifty dropping 0.72%, led by declines in banking stocks.
- Asian stock markets were also down slightly but were on track for their largest weekly gain since January, as strong US corporate earnings lifted the S&P 500 index.
- Key Indian stock market indexes such as the BSE Sensex, Nifty 50, and Nifty Bank declined around 1% each while sectoral indices such as IT, metal and realty also ended in red.
Nifty and Sensex were closed red; lost 0.54%, 0.39% resp. this week.
Existing Home Sales 5.04M and US Unemployment Claims at 361K.
US & Euro markets were mixed; Asian markets too were also mixed last week.
The key points from the document are:
1) The Sensex closed slightly lower while mid and small cap indices gained, and state-run banks and capital goods stocks rose while IT and metals declined.
2) The market is expected to continue its upward momentum if the Nifty trades above 6,024 but could see a correction if it falls below that level.
3) News briefs highlighted the government capping fuel subsidies, forecasts of higher GDP growth for India, and corporate news about Hind Copper's share issue.
1. Asset Alliance Corporation
Leaders in Alternative Investments
Demystifying Currency Risk
Elliot Noma
noma@assetalliance.com
Hedge Fund Risk Management
Nov 13, 2008
New York
Asset Alliance Corporation 800 Third Avenue, 22nd Floor New York, NY 10022 P. 212.207.8786 F. 212.207.8785 www.assetalliance.com noma@assetalliance.com
2. Currency Funds as a Diversifier
Correlation Matrix of Various Hedge Fund Return Indices
Currency managers historically have had low correlations with other hedge
fund strategies, preceded only by short-bias managers.
A B C D E F G H I J
A Barclay Currency Traders Index 1 0.28 0.17 0.12 0.38 -0.11 0.29 0.24 0.23 0.46
B HFRI ED: Merger Arbitrage Index 0.28 1 0.9 0.65 0.93 -0.79 0.88 0.93 0.96 0.44
C HFRI ED: Distressed/Restructuring Index 0.17 0.9 1 0.85 0.87 -0.62 0.88 0.95 0.97 0.54
D HFRI EH: Equity Market Neutral Index 0.12 0.65 0.85 1 0.6 -0.21 0.8 0.81 0.78 0.67
E HFRI EH: Quantitative Directional 0.38 0.93 0.87 0.6 1 -0.83 0.88 0.93 0.9 0.53
F HFRI EH: Short Bias Index -0.11 -0.79 -0.62 -0.21 -0.83 1 -0.61 -0.7 -0.71 -0.06
G HFRI Emerging Markets (Total) Index 0.29 0.88 0.88 0.8 0.88 -0.61 1 0.97 0.91 0.65
H HFRI Equity Hedge (Total) Index 0.24 0.93 0.95 0.81 0.93 -0.7 0.97 1 0.97 0.6
I HFRI Event-Driven (Total) Index 0.23 0.96 0.97 0.78 0.9 -0.71 0.91 0.97 1 0.51
J HFRI Macro (Total) Index 0.46 0.44 0.54 0.67 0.53 -0.06 0.65 0.6 0.51 1
2
† As of September 30, 2008. Source: HFRI, Barclay Hedge
3. Currency Managers move the Efficient Frontier
35%
30%
25%
20% HFRI Indices
15% HFRI Indices + Carry FX
10% HFRI Indices + Non-Carry FX
5% HFRI Indices + FX
0%
0% 2% 4% 6% 8% 10% 12%
3
† As of September 30, 2008. Source: HFRI, Barclay Hedge
4. There are a Wide Range of Currency Strategies
Managers A to F employ a mix of strategies
For managers AA to HH, carry trades make up a significant part of their
investment strategy
A B C D E F AA BB CC DD EE FF GG HH
A 1 0.62 0.47 0.28 0.23 0.1 0.18 -0 -0.5 -0.4 -0.4 -0.6 -0.8 -0.8
B 0.62 1 0.21 -0.2 0.41 -0.3 0.39 0.47 -0.4 -0.5 -0.3 -0.1 -0.1 -0.5
C 0.47 0.21 1 0.15 0.28 -0.4 -0.1 0.02 -0.3 -0.1 0.01 0.35 -0.3 -0.7
D 0.28 -0.2 0.15 1 -0.1 0.59 -0.1 -0.3 0.08 -0.4 -0 -0.5 -0.4 -0.3
E 0.23 0.41 0.28 -0.1 1 -0.4 -0.3 -0.2 -0 -0.1 -0.2 0.1 -0.2 -0.3
F 0.1 -0.3 -0.4 0.59 -0.4 1 0.32 -0 -0.1 -0.2 0.12 -0.5 0.2 0.19
AA 0.18 0.39 -0.1 -0.1 -0.3 0.32 1 0.8 -0.7 -0 0.32 -0.1 0.35 0.28
BB -0 0.47 0.02 -0.3 -0.2 -0 0.8 1 -0.5 -0.1 0.39 0.37 0.57 0.28
CC -0.5 -0.4 -0.3 0.08 -0 -0.1 -0.7 -0.5 1 0.06 0.23 0.13 0.17 0.23
DD -0.4 -0.5 -0.1 -0.4 -0.1 -0.2 -0 -0.1 0.06 1 0.39 0.31 0.14 0.32
EE -0.4 -0.3 0.01 -0 -0.2 0.12 0.32 0.39 0.23 0.39 1 0.61 0.56 0.41
FF -0.6 -0.1 0.35 -0.5 0.1 -0.5 -0.1 0.37 0.13 0.31 0.61 1 0.68 0.42
GG -0.8 -0.1 -0.3 -0.4 -0.2 -0.2 0.35 0.57 0.17 0.14 0.56 0.68 1 0.91
HH -0.8 -0.5 -0.7 -0.3 -0.3 0.19 0.28 0.28 0.23 0.32 0.41 0.42 0.91 1
4
† As of September 30, 2008. Source: HFRI, Barclay Hedge
5. Popular Currency Strategies
Carry trade
Cross currency arbitrage
Currency overlay
Macroeconomic
Central bank policy
Trade flows
Trend following
High frequency trading
Volatility trading
5
6. Basics of the Carry Trade
AUD
JPY Sell 100 JPY
Buy 1.728 AUD
Invest in
Invest in
Australian
Japanese
Government
Treasury Bills Bonds
(coupon=.9%) (coupon = 7.5%)
12 months later:
Sell 1.8576 AUD Buy JPY
(breakeven exchange rate = 1.84)
6
† Source: Bloomberg
8. Return Patterns of Carry Trade Strategies
Profitability of the buy and hold carry trade strategy
October 2006 to October 2008
Long Basket Short Basket
Currency Weight Currency Weight
AUD 25% JPY 50%
TRY 25% CHF 50%
BRL 25%
140 NZD 25%
130
120
110
100
90
80
10/31/2006
12/31/2006
2/28/2007
4/30/2007
6/30/2007
8/31/2007
10/31/2007
12/31/2007
2/29/2008
4/30/2008
6/30/2008
8/31/2008
10/31/2008
8
† Source: Bloomberg
9. Carry Trade Monthly Returns
Distribution of monthly returns of the buy and hold carry
strategy October 2006 to October 2008
6
5
Frequency
4
3
2
1
0
-14%
-12%
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
9
† Source: Bloomberg
11. Cross currency trade
USD
H F uy
Se y 1
2C B
ll
Bu
93 .001
6 7 SD
. 56 1
1.1 1 U
50 U S
ll
JP D
Se
Y
CHF JPY
Sell 1.1672 CHF
Buy 93.5650 JPY
11
† Source: Bloomberg
12. Disclaimer
This is the property of Asset Alliance Corporation.
No disclosure may be made to third parties regarding
any information disclosed in this presentation without
the prior permission of Asset Alliance Corporation.
This document has been provided for educational
purposes only. No representation or warranty is
made as to the accuracy or completeness of the
information contained in this document.
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13. Asset Alliance
The Americas Europe, Asia Pacific and the Middle East
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New York, NY 10022 Mayfair, London W1J 5DS
United States United Kingdom
T 212.207.8786 T 44.207.659.2900
F 212.207.8785 F 44.207.659.2901
info@assetalliance.com info@assetalliance-uk.com
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