Visualizing the Effects of Holding Period and Data Window on Calculations of ...Ralph Goldsticker
This presentation shows how to use Cumulative Contribution Charts to visualize the relationships between investment horizon and volatility and the behavior of volatilities and correlations through time. With that information the researcher can select the sampling period and window that reflects the investment horizon and expected market environment.
Growing Money: Choosing Investments and Various StrategiesRavi Shikha
What we discuss :
How to allocate money in these 4 Assets Class : Domestic Equity, Global Equity, Gold and Debt
Mutual Fund Scheme Selection using Risk Reward Ratios, Rolling Returns etc.
Optimization of Portfolio based on HRP (Hierarchical Risk Parity) Model
Monitoring and Rebalancing of Portfolio
Highlights the "errors" academics make when conducting applied investment research. Describes the standards that should be observed to make the research more useful to investment managers.
Visualizing the Effects of Holding Period and Data Window on Calculations of ...Ralph Goldsticker
This presentation shows how to use Cumulative Contribution Charts to visualize the relationships between investment horizon and volatility and the behavior of volatilities and correlations through time. With that information the researcher can select the sampling period and window that reflects the investment horizon and expected market environment.
Growing Money: Choosing Investments and Various StrategiesRavi Shikha
What we discuss :
How to allocate money in these 4 Assets Class : Domestic Equity, Global Equity, Gold and Debt
Mutual Fund Scheme Selection using Risk Reward Ratios, Rolling Returns etc.
Optimization of Portfolio based on HRP (Hierarchical Risk Parity) Model
Monitoring and Rebalancing of Portfolio
Highlights the "errors" academics make when conducting applied investment research. Describes the standards that should be observed to make the research more useful to investment managers.
The attached model describes the risk management and liquidity benefits for a very long term strategic investing conglomerate of including a minimal allocation of a private equity fund allocation. In a world where deals are not always available and competition for good opportunities is fierce, risk of not being able to invest is significant.
We recommend that such conglomerates should allocate a private equity fund-like allocation to non-core mid-size investments. Not represented in the paper is that such investments may also lead to strategic investments or a tap into new markets.
The attached study was prepared for a leading Turkish conglomerate to diversify into private equity like investments.
What Has Worked Research by Steven HumeSteven Hume
Value stocks tend to have several investment characteristics that contribute to their undervaluing. We explore some of these characteristics in this presentation.
Deep Value and the Aquirer's Multiple by Tobias Carlisle for QuantCon 2016Quantopian
How to beat The Little Book That Beats The Market: An exploration of the deep value investment strategy. This talk will combines engaging anecdotes with industry research to illustrate the principles and reasoning behind a counterintuitive investment strategy.
Financial analysts are concerned with factors, or common sources of risk that contribute to changes in asset prices. Analysts may be able to control a portfolio’s risk more efficiently and perhaps even improve its returns by identifying such factors.
Factor analysis is a powerful tool for quantifying the risk profile of a portfolio, constructing a portfolio relative to a benchmark, and controlling risk.
Global Value Equity Portfolio (March 2011)Trading Floor
This month we have adjusted our Global Value Equity Portfolio to include the reinvestment of gross dividends and introduced dynamic weights for the constituents. This reduces transaction costs, enhances excess return and makes the portfolio easier to replicate for investors.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Oct. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
The attached model describes the risk management and liquidity benefits for a very long term strategic investing conglomerate of including a minimal allocation of a private equity fund allocation. In a world where deals are not always available and competition for good opportunities is fierce, risk of not being able to invest is significant.
We recommend that such conglomerates should allocate a private equity fund-like allocation to non-core mid-size investments. Not represented in the paper is that such investments may also lead to strategic investments or a tap into new markets.
The attached study was prepared for a leading Turkish conglomerate to diversify into private equity like investments.
What Has Worked Research by Steven HumeSteven Hume
Value stocks tend to have several investment characteristics that contribute to their undervaluing. We explore some of these characteristics in this presentation.
Deep Value and the Aquirer's Multiple by Tobias Carlisle for QuantCon 2016Quantopian
How to beat The Little Book That Beats The Market: An exploration of the deep value investment strategy. This talk will combines engaging anecdotes with industry research to illustrate the principles and reasoning behind a counterintuitive investment strategy.
Financial analysts are concerned with factors, or common sources of risk that contribute to changes in asset prices. Analysts may be able to control a portfolio’s risk more efficiently and perhaps even improve its returns by identifying such factors.
Factor analysis is a powerful tool for quantifying the risk profile of a portfolio, constructing a portfolio relative to a benchmark, and controlling risk.
Global Value Equity Portfolio (March 2011)Trading Floor
This month we have adjusted our Global Value Equity Portfolio to include the reinvestment of gross dividends and introduced dynamic weights for the constituents. This reduces transaction costs, enhances excess return and makes the portfolio easier to replicate for investors.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Oct. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
Julex Capital Management, LLC, founded in 2012 and registered in Massachusetts, is an investment advisory firm dedicated to creating innovative outcome-oriented solutions for institutions and individuals. Julex is managed by industry veterans with strong academic and practical experience in portfolio management, asset allocation, risk management and quantitative research across asset management, hedge fund and insurance industries. Julex offers a variety of multi-asset, rule-based, and risk-managed total return strategies that are designed to deliver consistent returns with low volatility and drawdowns in both bull and bear markets.
Julex believes that traditional benchmark-centric investment approach and other alternative investment strategies do not provide adequate downside protection to investors’ portfolios, as evidenced during the financial crisis of 2008. By actively managing the downside risks through Julex’s strategies, investors can not only fully enjoy the upside potentials the markets offer, but also avoid the painful losses that destroy wealth and confidence during market downturns.
Our four flagship Dynamic Alpha Strategies strive to deliver absolute returns as well as out-performance over the relevant benchmarks. Our clients are using them to improve their investment returns while reduce downside risks. For more information, please visit: www.julexcapital.com.
Market Risk And Return PowerPoint Presentation Slides SlideTeam
Presenting this set of slides with name - Market Risk And Return Powerpoint Presentation Slides. Our topic specific Market Risk And Return Powerpoint Presentation Slides presentation deck contains twenty eight slides to formulate the topic with a sound understanding. This PPT deck is what you can bank upon. With diverse and professional slides at your side, worry the least for a powerpack presentation. A range of editable and ready to use slides with all sorts of relevant charts and graphs, overviews, topics subtopics templates, and analysis templates makes it all the more worth. This deck displays creative and professional looking slides of all sorts. Whether you are a member of an assigned team or a designated official on the look out for impacting slides, it caters to every professional field.
Absolute and Relative VaR of a mutual fund.Lello Pacella
Calculated Absolute and Relative VaR using Varcov Approatch, Parametric with EWMA-estimated volatility, Historical Simulation and Filtered Historical Simulation.
Similar to Global REIT Liquidity Implications Presentation ARES 2015 (20)
Liquidity and Performance : Evidence from real estate securities and fundsConsiliacapital
In our latest monthly report we use our databases of real estate securities and funds to analyse the link between liquidity and performance over the cycle.
Blending listed and unlisted real estate for DC pension funds. Latest evidence.Consiliacapital
This report examines the performance implications of adding global listed real estate to an unlisted real estate portfolio for a uk defined contribution pension fund.
January 2014 real estate securities funds monitorConsiliacapital
Monthly performance stats on listed real estate, infrastructure and real asset funds. Special feature on the impact of including global listed to an unlisted real estate allocation for a DC fund.
Listed real estate as a portfolio diversifierConsiliacapital
Listed real estate as a diversifier - This article was published in Professional Investor Magazine for the CFA Society of the UK in Autumn 2013 – www.cfauk.org
how to sell pi coins in South Korea profitably.DOT TECH
Yes. You can sell your pi network coins in South Korea or any other country, by finding a verified pi merchant
What is a verified pi merchant?
Since pi network is not launched yet on any exchange, the only way you can sell pi coins is by selling to a verified pi merchant, and this is because pi network is not launched yet on any exchange and no pre-sale or ico offerings Is done on pi.
Since there is no pre-sale, the only way exchanges can get pi is by buying from miners. So a pi merchant facilitates these transactions by acting as a bridge for both transactions.
How can i find a pi vendor/merchant?
Well for those who haven't traded with a pi merchant or who don't already have one. I will leave the telegram id of my personal pi merchant who i trade pi with.
Tele gram: @Pi_vendor_247
#pi #sell #nigeria #pinetwork #picoins #sellpi #Nigerian #tradepi #pinetworkcoins #sellmypi
how to sell pi coins effectively (from 50 - 100k pi)DOT TECH
Anywhere in the world, including Africa, America, and Europe, you can sell Pi Network Coins online and receive cash through online payment options.
Pi has not yet been launched on any exchange because we are currently using the confined Mainnet. The planned launch date for Pi is June 28, 2026.
Reselling to investors who want to hold until the mainnet launch in 2026 is currently the sole way to sell.
Consequently, right now. All you need to do is select the right pi network provider.
Who is a pi merchant?
An individual who buys coins from miners on the pi network and resells them to investors hoping to hang onto them until the mainnet is launched is known as a pi merchant.
debuts.
I'll provide you the Telegram username
@Pi_vendor_247
USDA Loans in California: A Comprehensive Overview.pptxmarketing367770
USDA Loans in California: A Comprehensive Overview
If you're dreaming of owning a home in California's rural or suburban areas, a USDA loan might be the perfect solution. The U.S. Department of Agriculture (USDA) offers these loans to help low-to-moderate-income individuals and families achieve homeownership.
Key Features of USDA Loans:
Zero Down Payment: USDA loans require no down payment, making homeownership more accessible.
Competitive Interest Rates: These loans often come with lower interest rates compared to conventional loans.
Flexible Credit Requirements: USDA loans have more lenient credit score requirements, helping those with less-than-perfect credit.
Guaranteed Loan Program: The USDA guarantees a portion of the loan, reducing risk for lenders and expanding borrowing options.
Eligibility Criteria:
Location: The property must be located in a USDA-designated rural or suburban area. Many areas in California qualify.
Income Limits: Applicants must meet income guidelines, which vary by region and household size.
Primary Residence: The home must be used as the borrower's primary residence.
Application Process:
Find a USDA-Approved Lender: Not all lenders offer USDA loans, so it's essential to choose one approved by the USDA.
Pre-Qualification: Determine your eligibility and the amount you can borrow.
Property Search: Look for properties in eligible rural or suburban areas.
Loan Application: Submit your application, including financial and personal information.
Processing and Approval: The lender and USDA will review your application. If approved, you can proceed to closing.
USDA loans are an excellent option for those looking to buy a home in California's rural and suburban areas. With no down payment and flexible requirements, these loans make homeownership more attainable for many families. Explore your eligibility today and take the first step toward owning your dream home.
how can i use my minded pi coins I need some funds.DOT TECH
If you are interested in selling your pi coins, i have a verified pi merchant, who buys pi coins and resell them to exchanges looking forward to hold till mainnet launch.
Because the core team has announced that pi network will not be doing any pre-sale. The only way exchanges like huobi, bitmart and hotbit can get pi is by buying from miners.
Now a merchant stands in between these exchanges and the miners. As a link to make transactions smooth. Because right now in the enclosed mainnet you can't sell pi coins your self. You need the help of a merchant,
i will leave the telegram contact of my personal pi merchant below. 👇 I and my friends has traded more than 3000pi coins with him successfully.
@Pi_vendor_247
What price will pi network be listed on exchangesDOT TECH
The rate at which pi will be listed is practically unknown. But due to speculations surrounding it the predicted rate is tends to be from 30$ — 50$.
So if you are interested in selling your pi network coins at a high rate tho. Or you can't wait till the mainnet launch in 2026. You can easily trade your pi coins with a merchant.
A merchant is someone who buys pi coins from miners and resell them to Investors looking forward to hold massive quantities till mainnet launch.
I will leave the telegram contact of my personal pi vendor to trade with.
@Pi_vendor_247
how can I sell pi coins after successfully completing KYCDOT TECH
Pi coins is not launched yet in any exchange 💱 this means it's not swappable, the current pi displaying on coin market cap is the iou version of pi. And you can learn all about that on my previous post.
RIGHT NOW THE ONLY WAY you can sell pi coins is through verified pi merchants. A pi merchant is someone who buys pi coins and resell them to exchanges and crypto whales. Looking forward to hold massive quantities of pi coins before the mainnet launch.
This is because pi network is not doing any pre-sale or ico offerings, the only way to get my coins is from buying from miners. So a merchant facilitates the transactions between the miners and these exchanges holding pi.
I and my friends has sold more than 6000 pi coins successfully with this method. I will be happy to share the contact of my personal pi merchant. The one i trade with, if you have your own merchant you can trade with them. For those who are new.
Message: @Pi_vendor_247 on telegram.
I wouldn't advise you selling all percentage of the pi coins. Leave at least a before so its a win win during open mainnet. Have a nice day pioneers ♥️
#kyc #mainnet #picoins #pi #sellpi #piwallet
#pinetwork
Turin Startup Ecosystem 2024 - Ricerca sulle Startup e il Sistema dell'Innov...Quotidiano Piemontese
Turin Startup Ecosystem 2024
Una ricerca de il Club degli Investitori, in collaborazione con ToTeM Torino Tech Map e con il supporto della ESCP Business School e di Growth Capital
how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
If you want to sell your pi coins, reach out to a pi vendor and sell them to anyone looking to sell pi coins from any country around the globe.
Below is the contact information for my personal pi vendor.
Telegram: @Pi_vendor_247
If you are looking for a pi coin investor. Then look no further because I have the right one he is a pi vendor (he buy and resell to whales in China). I met him on a crypto conference and ever since I and my friends have sold more than 10k pi coins to him And he bought all and still want more. I will drop his telegram handle below just send him a message.
@Pi_vendor_247
Seminar: Gender Board Diversity through Ownership NetworksGRAPE
Seminar on gender diversity spillovers through ownership networks at FAME|GRAPE. Presenting novel research. Studies in economics and management using econometrics methods.
The secret way to sell pi coins effortlessly.DOT TECH
Well as we all know pi isn't launched yet. But you can still sell your pi coins effortlessly because some whales in China are interested in holding massive pi coins. And they are willing to pay good money for it. If you are interested in selling I will leave a contact for you. Just telegram this number below. I sold about 3000 pi coins to him and he paid me immediately.
Telegram: @Pi_vendor_247
Global REIT Liquidity Implications Presentation ARES 2015
1. THE IMPACT OF LIQUIDITY ON VALUATION AND
CAPITAL RAISING FOR GLOBAL LISTED
REAL ESTATE COMPANIES
Alex Moss, Consilia Capital
Nicole Lux , Cass Business School
ARES Florida 2014
3. BACKGROUND – KEY POINTS
• The Fama-French three factor model (1993) highlighted the concept that less liquid
stocks (should and do) yield higher returns.
• The endowment model, which was pioneered by David Swenson at Yale
emphasised investing in illiquid alternative assets such as real estate to improve
longer term incremental returns.
• Recent evidence* however suggests that the sensitivity of stock returns to liquidity
and liquidity premia have declined significantly over the last four decades.
• The importance of liquidity moves over time **, and over the last 5 years higher
levels of liquidity have become more highly prized.
• Reflecting this there has been an increase in the use of sector indices and
strategies based purely on liquidity.
• In a previous study we looked at the evidence for European real estate companies
to 2012. In this study we expand the time period to 2014, include Asia Pac, Japan
and the US, and examine the impact of size on fund raising for European
companies.
• The diminishing liquidity premium, Ben-Raphael, Kadan, and Wohl 2010, **Liquidity driven dynamic asset allocation , Xiong, Sullivan
and Wang 2012,
3
4. BACKGROUND - DOES SIZE & LIQUIDITY MATTER IN VALUATION ?
Global income-oriented property
-30%
-20%
-10%
0%
10%
20%
30%
1% 2% 3% 4% 5% 6% 7% 8% 9%
Distribution yield
Premium(discount)toNAV
Apartments
Storage
CBD Office
Industrial
Bubble size = relative market capitalization
Small black circle = market cap weighted average
Suburban
Office
Shopping
Ctr.
Reg. Mall
Source: Consilia Capital
4
5. BACKGROUND - FACTORS AFFECTING RETURNS AND VALUATIONS
• Concept of market dimensionality and importance of liquidity as a factor
5
6. PURPOSE OF THE STUDY
In this study we are interested in discovering :
1) Whether the European evidence on liquidity and valuation we discovered in our
previous study holds true globally
2) If there is a size bias in returns as well as valuations
3) The impact size has had on the equity and debt capital raising ability of companies in
Europe
6
7. CAVEATS AND EXPECTATIONS
• The sample size is relatively small, limited by the number of “large” companies in
Europe.
• Ideally the underlying assets of the companies would be homogenous so that the
liquidity premium could be isolated. In practice this is not the case.
• The sensitivity of valuations to size and liquidity is time-variant.
• It is also stock specific, such that the most highly regarded (valued) stocks may not be
the largest, and may still benefit from an “illiquidity” or scarcity premium.
• The valuation premium for liquidity may not be linear or “graded”, but indeed binary
, i.e. only companies with a minimum level of liquidity are included in portfolios, and
can raise further equity capital
7
8. THE SAMPLE
UK Europe US
Large
Land Securities
Group PLC
Unibail-
Rodamco SE
Simon
Property
British Land Co
PLC Corio NV
Public Storage
Hammerson Plc Klepierre
Equity
Residential
Segro
Wereldhave
NV
Prologis
Medium
Derwent London
Wihlborgs
Fastigheter AB
Apartment
Invt
Great Portland
Estates Plc
Beni Stabili
SpA
National Retail
Prop
Shaftesbury Plc Sponda OYJ
Omega
Healthcare
Capital Shopping
Vastned Retail
NV
VP Carey Inc
Small
Primary Health
Properties PLC
Vastned
Offices/Industr
ial
Corporate
Office Prop
Development
Securities PLC
Societe de la
Tour Eiffel
First Industrial
Realty
ST Modwen
Properties Plc DIC Asset AG
Mack Cali
Realty
Helical Bar Plc
Fastighets AB
Balder
Cousins
Properties
Asia Japan
Large
Sun Hung Kai
Prop
Mitsubishi
Estate
Wharf Holdings
Mitsui
Fudosan
Stockland
Sumitomo
Realty &
Development
Capitaland
Nippon
Building Fund
Medium
Sino Land
Japan Prime
Realty
Investment
CapitalWall
trust
Frontier Real
Estate
Novion
Property Group
Japan
Logistics
Hysan
Development
Nomura Real
Estate Office
Small
Keppel land
Mori Trust
Sogo REIT
Investa Office
Kenedix
Office
New World
China Land
NTT Urban
Development
BWP Trust
Premier
Investment
8
9. METHODOLOGY
Measuring Liquidity
• Bid-ask spread
• Turnover ratio
• Value traded / Market Cap.
Relative Liquidity
• Hui-Heubel Liquidity Ratio
Valuations
• Discount to NAV (smoothed on a monthly basis)
• Monthly data used
9
10. METHODOLOGY - BID ASK SPREAD
• Definition
• The bid-ask spread arises from three main components:order processing,
adverse information and inventory costs.
• A high level of competition between intermediaries allows for a reduction of the
order processing component and improves the liquidity condition of the market.
• The informational component of the bid-ask spread sheds light on the degree of
efficiency due to the presence of hidden information or insider trading
2/
)(
bidask
bidask
PP
PP
Spread
10
11. METHODOLOGY - TURNOVER RATIO
• Definition
• It represents the number of shares traded vs. the total number of shares outstanding
• As a volume based measure it is defined as the volume traded vs. the total volume
outstanding
• We prefer this to the daily value traded measure
total
t
N
N
V
11
12. METHODOLOGY - HUI HEUBEL LIQUIDITY RATIO
• Definition
• The Hui Heubel liquidity ratio is a volume based measure, relating average volumes
over a defined period (i.e. 1 day, month, etc.) to observed price ranges
• Pmax is the highest daily price over a 1month-day period, Pmin is the lowest daily
price over the same horizon, V is the total volume of assets traded over a 1month-day
period, S is the total number of assets outstanding and P denotes the average closing
price
• The larger the volume of trades relative to the price the deeper and more resilient the
market
PSV
PPP
HH
/
/ minminmax
12
13. METHODOLOGY – VALUATION – DISCOUNT/PREMIUM TO NAV
• NAV was chosen as a metric rather than dividend yield, as payout ratios vary between
REITs and PropCos, and FFO multiples are not commonly used in Europe.
• For NAV we have taken the published “EPRA” NAV or equivalent, and smoothed the
figures between the published updates (typically 6 months).
• Price and NAV data are calculated on a monthly basis
13
14. RESULTS – BID-ASK SPREADS
Pre GFC
Large Medium Small
UK 0.33% 0.67% 1.56%
Europe 0.38% 0.60% 1.37%
US 0.06% 0.09% 0.08%
Japan 0.39% 0.62% 0.51%
Asia 0.33% 0.68% 0.94%
Average 0.30% 0.53% 0.89%
GFC
Large Medium Small
UK 0.15% 0.26% 0.93%
Europe 0.33% 0.43% 1.95%
US 0.10% 0.15% 0.19%
Japan 0.42% 0.96% 0.91%
Asia 0.35% 0.59% 1.11%
Average 0.27% 0.48% 1.02%
Post GFC
Large Medium Small
UK 0.11% 0.18% 0.82%
Europe 0.12% 0.47% 0.79%
US 0.03% 0.06% 0.07%
Japan 0.39% 0.57% 0.43%
Asia 0.30% 0.52% 0.80%
Average 0.19% 0.36% 0.58%
14
Smaller bid-ask spreads for larger companies consistent
across regions
Spreads have come down dramatically in UK and
Europe , less so in Asia
15. RESULTS – TURNOVER RATIO
Pre GFC
Large Medium Small
UK 12.49% 7.97% 3.32%
Europe 4.25% 4.58% 5.63%
US 8.92% 10.60% 10.33%
Japan 9.68% 5.43% 6.40%
Asia 4.74% 3.67% 4.21%
Average 8.02% 6.45% 5.98%
GFC
Large Medium Small
UK 20.81% 15.95% 6.54%
Europe 6.74% 8.79% 4.08%
US 32.29% 31.56% 34.24%
Japan 17.50% 6.93% 6.25%
Asia 7.83% 5.74% 4.51%
Average 17.04% 13.80% 11.12%
Post GFC
Large Medium Small
UK 6.96% 5.04% 3.24%
Europe 7.46% 4.69% 3.44%
US 15.84% 21.64% 22.59%
Japan 10.58% 5.71% 6.26%
Asia 4.15% 3.50% 2.84%
Average 9.00% 8.12% 7.67%
15
Higher levels of turnover in larger
companies in UK Europe and Asia
Liquidity more evenly spread by size band
in US
16. RESULTS – VALUE TRADED/ MARKET CAP
Pre GFC
Large Medium Small
UK 12.44% 7.84% 3.49%
Europe 4.22% 4.57% 4.17%
US 8.77% 10.61% 10.31%
Japan 9.56% 5.35% 6.32%
Asia 4.74% 3.61% 4.19%
Average 7.95% 6.40% 5.70%
GFC
Large Medium Small
UK 20.34% 15.50% 6.04%
Europe 6.75% 8.77% 4.07%
US 32.24% 31.71% 34.16%
Japan 17.40% 6.91% 6.19%
Asia 7.78% 5.74% 4.59%
Average 16.90% 13.72% 11.01%
Post GFC
Large Medium Small
UK 6.94% 5.03% 3.21%
Europe 7.42% 4.65% 3.12%
US 15.54% 21.44% 22.46%
Japan 10.53% 5.62% 6.22%
Asia 4.13% 3.49% 2.81%
Average 8.91% 8.05% 7.56%
16
Similar results when calculated by value
rather then number
Value will reflect free float weighting
17. RESULTS – HUI HEUBEL LIQUIDITY RATIO
Pre GFC
Large Medium Small
UK 20.92% 14.61% 21.52%
Europe 10.91% 17.41% 18.51%
US 15.61% 17.54% 15.58%
Japan 29.20% 16.77% 26.22%
Asia 19.60% 27.36% 32.63%
Average 19.25% 18.74% 22.89%
GFC
Large Medium Small
UK 56.96% 35.59% 43.43%
Europe 12.05% 33.55% 65.09%
US 42.34% 49.15% 62.33%
Japan 47.25% 36.06% 62.73%
Asia 49.28% 65.75% 106.56%
Average 41.57% 44.02% 68.03%
Post GFC
Large Medium Small
UK 19.26% 16.75% 24.41%
Europe 5.42% 16.69% 30.79%
US 19.26% 19.95% 22.22%
Japan 28.26% 20.98% 26.87%
Asia 23.93% 26.36% 40.13%
Average 19.22% 20.14% 28.88%
17
Reasonably consistent levels of resilience
post GFC , with the exception of European
large caps
18. RESULTS – VALUATION
Pre GFC
Large Medium Small
UK -5.79% 4.17% 24.09%
Europe 1.91% 3.55% 2.70%
US 8.92% 10.60% 10.33%
Average 1.68% 6.11% 12.37%
GFC
Large Medium Small
UK -33.41% -27.61% -5.89%
Europe 3.00% -4.33% -12.17%
US 32.29% 31.56% 34.24%
Average 0.63% -0.12% 5.39%
Post GFC
Large Medium Small
UK -12.08% 3.20% -0.14%
Europe -5.20% -13.87% -24.80%
US 15.84% 21.64% 22.59%
Average -0.48% 3.66% -0.78%
18
Based on discount / premium to last
stated NAV
Superior valuations for UK medium
sized cos reflects Central London bias
Superior valuations for European large
caps most pronounced
Valuations more consistent across size
band in US even though metric relates
to book rather than market value
19. RESULTS – PERFORMANCE
Performance since the Trough (%)
UK large 309.64 Europe large 232.77 US large 546.82 Japan large 188.82 Asia large 222.55
UK medium 477.80 Europe medium 214.81 US medium 514.18 Japan medium 143.69 Asia medium 225.15
UK small 275.86 Europe small 897.66 US small 268.12 Japan small 200.80 Asia small 485.40
Performance since the Peak (%)
UK large -40.54 Europe large 2.81 US large 84.75 Japan large -0.90 Asia large 42.98
UK medium 8.50 Europe medium 21.00 US medium 182.63 Japan medium 28.42 Asia medium 54.23
UK small -26.83 Europe small 159.27 US small -43.70 Japan small 21.41 Asia small 55.98
19
UK large caps still way off peak levels due to dilutive impact of rescue rights
issues – mid caps performed best since trough
Europe small caps have outperformed
Since the trough mid and larger cap US name have outperfomred
20. RESULTS – PERFORMANCE
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
ASIA
Asia large 37.20 18.93 44.13 42.04 -53.19 78.45 14.89 -26.23 50.93 -9.43 9.72
Asia medium 46.34 25.96 46.23 29.02 -48.65 67.14 26.62 -11.90 35.98 -11.20 11.13
Asia small 45.65 22.15 55.24 29.14 -58.42 82.74 18.56 -18.20 80.51 -6.31 15.17
Large over Small -8.44 -3.22 -11.11 12.90 5.24 -4.29 -3.67 -8.03 -29.58 -3.12 -5.45
Medium over Small 0.69 3.82 -9.00 -0.12 9.77 -15.60 8.06 6.30 -44.53 -4.89 -4.05
EUROPE
Europe large 56.85 0.03 70.88 -9.71 -33.08 53.70 2.51 -19.12 26.18 18.48 6.25
Europe medium 44.60 -1.53 73.64 -13.30 -40.95 40.46 29.66 -24.52 23.25 14.05 5.42
Europe small 31.24 15.79 86.31 -16.56 -64.51 79.95 44.39 -26.49 44.60 35.90 6.47
Large over Small 25.61 -15.76 -15.43 6.85 31.43 -26.25 -41.88 7.37 -18.42 -17.42 -0.22
Medium over Small 13.36 -17.33 -12.67 3.27 23.57 -39.49 -14.72 1.96 -21.36 -21.84 -1.05
JAPAN
Japan large 35.75 55.19 38.97 -8.56 -28.90 3.17 25.46 -21.20 63.00 35.68 -23.25
Japan medium 37.02 5.11 36.65 -5.46 -24.64 13.73 42.02 -13.84 17.21 10.81 7.64
Japan small 46.58 16.96 23.85 4.39 -36.54 -1.47 55.13 -26.19 26.21 17.52 19.82
Large over Small -10.83 38.23 15.12 -12.95 7.65 4.64 -29.67 4.99 36.79 18.16 -43.07
Medium over Small -9.56 -11.85 12.79 -9.84 11.90 15.20 -13.12 12.35 -9.00 -6.72 -12.18
UK
UK large 53.33 7.17 70.66 -35.57 -56.88 18.80 -1.35 -11.25 38.26 24.94 15.87
UK medium 60.35 11.12 79.44 -28.70 -57.80 66.35 15.05 -6.06 39.55 15.01 17.41
UK small 52.76 19.39 61.39 -30.01 -51.12 54.64 -12.81 -23.80 44.16 54.76 -0.42
Large over Small 0.57 -12.22 9.27 -5.56 -5.76 -35.83 11.46 12.55 -5.90 -29.82 16.29
Medium over Small 7.59 -8.28 18.05 1.31 -6.69 11.72 27.86 17.74 -4.61 -39.75 17.83
US
US large 34.48 22.14 35.59 -14.36 -23.86 25.17 36.29 19.18 17.91 1.38 30.32
US medium 25.54 0.88 38.13 -1.92 -21.38 34.30 35.47 6.79 28.34 14.34 35.93
US small 29.81 6.16 35.85 -29.96 -32.33 2.10 20.71 -13.52 24.63 9.62 12.89
Large over Small 4.67 15.97 -0.25 15.60 8.48 23.07 15.58 32.70 -6.72 -8.24 17.44
Medium over Small -4.27 -5.29 2.29 28.04 10.95 32.20 14.76 20.31 3.71 4.73 23.04
20
21. IMPACT OF SIZE ON EQUITY FUND RAISING
Distribution by frequency and quantum of secondary equity issues (not IPOs) by
European listed RE cos ranked by Index weighting decile 2010-2014 .
Concentration in mid cap names 2012-13
Number Amount raised (€)Decile 2010 2011 2012 2013 2014
1st 0 1 2 1 2
2nd 2 3 3 2 2
3rd 1 0 2 2 3
4th 3 4 4 0 3
5th 0 2 11 12 5
6th 3 4 5 2 8
7th 6 2 3 6 3
8th 2 0 3 7 5
9th 2 2 1 9 11
10th 0 0 0 0 2
Total 19 18 34 41 44
2010 2011 2012 2013 2014
1st 0 113,041 473,402 563,595 818,620
2nd 860,863 305,767 636,204 517,842 799,770
3rd 122,891 0 269,477 347,649 956,676
4th 102,149 318,025 396,994 0 942,921
5th 0 171,376 81,628 420,346 364,228
6th 167,232 540,709 213,028 500,214 2,111,690
7th 367,979 163,583 110,677 180,698 185,913
8th 182,832 0 190,718 86,909 238,460
9th 61,734 57,043 27,314 189,381 271,823
10th 0 0 0 0 225,861
Total 1,865,679 1,669,544 2,399,442 2,806,636 6,915,963
21
22. IMPACT OF SIZE ON DEBT FUND RAISING
22
Distribution by frequency and quantum of debt issues by European listed RE cos
ranked by Index weighting decile 2010-2014 .
Concentration in large cap names.
Number Amount raised (€)
2010 2011 2012 2013 2014
1st 10 18 16 13 15
2nd 3 5 9 14 6
3rd 6 7 5 5 5
4th 2 1 2 9 10
5th 3 4 7 9 3
6th 1 0 7 6 6
7th 2 0 1 9 5
8th 1 1 7 4 2
9th 0 4 0 3 2
10th 1 0 1 2 3
Total 29 40 55 74 57
2010 2011 2012 2013 2014
1st 2,562,225 2,394,632 5,265,513 3,028,479 4,477,558
2nd 926,391 1,129,070 1,346,576 2,906,369 2,076,951
3rd 1,350,000 948,970 1,072,900 677,168 1,690,000
4th 96,600 115,625 143,209 971,207 1,854,431
5th 205,562 412,371 550,477 1,177,939 178,555
6th 135,000 0 1,066,743 997,326 2,635,000
7th 253,674 0 94,825 921,816 867,203
8th 11,441 33,548 296,931 160,717 185,271
9th 0 120,040 0 180,000 150,000
10th 75,000 0 5,000 144,900 156,000
Total 5,615,894 5,154,258 9,842,174 11,165,921 14,270,969
23. SUMMARY AND CONCLUSIONS
We believe that the questions posed at the outset can be answered as follows:
23
1) Whether the European evidence on liquidity and valuation we discovered in our
previous study holds true globally
Yes, except US where liquidity is more evenly spread across market cap bands
2) If there is a size bias in returns as well as valuations
European valuation bias not as apparent in US - no consistent pattern of returns by
market cap. , although smaller co’s have outperformed in Europe and Asia in each of
last three years
3) The impact size has had on the capital raising of companies in Europe
Increasing number of mid-sized European cos raising equity , suggesting no evidence of
equity capital rationing by size which was true in 2008 and 2009, but size is a major
factor in companies ability to utilise debt capital markets.