The document summarizes a global bond allocation framework that incorporates growth indicators, carry/risk metrics, and market prices across 16 sovereign bond markets. It uses a monthly scorecard approach to rank countries based on factors like economic indicators, risk-adjusted carry, and exchange rates to determine long or short positions. Back-testing from 2000-2013 shows the framework generated significant risk-adjusted returns, including higher returns when including emerging markets, with limited losses during the credit crisis.
1-Consistent returns above benchmark (+6% annual outperformance)
2-Very small volatility for an equity fund (-4% annual bellow benchmark)
3-Excellent relative performance throughout the financial crisis (2007-2011)
4- Stable investment philosophy all over 23 years
5-Unique and tested investment process developed by an experienced management team
6-Very high quality (ROE) and liquid concentrated portfolio
7-Defensive strategy: focus on "ensured growth" without leveraged or cyclical sectors
8-Portfolio valuation at historial minimum levels
9-Poor overlapping and low correlation with other fund managers
10-Complementary with other equity styles
http://www.slideshare.net/ignaciopedrosa/edm-strategy-factsheet
The document summarizes the EDM Strategy Fund, a European equities fund managed by EDM Asset Management since 1995. It provides an overview of the fund's performance, investment philosophy, portfolio composition, and top holdings. The fund has outperformed major European indices with higher returns and lower volatility since inception due to its bottom-up stock picking approach and focus on high quality companies with sustainable earnings growth trading at reasonable prices.
An early estimate shows that traffic fatalities in the first half of 2012 increased about 9.0% compared to the first half of 2011. An estimated 16,290 people died in motor vehicle crashes from January to June 2012, up from an estimated 14,950 fatalities in the same period in 2011. Vehicle miles traveled increased about 1.1% in the first six months of 2012 compared to 2011. The fatality rate per 100 million vehicle miles traveled rose to 1.12 for the first half of 2012, up from 1.04 in the first half of 2011. This is the largest increase in fatalities for the first half of a year since 1975.
Questions For Management And Directors, A Roadmap For Expansion And Growthharrylong
Fremont Michigan Insuracorp provides property and casualty insurance in Michigan. While it has a strong balance sheet and growing book value, its personal lines have become unprofitable despite growing premiums. The document raises concerns about this and questions what management is doing to address the issue. It suggests management should take actions like ranking agencies by losses, stopping credit scoring, and expanding operations outside of Michigan to improve profitability.
BT Financial Monthly Market Chart - June 2010BT Financial
BT Financial Monthly Markets Chart: June2010. An overview of movements in global financial markets. Prepared by BT Wrap for the adviser market. Includes review of global share markets as well as Australian share market, dominant currencies, interest rates and both short and long term asset classes.
Us Hc Long Short 50 50 50% Dilution Monthly Sumcalmernow
The Maxxim Long Short (HC) US Fund aims to outperform a 10% hurdle by at least 10% annually while maintaining a drawdown of less than 7%. The fund uses a quantitative strategy developed by Kappa Forte that blends behavioral finance and traditional valuation techniques to select stocks. Since inception in 1999, the fund has returned 24.2% compared to 10% for its benchmark and has a maximum drawdown of 5.6%.
Global interest rates remained low with US 10-year yields up 30 basis points from a year ago. Global stock markets were mixed with US indexes down slightly over the past month while European indexes were down 2-3%. The US dollar was steady against most currencies except the Japanese yen, which fell 0.6% against the dollar. Gold prices rose slightly while industrial metals like copper fell over 2% due to economic uncertainty. Oil prices were nearly flat.
Research context for libraries and publishersAlicia Wise
The document discusses how research and development spending has grown significantly around the world, increasing by an average of 4% annually and totaling over $1.2 trillion in 2010. Both developed and developing countries have steadily increased their spending on R&D as a percentage of GDP to support innovation and economic growth. This rise in research funding has driven growth in the number of researchers and scientific publications worldwide.
1-Consistent returns above benchmark (+6% annual outperformance)
2-Very small volatility for an equity fund (-4% annual bellow benchmark)
3-Excellent relative performance throughout the financial crisis (2007-2011)
4- Stable investment philosophy all over 23 years
5-Unique and tested investment process developed by an experienced management team
6-Very high quality (ROE) and liquid concentrated portfolio
7-Defensive strategy: focus on "ensured growth" without leveraged or cyclical sectors
8-Portfolio valuation at historial minimum levels
9-Poor overlapping and low correlation with other fund managers
10-Complementary with other equity styles
http://www.slideshare.net/ignaciopedrosa/edm-strategy-factsheet
The document summarizes the EDM Strategy Fund, a European equities fund managed by EDM Asset Management since 1995. It provides an overview of the fund's performance, investment philosophy, portfolio composition, and top holdings. The fund has outperformed major European indices with higher returns and lower volatility since inception due to its bottom-up stock picking approach and focus on high quality companies with sustainable earnings growth trading at reasonable prices.
An early estimate shows that traffic fatalities in the first half of 2012 increased about 9.0% compared to the first half of 2011. An estimated 16,290 people died in motor vehicle crashes from January to June 2012, up from an estimated 14,950 fatalities in the same period in 2011. Vehicle miles traveled increased about 1.1% in the first six months of 2012 compared to 2011. The fatality rate per 100 million vehicle miles traveled rose to 1.12 for the first half of 2012, up from 1.04 in the first half of 2011. This is the largest increase in fatalities for the first half of a year since 1975.
Questions For Management And Directors, A Roadmap For Expansion And Growthharrylong
Fremont Michigan Insuracorp provides property and casualty insurance in Michigan. While it has a strong balance sheet and growing book value, its personal lines have become unprofitable despite growing premiums. The document raises concerns about this and questions what management is doing to address the issue. It suggests management should take actions like ranking agencies by losses, stopping credit scoring, and expanding operations outside of Michigan to improve profitability.
BT Financial Monthly Market Chart - June 2010BT Financial
BT Financial Monthly Markets Chart: June2010. An overview of movements in global financial markets. Prepared by BT Wrap for the adviser market. Includes review of global share markets as well as Australian share market, dominant currencies, interest rates and both short and long term asset classes.
Us Hc Long Short 50 50 50% Dilution Monthly Sumcalmernow
The Maxxim Long Short (HC) US Fund aims to outperform a 10% hurdle by at least 10% annually while maintaining a drawdown of less than 7%. The fund uses a quantitative strategy developed by Kappa Forte that blends behavioral finance and traditional valuation techniques to select stocks. Since inception in 1999, the fund has returned 24.2% compared to 10% for its benchmark and has a maximum drawdown of 5.6%.
Global interest rates remained low with US 10-year yields up 30 basis points from a year ago. Global stock markets were mixed with US indexes down slightly over the past month while European indexes were down 2-3%. The US dollar was steady against most currencies except the Japanese yen, which fell 0.6% against the dollar. Gold prices rose slightly while industrial metals like copper fell over 2% due to economic uncertainty. Oil prices were nearly flat.
Research context for libraries and publishersAlicia Wise
The document discusses how research and development spending has grown significantly around the world, increasing by an average of 4% annually and totaling over $1.2 trillion in 2010. Both developed and developing countries have steadily increased their spending on R&D as a percentage of GDP to support innovation and economic growth. This rise in research funding has driven growth in the number of researchers and scientific publications worldwide.
Este documento proporciona una receta para preparar crespells, que son hojas de borraja fritas rebozadas en una mezcla de harina y agua y cubiertas con miel caliente. Se lavan las hojas de borraja y se rebozan en la pasta de harina y agua. Luego se fríen en aceite hasta dorarse y se sirven cubiertas con miel caliente.
EMU.dk - Danmarks læringsportal. EMU relanceres som Ny EMU i sommeren 2013.
Præsentation den 5. april 2013 ved møde i Digitaliseringspanelet for dagtilbuds- og grundskoleområdet.
Chefkonsulent Claus Berg. Kontor for Pædagogisk it.
Ministeriet for Børn og Undervisning.
UNI-C, Styrelsen for it og læring.
Technology has changed significantly with increased miniaturization and convergence of devices. Many apps can now be accessed through a single device like smartphones that combine functions of phones, cameras, music players and more. Digital technology has also largely replaced analogue formats and provides advantages like better quality and easier use. Radio broadcasting has transitioned from analogue to digital formats like DAB which allow more stations and improved reception quality. Survey tools like Survey Monkey and audio editing software like Audacity have enabled efficient research and production for radio.
Mecanismos de cuatro o cuatro barras 1004Camilo Bustos
Este documento describe el desarrollo de un prototipo de un mecanismo de tres o cuatro barras. Explica que estos mecanismos generan una amplia variedad de movimientos y se usan comúnmente en máquinas y subsistemas. Luego define las partes clave de un mecanismo de cuatro barras, incluyendo las barras móviles y fija unidas por nudos articulados.
O documento discute o significado e as formas do amor. O amor pode ser entendido como afeição, compaixão, atração ou desejo. Pode existir entre familiares, amigos e casais e envolve sentimentos como carinho, atração, altruísmo e reciprocidade. O amor também pode ser entendido como paixão ou intimidade entre duas pessoas.
Este edital do IFAC abre vagas para supervisores, orientadores e apoio administrativo no PRONATEC. Serão selecionados servidores e não servidores para atuarem nos campi de Cruzeiro do Sul e Rio Branco, recebendo bolsa do FNDE. As inscrições estão abertas e a seleção será feita por comissão em cada campus.
El documento presenta una serie de proyectos de contenido realizados por Happy Together para diferentes clientes durante más de 8 años. Entre los proyectos se encuentran la producción de historias y contenidos para marcas como Coca-Cola, American Express, Arroz Gallo y Laboratorios Elea, así como campañas y plataformas de comunicación interna y externa para empresas como DIRECTV, Santander Río y British American Tobacco. Happy Together cree en el poder de contar buenas historias a través de diferentes formatos y canales.
1) A supercharger or turbocharger works by compressing the air-fuel mixture entering the engine cylinders, increasing power output.
2) In a supercharger, the impeller is driven directly by the engine crankshaft via a gear train. In a turbocharger, the impeller is driven by exhaust gases passing through a turbine.
3) Compressing the air-fuel mixture allows the engine to develop more power at high altitudes where atmospheric pressure and oxygen levels decrease.
O documento apresenta um monólogo da personagem Mariazinha em seu quarto. Ela fala sozinha enquanto arruma o cômodo, cantando canções infantis. De repente, um homem armado entra no quarto, a assustando. Ele a ameaça com uma arma para que ela fique quieta e não grite. Mariazinha fica em estado de choque, sem reação.
This document discusses the management of bacterial meningitis in children. It defines bacterial meningitis and related terms. The most common causes are Neisseria meningitidis, Streptococcus pneumoniae, and Haemophilus influenzae type b. Risk factors include age and immune deficiencies. Diagnosis involves lumbar puncture and cerebrospinal fluid analysis showing pleocytosis, low glucose, and high protein. Treatment involves intravenous antibiotics and management of increased intracranial pressure. Outcomes depend on early diagnosis and treatment.
The portfolio of the EDM Ahorro fund focuses on short-term fixed income investments with high credit quality and low volatility. It holds 85 different investment grade corporate bonds and government debt, all denominated in euros, with an average duration of 1.6 years. The fund aims to preserve capital above the inflation rate with a low historical default rate of 0% and current portfolio returns over 3.5%.
Infosys has consistently grown revenues and EPS at high double digit rates between 2002 and 2012, with revenues growing at a 32.7% CAGR and EPS growing at 28.2% CAGR. Infosys has also maintained a high return on equity of around 30% with no long term debt. Despite this strong financial performance, Infosys is currently trading at a discount to its peers Wipro and Cognizant based on its price-to-earnings ratio when adjusted for its higher cash balance per share.
The Korea Fund underperformed its benchmark, the MSCI Korea Index, in the fourth quarter of 2012 by 39 basis points. Within sectors, stock picks in consumer discretionary hurt performance while selections in industrials and an underweight in financials helped. Growth stocks strongly outperformed value stocks last quarter, contrasting the third quarter. The Fund initiated positions in selected IT and consumer names and exited a credit card company due to regulatory changes.
The average number of
Students/Non-Instructional
Professional in the eight K-12
districts is 438.3
Keene averages 406.6
Students/Non-Instructional
Professional.
guidance counselors, library
media specialists, principals,
assistant principals, etc.
Students served by each non-
instructional professional.
Of the eight K-12 districts,
the average number of
Students/Non-Instructional
Professional is 438.3
Keene averages 406.6
Students/Non-Instructional
Professional.
This category does not include
clerical or other support staff.
- US economic growth is expected to remain sub-trend at around 1.2-2.2% in Q3 2012 due to ongoing household deleveraging and fiscal drag. Unemployment is expected to remain elevated.
- Risks include a slowdown in the Eurozone and potential policy mistakes around fiscal tightening.
- Global manufacturing is slowing due to weak demand in Europe, the US, and a growth moderation in China.
xcel energy 2008 June_EurpopeanInvestor854finance26
This document summarizes Xcel Energy's business profile, environmental leadership initiatives, regulatory framework, growth opportunities, and financial performance. Xcel Energy is a major utility operating in 8 states, focusing on reducing carbon emissions through renewable energy investments and technology pilots. The company expects to grow earnings 5-7% annually through rate base investments and has a track record of increasing its dividend by 2-4% per year.
xcel energy 2008 June_EurpopeanInvestor854finance26
This document summarizes Xcel Energy's business profile, environmental leadership initiatives, regulatory framework, growth opportunities, and financial performance. Xcel Energy is a major utility operating across 8 states in the Midwest and Plains regions, focusing on electric and gas delivery. The company aims to reduce carbon emissions through investments in renewable energy, smart grid technologies, and energy efficiency. It has a track record of earning returns allowed by constructive regulation and expects to continue delivering earnings and dividend growth through ongoing capital expenditures.
Este documento proporciona una receta para preparar crespells, que son hojas de borraja fritas rebozadas en una mezcla de harina y agua y cubiertas con miel caliente. Se lavan las hojas de borraja y se rebozan en la pasta de harina y agua. Luego se fríen en aceite hasta dorarse y se sirven cubiertas con miel caliente.
EMU.dk - Danmarks læringsportal. EMU relanceres som Ny EMU i sommeren 2013.
Præsentation den 5. april 2013 ved møde i Digitaliseringspanelet for dagtilbuds- og grundskoleområdet.
Chefkonsulent Claus Berg. Kontor for Pædagogisk it.
Ministeriet for Børn og Undervisning.
UNI-C, Styrelsen for it og læring.
Technology has changed significantly with increased miniaturization and convergence of devices. Many apps can now be accessed through a single device like smartphones that combine functions of phones, cameras, music players and more. Digital technology has also largely replaced analogue formats and provides advantages like better quality and easier use. Radio broadcasting has transitioned from analogue to digital formats like DAB which allow more stations and improved reception quality. Survey tools like Survey Monkey and audio editing software like Audacity have enabled efficient research and production for radio.
Mecanismos de cuatro o cuatro barras 1004Camilo Bustos
Este documento describe el desarrollo de un prototipo de un mecanismo de tres o cuatro barras. Explica que estos mecanismos generan una amplia variedad de movimientos y se usan comúnmente en máquinas y subsistemas. Luego define las partes clave de un mecanismo de cuatro barras, incluyendo las barras móviles y fija unidas por nudos articulados.
O documento discute o significado e as formas do amor. O amor pode ser entendido como afeição, compaixão, atração ou desejo. Pode existir entre familiares, amigos e casais e envolve sentimentos como carinho, atração, altruísmo e reciprocidade. O amor também pode ser entendido como paixão ou intimidade entre duas pessoas.
Este edital do IFAC abre vagas para supervisores, orientadores e apoio administrativo no PRONATEC. Serão selecionados servidores e não servidores para atuarem nos campi de Cruzeiro do Sul e Rio Branco, recebendo bolsa do FNDE. As inscrições estão abertas e a seleção será feita por comissão em cada campus.
El documento presenta una serie de proyectos de contenido realizados por Happy Together para diferentes clientes durante más de 8 años. Entre los proyectos se encuentran la producción de historias y contenidos para marcas como Coca-Cola, American Express, Arroz Gallo y Laboratorios Elea, así como campañas y plataformas de comunicación interna y externa para empresas como DIRECTV, Santander Río y British American Tobacco. Happy Together cree en el poder de contar buenas historias a través de diferentes formatos y canales.
1) A supercharger or turbocharger works by compressing the air-fuel mixture entering the engine cylinders, increasing power output.
2) In a supercharger, the impeller is driven directly by the engine crankshaft via a gear train. In a turbocharger, the impeller is driven by exhaust gases passing through a turbine.
3) Compressing the air-fuel mixture allows the engine to develop more power at high altitudes where atmospheric pressure and oxygen levels decrease.
O documento apresenta um monólogo da personagem Mariazinha em seu quarto. Ela fala sozinha enquanto arruma o cômodo, cantando canções infantis. De repente, um homem armado entra no quarto, a assustando. Ele a ameaça com uma arma para que ela fique quieta e não grite. Mariazinha fica em estado de choque, sem reação.
This document discusses the management of bacterial meningitis in children. It defines bacterial meningitis and related terms. The most common causes are Neisseria meningitidis, Streptococcus pneumoniae, and Haemophilus influenzae type b. Risk factors include age and immune deficiencies. Diagnosis involves lumbar puncture and cerebrospinal fluid analysis showing pleocytosis, low glucose, and high protein. Treatment involves intravenous antibiotics and management of increased intracranial pressure. Outcomes depend on early diagnosis and treatment.
The portfolio of the EDM Ahorro fund focuses on short-term fixed income investments with high credit quality and low volatility. It holds 85 different investment grade corporate bonds and government debt, all denominated in euros, with an average duration of 1.6 years. The fund aims to preserve capital above the inflation rate with a low historical default rate of 0% and current portfolio returns over 3.5%.
Infosys has consistently grown revenues and EPS at high double digit rates between 2002 and 2012, with revenues growing at a 32.7% CAGR and EPS growing at 28.2% CAGR. Infosys has also maintained a high return on equity of around 30% with no long term debt. Despite this strong financial performance, Infosys is currently trading at a discount to its peers Wipro and Cognizant based on its price-to-earnings ratio when adjusted for its higher cash balance per share.
The Korea Fund underperformed its benchmark, the MSCI Korea Index, in the fourth quarter of 2012 by 39 basis points. Within sectors, stock picks in consumer discretionary hurt performance while selections in industrials and an underweight in financials helped. Growth stocks strongly outperformed value stocks last quarter, contrasting the third quarter. The Fund initiated positions in selected IT and consumer names and exited a credit card company due to regulatory changes.
The average number of
Students/Non-Instructional
Professional in the eight K-12
districts is 438.3
Keene averages 406.6
Students/Non-Instructional
Professional.
guidance counselors, library
media specialists, principals,
assistant principals, etc.
Students served by each non-
instructional professional.
Of the eight K-12 districts,
the average number of
Students/Non-Instructional
Professional is 438.3
Keene averages 406.6
Students/Non-Instructional
Professional.
This category does not include
clerical or other support staff.
- US economic growth is expected to remain sub-trend at around 1.2-2.2% in Q3 2012 due to ongoing household deleveraging and fiscal drag. Unemployment is expected to remain elevated.
- Risks include a slowdown in the Eurozone and potential policy mistakes around fiscal tightening.
- Global manufacturing is slowing due to weak demand in Europe, the US, and a growth moderation in China.
xcel energy 2008 June_EurpopeanInvestor854finance26
This document summarizes Xcel Energy's business profile, environmental leadership initiatives, regulatory framework, growth opportunities, and financial performance. Xcel Energy is a major utility operating in 8 states, focusing on reducing carbon emissions through renewable energy investments and technology pilots. The company expects to grow earnings 5-7% annually through rate base investments and has a track record of increasing its dividend by 2-4% per year.
xcel energy 2008 June_EurpopeanInvestor854finance26
This document summarizes Xcel Energy's business profile, environmental leadership initiatives, regulatory framework, growth opportunities, and financial performance. Xcel Energy is a major utility operating across 8 states in the Midwest and Plains regions, focusing on electric and gas delivery. The company aims to reduce carbon emissions through investments in renewable energy, smart grid technologies, and energy efficiency. It has a track record of earning returns allowed by constructive regulation and expects to continue delivering earnings and dividend growth through ongoing capital expenditures.
The Korea Fund underperformed the MSCI Korea benchmark in the second quarter of 2012, with the MSCI Korea dropping sharply by 8.6% in USD terms. Foreign investors sold a net $5 trillion worth of Korean equities, though the Korean won depreciated only moderately against the USD. During the quarter, the Fund outperformed its benchmark by 42 basis points due to strong stock picks in consumer discretionary, while IT and materials detracted. Quality stocks outperformed in the volatile market conditions, with low debt, low volatility stocks performing well.
This document summarizes Xcel Energy's business operations and growth strategy. It outlines Xcel's plans to reduce carbon emissions through investments in renewable energy, smart grid technology, and energy efficiency. These initiatives are expected to lower Xcel's carbon emissions by 22% in Minnesota and 10% in Colorado by 2020 and 2017 respectively. The document also discusses Xcel's constructive regulatory environment which allows recovery of major capital investments, and projected rate base growth of 7.5% annually through 2011. This growth strategy coupled with environmental leadership is expected to deliver sustainable annual earnings growth of 5-7% and dividend growth of 2-4% for shareholders.
This document summarizes Xcel Energy's business operations and growth strategy. It outlines Xcel's plans to reduce carbon emissions through investments in renewable energy, smart grid technology, and energy efficiency. These initiatives are expected to lower Xcel's carbon emissions 22% by 2020 in Minnesota and 10% by 2017 in Colorado. The document also describes Xcel's constructive regulatory environment which allows recovery of major capital investments. This supports Xcel's goal of delivering 5-7% annual earnings growth and 2-4% annual dividend growth through continued investment in its rate base.
The document discusses the issues with global tax havens and their costs. It notes that the global tax haven industry is huge and hurts economic growth and development. Trillions of dollars are missing from countries' tax bases and held in havens, growing transnational corporate abuses. Solutions require transparency, ending tax and rule competition between countries, and addressing the roles of professionals and institutions that enable tax haven abuse.
This document provides an overview of Xcel Energy's strategy to achieve financial success through environmental leadership. It summarizes the company's plans to reduce carbon emissions by 2020 through investments in wind, solar, and natural gas generation while expanding demand side management efforts. It also outlines Xcel's goals for annual earnings per share growth of 5-7% and dividend growth of 2-4% through 2020. The capital expenditure forecast estimates spending between $2.1-$2.2 billion annually through 2011 to fund these clean energy investments and system upgrades.
This document summarizes Xcel Energy's strategy to achieve financial success through environmental leadership. It plans to reduce carbon emissions by 2020 through investments in wind, solar, and natural gas generation while expanding demand side management efforts. It forecasts strong earnings growth of 5-7% annually through 2020 by investing over $2 billion per year in its regulated utilities, with enhanced regulatory recovery mechanisms. This is expected to drive rate base growth of 7.5% annually and sustainable dividend growth of 2-4% per year, providing an attractive total return profile.
Larry Dowell - Insights from the 2012 MACE Compensation & Benefits SurveyDowell Management
The document is a summary of the 2012 MACE Compensation & Benefits Survey. It provides information on participation, demographics of chamber executives, compensation and benefits. Key findings include that participation was up from 2010, the average age of a chamber executive is 44.7, the average salary is $65,239, and around half of chambers contribute to medical insurance costs.
The Economic Survey projects India's GDP growth to increase to 7.6% in 2012-13 and 8.6% in 2013-14, however these projections are considered ambitious. Fiscal consolidation is seen as key to achieving this level of growth. Industrial output growth remains a concern, with only a marginal recovery seen and doubts about sustainability. While exports are slowing, the global situation remains difficult and could lead to increased protectionism. Overhauling FDI policy by addressing sectoral issues is recommended to boost growth.
CSX Corporation presented at the BB&T Transportation Conference on February 15, 2006. CSX discussed its financial and operational strategies for 2006, which aim to deliver shareholder value through profitable growth and margin expansion. CSX also reviewed its strong financial performance in recent years, achieved through yield improvement, productivity gains, and an improving operating culture. Going forward, CSX expects steady double-digit growth in operating income, earnings, and free cash flow through 2010.
Similar to Global bond allocation model april pv (20)
1. A Unified Framework for
Global Bond Allocation
Growth - Carry - Risk
Robert E. Blake, Ph.D.
April 2013
Formerly
with:
2. 4/5/2013 R Blake PhD (reb7@columbia.edu) 2
Global Bond Allocation: A Unified Framework
• Comprehensive
• Incorporates key growth indicators, carry/risk metrics, and market price
signals across 16 sovereign bond markets
• Transparent
• Intuitive but rigorous multi-factor framework based upon observable, publicly
available monthly historical data
Historical returns back-test
• Effective 400%
Cumulative returns (DM+EM)
Cumulative returns (DM only)
• Back-test generates significant risk-adjusted 300%
historical returns from 2000-2013, with limited 200%
drawdowns during credit crisis 100%
0%
Jan-00 Jan-03 Jan-06 Jan-09 Jan-12
3. 4/5/2013 R Blake PhD (reb7@columbia.edu) 3
Transparent
• Intuitive scorecard approach
Global Bond Scorecard for April 2013
AUD CAD CHF DEM ESP FRF GBP ITL JPY MXN NOK PLN SEK SGD USD ZAR
CLI level 0 0 0 0 -2 0 -2 2 0 0 0 0 2 2 -2 NA
CLI momentum 1 1 0 -1 0 0 0 0 0 0 0 -1 1 -1 0 NA
Carry/risk 0 0 -1 -1 1 0 0 1 -1 1 0 0 0 -1 0 1
EER -1 1 1 - - - 1 - - 0 1 1 -1 1 - 1
Total Score 0 2 0 -2 -1 0 -1 3 -1 1 1 0 2 1 -2 2
Summary -- Long/overweight: CAD, ITL, SEK, ZAR; Short/underweight: DEM, USD
NA = Leading economic indicator value not yet available
• 16 countries ranked at start of month for four variables:
• Composite Leading Indicator (CLI) level, CLI momentum, risk-adjusted carry, and effective
exchange rate (EER) change
• Scores (0, +1, etc.) generally based on rank for each variable
• CLI level score receives 2x weight; G3 currencies receive no score
• Net score = +2 or higher → long/overweight; -2 or lower → short/underweight
4. 4/5/2013 R Blake PhD (reb7@columbia.edu) 4
Effective 400%
Cumulative returns (DM+EM)
Cumulative returns (DM only)
300%
• Framework generates significant risk-
adjusted returns from 2000-2013, with 200%
limited drawdowns during credit crisis 100%
0%
• Results since 2007 suggest even Jan-00 Jan-03 Jan-06 Jan-09 Jan-12
greater effectiveness recently
Historical returns
Year DM+EM DM only
• Inclusion of EM bonds raises returns 2000 48.6% 22.4%
relative to additional risk 2001 22.5% 0.8%
2002 11.1% 11.3%
2003 17.6% 15.8%
2004 38.5% 25.8%
Historical returns analysis
2005 3.9% -8.9%
2000-2013 DM+EM DM only
2006 27.7% 24.8%
Ann. avg returns 32.1% 18.8%
2007 23.4% 18.1%
IR 1.65 1.24
2008 36.0% 14.7%
Hit rate 68.4% 62.7%
2009 35.6% 27.5%
2007-2013 DM+EM DM only
2010 2.9% -16.5%
Ann. avg returns 39.4% 24.8%
2011 68.9% 65.8%
IR 1.95 1.50
2012 30.6% 20.7%
Hit rate 73.0% 68.9%
Avg. ann. 32.1% 18.8%
5. 4/5/2013 R Blake PhD (reb7@columbia.edu) 5
Robert E. Blake, Ph.D.
Global Macro Strategist ∙ International Economist ∙ Asset Allocation Research
• Broad-ranging skill set:
• Thorough understanding of international economics, policy & data releases;
• Substantial background in real-time market analysis; and
• Ability to combine both discretionary and quantitative investment solutions
• Over 15 years experience in financial markets:
• State Street Global Markets ∙ Bank of America ∙ Toyota Research & Planning ∙
Royal Bank of Scotland/NatWest ∙ Citibank
• Columbia University Ph.D. in International Economics
• Dissertation on cross-country interest rate differentials published in International
Journal of Finance and Economics;
• Taught graduate students at Columbia University, Sun Yat-sen University (China)
6. 4/5/2013 R Blake PhD (reb7@columbia.edu) 6
Disclaimer
The information provided herein is not intended to suggest or recommend any investment or investment strategy, does not
constitute investment advice, does not constitute investment research and is not a solicitation to buy or sell securities. It does not
take into account any investor's particular investment objectives, strategies or tax status. Clients should be aware of the risks
trading foreign exchange, equities, fixed income or derivative instruments or in investments in non-liquid or emerging markets.
Derivatives generally involve leverage and are therefore more volatile than their underlying cash investments. Past performance is
no guarantee of future results. This communication is not intended for and must not be provided to retail investors. The products
and services described in this communication may not be available in all jurisdictions.