The Global Value Equity portfolio performed strongly in January with most contribution coming from our stock selection, driven by CNP Assurances and Almirall, with almost no help from our sector allocation
This document discusses a new fund called the DSP Floater Fund. The fund aims to generate returns from periodic accruals from sovereign positions, capital gains/losses from sovereign and paid overnight index swap positions, and benefits from both active and passive fund management through its strategy of active management of paid overnight index swap positions and a roll down strategy for government securities. The fund seeks to invest only in sovereign securities and paid positions in overnight index swaps to avoid credit risk. It aims to help investors navigate rising and falling interest rate cycles by using gains from government securities in falling cycles and gains from paid OIS positions in rising cycles. The document discusses the fund's strategy, risks, and positioning based on current spreads between government securities and
The document provides an overview of the DSP Flexi Cap Fund, a flexi cap mutual fund scheme that invests across large, mid, and small cap stocks. The fund follows a core-satellite approach, with 75-80% allocated to a core portfolio of high-quality businesses based on long-term themes and 20-25% to tactical opportunities. The investment team uses a framework focusing on business strength, management quality, and growth prospects to identify companies. The fund has outperformed its benchmark over multiple periods under the management of Atul Bhole since 2016, demonstrating a better risk-adjusted return profile.
The document provides information on various investment options and their benefits, risks, and suitability. It discusses that mutual funds offer market-linked returns, professional management, diversification, and liquidity. Mutual funds allow small investors to participate in capital markets while mitigating risks like lack of expertise, time, capital, and information. The document compares mutual funds favorably against other assets in terms of returns, risks, tax benefits, and convenience. It outlines how to select mutual funds based on goals and risk tolerance as well as the benefits of systematic investment plans.
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.
The fund has outperformed its benchmark over the past 6 months and since inception. A quality factor approach has underperformed recently due to high growth stocks benefiting from easy access to capital. Inflation is a concern as accommodative policies end. The fund is well positioned, with its multi-factor approach of quality, growth and value performing well in both "overheating" and "stagflationary" periods according to an analysis of factor performance during different macroeconomic conditions. Quality has outperformed in stagflationary periods while value has done well in overheating periods.
The Intrieri Family Student Managed Fund reported an annual return of 7.24% for 2014, underperforming the S&P 500's return of 13.46%. While disappointing, this is consistent with most actively managed funds underperforming their benchmarks last year. The fund returned 4.82% in the 4th quarter, slightly underperforming the S&P 500's 4.90% return due to a higher than normal cash position. Moving forward, the fund will work to diversify away from the S&P 500 benchmark by adding small-cap and international holdings, as originally mandated.
SBI Dynamic Asset Allocation Fund: An Open-ended Dynamic Asset Allocation Sch...SBI Mutual Fund
SBI Dynamic Asset Allocation Fund is an open-ended dynamic asset allocation scheme which aims to provide investors an opportunity to invest in a portfolio of a mix of equity and equity-related securities and fixed-income instruments which will be managed dynamically so as to provide investors with long-term capital appreciation.To know more about this mutual fund check SBI Mutual Fund page
https://www.sbimf.com/Products/HybridSchemes.aspx
The document summarizes investment calls made by an advisory firm between April 2008 and July 2009 during the global financial crisis. It notes that in early 2008, large cap stocks were recommended due to reasonable valuations. In mid-2008, reducing equity exposure and moving to liquid funds was advised due to high volatility. Later in 2008, shifting to gilt and income funds was recommended due to contracting bond spreads. In early 2009, switching from gilt funds to short term funds and starting monthly investment plans was advised. Finally, taking profits in large caps and investing in midcaps after the election was the call in mid-2009.
This document discusses a new fund called the DSP Floater Fund. The fund aims to generate returns from periodic accruals from sovereign positions, capital gains/losses from sovereign and paid overnight index swap positions, and benefits from both active and passive fund management through its strategy of active management of paid overnight index swap positions and a roll down strategy for government securities. The fund seeks to invest only in sovereign securities and paid positions in overnight index swaps to avoid credit risk. It aims to help investors navigate rising and falling interest rate cycles by using gains from government securities in falling cycles and gains from paid OIS positions in rising cycles. The document discusses the fund's strategy, risks, and positioning based on current spreads between government securities and
The document provides an overview of the DSP Flexi Cap Fund, a flexi cap mutual fund scheme that invests across large, mid, and small cap stocks. The fund follows a core-satellite approach, with 75-80% allocated to a core portfolio of high-quality businesses based on long-term themes and 20-25% to tactical opportunities. The investment team uses a framework focusing on business strength, management quality, and growth prospects to identify companies. The fund has outperformed its benchmark over multiple periods under the management of Atul Bhole since 2016, demonstrating a better risk-adjusted return profile.
The document provides information on various investment options and their benefits, risks, and suitability. It discusses that mutual funds offer market-linked returns, professional management, diversification, and liquidity. Mutual funds allow small investors to participate in capital markets while mitigating risks like lack of expertise, time, capital, and information. The document compares mutual funds favorably against other assets in terms of returns, risks, tax benefits, and convenience. It outlines how to select mutual funds based on goals and risk tolerance as well as the benefits of systematic investment plans.
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.
The fund has outperformed its benchmark over the past 6 months and since inception. A quality factor approach has underperformed recently due to high growth stocks benefiting from easy access to capital. Inflation is a concern as accommodative policies end. The fund is well positioned, with its multi-factor approach of quality, growth and value performing well in both "overheating" and "stagflationary" periods according to an analysis of factor performance during different macroeconomic conditions. Quality has outperformed in stagflationary periods while value has done well in overheating periods.
The Intrieri Family Student Managed Fund reported an annual return of 7.24% for 2014, underperforming the S&P 500's return of 13.46%. While disappointing, this is consistent with most actively managed funds underperforming their benchmarks last year. The fund returned 4.82% in the 4th quarter, slightly underperforming the S&P 500's 4.90% return due to a higher than normal cash position. Moving forward, the fund will work to diversify away from the S&P 500 benchmark by adding small-cap and international holdings, as originally mandated.
SBI Dynamic Asset Allocation Fund: An Open-ended Dynamic Asset Allocation Sch...SBI Mutual Fund
SBI Dynamic Asset Allocation Fund is an open-ended dynamic asset allocation scheme which aims to provide investors an opportunity to invest in a portfolio of a mix of equity and equity-related securities and fixed-income instruments which will be managed dynamically so as to provide investors with long-term capital appreciation.To know more about this mutual fund check SBI Mutual Fund page
https://www.sbimf.com/Products/HybridSchemes.aspx
The document summarizes investment calls made by an advisory firm between April 2008 and July 2009 during the global financial crisis. It notes that in early 2008, large cap stocks were recommended due to reasonable valuations. In mid-2008, reducing equity exposure and moving to liquid funds was advised due to high volatility. Later in 2008, shifting to gilt and income funds was recommended due to contracting bond spreads. In early 2009, switching from gilt funds to short term funds and starting monthly investment plans was advised. Finally, taking profits in large caps and investing in midcaps after the election was the call in mid-2009.
Hilltop decorrelated fund october 2013 factsheetJohn Robertson
The Hilltop Decorrelated Fund gained 1.2% in October. After months of offsetting winning and losing positions cancelling each other out in the first half of the year, the fund has seen a return to normality over the past 4 months with more winning than losing positions. The fund employs a multi-manager strategy investing in 12-20 underlying hedge funds pursuing decorrelated returns across asset classes like equities, fixed income, currencies and commodities. The target is an average annual return of 10-12% with low volatility and correlation to markets.
This document discusses how a traditional retirement asset allocation focused on fixed income may not be optimal given low yields and inflation risks. It proposes that an equity income strategy can help retirees by providing higher and more sustainable income growth than fixed income to better match retirement spending needs while also offering capital appreciation potential to hedge against inflation. Specifically, the document finds that a simple hedging strategy over equities can improve how long the portfolio can support spending by over 34% during poor market periods, allowing retirees to safely increase their equities allocation.
Hilltop decorrelated fund august 2013 factsheetJohn Robertson
This document provides information on the Hilltop Decorrelated Fund, including its portfolio allocation and historical performance. The fund utilizes a multi-manager approach, investing in 10-15 hedge fund strategies across global markets that aim to deliver returns with low correlation to traditional benchmarks. In August 2013, the fund was down 0.2% with half of its 16 underlying managers positive and half negative. The document also provides details on fund terms, fees, and the investment experience and background of the fund manager.
Olympic Wealth Fund, 'Javelin' Fund fact sheet class 'B' February 2015Olympic Wealth Fund
The Javelin Global Fund Fact Sheet provides performance data and details about the fund. Over the past year, Class B saw returns of 81.84% and since its launch in January 2012, returns have been 90.42%. The top three holdings are Suncor Energy Inc, Alibaba Group Holding Ltd, and Microsoft Corp, making up 39%, 33%, and 28% of the fund respectively. The fund seeks to provide capital appreciation over the medium to long term through a focus investing approach in well-run global businesses.
Know more on the benefits of investing in ICICI Prudential Quant Fund:
● Limited Human Intervention to avoid any biases.
● Diversification across various sectors, styles and businesses.
● Systematic approach of investing by combining investing experience and avoiding human error.
● Passive Investing through a model using a combination of factors.
● Team with prior experience in managing quantitative models for asset allocation.
The document contains frequently asked questions and answers about the IDFC Dynamic Equity Fund. It discusses why Nifty P/E is used to determine equity allocation, that the fund's equity allocation can increase above 65% during market corrections, and that while the model aims to be disciplined it also seeks to respond to rapidly changing market dynamics through daily rebalancing.
The document provides 5 investing principles based on a presentation about lessons learned. Principle 1 discusses that every investment has risks, even cash, as investors flocked to cash during volatile periods but it provided little return over the long run after accounting for inflation. Principle 2 notes that while most asset classes declined in 2008, a diversified portfolio still worked over the full market cycle from 2000-2009. Principle 3 explains that not all bonds or bond funds perform the same way. Principle 4 asserts that stocks have generally outperformed over the long run. Principle 5 advocates for including international stocks rather than avoiding foreign markets.
The document provides information on the DSP Focus Fund, a concentrated equity fund that invests in 20-25 stocks. It discusses the fund's investment approach, including concentrating positions in top convictions, maintaining lower portfolio turnover, and focusing on companies with strong business models, management quality, and adequate margin of safety in valuation. Performance figures show the fund has achieved average annual returns of 12.2% versus the benchmark's 13% with lower risk over various periods since inception.
This document discusses the benefits of systematic investment plans (SIPs) for mutual funds. SIPs allow investors to invest small, fixed sums regularly, which helps average out costs and take advantage of rupee cost averaging. By investing regularly over long periods, SIPs help compound returns and build wealth for the future in a disciplined manner. SIPs can be set up through post-dated checks or auto-debit from a bank account, making investments hassle-free. The benefits of SIPs include reduced risk, compounded returns, financial discipline, and helping investors accumulate wealth in a relaxed manner.
This document discusses the differences between absolute return and relative return investment approaches for charity trustees. It defines absolute return as aiming for a positive return in all market conditions by outperforming cash or inflation, while relative return aims to outperform a benchmark index or peer group. The document examines the advantages and disadvantages of each approach, noting there is no single right answer and trustees must consider their charity's individual needs. Key factors in the increased debate around these approaches include more investment options available and recent major stock market declines.
Looking for long term wealth creation?
Introducing ICICI Prudential Business Cycle Fund!
Stay on the course and ride out the business cycle.
Know More: http://bit.ly/IpruBusinessCycleFund
#NFOLaunch #BusinessCycleFund
This document discusses Systematic Investment Plans (SIPs) and their benefits over lump sum investing. It notes that SIPs allow investors to invest fixed amounts regularly in mutual funds. Through an example comparing SIP investing to lump sum investing, it shows how SIPs benefit from rupee cost averaging by purchasing more units when prices are low and fewer when they are high. This can lead to higher overall returns. The document advocates for long term SIP investing, noting it helps achieve financial goals while avoiding issues with market timing. It addresses common objections to investing and argues that SIPs provide an easy way to start investing and benefit from compounding returns.
SBI Dynamic Asset Allocation Fund: A Hybrid Mutual Fund Scheme - Aug 16SBI Mutual Fund
SBI Dynamic Asset Allocation Fund is an open-ended dynamic asset allocation scheme which aims to invest in mix of equity and equity-related securities and fixed-income instruments. This hybrid mutual fund scheme is suitable for investors looking for superior risk adjusted returns over the long term. To learn more about this mutual fund check SBI Mutual Fund page https://www.sbimf.com/Hybrid-Funds/SBI-Dynamic-Asset-Allocation-Fund/index.html
1. The author is neutral on Japan in global portfolios but underweight in Asia Pacific portfolios for Q4 2016 due to expectations of Japanese yen strength. However, risks are skewed to the upside if inflation expectations rise in early 2017 as expected.
2. Valuations in Japan are compelling but earnings need a catalyst to escape the "value trap". Inflation is key to unlocking domestic demand and earnings potential.
3. Monetary policy in Japan is expected to maintain negative rates and bond purchases, possibly implementing a "twist" to steepen the yield curve. Fiscal policy coordination may occur in the future.
1. The Australian equity market has increased 24% from its March low but remains below levels from three years ago. The report predicts continued bull market conditions with the All Ordinaries index reaching 3,650, implying almost 15% total returns over the next 12 months.
2. Small cap stocks have outperformed recently but now appear relatively expensive. Overall, the market appears fairly valued based on the "rule of 20" and prospective earnings yield relative to bonds.
3. The consensus view is that stronger world growth may benefit resources over banks, but the report finds resource stocks trading at higher valuations and lower yields compared to the major banks. The portfolios recommended overweight banks and include only one major miner.
The fund underperformed the market in March, with its underweighting of Samsung Electronics being the main reason for underperformance. Samsung's stock price rose significantly due to improved earnings forecasts, expanded shareholder return policies, and enhanced corporate governance. Meanwhile, the fund's top holding, Com2uS, rose in March and year-to-date due to increased confidence in its main steady-selling game. The fund manager believes Com2uS remains undervalued and its current earnings can be maintained in the future.
1) The BOJ's negative interest rate policy is believed to have been effective and will likely not be reversed at the upcoming September 21 meeting.
2) The BOJ's quantitative and qualitative easing program will also likely not be tapered in aggregate but may involve a "twist" to steepen the yield curve.
3) The BOJ will probably add domestic corporate bonds to its quantitative easing purchases but is unlikely to include foreign bonds at this time due to political sensitivities.
The document provides information about the HDFC Retirement Savings Fund, which offers three investment plans to help investors plan for retirement. It discusses the need for retirement planning, benefits of starting early, importance of asset allocation and diversification, and the role different asset classes can play. The fund seeks to generate a pension corpus through long-term investments in equity, debt and money market instruments based on the investor's risk profile and retirement goals. Key details about the three plans, investment strategy, lock-in period and tax benefits are also summarized.
El documento habla sobre las fases del desarrollo del gobierno electrónico. Describe las primeras fases de publicación de información en páginas web y realización de trámites en línea, seguido por la integración de servicios y la participación ciudadana a través de plataformas interactivas.
El documento describe los conceptos fundamentales de la inteligencia artificial. Define la inteligencia artificial como el estudio de la creación de entidades capaces de razonar por sí mismas utilizando la inteligencia humana como paradigma. Explica que la inteligencia artificial incluye campos como la robótica y los sistemas expertos que tienen en común la creación de máquinas que pueden pensar. Además, describe diferentes categorías de inteligencia artificial como sistemas que piensan como humanos o sistemas que actúan racionalmente.
Hilltop decorrelated fund october 2013 factsheetJohn Robertson
The Hilltop Decorrelated Fund gained 1.2% in October. After months of offsetting winning and losing positions cancelling each other out in the first half of the year, the fund has seen a return to normality over the past 4 months with more winning than losing positions. The fund employs a multi-manager strategy investing in 12-20 underlying hedge funds pursuing decorrelated returns across asset classes like equities, fixed income, currencies and commodities. The target is an average annual return of 10-12% with low volatility and correlation to markets.
This document discusses how a traditional retirement asset allocation focused on fixed income may not be optimal given low yields and inflation risks. It proposes that an equity income strategy can help retirees by providing higher and more sustainable income growth than fixed income to better match retirement spending needs while also offering capital appreciation potential to hedge against inflation. Specifically, the document finds that a simple hedging strategy over equities can improve how long the portfolio can support spending by over 34% during poor market periods, allowing retirees to safely increase their equities allocation.
Hilltop decorrelated fund august 2013 factsheetJohn Robertson
This document provides information on the Hilltop Decorrelated Fund, including its portfolio allocation and historical performance. The fund utilizes a multi-manager approach, investing in 10-15 hedge fund strategies across global markets that aim to deliver returns with low correlation to traditional benchmarks. In August 2013, the fund was down 0.2% with half of its 16 underlying managers positive and half negative. The document also provides details on fund terms, fees, and the investment experience and background of the fund manager.
Olympic Wealth Fund, 'Javelin' Fund fact sheet class 'B' February 2015Olympic Wealth Fund
The Javelin Global Fund Fact Sheet provides performance data and details about the fund. Over the past year, Class B saw returns of 81.84% and since its launch in January 2012, returns have been 90.42%. The top three holdings are Suncor Energy Inc, Alibaba Group Holding Ltd, and Microsoft Corp, making up 39%, 33%, and 28% of the fund respectively. The fund seeks to provide capital appreciation over the medium to long term through a focus investing approach in well-run global businesses.
Know more on the benefits of investing in ICICI Prudential Quant Fund:
● Limited Human Intervention to avoid any biases.
● Diversification across various sectors, styles and businesses.
● Systematic approach of investing by combining investing experience and avoiding human error.
● Passive Investing through a model using a combination of factors.
● Team with prior experience in managing quantitative models for asset allocation.
The document contains frequently asked questions and answers about the IDFC Dynamic Equity Fund. It discusses why Nifty P/E is used to determine equity allocation, that the fund's equity allocation can increase above 65% during market corrections, and that while the model aims to be disciplined it also seeks to respond to rapidly changing market dynamics through daily rebalancing.
The document provides 5 investing principles based on a presentation about lessons learned. Principle 1 discusses that every investment has risks, even cash, as investors flocked to cash during volatile periods but it provided little return over the long run after accounting for inflation. Principle 2 notes that while most asset classes declined in 2008, a diversified portfolio still worked over the full market cycle from 2000-2009. Principle 3 explains that not all bonds or bond funds perform the same way. Principle 4 asserts that stocks have generally outperformed over the long run. Principle 5 advocates for including international stocks rather than avoiding foreign markets.
The document provides information on the DSP Focus Fund, a concentrated equity fund that invests in 20-25 stocks. It discusses the fund's investment approach, including concentrating positions in top convictions, maintaining lower portfolio turnover, and focusing on companies with strong business models, management quality, and adequate margin of safety in valuation. Performance figures show the fund has achieved average annual returns of 12.2% versus the benchmark's 13% with lower risk over various periods since inception.
This document discusses the benefits of systematic investment plans (SIPs) for mutual funds. SIPs allow investors to invest small, fixed sums regularly, which helps average out costs and take advantage of rupee cost averaging. By investing regularly over long periods, SIPs help compound returns and build wealth for the future in a disciplined manner. SIPs can be set up through post-dated checks or auto-debit from a bank account, making investments hassle-free. The benefits of SIPs include reduced risk, compounded returns, financial discipline, and helping investors accumulate wealth in a relaxed manner.
This document discusses the differences between absolute return and relative return investment approaches for charity trustees. It defines absolute return as aiming for a positive return in all market conditions by outperforming cash or inflation, while relative return aims to outperform a benchmark index or peer group. The document examines the advantages and disadvantages of each approach, noting there is no single right answer and trustees must consider their charity's individual needs. Key factors in the increased debate around these approaches include more investment options available and recent major stock market declines.
Looking for long term wealth creation?
Introducing ICICI Prudential Business Cycle Fund!
Stay on the course and ride out the business cycle.
Know More: http://bit.ly/IpruBusinessCycleFund
#NFOLaunch #BusinessCycleFund
This document discusses Systematic Investment Plans (SIPs) and their benefits over lump sum investing. It notes that SIPs allow investors to invest fixed amounts regularly in mutual funds. Through an example comparing SIP investing to lump sum investing, it shows how SIPs benefit from rupee cost averaging by purchasing more units when prices are low and fewer when they are high. This can lead to higher overall returns. The document advocates for long term SIP investing, noting it helps achieve financial goals while avoiding issues with market timing. It addresses common objections to investing and argues that SIPs provide an easy way to start investing and benefit from compounding returns.
SBI Dynamic Asset Allocation Fund: A Hybrid Mutual Fund Scheme - Aug 16SBI Mutual Fund
SBI Dynamic Asset Allocation Fund is an open-ended dynamic asset allocation scheme which aims to invest in mix of equity and equity-related securities and fixed-income instruments. This hybrid mutual fund scheme is suitable for investors looking for superior risk adjusted returns over the long term. To learn more about this mutual fund check SBI Mutual Fund page https://www.sbimf.com/Hybrid-Funds/SBI-Dynamic-Asset-Allocation-Fund/index.html
1. The author is neutral on Japan in global portfolios but underweight in Asia Pacific portfolios for Q4 2016 due to expectations of Japanese yen strength. However, risks are skewed to the upside if inflation expectations rise in early 2017 as expected.
2. Valuations in Japan are compelling but earnings need a catalyst to escape the "value trap". Inflation is key to unlocking domestic demand and earnings potential.
3. Monetary policy in Japan is expected to maintain negative rates and bond purchases, possibly implementing a "twist" to steepen the yield curve. Fiscal policy coordination may occur in the future.
1. The Australian equity market has increased 24% from its March low but remains below levels from three years ago. The report predicts continued bull market conditions with the All Ordinaries index reaching 3,650, implying almost 15% total returns over the next 12 months.
2. Small cap stocks have outperformed recently but now appear relatively expensive. Overall, the market appears fairly valued based on the "rule of 20" and prospective earnings yield relative to bonds.
3. The consensus view is that stronger world growth may benefit resources over banks, but the report finds resource stocks trading at higher valuations and lower yields compared to the major banks. The portfolios recommended overweight banks and include only one major miner.
The fund underperformed the market in March, with its underweighting of Samsung Electronics being the main reason for underperformance. Samsung's stock price rose significantly due to improved earnings forecasts, expanded shareholder return policies, and enhanced corporate governance. Meanwhile, the fund's top holding, Com2uS, rose in March and year-to-date due to increased confidence in its main steady-selling game. The fund manager believes Com2uS remains undervalued and its current earnings can be maintained in the future.
1) The BOJ's negative interest rate policy is believed to have been effective and will likely not be reversed at the upcoming September 21 meeting.
2) The BOJ's quantitative and qualitative easing program will also likely not be tapered in aggregate but may involve a "twist" to steepen the yield curve.
3) The BOJ will probably add domestic corporate bonds to its quantitative easing purchases but is unlikely to include foreign bonds at this time due to political sensitivities.
The document provides information about the HDFC Retirement Savings Fund, which offers three investment plans to help investors plan for retirement. It discusses the need for retirement planning, benefits of starting early, importance of asset allocation and diversification, and the role different asset classes can play. The fund seeks to generate a pension corpus through long-term investments in equity, debt and money market instruments based on the investor's risk profile and retirement goals. Key details about the three plans, investment strategy, lock-in period and tax benefits are also summarized.
El documento habla sobre las fases del desarrollo del gobierno electrónico. Describe las primeras fases de publicación de información en páginas web y realización de trámites en línea, seguido por la integración de servicios y la participación ciudadana a través de plataformas interactivas.
El documento describe los conceptos fundamentales de la inteligencia artificial. Define la inteligencia artificial como el estudio de la creación de entidades capaces de razonar por sí mismas utilizando la inteligencia humana como paradigma. Explica que la inteligencia artificial incluye campos como la robótica y los sistemas expertos que tienen en común la creación de máquinas que pueden pensar. Además, describe diferentes categorías de inteligencia artificial como sistemas que piensan como humanos o sistemas que actúan racionalmente.
Real Rates Of Return On C Ds Public Xadv14975 V 04 08lynnereynolds
This document discusses the real rates of return on certificates of deposit (CDs) after accounting for taxes and inflation. It provides an example comparing CD rates from 1980, 2002, and 2007 with the average federal tax rate for top taxpayers during those years and inflation rates. After subtracting taxes and inflation, CDs in 1980 provided a real rate of return of -3.13%, while in 2002 and 2007 the real rates of return were -1.39% and -0.60%, respectively, showing that stability of CDs comes at the cost of low or even negative returns after taxes and inflation are considered. The document encourages asking a financial representative about other options from Jackson National Life Insurance Company that may help meet savings goals.
Bonds included on the inspirational list are selected based on market liquidity. None of the suggested bonds constitute any form of trade recommendation to sell or buy.
Pricing source: Indicative prices from Bloomberg
The document discusses the European bond market and the impact of the euro crisis. It begins by explaining that institutional investors make up the vast majority (95%) of participants in the European bond market. It then discusses how the formation of the EU integrated various national bond markets. The euro crisis caused yields to rise sharply for bonds from struggling economies like Greece, Italy, and Spain due to contagion effects. The document also profiles German bonds (Bunds), which serve as a benchmark. Bunds saw increased demand during the crisis as investors sought a safe haven. However, bailing out other EU countries could exhaust Germany's surpluses and cause its own economic problems over time.
1) The document describes the NN Global Convertible Opportunities fund, which invests in convertible bonds.
2) The fund aims to outperform its benchmark index by 200 basis points annually through a process of bottom-up credit analysis and selecting convertibles with optimal upside potential.
3) In November, the fund returned -0.77%, underperforming its benchmark due to losses in online travel and brand management stocks, while gains in electronics and consulting stocks provided positive contributions.
[LATAM ES] Strategy Brief / Global Convertible Opportunities / November 2015NN Investment Partners
The document summarizes the NN Global Convertible Opportunities strategy. It is an actively managed long-only strategy that invests in convertible bonds globally. The strategy aims to outperform its benchmark, the Thomson Reuters Global Focus Hedged Convertible Index, by 200 basis points annually. It is managed by an experienced team using a theme-based approach to security selection and portfolio construction. Key elements of the strategy include a focus on balanced convertibles, downside protection, limited equity risk, and strong equity upside participation.
[ES] Strategy Brief / Global Convertible Opportunities / November 2015NN Investment Partners
1) The document describes the NN Global Convertible Opportunities fund, which invests in convertible bonds.
2) The fund aims to outperform its benchmark index by 200 basis points annually through a bottom-up security selection process and top-down theme-based allocation.
3) In November 2015, the fund returned -0.77%, underperforming its benchmark due to losses in online travel and brand management stocks, while gains in electronics and consulting stocks provided positive contributions.
[JP] Strtaegy Brief / Global Convertible Opportunities / December 2015NN Investment Partners
1) The document describes the NN Global Convertible Opportunities fund, which invests in convertible bonds.
2) It aims to outperform its benchmark index by 200 basis points annually through a process of bottom-up credit analysis and selecting bonds with optimal upside potential.
3) In December, the fund returned -1.47%, underperforming its benchmark by -0.03% as markets weakened amid disappointing central bank actions and slowing growth in China.
[LATAM EN] Strategy Brief / Global Convertible Opportunities / December 2015NN Investment Partners
1) The document describes the NN Global Convertible Opportunities fund, which invests in convertible bonds.
2) It aims to outperform its benchmark index by 200 basis points annually through a process of bottom-up credit analysis and selecting bonds with optimal upside potential.
3) In December, the fund returned -1.47%, underperforming its benchmark by -0.03% as markets weakened amid disappointing central bank actions and slowing growth in China.
[EN] Strategy Brief / Global Convertible Opportunities / December 2015NN Investment Partners
The document provides information on the NN (L) Global Convertible Opportunities fund including:
1) The fund invests in a portfolio of global convertible bonds with the objective of outperforming its benchmark index by 2% annually.
2) It uses a theme-based approach to security selection focused on mixed convertibles with downside protection and equity upside potential.
3) In December 2015, the fund returned -1.47% compared to the benchmark return of -1.44%, underperforming by 0.03%. Key detractors were positions in Taiyo Yuden and Iconix.
[LU] Strategy Brief / Global Convertible Opportunities / December 2015NN Investment Partners
1) The document describes the NN Global Convertible Opportunities fund, which invests in convertible bonds.
2) It aims to outperform its benchmark index by 200 basis points annually through a process of bottom-up credit analysis and selecting bonds with optimal upside potential.
3) In December, the fund returned -1.47%, underperforming its benchmark by -0.03% as markets weakened amid disappointing central bank actions and slowing growth in China.
[CH] Strategy Brief / Global Convertible Opportunities / December 2015NN Investment Partners
1) The document describes the NN Global Convertible Opportunities fund, which invests in convertible bonds.
2) It aims to outperform its benchmark index by 200 basis points annually through a process of bottom-up credit analysis and theme-based equity selection.
3) In December 2015, the fund returned -1.47%, underperforming its benchmark by -0.03% as markets weakened amid disappointing central bank actions.
[UK] Strategy Brief / Global Convertible Opportunities / December 2015NN Investment Partners
The document provides information on the NN (L) Global Convertible Opportunities fund including:
1) The fund invests long-only in a portfolio of thoroughly researched convertible bonds from screened issuers chosen for their equity potential and convex structure.
2) The objective is to outperform the global convertible universe (measured by the Thomson Reuters Global Focus Index – Hedged) by 200bps per year through a process designed to capture downside protection and equity upside participation.
3) In December, the fund returned -1.47% compared to the benchmark return of -1.44%, underperforming by -0.03% with negative contributions from holdings in Taiyo Yuden
Canada Life is a leading provider of life, pensions and investments in Ireland with over 100 years of experience. It receives high financial ratings and partners with top investment managers to offer a broad range of investment choices to Irish investors. The Canada Life/Setanta Dividend Fund follows a value investing strategy focused on companies that pay above average dividends. Research shows dividends provide a major contribution to long-term stock returns, with high dividend paying stocks outperforming lower dividend stocks. The fund takes a diversified, value-based approach to investing in high quality dividend paying companies.
- In Q1 2011, the Concentrated Growth portfolio rose 11.7% compared to a 9.8% rise in the benchmark index. Since inception in 2007, the strategy has earned an annualized return of 10.0% versus 5.3% for the benchmark.
- Stocks in the energy, healthcare, staples, and tech hardware sectors performed well, while consumer discretionary lagged. Strong stock selection led to outperformance in tech services, commercial services, and industrials.
- Savvis Inc. contributed positively as earnings estimates rose and a competitor was acquired. Primo Water Corp. detracted after estimates declined, though the company was recently repurchased.
Olympic Wealth Fund Javelin fund fact sheet class 'A' December endOlympic Wealth Fund
The Javelin Global Fund Fact Sheet provides information for the Class A shares as of December 2014. Over the 3 year period the fund has grown 69.30% and since its July 2011 inception has grown 60.04%. For 2014 the fund is up 118.75% year to date. The top holdings are in Arch Financial, Alibaba Group, GW Pharmaceuticals, and Suncor Energy. The fund aims to provide capital appreciation through an aggressive growth style invested in listed equities and private equity.
This report discusses changes made to the international equity allocation strategy. It raises the allocation to emerging markets stocks, large-cap value stocks, and international real estate investment trusts (REITs). For emerging markets, volatility has declined and fund flows have stabilized, warranting a modest increase despite some remaining uncertainty. For REITs, moderate growth abroad and still-low interest rates are favorable, so the allocation is raised to neutral. While continuing to favor growth stocks, international value stocks now present some bargains, so that allocation is also raised. Overall this represents a slightly less defensive stance in light of signs of a milder global economic slowdown.
This report from S&P Capital IQ provides an overview and thematic outlook of the European insurance sector. The report is overweight on the sector, as rising interest rates and equity markets provide tailwinds. While accounting impacts of rising rates can cause short-term noise, higher investment returns will ultimately benefit life insurers. The report also notes regulatory uncertainties from Solvency II and the designation of some firms as globally systemic insurers.
This document provides an interim report for the UK Leveraged and Diversified Large Cap Alpha Fund. It discusses the fund's investment thesis, team, objectives, strategy, holdings and performance between February and March 2013. Some key themes that emerged were growth in the UK, Eurozone and US economies, the impact of central bank monetary policy, ongoing deleveraging, and positive fund flows indicating a secular bull market. Potential risks discussed included a UK credit downgrade, the Italian election, and a possible UK triple-dip recession. Going forward, the report remains optimistic given themes indicating positive equity market opportunities.
- The Concentrated Growth strategy had strong returns in Q1 2011, with the portfolio rising 11.7% compared to a 9.8% rise in the benchmark index. Since inception in August 2007, the strategy has earned an annualized return of 10.0% versus 5.3% for the benchmark.
- Top contributors included stocks like Monotype Imaging Holdings and Chart Industries, while detractors included stocks like Bridgepoint Education and Primo Water Corp, which was sold during the quarter.
- The portfolio manager remains optimistic due to holdings in well-positioned secular growth companies, though acknowledges economic headwinds like inflation could lead to short-term volatility.
Quarterly reports - WIOF Global Listed Utilities FundKen Teale
1. Performance is calculated on I class shares of the WIOF Global Listed Utilities Fund, with management fees between 1.50% and 2.25% per annum. The fund's performance inception date is 31 July 2009 and it is benchmarked against the UBS Developed Infrastructure & Utilities Index, which is USD hedged and total return.
2. Over the quarter, the fund's share price increased by 3.6% compared to a 4.7% increase in the benchmark index. The underperformance was due to not holding positions in certain North American gas companies.
3. The outlook expects US economic growth to continue outperforming Europe in 2012 and the fund to maintain an overweight position in
- Global equities hit record highs in December as global economic growth remained strong, however rising inflation and tighter monetary policy pose risks going forward.
- The portfolio maintains overweights in Canadian, emerging market, and select sector equities, as well as underweights in corporate bonds due to rich valuations and inflation risks.
- Key concerns include peaking corporate earnings growth, closing output gaps driving inflation higher, and shifting central bank policies weighing on stock prices over the coming months.
The document provides an asset allocation and market outlook for the second quarter of 2009 from BlackRock. It summarizes views on global equity, fixed income, currency and commodity markets. Key points include:
- Equity markets have rallied from oversold levels but volatility will likely continue; higher risk assets should outperform over 2009. Within equities, favor healthcare, energy and technology.
- For fixed income, focus on higher quality investments like agencies and select corporate bonds; municipal bonds remain attractive.
- The US dollar will likely strengthen with risk aversion and weaken with improved risk appetite. Oil prices should rise through 2009 as recovery signs emerge.
Olympic Wealth Fund Marathon Class 'A' April Fact sheetRichard Baxter
The Marathon Freedom Fund SP is a global equity fund that seeks capital growth through focus investing in well-run businesses with competitive advantages. The fund aims to provide balanced growth and is medium risk. Since its launch in May 2013, a $10,000 investment is now worth $23,592, representing a return of 123.6%. In April 2015, the fund added to its position in Gilead Sciences, a leading biopharmaceutical company. The fund manager expects a cautious outlook in May and June as these are typically seasonal selling months.
Similar to Global Value Equity Portfolio - February 2011 (20)
Bonds included on the list are for inspirational purpose only and liquidity will vary. None of the suggested bonds constitute any form of trade recommendation to sell or buy.
Pricing source: Indicative prices from Bloomberg
Bonds included on the list are for inspirational purpose only and liquidity will vary. None of the suggested bonds constitute any form of trade recommendation to sell or buy.
Pricing source: Indicative prices from Bloomberg
Saxo Fundamental FX Portfolio for March 2011Trading Floor
This month the basis of the Saxo Fundamental FX Portfolio model, the proprietary macro strength indicators, have been revised to make them more comparable across economies. There is also a change to how funds are allocated in the portfolio model – from an absolute value to a percentage allocation, making the portfolio easier to use. Next month there will be an additional table detailing the changes to the portfolio allocation.
Back-test performance (December 1994 – February 2011)* EUR USD GBP
Stock market analysis: Apple, eBay INC,Google,Morgan Stanley,Western Digial Corp. and more. In the several sectors like finance, technology & basic materials. #stocktrading #stocks. By Saxo Bank's Tradingfloor.com team.
Fibonacci analysis is the study of identifying potential support and resistance levels in the future based on past price trends and reversals. Fibonacci analysis is based on the mathematical discoveries of Leonardo Pisano—also known as Fibonacci. He is credited with discovering a sequence of numbers that now bears his name: the Fibonacci sequence.
Forex traders have to not only compete with other traders in the forex market but also with themselves. Oftentimes as a Forex trader, you will be your own worst enemy. We, as humans, are naturally emotional. Our egos want to be validated—we want to prove to ourselves that we know what we are doing and we are capable of taking care of ourselves. We also have a natural instinct to survive.
This document summarizes various technical analysis price patterns that provide insight into trader sentiment and expected currency pair movements. It describes continuation patterns like pennants, flags, wedges and triangles that signal a trend may continue, and reversal patterns like double tops/bottoms, triple tops/bottoms, and head-and-shoulders patterns that indicate a trend reversal. Each pattern is defined by characteristics like resistance and support levels, flag poles, breakout points and expected price targets. Recognizing these patterns can help traders identify entry points and projection targets.
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Charts, charts, charts. When most people think about trading Forex, they think about watching price movements flash by them on the charts and making money as they jump in and out of profitable trades. This is where traders show whether or not they have what it takes to be successful in Forex market.
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Everything is relative in the forex market. The euro, by itself, is neither strong nor weak. The same holds true for the U.S. dollar. By itself, it is neither strong nor weak. Only when you compare two currencies together can you determine how strong or weak each currency is in relation to the other currency.
Earnings Releases 21.February - 27. February 2011Trading Floor
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Earnings releases 7. February - 11.February 2011Trading Floor
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The Forex Portfolio remains firmly negative towards the USD and to a lesser extent towards the EUR though both net short positions have been reduced in January. The net short exposure to GBP is nearly negligible now
The Forex Portfolio remains firmly negative towards the USD and to a lesser extent towards the EUR. Both net short positions have not changed much in December, but the model has also turned quite bearish on the GBP
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Our Asset Allocation Model maintains its “Moderately Bullish” stance even though the
Global Business Cycle Momentum Indicator decelerated in January. The model suggests
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FX month(s) in review: Wild transition to the New Year.
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Carry Trade Model – coming unhinged
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Confirmation of Payee (CoP) is a vital security measure adopted by financial institutions and payment service providers. Its core purpose is to confirm that the recipient’s name matches the information provided by the sender during a banking transaction, ensuring that funds are transferred to the correct payment account.
Confirmation of Payee was built to tackle the increasing numbers of APP Fraud and in the landscape of UK banking, the spectre of APP fraud looms large. In 2022, over £1.2 billion was stolen by fraudsters through authorised and unauthorised fraud, equivalent to more than £2,300 every minute. This statistic emphasises the urgent need for robust security measures like CoP. While over £1.2 billion was stolen through fraud in 2022, there was an eight per cent reduction compared to 2021 which highlights the positive outcomes obtained from the implementation of Confirmation of Payee. The number of fraud cases across the UK also decreased by four per cent to nearly three million cases during the same period; latest statistics from UK Finance.
In essence, Confirmation of Payee plays a pivotal role in digital banking, guaranteeing the flawless execution of banking transactions. It stands as a guardian against fraud and misallocation, demonstrating the commitment of financial institutions to safeguard their clients’ assets. The next time you engage in a banking transaction, remember the invaluable role of CoP in ensuring the security of your financial interests.
For more details, you can visit https://technoxander.com.
An accounting information system (AIS) refers to tools and systems designed for the collection and display of accounting information so accountants and executives can make informed decisions.
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Do elements of globalization, such as Foreign Direct Investment (FDI), negatively affect the ability of countries in the Global South to preserve their culture? This research aims to answer this question by employing a cross-sectional comparative case study analysis utilizing methods of difference. Thailand and Cambodia are compared as they are in the same region and have a similar culture. The metric of difference between Thailand and Cambodia is their ability to preserve their culture. This ability is operationalized by their respective attitudes towards FDI; Thailand imposes stringent regulations and limitations on FDI while Cambodia does not hesitate to accept most FDI and imposes fewer limitations. The evidence from this study suggests that FDI from globally influential countries with high gross domestic products (GDPs) (e.g. China, U.S.) challenges the ability of countries with lower GDPs (e.g. Cambodia) to protect their culture. Furthermore, the ability, or lack thereof, of the receiving countries to protect their culture is amplified by the existence and implementation of restrictive FDI policies imposed by their governments.
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Falcon stands out as a top-tier P2P Invoice Discounting platform in India, bridging esteemed blue-chip companies and eager investors. Our goal is to transform the investment landscape in India by establishing a comprehensive destination for borrowers and investors with diverse profiles and needs, all while minimizing risk. What sets Falcon apart is the elimination of intermediaries such as commercial banks and depository institutions, allowing investors to enjoy higher yields.
University of North Carolina at Charlotte degree offer diploma Transcripttscdzuip
办理美国UNCC毕业证书制作北卡大学夏洛特分校假文凭定制Q微168899991做UNCC留信网教留服认证海牙认证改UNCC成绩单GPA做UNCC假学位证假文凭高仿毕业证GRE代考如何申请北卡罗莱纳大学夏洛特分校University of North Carolina at Charlotte degree offer diploma Transcript
Discover the Future of Dogecoin with Our Comprehensive Guidance36 Crypto
Learn in-depth about Dogecoin's trajectory and stay informed with 36crypto's essential and up-to-date information about the crypto space.
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https://36crypto.com/the-future-of-dogecoin-how-high-can-this-cryptocurrency-reach/
"Does Foreign Direct Investment Negatively Affect Preservation of Culture in the Global South? Case Studies in Thailand and Cambodia."
Do elements of globalization, such as Foreign Direct Investment (FDI), negatively affect the ability of countries in the Global South to preserve their culture? This research aims to answer this question by employing a cross-sectional comparative case study analysis utilizing methods of difference. Thailand and Cambodia are compared as they are in the same region and have a similar culture. The metric of difference between Thailand and Cambodia is their ability to preserve their culture. This ability is operationalized by their respective attitudes towards FDI; Thailand imposes stringent regulations and limitations on FDI while Cambodia does not hesitate to accept most FDI and imposes fewer limitations. The evidence from this study suggests that FDI from globally influential countries with high gross domestic products (GDPs) (e.g. China, U.S.) challenges the ability of countries with lower GDPs (e.g. Cambodia) to protect their culture. Furthermore, the ability, or lack thereof, of the receiving countries to protect their culture is amplified by the existence and implementation of restrictive FDI policies imposed by their governments.
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OJP data from firms like Vicinity Jobs have emerged as a complement to traditional sources of labour demand data, such as the Job Vacancy and Wages Survey (JVWS). Ibrahim Abuallail, PhD Candidate, University of Ottawa, presented research relating to bias in OJPs and a proposed approach to effectively adjust OJP data to complement existing official data (such as from the JVWS) and improve the measurement of labour demand.
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In World Expo 2010 Shanghai – the most visited Expo in the World History
https://www.britannica.com/event/Expo-Shanghai-2010
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Madhya Pradesh, the "Heart of India," boasts a rich tapestry of culture and heritage, from ancient dynasties to modern developments. Explore its land records, historical landmarks, and vibrant traditions. From agricultural expanses to urban growth, Madhya Pradesh offers a unique blend of the ancient and modern.
Optimizing Net Interest Margin (NIM) in the Financial Sector (With Examples).pdfshruti1menon2
NIM is calculated as the difference between interest income earned and interest expenses paid, divided by interest-earning assets.
Importance: NIM serves as a critical measure of a financial institution's profitability and operational efficiency. It reflects how effectively the institution is utilizing its interest-earning assets to generate income while managing interest costs.
Optimizing Net Interest Margin (NIM) in the Financial Sector (With Examples).pdf
Global Value Equity Portfolio - February 2011
1. February 01, 2011
A strong January; 5.4 percent excess return
Christian Blaabjerg The Global Value Equity portfolio performed strongly in January with
Chief Equity Strategist most contribution coming from our stock selection, driven by CNP
ctb@saxobank.com Assurances and Almirall, with almost no help from our sector allocation.
+45 3977 4669
The Saxo Bank Global Value Equity Portfolio would have made
Peter Garnry excess return of 3.4 percent1 in the three months since the actual
Equity Strategist inception in November 2010. In January, the portfolio returned 5.4
pg@saxobank.com percent compared to the 0.01 percent for the MSCI World EUR index.
+45 3977 6786
Almirall, the Spanish pharmaceutical company, is, despite the 24
percent surge in January still a likely takeover candidate. The
extraordinary surge was driven by positive results from ATTAIN phase III
study. We have been saying for several months that Almirall is a takeover
candidate and in January Leerink Swann, a premier US investment bank
focused on healthcare, said AstraZeneca may consider buying Forrest
Laboratories or Almirall due to their attractive late-stage pipelines.
We are still very bullish on insurance stocks and believe our
exposure will drive outperformance over the next quarters. Among
insurance stocks we prefer CNP Assurances (still our most bullish individual
case), Tryg, Catlin Group and Scor - all trading at attractive levels compared
to their earnings power and prospects.
1. Past performance disclaimer
This publication refers to past performance. Past performance is not a reliable indicator of future performance.
Indications of past performance displayed on this publication will not necessarily be repeated in the future. No
representation is being made that any investment will or is likely to achieve profits or losses similar to those
achieved in the past or that significant losses will be avoided.
Statements contained on this publication that are not historical facts and which may be simulated past
performance or future performance data are based on current expectations, estimates, projections, opinions and
beliefs of the Saxo Bank Group. Such statements involve known and unknown risks, uncertainties and other
factors, and undue reliance should not be placed thereon. Additionally, this publication may contain 'forward-
looking statements'. Actual events or results or actual performance may differ materially from those reflected or
contemplated in such forward-looking statements.
2. February 01, 2011
Global Value Equity Portfolio – February 2011
Changes to the February portfolio
Only one stock placed on the bench despite a strong showing from many constituents
Helvetia Holding returned 3.46 percent in January and its relative valuation has benched the
stock for now. It helped the portfolio outperform as the benchmark only returned 0.01
percent in January. That was despite it being downgraded to “underperform” by Credit
Suisse.
So, which stock is in for February?
CapitaCommerical Trust, a property trust company located in Singapore, is the new kid on
the block following a 4.7 percent decline in January adding to its relative valuation. The
company is currently valued at CAPE ratio (price over average three years earnings per
share) of 9.42 and a price-to-book of 1.2. During January UBS maintained its “buy”
recommendation on the stock and on current levels we think it could add 10-20 percent in
gains before losing its relative valuation attractiveness.
Our February portfolio is comprised of the following stocks:
2
3. February 01, 2011
The portfolio is still highly overweight financials stocks.
Financials, particularly insurance stocks, are still trading at attractive levels relative to their
earnings power over a normal economic cycle and we expect our insurance stocks to
perform well over the next quarter.
The portfolio’s currency exposure is primarily in EUR, GBP and HKD (75 percent).
The main currency exposure is unchanged from last month with high concentration in EUR,
GBP and HKD. As Helvetia Holding left our portfolio and CapitaCommerical Trust replaced it,
we changed a minor five percent exposure from CHF to SGD.
3
4. February 01, 2011
Global Value Equity Portfolio – January 2011
In January the portfolio returned 5.42 percent compared to 0.01 percent for MSCI World
EUR index. Since inception in November 2010 the portfolio is up 11.9 percent compared to 8.5
percent for the MSCI World EUR index which corresponds to a 3.4 percentage point outperformance
in three months.
Which stocks were strong performers in the portfolio?
Almirall, the Spanish pharmaceutical company, surged 24.0 percent in January following
positive results from its‟ ATTAIN phase III study which the company develops in
cooperation with Forrest Laboratories. The company is still valued attractively compared to
its earnings power and late-stage pipeline making it an obvious takeover candidate for
another pharmaceutical company with trouble in its pipeline.
CNP Assurances, the French life insurance company, rose 19.2 percent in January on no
significant public announcement but was raised to “outperform” and “overweight” from
Credit Suisse and HSBC respectively. Their target price range is around EUR 19.50-20
which is a 21.1-24.2 percent premium from January‟s closing price.
Kowloon Development, the Hong Kong based developer of properties, put on 17.8 percent
in January on increased risk appetite for Asian real estate exposure.
Which stocks held the portfolio back?
Ten Network Holdings, the Australian operator of commercial television stations, declined
5.8 percent in January on no public news or events; actually it was upgraded by RBS. We
see minor upside in this stock compared to the rest of the portfolio.
Amlin, the U.K. insurance and reinsurance company, declined 4.2 percent in January due to
a profit warning following a revision of the estimated costs from the earthquake in New
Zealand; the costs doubled from first anticipated by management.
January portfolio performance
Performance attribution
4
5. February 01, 2011
Portfolio basics
Value creates excess risk-adjusted return. This equity portfolio is based on classical deep value
criteria mixed with a quality indicator based on a Piotroski score. Our portfolio would have produced
excess risk-adjusted return in the back testing period of 10.3%; the annual return was 10.7% p.a.
compared to 0.4% p.a. return for our benchmark, the MSCI World Index EUR.
Global portfolio without constrains. Our equity portfolio has no constraints in terms of exposure
restrictions towards geography or sectors. The portfolio seeks to exploit deep value opportunities
wherever they are located in the world. We have found during back-testing that the additional risk
taken by this approach is sufficiently offset by the extra return received.
Equal weighted portfolio. The portfolio is based on an equal weighted approach and the monthly
return is calculated accordingly on these weights.
The portfolio is not hedged to offset movements in the currency markets. In order to
reduce the impact on returns from currency fluctuations the investor must hedge all currency
exposure on a monthly basis using the currency exposure pie chart that can found in the
publication.
The portfolio’s returns are calculated on gross basis (excluding dividends, transaction
cost and taxes). Net returns after taxes may vary between investors due to different tax
treatments on dividends and capital gains depending on the tax jurisdictions. Transaction cost may
vary between different brokers and, indeed, between clients.
Due to the monthly rebalancing of the portfolio monthly transaction costs of 0.25 percent
are higher than for a traditional buy and hold portfolio. Based on a sample test the portfolio‟s
monthly dividend return of around 0.5 percent compensates for the above monthly average
transaction costs estimated to be around 0.25 percent. The back-test‟s positive risk-adjusted results
are excluding dividend and transaction costs which would normally give rise to concerns about
alpha when correcting for transaction costs. However, our sample tests on the back-testing period
show that dividends offset the transaction costs.
The new portfolio. The Global Value Equity Portfolio portfolio is an update of the original portfolio
we released in September 2010. In further testing we found that by changing the parameter
settings we could receive a better risk adjusted return. Furthermore, we now have monthly holding
periods creating a composite index.
Research methodology
Saxo Bank’s Global Value Equity Strategy portfolio is designed to address the classic
challenge in equity portfolio research: how to produce excess return given a benchmark
index. The aim, therefore, is to create a portfolio that generates a positive Sharpe Ratio indicating
the portfolio produced excess return over the risk-free rate for each unit of risk taken.
According to the existing literature in the field it is possible, using various value criteria,
to create a portfolio that outperforms the chosen benchmark index on a risk-adjusted
basis. Studies such as Fama and French (1992), Lakonishok, Shleifer and Vishny (1994) and
Piotroski (2002)1 document that significant excess return is possible for high book-to-market
portfolios (that is a portfolio with a low price-to-book ratio). Following this line of research our
portfolio uses Benjamin Graham deep value criteria (published by Rea in a Journal of Portfolio
Management article from 1977)2, amongst other criteria, such as: a trailing earnings yield (more
1
Eugene F. Fama and Kenneth R. French (1992), The Cross-Section of Expected Returns, The Journal of Finance, vol. XLVII, no.
2, pp. 427-465; Josef Lakonishok, Andrei Shleifer and Robert W. Vishny (1994), Contrarian Investment, Extrapolation, and Risk,
The Journal of Finance, vol. 49, no. 5, pp. 1541-1578; Joseph D. Piotroski (2002), Value Investing: The Use of Historical
Financial Statement Information to Separate Winners from Losers, The University of Chigago School of Business.
2
James B. Rea (1977), Remembering Benjamin Graham – Teacher and Friend, Journal of Portfolio Management, vol. 3, no. 4,
pp. 66-72.
5
6. February 01, 2011
specifically CAPE3) greater than twice the corporate bond yield, a dividend yield at least equal to
two-thirds of the corporate AAA bond yield and a low debt-to-equity ratio.
The Saxo Bank Global Value Equity portfolio is constructed using a bottom-up approach
which de-emphasises the significance of economic and market cycles. On this basis, the
portfolio will be fully-invested at all times. One of the consequences of being invested at all
times is downward pressure on the portfolio‟s alpha while creating a higher beta. The latter
argument is not that intuitive because value stocks are typically perceived as producing stable
returns (low beta and positive alpha). This is mitigated because we are using deep value criteria
that will increase the number of companies with depressed valuations, which will lead to higher
volatility (beta). Note, higher volatility does not necessarily mean higher risk (as in underlying
business risk). Our hypothesis is the portfolio will compensate on a risk-adjusted basis for our risk-
taking in these depressed and neglected companies measured as low P/B stocks.
Our monthly stock sample is selected according to our search criteria and the universe is
cash equities available to trade on the Saxo Bank trading platforms 4. We also limit the
universe to primary issues (listings), but include inactive stocks to ensure the population does not
include survivorship bias from excluding bankruptcies, mergers and delisting etc. The difference
between active and inactive population of stocks is 19,490 and 37,301 irrespectively.
Our research design is based on a few screening criteria such as market value, average
daily trading volume, cyclical adjusted price earnings (CAPE), dividend yield and interest-
bearing debt over equity. To generate a portfolio with medium-to-low business and liquidity risk
only stocks (and companies) with a market capitalisation above USD 1 billion (as of 2010
approximately 2,460 companies pass this criterion) and 60-day average daily trading volume above
EUR 1.5 million are permitted. The CAPE 3-year parameter is set to maximum of 16 which equals a
minimum earnings yield of 6.25%. This constraint limits the sample to stocks with conservative
valuations. The dividend yield should at least equal two-thirds of the corporate AAA bond yield
which on average through the back-testing period is a minimum of 3.3%. Interest-bearing debt
should be less than two-thirds of equity excluding highly leverage companies. Benjamin Graham
preferred stocks with P/B ratios below two which we are also applying in our.
The first iteration of the portfolio was built on a trailing earnings (CAPE 7-year) yield
greater than twice the corporate AAA bond yield. However, this limited our sample too
much (sometimes only five stocks passed our screening in a single month). Thus we
changed the parameter to CAPE 3-year below 16 to increase the monthly sample. The problem
presented was that a relatively high stable corporate AAA bond yields around five percent, which in
return equals an earnings yield of at least 10%. For this to be met CAPE 7-year would have to be
below 10, which is virtually impossible to obtain for long periods in the equity market – we would
not be able to be invested at all times in the equity market.
Back-testing methodology
We set the last day of the prior month as our back-testing date. For example when back-
testing January 2006 we use the back-testing date of 31 December 2005. Each monthly screening
provides the stocks that pass our criteria and returns all relevant parameter data. The start back
test date is set at 31 December 2004, which means that the portfolio‟s beginning date is 1 January
2005. This provides us with 70 monthly return observations which are sufficient enough to generate
valid statistical analyses such as beta, alpha, Sharpe ratio and Treynor measures.
3
CAPE is the current market price divided with a chosen period of earnings per share (EPS) and the concept was first published
and used by Benjamin Graham and David Dodd in their book Security Analysis (1934). They emphasised using no less than five
years of annual EPS. The concept is based on adjusting the EPS for cyclical upward or downward extremes (smoothing out the
earnings pattern). Through our iterative research we observed that our mix of value criteria produced a too narrow a sample to
conduct a diversified portfolio in some early observation (particularly in 2005). From a sensitivity analysis of our parameters the
CAPE parameter came out as the most sensitive. On this basis we concluded to change our CAPE parameter from originally CAPE
7 yr. (current market price divided with the latest seven years of annual EPS) to CAPE 3 yr. We will use CAPE and CAPE 3 yr.
interchangeably in this paper.
4
See appendix for the stock exchanges on which Saxo Bank facilitates cash equity trading.
6
7. February 01, 2011
In order to avoid having look-ahead bias in our portfolio we use lagging arguments on all
relevant parameters in the portfolio. Our data provider does not have a point-in-time database
on fundamental data, meaning that if our back-testing date is 31 January 2006 and we are looking
back on the last annual report data, we receive annual report data from 2005 instead of 2004
despite the information first being available to the public in February or March 2005. By
implementing three month lagging arguments on all relevant parameters, we avoid having look-
ahead bias in our portfolio.
Each month the screening output is analysed and the stocks are ranked based on a
weighted average of separate rankings for Piotroski score, CAPE and P/B. The 20 stocks
with the lowest weighted ranking (most attractive valuation and Piotroski score) are selected as the
forthcoming month‟s portfolio. Based on the monthly price return adjusted to currency cross
changes in EUR we calculate the portfolio‟s equally weighted return for that month.
The portfolio is rebalanced every month, thus the holding period is dynamic in the sense
that a stock will be re-elected to our portfolio if it still is among the 20 most promising
stocks in terms of valuation and Piotroski score. A stock that increases far more in price
relative to other value stocks will probably have a short holding period. If the potential price
appreciation has not materialised yet the stock will usually remain in the portfolio.
In back-testing, our portfolio would have produced an annual gross return, excluding
dividends (monthly dividends are estimated to be 0.5 percent) and transaction costs
(monthly costs estimated to be 0.25 percent), of 10.7% compared to 0.4% for MSCI
World Index EUR. See our comments about transaction costs under „Portfolio basics‟. Even though
our weighted holding period is shorter compared to the normal value philosophy the total return
compensates for the additional costs related to our monthly rebalancing. Our portfolio produced
excess return over the MSCI World Index EUR in 40 out of 70 months. This corresponds to around
57.1% positive excess return observations throughout the back-testing period.
We calculate the Sharpe ratio, beta, alpha, R2 and correlation based on monthly return
observations for the portfolio and MSCI World Index EUR. We use the iBoxx EUR Treasuries
1-3Y Total Return Index as our risk-free rate. Beta and alpha are calculated with linear regression of
the portfolio‟s and MSCI World Index EUR‟s monthly excess return over the risk-free rate. The
portfolio performed well over the back-testing period with a positive Sharpe Ratio of 0.08 (on a
monthly basis), beta of 1.38 and alpha of 0.01 with R2 of 80.9% and correlation between monthly
return of the portfolio and MSCI World Index EUR of 81.8%.
The portfolio’s return distribution over the back-testing period has had a positive
skewness and excess kurtosis. Our portfolio has a positive skewness of 0.06 indicating that the
return distribution has an asymmetric tail extending towards more positive values. But the value
lies within one standard deviation and thus the value is probably just a chance fluctuation from zero
– that is the return distribution is probably symmetric. Our portfolio has an excess kurtosis of 4.33
which means that the returns follow a leptokurtic distribution (more peaked values). Our portfolio‟s
kurtosis lies above two standard deviations indicating that our portfolio has significantly peaked
return distribution which point towards it having fat tails (higher probabilities of larger positive and
negative monthly returns). Thus we should expect large positive as well as negative returns.
Historical data also suggests the maximum monthly return since 2005 has been 27.5% for the
portfolio compared to 11.1% for MSCI World Index EUR5.
5
This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of
past performance displayed on this publication will not necessarily be repeated in the future. No representation is being made
that any investment will or is likely to achieve profits or losses similar to those achieved in the past or that significant losses will
be avoided.
Statements contained on this publication that are not historical facts and which may be simulated past performance or future
performance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such
statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon.
Additionally, this publication may contain 'forward-looking statements'. Actual events or results or actual performance may differ
materially from those reflected or contemplated in such forward-looking statements.
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8. February 01, 2011
Appendix - stock exchanges available for trading (cash
equity)
American Stock Exchange
Euronext Amsterdam
Australian Stock Exchange Ltd.
Euronext Brussels
OMX Copenhagen
OMX Copenhagen – First North
Hong Kong Stock Exchange
OMX Helsinki
Euronext Lisbon
London International Exchange
London Stock Exchange SEAQ Market
London Stock Exchange SETS Market
Milano Stock Exchange
NASDAQ Global Markets
NASDAQ Capital Markets
New York Stock Exchange
NYSE ARCA
Oslo Stock Exchange
OTC Bulletin Board on NASDAQ
Euronext Paris
Singapore Exchange Securities Trading Limited
Sistema De Interconexion Bursatil Espanol
OMX Stockholm
OMX Stockholm – First North
Swiss Exchange
Wiener Börse (Vienna) Stock Exchange
SWX Europe
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9. February 01, 2011
NON-INDEPENDENT INVESTMENT RESEARCH
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performance displayed on this publication will not necessarily be repeated in the future. No representation is being made that any
investment will or is likely to achieve profits or losses similar to those achieved in the past, or that significant losses will be
avoided.
Statements contained on this publication that are not historical facts and which may be simulated past performance or future
performance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such
statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon.
Additionally, this publication may contain 'forward-looking statements'. Actual events or results or actual performance may differ
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