The factsheet provides a concise description of the function and benefits of managed futures, while also explaining some of the key differences between public and private pools. This resource explains the purpose of managed futures, their role for investors, how they are regulated, and what fees are charged and disclosed to investors.
Learn the basics about the tool intended to protect shareholders from account trading and market impact costs.
Swing pricing, which has been applied in Luxembourg for the past 15 to 20 years, has proven to be an efficient mechanism to protect existing shareholders from dilution associated with shareholder purchases and redemptions as well as an additional tool to help manage liquidity risks. In the United States, swing pricing is just now gaining traction, especially with new rules finalized and work underway to protect money market investors, the Securities and Exchange Commission has now shifted its focus to safeguards for shareholders of open-end mutual funds and certain exchange traded funds (ETFs). The SEC has proposed new rules and amendments to rules which seek to protect fund investors during periods of large investor withdrawals.
Join the Association of the Luxembourg Fund Industry (ALFI) and NICSA for this jointly produced and presented webinar. Hear perspectives from European and American experts on swing pricing.
The factsheet provides a concise description of the function and benefits of managed futures, while also explaining some of the key differences between public and private pools. This resource explains the purpose of managed futures, their role for investors, how they are regulated, and what fees are charged and disclosed to investors.
Learn the basics about the tool intended to protect shareholders from account trading and market impact costs.
Swing pricing, which has been applied in Luxembourg for the past 15 to 20 years, has proven to be an efficient mechanism to protect existing shareholders from dilution associated with shareholder purchases and redemptions as well as an additional tool to help manage liquidity risks. In the United States, swing pricing is just now gaining traction, especially with new rules finalized and work underway to protect money market investors, the Securities and Exchange Commission has now shifted its focus to safeguards for shareholders of open-end mutual funds and certain exchange traded funds (ETFs). The SEC has proposed new rules and amendments to rules which seek to protect fund investors during periods of large investor withdrawals.
Join the Association of the Luxembourg Fund Industry (ALFI) and NICSA for this jointly produced and presented webinar. Hear perspectives from European and American experts on swing pricing.
Managing balance sheet liquidity & long term funding Dr Rajeev Jain
Managing balance sheet liquidity and long term funding
• Do the company have the right cash management processes?
• The importance of accurately forecast company cash flow with liquidity management
• Looking at your balance sheet frequently: Do the company has sufficient funding sources?
• Ensuring the right balance of credit and non-credit service utilisation for funding process
• Learning about rebuilding the balance sheet and turning their problem into growth
• Establishing long term stability and security of our funding in turn helps protect our liquidity position in the crisis
• Building necessary tools and methods to achieve properly structured balance sheet
• Managing complex situations precisely through flexible values (general direction), values with longer lifespan than goals or objectives and past and present corporate actions
Optimal investment strategies for Sovereign Wealth Funds Alexandre Kateb
A presentation with some facts about sovereign wealth funds and some theory supporting the design of optimal strategies of SWFs. I present in detail the example of an oil stabilization fund with a critical discussion of a model outlined by the IMF staff. This should be viewed as a modest introduction to the subject and a work in progress as I will develop this topic more in depth in the coming months.
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Similar to riskdrivenparadigmforcashmanagement-demarigny_052611
Managing balance sheet liquidity & long term funding Dr Rajeev Jain
Managing balance sheet liquidity and long term funding
• Do the company have the right cash management processes?
• The importance of accurately forecast company cash flow with liquidity management
• Looking at your balance sheet frequently: Do the company has sufficient funding sources?
• Ensuring the right balance of credit and non-credit service utilisation for funding process
• Learning about rebuilding the balance sheet and turning their problem into growth
• Establishing long term stability and security of our funding in turn helps protect our liquidity position in the crisis
• Building necessary tools and methods to achieve properly structured balance sheet
• Managing complex situations precisely through flexible values (general direction), values with longer lifespan than goals or objectives and past and present corporate actions
Optimal investment strategies for Sovereign Wealth Funds Alexandre Kateb
A presentation with some facts about sovereign wealth funds and some theory supporting the design of optimal strategies of SWFs. I present in detail the example of an oil stabilization fund with a critical discussion of a model outlined by the IMF staff. This should be viewed as a modest introduction to the subject and a work in progress as I will develop this topic more in depth in the coming months.
Similar to riskdrivenparadigmforcashmanagement-demarigny_052611 (20)
1. GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 1
Sponsor: www.RenovatioAM.com
Newport Beach, CA
2. “A Risk-Driven Paradigm
For Cash Management”
Cash management investment policies may include
risk-driven constraints allowing alternative strategies.
Pension and endowment liability-driven policies,
treasury excess cash and capital budgeting projects
and fund of fund redemption vehicles share a
common framework for decision-making
GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 2
Newport Beach, CA
3. GARP: Pelican Hill, 26May2011
Presented: Pj de Marigny
3
ALTERNATIVES AS ENHANCED CASH VEHICLES
1 – HEDGE FUNDS
e.g. Market Neutral (Quantitative Methods of Speculation)
Fundamental, Paired and Quantitative Long Short
2 - OVERLAY Strategies (Equity with Derivative Overlays)
3 – Structured Products (Embedded Derivative Products to pre-fab a desired payout)
4 – SWAPS (VOL, Equity, FI, Commodity, Currency, FI Derivatives/CDS)
Newport Beach, CA
4. GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 4
ENHANCED CASH RISK CONSIDERATIONS
1 – HEDGE FUNDS
Market Neutral (Quantitative Methods of Speculation)
A – Third and fourth moment risks are not apparent
B - Distributions are assymetric as with any downside protected strategy
C – Systematic risk reflected in beta may not be statistically significant
D – Allocation optimization note: Remove treasuries, cash equivalents,
and rerun optimizer using semi-variance instead of variance to adjust for
downside protected vehicles that use shorts.
Newport Beach, CA
5. GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 5
ENHANCED CASH RISK CONSIDERATIONS
2 - OVERLAY Strategies (Equity with Derivative Overlays)
A - Write and roll: VOL ARB risks, may have model risks (GARCH)
B - Speculative overlay: Working on own P&L to a target return, may
overwrite adding upside risk similar to Convertible Arb with short call
overlay (gamma risks)
C – Overlay stand alone strategies: Tradeoff FI risks to Equity Risks
Newport Beach, CA
6. GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 6
ENHANCED CASH RISK CONSIDERATIONS
3 – Structured Products (Embedded Derivative Products to pre-fab a desired payout)
A - Liquidity: Maturities vary, firm may be only market maker or not traded
B - Inactive management: Similar to CEF with embedded options
C – Selection basket or index may have leverage or unwanted
characteristics
Newport Beach, CA
7. GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 7
ENHANCED CASH - RISK CONSIDERATIONS
4 – SWAPS (VOL, Equity, FI, Commodity, Currency, FI Derivatives)
Should NEVER be used as Cash Enhancers, these are risk diversifiers
Corporate treasurers employ Operating CF forecast models
Pensions employ ABO/PBO modeling
Endowments/Foundations use consultants and allocation optimization
Fund of Funds employ redemption modeling based on markets
Newport Beach, CA
8. GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 8
ENHANCED CASH PARADIGM
PENSION and ENDOWMENTS - Typically will have a Liability-Driven Policy that
may include a fixed income allocation with matched duration (immunized) or
dedicated to a funding. Cash is needed to fund ongoing mandated liabilities.
FUND of FUNDS REDEMPTION VEHICLE – Typically used by funds to offer
liquidity when underlying strategies have gates, lockups, or are not conducive to
redemptions during drawdowns. Cash is needed to fund redemptions.
TREASURY – Operating budgets, CAPEX and Capital Budget projects, Pensions,
Cash Flow from/to Operations. Cash is needed to fund operations.
Newport Beach, CA
9. GARP: Pelican Hill, 26May2011 Presented: Pj de Marigny 9
ENHANCED CASH FLOAT
THREE FLOAT MODEL
A – OPERATIONAL FLOAT
What is expected to be needed within one standard deviation of monthly operating
expenditures. Composed of typical corporate cash management vehicles and other
cash equivalents. (Assn of Financial Professionals publishes a list to members).
B – INTERMEDIATE FLOAT (ENHANCED CASH FLOAT)
The capital expenditures expected to be needed after 3 mos but less than 18 mos plus
>1σ – approx 1/3 of annualized expenditures). May be composed of alternatives with
betas about equal to MTNs or up to 1/3 market risk or less. This float is a secondary
or excess cash account and may be invested in “ENHANCED CASH” liquid vehicles.
C – SUSTAINABLE FLOAT (ENHANCED CASH FLOAT)
The float that tends to be steady or the minimum threshold that may be composed of
five year maturity investments. Structured Notes may be considered.
Newport Beach, CA