A review of the Canadian farmland market over the last 30 years reveals: a farmland holding would have improved the financial performance of typical investor portfolios; realized volatility that was lower than stocks; realized returns that were greater than bonds; a low correlation to traditional financial asset returns; and most importantly domestic institutional and retail investors are clearly under-invested relative to efficient frontier analysis.
This document provides an overview of alternative investments. It defines alternative investments as those outside traditional stocks, bonds and cash, including real assets like real estate and commodities, as well as alternative strategies that use unconventional approaches like leverage and short selling. The document discusses common myths about alternatives being too risky, illiquid, and only accessible to institutions. It then summarizes the main categories of alternative strategies, including market directional, corporate restructuring, relative value, opportunistic, and private equity strategies.
This document provides an overview of hedge fund strategies, including equity long/short, convertible arbitrage, and others. It defines equity long/short as a strategy that aims to isolate stock-specific risk and return by holding long positions in stocks expected to outperform and short positions in underperforming stocks from the same sector. Convertible arbitrage seeks to profit from mispricing between convertible bonds and the underlying stock by buying the convertible bond and shorting the stock. Examples are given of how these strategies would perform in different market conditions.
Ch 5 international capital structure and cost of capital latestShadina Shah
This document discusses international capital structures and costs of capital. It covers several topics: (1) how the cost of capital is estimated using weighted average cost of capital and CAPM models; (2) how segmented vs integrated capital markets impact cost of capital calculations; (3) evidence that costs of capital differ among countries; (4) benefits and costs of cross-border stock listings for reducing costs; and (5) how foreign ownership restrictions can increase costs through pricing-to-market effects. The chapter aims to explain how multinational firms can reduce their costs of capital through international diversification and accessing different capital markets.
Investment products vary in risk, return and duration. So do investor objectives. Successfully matching financial instruments with financial plans takes skill, know how and ability.
The document discusses alternative investments such as hedge funds, hedge fund of funds, managed futures, private equity, and real estate. It notes that alternative investments can help diversify portfolios and potentially generate returns independent of equity and bond markets. The document provides overviews of different alternative investment strategies and their historical performance statistics. It emphasizes the importance of understanding the risks associated with alternative investments.
Global macro hedge funds employ a top-down investment approach analyzing macroeconomic variables to assess their potential impact on markets. They pursue directional and relative value strategies across equity, debt, currency and commodity markets. Global macro funds exhibit attractive returns, low volatility, and low correlation to stocks and bonds, making them a beneficial diversifier for portfolios. CrystalTools can help advisors evaluate global macro managers through its analytics on historical performance, risk, and portfolio construction.
The document describes Complete Canaccord ETF Portfolios, which are professionally managed portfolios of exchange-traded funds offered by Canaccord Genuity Wealth Management. The portfolios aim to offer investors global diversification, downside protection, and excess returns through active management of ETF allocations. They are managed according to a disciplined process that includes daily monitoring, technical and fundamental analysis, and rebalancing based on market conditions. The portfolios come in six risk-targeted models and have outperformed their benchmarks since inception.
The efficient frontier identifies the combination of assets that are expected to achieve the highest return for a given level of risk – meaning they are most efficient in terms of their risk/return characteristics.
Since 1950, investing in fixed income has generally reduced investment risk. However, the stability of this asset class also lowers the long-term growth potential.
Canadian equities have produced the necessary asset growth to achieve long term investment objectives. Even conservative investors should allocate at least 30% of their portfolio to equities. The expected outcome is enhanced investment returns with similar levels of investment risk over the long term.
This document provides an overview of alternative investments. It defines alternative investments as those outside traditional stocks, bonds and cash, including real assets like real estate and commodities, as well as alternative strategies that use unconventional approaches like leverage and short selling. The document discusses common myths about alternatives being too risky, illiquid, and only accessible to institutions. It then summarizes the main categories of alternative strategies, including market directional, corporate restructuring, relative value, opportunistic, and private equity strategies.
This document provides an overview of hedge fund strategies, including equity long/short, convertible arbitrage, and others. It defines equity long/short as a strategy that aims to isolate stock-specific risk and return by holding long positions in stocks expected to outperform and short positions in underperforming stocks from the same sector. Convertible arbitrage seeks to profit from mispricing between convertible bonds and the underlying stock by buying the convertible bond and shorting the stock. Examples are given of how these strategies would perform in different market conditions.
Ch 5 international capital structure and cost of capital latestShadina Shah
This document discusses international capital structures and costs of capital. It covers several topics: (1) how the cost of capital is estimated using weighted average cost of capital and CAPM models; (2) how segmented vs integrated capital markets impact cost of capital calculations; (3) evidence that costs of capital differ among countries; (4) benefits and costs of cross-border stock listings for reducing costs; and (5) how foreign ownership restrictions can increase costs through pricing-to-market effects. The chapter aims to explain how multinational firms can reduce their costs of capital through international diversification and accessing different capital markets.
Investment products vary in risk, return and duration. So do investor objectives. Successfully matching financial instruments with financial plans takes skill, know how and ability.
The document discusses alternative investments such as hedge funds, hedge fund of funds, managed futures, private equity, and real estate. It notes that alternative investments can help diversify portfolios and potentially generate returns independent of equity and bond markets. The document provides overviews of different alternative investment strategies and their historical performance statistics. It emphasizes the importance of understanding the risks associated with alternative investments.
Global macro hedge funds employ a top-down investment approach analyzing macroeconomic variables to assess their potential impact on markets. They pursue directional and relative value strategies across equity, debt, currency and commodity markets. Global macro funds exhibit attractive returns, low volatility, and low correlation to stocks and bonds, making them a beneficial diversifier for portfolios. CrystalTools can help advisors evaluate global macro managers through its analytics on historical performance, risk, and portfolio construction.
The document describes Complete Canaccord ETF Portfolios, which are professionally managed portfolios of exchange-traded funds offered by Canaccord Genuity Wealth Management. The portfolios aim to offer investors global diversification, downside protection, and excess returns through active management of ETF allocations. They are managed according to a disciplined process that includes daily monitoring, technical and fundamental analysis, and rebalancing based on market conditions. The portfolios come in six risk-targeted models and have outperformed their benchmarks since inception.
The efficient frontier identifies the combination of assets that are expected to achieve the highest return for a given level of risk – meaning they are most efficient in terms of their risk/return characteristics.
Since 1950, investing in fixed income has generally reduced investment risk. However, the stability of this asset class also lowers the long-term growth potential.
Canadian equities have produced the necessary asset growth to achieve long term investment objectives. Even conservative investors should allocate at least 30% of their portfolio to equities. The expected outcome is enhanced investment returns with similar levels of investment risk over the long term.
The law firm's investment management practice represents a full range of U.S. domestic and non-U.S. clients
in all aspects of their organization and operations. Our clients include start-up investment managers/advisers and
investment funds, seasoned private equity and venture capital professionals and established/industry-recognized investment companies and institutions.
Hedge funds are investment tools that help institutions like pensions and universities meet their financial goals. They were created in 1949 by Alfred Jones to deliver reliable returns while minimizing risk. Today there are over 9,000 hedge funds globally that invest in different strategies like global macro, event driven, relative value, and equities to generate returns and diversify investments for institutions and high-net-worth individuals. Hedge funds make up over $3 trillion in assets globally.
The document provides an introduction to hedge funds, explaining that they are investment tools used by institutions like pensions and universities to manage risk and diversify investments to help meet financial goals. It describes how hedge funds work, including typical fee structures and regulations around who can invest in them. Various hedge fund strategies are outlined, and data is presented showing that hedge funds have historically achieved higher risk-adjusted returns than other asset classes.
Hedge funds and mutual funds both pool money from investors to be professionally managed. However, there are key differences in their investment approaches, investor requirements, and regulations. Hedge funds focus on absolute returns, can invest in any asset class including risky investments, use leverage to enhance returns, run concentrated portfolios, and charge high fees to accredited investors. Mutual funds focus on relative returns, have diversification and compliance requirements, charge lower fees to retail investors, and are highly regulated for investor protection.
Alternative investments historically have sought to provide investors with several potential investment advantages, including diversification and risk reduction. Alternative investments include hedge funds, managed futures, private equity, private debt and real estate investment trusts. While once only available to institutional investors, thanks to financial innovation more alternative strategies are becoming available to individual investors.
The document summarizes an investment fund called the EAS Genesis Fund, which uses a flexible allocation strategy across various mutual funds and ETFs. It aims to provide absolute returns, low market correlation, and low volatility compared to the stock market. The fund combines three sub-strategies - Hybrid, Concentrated Equity, and Global Cycle - each with a different risk profile and time horizon. It is actively managed by Emerald Asset Advisors using a top-down macroeconomic assessment to identify investment themes and a bottom-up analysis to select specific funds and strategies.
1) A mutual fund is a trust that pools savings from investors who share a common financial goal. The fund invests in a portfolio of stocks, bonds, and other instruments, and investors share the income from these investments proportionate to their stake in the fund.
2) Mutual funds first emerged in India in 1964 with the establishment of UTI. Features of mutual funds include professional management, diversification, convenience, return potential, low costs, and liquidity.
3) Mutual fund schemes are categorized by structure (open-ended or closed-ended), objective (income, growth, hybrid, tax-saving), and other factors. All schemes aim to offer returns while balancing risks like market risk
Hedge funds offer qualified investors a unique partnership. While hedge funds first began as a way to offer investors a balanced – or market-neutral – approach to investing, the methods have evolved through the years. This presentation focuses on one of those strategies, multi-strategy funds
Hedge funds pursue three main goals: portfolio diversification to reduce risk, risk management to avoid volatility, and reliable returns over time through various investment strategies. Some common hedge fund strategies include long/short equity funds, credit funds, global macro funds, quantitative funds, event driven funds, relative value funds, managed futures trading, and multi-strategy funds. In 2014, institutional investors were most interested in long/short equity funds, global macro funds, and multi-strategy funds.
Hedge funds are like mutual funds in some ways. Investment professionals in a hedge fund pool in money from investors to be managed - exactly like the mutual funds do. And, subject to some minor restrictions, investors in hedge funds can withdraw their money as they can in a mutual fund. Nothing else is similar.
This document summarizes information about investing in multifamily real estate. It defines a multifamily property as having 5 or more housing units, such as apartment complexes. It notes that multifamily real estate provides diversification, stable income, and a hedge against inflation. While stocks are more liquid, multifamily investments provide tangible assets secured by mortgages with known, fixed returns. Overall, the document argues that multifamily real estate can improve risk-adjusted portfolio returns through diversification and lower volatility compared to other asset classes like stocks.
This document provides a disclaimer and introduction for a document about hybrid securities. It states that the information is for educational purposes only and does not constitute financial advice. Investors should obtain independent advice before making financial decisions. While ASX has made efforts to ensure accuracy, it does not guarantee or warrant the information. Copyright of the information belongs to ASX Limited and all rights are reserved.
1. Common stock represents ownership in a corporation and a claim on its assets and earnings. There are different types including common, preferred, and classes A and B.
2. Owners of common stock are also known as shareholders or equity owners. They may receive dividends as determined by the board of directors and can benefit from capital gains.
3. Fundamental analysis and technical analysis are two main approaches used to evaluate common stocks and make investment decisions.
The document provides an overview of 20 different types of investments that every investor should know. It begins with introductions and descriptions of American Depository Receipts (ADRs), annuities, and closed-end investment funds. For each investment, it discusses what they are, their objectives and risks, and how to buy or sell them. It also provides strengths, weaknesses, and main uses for each. The document is an educational guide for investors to learn about various investment options.
Hedge funds offer qualified investors a unique partnership. While hedge funds first began as a way to offer investors a balanced – or market-neutral – approach to investing, the methods have evolved through the years. This presentation focuses on one of those strategies, managed futures.
This educational resource details the traditional calculation method that hedge funds use for their assets under management. It also explains the new method of calculation used by the Securities and Exchange Commission, called Regulatory Assets Under Management (RAUM).
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
Diversification across asset classes, sectors, industries, and geographic regions can reduce risk in a portfolio for a given level of return. While diversification helps reduce nonsystematic risk, it cannot eliminate systemic risk that affects the entire market. While international diversification was more beneficial in the past, correlations between markets have increased in recent decades, diminishing its risk reduction potential. Adding more assets to a portfolio provides diminishing returns in risk reduction, and barriers like information and transactions costs make full diversification difficult for small investors to achieve.
This document discusses investing in Canadian farmland. It summarizes some key characteristics of farmland as an investment, including its low volatility, high risk-adjusted returns, low correlation to other asset classes, and high correlation to inflation. It also discusses factors driving increased demand for farmland, such as growing populations, increasing meat consumption in developing countries, and rising biofuel production targets. The document notes challenges to increasing global food supply and argues that farmland presents an attractive investment opportunity given these supply and demand dynamics in the agricultural sector.
This document discusses the cost of capital from an international perspective. It defines key terms like weighted average cost of capital and explains how cost of capital is determined. It also discusses how segmented versus integrated capital markets can impact a firm's cost of capital calculation. The document notes that international diversification can lower a firm's cost of capital. Cross-border stock listings are also discussed as a way for firms to potentially achieve a lower cost of capital.
Price and performance in funds gil bazobfmresearch
This study examines the relationship between mutual fund fees and performance. It finds a puzzling negative relationship: funds with worse risk-adjusted performance before fees charge higher fees. The study explores several potential explanations for this relationship, including strategic fee setting by funds and the role of fund governance. Some evidence suggests funds with stronger governance structures have fees more aligned with performance.
The law firm's investment management practice represents a full range of U.S. domestic and non-U.S. clients
in all aspects of their organization and operations. Our clients include start-up investment managers/advisers and
investment funds, seasoned private equity and venture capital professionals and established/industry-recognized investment companies and institutions.
Hedge funds are investment tools that help institutions like pensions and universities meet their financial goals. They were created in 1949 by Alfred Jones to deliver reliable returns while minimizing risk. Today there are over 9,000 hedge funds globally that invest in different strategies like global macro, event driven, relative value, and equities to generate returns and diversify investments for institutions and high-net-worth individuals. Hedge funds make up over $3 trillion in assets globally.
The document provides an introduction to hedge funds, explaining that they are investment tools used by institutions like pensions and universities to manage risk and diversify investments to help meet financial goals. It describes how hedge funds work, including typical fee structures and regulations around who can invest in them. Various hedge fund strategies are outlined, and data is presented showing that hedge funds have historically achieved higher risk-adjusted returns than other asset classes.
Hedge funds and mutual funds both pool money from investors to be professionally managed. However, there are key differences in their investment approaches, investor requirements, and regulations. Hedge funds focus on absolute returns, can invest in any asset class including risky investments, use leverage to enhance returns, run concentrated portfolios, and charge high fees to accredited investors. Mutual funds focus on relative returns, have diversification and compliance requirements, charge lower fees to retail investors, and are highly regulated for investor protection.
Alternative investments historically have sought to provide investors with several potential investment advantages, including diversification and risk reduction. Alternative investments include hedge funds, managed futures, private equity, private debt and real estate investment trusts. While once only available to institutional investors, thanks to financial innovation more alternative strategies are becoming available to individual investors.
The document summarizes an investment fund called the EAS Genesis Fund, which uses a flexible allocation strategy across various mutual funds and ETFs. It aims to provide absolute returns, low market correlation, and low volatility compared to the stock market. The fund combines three sub-strategies - Hybrid, Concentrated Equity, and Global Cycle - each with a different risk profile and time horizon. It is actively managed by Emerald Asset Advisors using a top-down macroeconomic assessment to identify investment themes and a bottom-up analysis to select specific funds and strategies.
1) A mutual fund is a trust that pools savings from investors who share a common financial goal. The fund invests in a portfolio of stocks, bonds, and other instruments, and investors share the income from these investments proportionate to their stake in the fund.
2) Mutual funds first emerged in India in 1964 with the establishment of UTI. Features of mutual funds include professional management, diversification, convenience, return potential, low costs, and liquidity.
3) Mutual fund schemes are categorized by structure (open-ended or closed-ended), objective (income, growth, hybrid, tax-saving), and other factors. All schemes aim to offer returns while balancing risks like market risk
Hedge funds offer qualified investors a unique partnership. While hedge funds first began as a way to offer investors a balanced – or market-neutral – approach to investing, the methods have evolved through the years. This presentation focuses on one of those strategies, multi-strategy funds
Hedge funds pursue three main goals: portfolio diversification to reduce risk, risk management to avoid volatility, and reliable returns over time through various investment strategies. Some common hedge fund strategies include long/short equity funds, credit funds, global macro funds, quantitative funds, event driven funds, relative value funds, managed futures trading, and multi-strategy funds. In 2014, institutional investors were most interested in long/short equity funds, global macro funds, and multi-strategy funds.
Hedge funds are like mutual funds in some ways. Investment professionals in a hedge fund pool in money from investors to be managed - exactly like the mutual funds do. And, subject to some minor restrictions, investors in hedge funds can withdraw their money as they can in a mutual fund. Nothing else is similar.
This document summarizes information about investing in multifamily real estate. It defines a multifamily property as having 5 or more housing units, such as apartment complexes. It notes that multifamily real estate provides diversification, stable income, and a hedge against inflation. While stocks are more liquid, multifamily investments provide tangible assets secured by mortgages with known, fixed returns. Overall, the document argues that multifamily real estate can improve risk-adjusted portfolio returns through diversification and lower volatility compared to other asset classes like stocks.
This document provides a disclaimer and introduction for a document about hybrid securities. It states that the information is for educational purposes only and does not constitute financial advice. Investors should obtain independent advice before making financial decisions. While ASX has made efforts to ensure accuracy, it does not guarantee or warrant the information. Copyright of the information belongs to ASX Limited and all rights are reserved.
1. Common stock represents ownership in a corporation and a claim on its assets and earnings. There are different types including common, preferred, and classes A and B.
2. Owners of common stock are also known as shareholders or equity owners. They may receive dividends as determined by the board of directors and can benefit from capital gains.
3. Fundamental analysis and technical analysis are two main approaches used to evaluate common stocks and make investment decisions.
The document provides an overview of 20 different types of investments that every investor should know. It begins with introductions and descriptions of American Depository Receipts (ADRs), annuities, and closed-end investment funds. For each investment, it discusses what they are, their objectives and risks, and how to buy or sell them. It also provides strengths, weaknesses, and main uses for each. The document is an educational guide for investors to learn about various investment options.
Hedge funds offer qualified investors a unique partnership. While hedge funds first began as a way to offer investors a balanced – or market-neutral – approach to investing, the methods have evolved through the years. This presentation focuses on one of those strategies, managed futures.
This educational resource details the traditional calculation method that hedge funds use for their assets under management. It also explains the new method of calculation used by the Securities and Exchange Commission, called Regulatory Assets Under Management (RAUM).
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
Diversification across asset classes, sectors, industries, and geographic regions can reduce risk in a portfolio for a given level of return. While diversification helps reduce nonsystematic risk, it cannot eliminate systemic risk that affects the entire market. While international diversification was more beneficial in the past, correlations between markets have increased in recent decades, diminishing its risk reduction potential. Adding more assets to a portfolio provides diminishing returns in risk reduction, and barriers like information and transactions costs make full diversification difficult for small investors to achieve.
This document discusses investing in Canadian farmland. It summarizes some key characteristics of farmland as an investment, including its low volatility, high risk-adjusted returns, low correlation to other asset classes, and high correlation to inflation. It also discusses factors driving increased demand for farmland, such as growing populations, increasing meat consumption in developing countries, and rising biofuel production targets. The document notes challenges to increasing global food supply and argues that farmland presents an attractive investment opportunity given these supply and demand dynamics in the agricultural sector.
This document discusses the cost of capital from an international perspective. It defines key terms like weighted average cost of capital and explains how cost of capital is determined. It also discusses how segmented versus integrated capital markets can impact a firm's cost of capital calculation. The document notes that international diversification can lower a firm's cost of capital. Cross-border stock listings are also discussed as a way for firms to potentially achieve a lower cost of capital.
Price and performance in funds gil bazobfmresearch
This study examines the relationship between mutual fund fees and performance. It finds a puzzling negative relationship: funds with worse risk-adjusted performance before fees charge higher fees. The study explores several potential explanations for this relationship, including strategic fee setting by funds and the role of fund governance. Some evidence suggests funds with stronger governance structures have fees more aligned with performance.
Agcapita December 2011 - Leverage is Dead, Long Live Value investingVeripath Partners
Financial leverage (at least as it has come to be used in the last 15 or so years) is the logical but abused investment tool of a great
30-year period of declining interest rates. I know this may seem
counter-intuitive in a negative real interest rate environment, but
I believe in the short to medium term most investments should
incorporate less leverage rather than more.
Cost of capital, international financial managementAshutosh136471
User
in short
ChatGPT
Capital budgeting is about choosing the right long-term investments, while cost of capital is the expense associated with financing those investments.
Diversification in asset class can reduce the risk and also can generate defined return based on the inventor’s risk perception. Client’s objective to get post retirement cash flow, financing and refinancing of mortgage loan is successfully implemented here.
Risk and return is related get high importance in portfolio construction. From Markowitz’s concept of the mean –variance relationship and along with modern creation of synthetic fund, the risk aversion nature of investors gets importance. The return of the portfolio decreases with the diversification but portfolios from efficient frontiers satisfy the need of investors.
Risk Factors as Building Blocks for Portfolio DiversificationCallan
Author: Eugene Podkaminer
Asset classes can be broken down into building blocks, or factors, that explain the majority of the assets’ risk and return characteristics. A factor-based investment approach enables the investor theoretically to remix the factors into portfolios that are better diversified and more efficient than traditional portfolios.
Seemingly diverse asset classes can have unexpectedly high correlations—a result of the significant overlap in their underlying common risk factor exposures. These high correlations caused many portfolios to exhibit poor diversification in the recent market downturn, and investors can use risk factors to view their portfolios and assess risk.
Although constructing ex ante optimized portfolios using risk factor inputs is possible, there are significant challenges to overcome, including the need for active, frequent rebalancing; creation of forward-looking assumptions; and the use of derivatives and short positions. However, key elements of factor-based methodologies can be integrated in multiple ways into traditional asset allocation structures to enhance portfolio construction, illuminate sources of risk, and inform manager structure.
VBA Journal: Farmland, Reaping the Reward of IlliquidityVeripath Partners
Farmland is an asset class that provides a legal claim on land, and the agricultural produce that is grown on that land, in perpetuity. The returns from farmland are like those of a perpetual bond, with the proviso that operational farming returns show high volatility, being largely driven in the short term by climatic conditions and commodity prices. Bonds are typically priced at between 20 and 50 times returns, which is consistent with farmland price multiples. In contrast, equities in a moderate growth sector generally trade at a price to earnings ratio of approximately 10, making farmland look less attractive if perceived as a stock. Like other real assets farmland is protected against inflation, as is farm production. Farmland is thus similar to an inflation-protected perpetual bond with a variable yield, where both principal
and coupons are protected against currency depreciation.
Hedge funds have evolved from an elite investment for wealthy individuals to an important tool for institutional investors like pensions and endowments. Over 65% of hedge fund assets are now owned by institutions rather than private investors. Adding hedge funds to investment portfolios can increase returns and lower risk by improving the probability of positive returns and reducing volatility. Studies estimate hedge funds could add $13.67 billion in annual returns to US public pensions and $1.73 billion to university endowments.
[LATAM EN] Convertible bonds offer investors equity-like returns with a risk ...NN Investment Partners
Convertible bonds offer investors potential equity-like returns with lower risk than equities. Convertible bonds have historically outperformed other asset classes over the past 40 years and have lower volatility than equities. NN Investment Partners' convertible bond strategy seeks to capture upside potential from rising equity markets while limiting downside risk through in-depth credit analysis and theme-based equity selection. The strategy focuses on balanced convertibles from a select number of companies that combine solid fundamentals and equity upside potential.
[EN] Convertible bonds offer investors equity-like returns with a risk profil...NN Investment Partners
NN Investment Partners explains how convertible bonds offer investors equity-like returns with a risk profile comparable to that of bonds, from November 2015.
[CH] Convertible bonds offer investors equity-like returns with a risk profil...NN Investment Partners
NN Investment Partners explains how convertible bonds offer investors equity-like returns with a risk profile comparable to that of bonds, from November 2015.
NN Investment Partners explains how convertible bonds offer investors equity-like returns with a risk profile comparable to that of bonds, from November 2015.
[UK] Convertible bonds offer investors equity-like returns with a risk profil...NN Investment Partners
NN Investment Partners explains how convertible bonds offer investors equity-like returns with a risk profile comparable to that of bonds, from November 2015.
[JP] Convertible bonds offer investors equity-like returns with a risk profil...NN Investment Partners
NN Investment Partners explains how convertible bonds offer investors equity-like returns with a risk profile comparable to that of bonds, from November 2015.
This paper discusses how institutional-quality hedge funds possess a much greater risk/reward pay off then the leading liquid alternative funds can offer.
Similar to Veripath Farmland Partners Research - portfolio optimization using farmland allocations - minimum risk, maximum Sharpe ratio analysis (20)
Veripath has over 90,000 (2021) acres across its Canadian row-crop portfolios and its principals have been investing in the Canadian farmland space since 2007, including creating the first RRSP eligible Canadian farmland fund. Minimum and zero tillage methodologies have very high penetration in Canadian prairies (AB, SK and MB). These tillage techniques are accepted to increase carbon/biomass in the soil and are a key component of conservation/regenerative agriculture practices. Veripath portfolios have minimum and zero tillage usages levels that on average are materially higher
than baseline provincial levels
Canadian Farmland - Saskatchewan Provincial Fact SheetVeripath Partners
Saskatchewan farmland ownership regulations allow Canadian citizens and permanent residents, as well as fully Canadian-owned corporations and organizations, to own farmland without restrictions. Non-residents and foreign entities can own up to 10 acres, while partially foreign-owned entities controlled by Saskatchewan residents can own up to 320 acres. Saskatchewan accounts for 38% of Canadian farmland and major crops include wheat, canola, oats, lentils, and barley. The province has over 68 million acres of arable land and produces over 1.78 million metric tonnes of total crops annually.
Quebec has ownership regulations for farmland that deem corporations and other legal persons as residents based on majority ownership and control by Quebec residents. Non-residents can apply to purchase farmland if the land is unsuitable for cultivation or livestock, or if the non-resident intends to settle in Quebec within 4 years and become a citizen or permanent resident. The province limits non-resident purchases to 1,000 hectares per year. The fact sheet also provides key metrics on Quebec farmland, including 8 million acres of arable land representing 5% of Canadian farmland. Major crops include corn, soybeans, barley, oats and wheat.
- Agricultural land use in Ontario is governed by the 2005 Provincial Policy Statement which does not restrict foreign or institutional ownership of farmland.
- Key metrics about Ontario farmland include 13 million acres of arable land, which makes up 8% of Canadian farmland. The average farm size is 57 acres.
- Major crops grown in Ontario include corn at 16% of production, wheat at 16%, and soybeans at 25%.
Legislation in Manitoba allows foreign ownership of up to 40 acres of farmland unless granted an exemption. Only Canadian citizens, permanent residents, and Canadian-controlled corporations and entities can purchase unlimited amounts of farmland. Manitoba has 19 million acres of arable land, representing 11% of Canadian farmland. The major crops grown are wheat, canola, barley, oats, corn, and soybeans.
British Columbia farmland statistics:
- There are 7 million acres of arable land in BC, comprising 4% of total Canadian farmland.
- Major crops grown in BC include wheat (25%), barley (25%), soybeans (24%), and canola (23%).
- The average farm size in BC is 240 acres. Farmland in BC is regulated by the Agricultural Land Commission but there are no restrictions on institutional or foreign ownership of farmland.
Alberta has no restrictions on institutional or foreign ownership of farmland. It has 52 million acres of arable land, comprising 31% of Canadian farmland. Major crops include wheat (48%), canola (23%), and barley (23%). The average farm size is 23 acres.
Alberta accounts for 31% of Canadian farmland and produces over 1.2 million metric tonnes of crops annually. The major crops grown in Alberta are wheat, canola, and barley. The average farm size in Alberta is approximately 23 acres. Canadian citizens and companies are not restricted by foreign ownership regulations when purchasing Alberta farmland.
"Show me the incentive and I'll show you the outcome" – Veripath Farmland Funds Q4 Investor Letter: Investing in a World of Financial Repression, Negative Real Rates, Valuation “Challenges” and Inflationary Forces.
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Veripath Research "As people in the emerging economies of India and China make the transition to western standards of
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Are fiscal/monetary conditions affecting the macro thesis for Canadian farmland investments? Do publicly traded equity investments hedge all inflation regimes? Canada's debt to GDP - looming threat or irrelevancy?
- The document discusses Canadian farmland as an investment during periods of low or negative real interest rates (when inflation is higher than nominal interest rates). It finds that farmland appreciates significantly more during such periods, averaging 11.3% annual returns, compared to periods of higher real rates where returns are barely positive.
- Canadian farmland demonstrated resilience during the 2020 COVID-19 economic disruption, with appreciation of 3.6-8% across provinces.
- Soft commodity prices have increased noticeably in recent quarters, benefiting Canadian farmland and food producers.
This newsletter discusses recent economic and monetary policies that have led to rising government debt and money printing. It summarizes the history of past currency failures in France and Germany when governments excessively issued paper currencies. The author argues that current policies of unlimited deficit spending and money printing will not lead to lasting prosperity and will end in economic problems. The newsletter recommends investing in assets that benefit from emerging market growth, reduce counterparty risk, hedge inflation, and have inelastic demand to improve portfolio returns in this environment.
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“Fund”) are pleased to announce the completion of the acquisition of a 70% equity ownership of CCMET
Group of Companies, a leading provider of integrated, full service materials engineering and testing
services throughout Western Canada, by an affiliate of the Fund.
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Stephen Johnston, a partner at Equicapita reports, "Equicapita is pleased to have passed the $100M mark in subscribed capital. Equicapita is part of a group of innovative Calgary based alternative funds seeking alternative investments. As managers we seek to deliver superior investment returns with lower volatility than public markets through private equity investing that combines strong underlying asset fundamentals and a disciplined value style. In practice we look for investments with: established macro drivers (typically in the form of a favourable supply/demand situation) and: a margin of safety (in the form of discounted asset prices, ability to acquire cash flow cheaply). To date, we have successfully deployed capital in multiple investment strategies via a group of funds – in farmland, SME PE, energy and non-bank lending – and currently have approximately $300M in unlevered AUM.
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Stephen Johnston, co-founder of Agcapita, commented "Agcapita believes that prices of Canada farmland, in particular Saskatchewan farmland, are discounted to world averages for a tonne of productive capacity. Part of our investment premise is that this gap will close and with the attention that Canadian farmland is receiving from investors it can obviously happen quite quickly. It is this "margin of safety" return driver that attracted us to Canada and Saskatchewan in the first place.”
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The document is Farm Credit Canada's 2013 Farmland Values Report. It summarizes the average changes in Canadian farmland values from January to December 2013 on a provincial and national level. The key findings are:
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Veripath Farmland Partners Research - portfolio optimization using farmland allocations - minimum risk, maximum Sharpe ratio analysis
1. COPYRIGHT 2020 1
Portfolio Construction Using Canadian Farmland Allocations
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PARTNERS
All rights reserved. Readers may make verbatim copies of this document for non-commercial purposes by any means, provided that this copyright notice appears on all such copies.
PORTFOLIO CONSTRUCTION USING CANADIAN
FARMLAND ALLOCATIONS
ABSTRACT:
A review of the Canadian farmland market over the
last 30 years reveals: a farmland holding would have
improved the financial performance of typical investor
portfolios; a realized volatility that was lower than
stocks; a realized return that was greater than bonds;
a low correlation to traditional financial asset returns;
and domestic institutional investors are under-invest-
ed relative to efficient frontier analysis.
KEYWORDS:
Farmland, equities, bonds, efficient investment,
investment portfolio, portfolio performance, pension
plan, institutional investment, commercial real estate
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INTRODUCTION:
In the current zero interest rate policy “ZIRP” environ-
ment, institutional investors are increasingly looking
to less traditional asset classes to generate returns.
One such asset class that has been the beneficiary
of this push into alternatives in the last decade is
farmland. We believe this is warranted as our research
supports the conclusion that farmland investments
materially improve portfolio performance and institu-
tional investors are under-invested in this asset class
relative to other portfolio allocations. The following is
a survey of abstracts from relevant research papers
in the area:
Lins, Kowalski, and Hoffman (1992) Abstract:
Farmland equates to approximately 5% of the
market capital of assets in the United States but is
a de minimis allocation in institutional portfolios.
The financial performance of U.S. portfolios that
included U.S. stocks, bonds, and commercial real
estate, could be improved by adding U.S. farmland.
Shiha and Chavas (1995) Abstract: “In this paper
we present and test a segmented capital market
equilibrium. We extend the traditional CAPM by ex-
plicitly considering barriers to the flow of external
equity capital into farm real estate markets. The
empirical results provide a plausible explanation
as to why the traditional arbitrage-based pricing
models fail to explain equity pricing in farmland
markets.”
Lence and Miller (1999) Abstract: “The pres-
ent study investigates whether the farmland
“constant-discount-rate present-value-model
(CDR-PVM) puzzle” is due to transaction costs.
The theoretical implications of transaction costs
for the CDR-PVM of farmland are discussed,
and two bootstrap tests of such implications are
introduced and applied to Iowa farmland prices
and rents. Empirical results regarding the validity
of the CDR-PVM in the presence of typical trans-
action costs are ambiguous. Econometric tests
indicate that the CDR-PVM is consistent with
typical transaction costs assuming a one-period
holding horizon, but not when an infinite-holding
horizon is hypothesized.”
Painter (2002) Abstract: “Farmland has been a
good investment over the past 30 years, as part of
an internationally diversified medium-risk portfo-
lio. For average or medium levels of risk, farmland
can enhance the financial performance of an
investment portfolio. Investors who choose to
maintain a low-risk portfolio will not include farm-
land and, similarly, the gains at the high-risk level
are also very minimal. The financial gains from
farmland are a result of its negatively correlated
returns with other equity markets. When added to
an equity portfolio, the risk is reduced while main-
taining the same rate of return on investment. This
is especially true of the medium-risk portfolios.
Farmland investment has associated problems
including illiquidity, poor marketability and asset
lumpiness. A potential solution to these problems
is to allow the organization of a Saskatchewan (or
Canadian) farmland mutual fund.”
Painter (2010) Abstract: “This study shows that
for the period 1990-2007, international portfolio
investment performance was significantly im-
proved with the addition of Canadian farmland.
Farmland in Canada is considered relatively low
risk, enters the efficient portfolios at low risk
levels and adds the most financial improvement
to low and medium risk portfolios. Compared with
T-bills and long bonds, farmland has higher risk
and yield, but lower risk than stocks. Compared
with stocks, farmland has income yields and risk
that are similar to or better than dividend yields
and risk on stocks while farmland has capital gain
yields and risk that are usually lower, on average,
than stocks. The low and negative correlation of
farmland yields with stocks and bonds make it a
good candidate for portfolio diversification bene-
fits.”
Painter (2015) Abstract: In recent years, as North
American farmland prices have continued to rise,
a number of North American public farmland in-
vestment trusts have been formed to offer inves-
tors a liquid and marketable farmland investment
vehicle. How risky are these farmland REITs?
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Portfolio Construction Using Canadian Farmland Allocations
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This paper compares the investment risk with
other popular investment options such as bonds,
stocks, gold, oil and real estate using several well-
known and accepted methods of risk analysis, in-
cluding overall yield variance, CAPM, Value at Risk
(VAR), and Drawdown. North American Farmland
REIT has less risk than gold, oil, REITs and stock
markets.
DISCUSSION OF RESULTS:
This paper analyzes the efficient frontier effects of the
addition of farmland to the three portfolio configura-
tions over multiple time series. In summary farmland
consistently demonstrates:
1. Competitive returns: Canadian farmland in-
vestments generated an average return of
14.8% from 2012 to 2016 and 12.4% in the last
10 years (2007 – 2016). This is higher than the
five-year average return of 14.0% and the 10-
year average return of 7.8% for the S&P 500
index. Based on the Sharpe ratio, farmland in-
vestments have given a superior return for the
same amount of risk compared to most asset
classes.
2. Portfolio diversification: Farmland as an asset
class has had low/negative correlation with
other investment classes, which provides di-
versification benefits to its investors.
3. Inflation hedging: Farmland returns demon-
strate a positive correlation with inflation,
making farmland an effective tool for hedging
this risk (farmland, which produces food, has
inelastic demand and can produce better re-
turns during inflationary periods). During peri-
ods of very high inflation Veripath believes this
hedging quality to be even more pronounced.
In the 1970s, western Canadian farmland in-
creased from around $100/acre to over $500/
acre in a decade - significantly outperforming
equities.
4. Generation of income: Farmland investments
help in generating income for investors either
from rental payments (collected from lease-
hold farmers), or as a percentage of harvest
revenue as a part of a crop sharing arrange-
ment, which is basically a joint-venture be-
tween the landowner and the farm operator.
Farmland enjoys almost 100% tenant occu-
pancy rates as rental demand is consistently
high, ensuring that farmland investment in-
comes tendency to remain stable irrespective
of most market conditions, further reducing
return volatility within a diversified investment
portfolio.
From the period data, we generated efficient frontiers
adding a 50/50 allocation of Alberta and Saskatche-
wan farmland.
“The efficient frontier (or portfolio frontier) is a
concept in modern portfolio theory introduced by
Harry Markowitz in 1952. It refers to investment
portfolios which occupy the ‘efficient’ parts of
the risk-return spectrum. Formally, it is the set of
portfolios which satisfy the condition that no other
portfolio exists with a higher expected return but
with the same standard deviation of return. A
combination of assets, i.e. a portfolio, is referred
to as “efficient” if it has the best possible expected
level of return for its level of risk (which is repre-
sented by the standard deviation of the portfolio’s
return). Here, every possible combination of risky
assets can be plotted in risk–expected return
space, and the collection of all such possible
portfolios defines a region in this space. In the
absence of the opportunity to hold a risk-free as-
set, this region is the opportunity set (the feasible
Expected
Return
risk
free
rate
Tangency Portfolio
Efficient Frontier
Best possible CAL
Individual Assets
Standard Deviation
4. COPYRIGHT 2020 4
Portfolio Construction Using Canadian Farmland Allocations
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PARTNERS
set). The positively sloped (upward-sloped) top
boundary of this region is a portion of a parabola
and is called the “efficient frontier.
If a risk-free asset is also available, the opportunity
set is larger, and its upper boundary, the efficient
frontier, is a straight-line segment emanating from
the vertical axis at the value of the risk-free asset’s
return and tangent to the risky-assets-only op-
portunity set. All portfolios between the risk-free
asset and the tangency portfolio are portfolios
composed of risk-free assets and the tangency
portfolio, while all portfolios on the linear frontier
above and to the right of the tangency portfolio
are generated by borrowing at the risk-free rate
and investing the proceeds into the tangency
portfolio.” Source Wikipedia
The time series we utilized are 32, 30, 20 and 10 years.
We measured multiple periods with a view to expos-
ing potential shifts in risk/return profiles over time.
We used three portfolio configurations to represent
distinct investor risk profiles, with “Medium” risk being
a typical 40/60 bond/public equity allocation:
• Low Risk – 100% bonds
• Medium Risk – 40/60 bonds/listed equities
• High Risk – 100% listed equities
SOURCE DATA AND ANALYSIS:
1. Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan
Farmland: 10-Yrs (2007-2016)
6
1. Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan Farmland: 10-Yrs
(2007-2016)
Min. Risk Max. Sharpe
Mean 0.0322 0.0451 0.0581 0.0710 0.0840 0.0969 0.1099 0.12285 0.1228 0.1228 0.1228
St. Dev. 0.0094 0.0115 0.0161 0.0218 0.0278 0.0341 0.0404 0.0467 0.0467 0.0467 0.0467
Sharpe 0.2298 1.3160 1.7421 1.8864 1.9431 1.9687 1.9815 1.9882 1.9882 1.9882 1.9882
F 0.06 0.20 0.33 0.47 0.60 0.73 0.87 1.00 1.00 1.00 1.00
P 0.94 0.80 0.67 0.53 0.40 0.27 0.13 0.00 0.00 0.00 0.00
0.0000
0.0200
0.0400
0.0600
0.0800
0.1000
0.1200
0.1400
0.0000 0.0050 0.0100 0.0150 0.0200 0.0250 0.0300 0.0350 0.0400 0.0450 0.0500
Return
Risk
Efficient Frontier
Min. Risk Max. Sharpe
Mean 0.0322 0.0451 0.0581 0.0710 0.0840 0.0969 0.1099 0.12285 0.1228 0.1228 0.1228
St. Dev. 0.0094 0.0115 0.0161 0.0218 0.0278 0.0341 0.0404 0.0467 0.0467 0.0467 0.0467
Sharpe 0.2298 1.3160 1.7421 1.8864 1.9431 1.9687 1.9815 1.9882 1.9882 1.9882 1.9882
F 0.06 0.20 0.33 0.47 0.60 0.73 0.87 1.00 1.00 1.00 1.00
P 0.94 0.80 0.67 0.53 0.40 0.27 0.13 0.00 0.00 0.00 0.00
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Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan
Farmland: 20-Yrs (1997-2016)
Min. Risk Max. Sharpe
Mean 0.0462 0.0465 0.0467 0.0470 0.0473 0.0476 0.0479 0.04803 0.0483 0.0486 0.0489
St. Dev. 0.0091 0.0091 0.0092 0.0092 0.0093 0.0094 0.0096 0.0096 0.0098 0.0100 0.0102
Sharpe 1.7769 1.8053 1.8225 1.8434 1.8587 1.8684 1.8729 1.8734 1.8715 1.8655 1.8557
F 0.18 0.19 0.19 0.20 0.21 0.21 0.22 0.23 0.23 0.24 0.25
P 0.82 0.81 0.81 0.80 0.79 0.79 0.78 0.77 0.77 0.76 0.75
Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan
Farmland: 30-Yrs (1987-2016)
Min. Risk Max. Sharpe
Mean 0.0544400 0.0544405 0.0544410 0.0544415 0.0544420 0.0544425 0.0544431 0.0544432 0.0544399 0.0544404
St. Dev. 0.0145606 0.0145606 0.0145607 0.0145608 0.0145610 0.0145612 0.0145615 0.0145615 0.0145606 0.0145606
Sharpe 1.678502 1.678535 1.678561 1.678582 1.678598 1.678608 1.678612 1.678612 1.678499 1.678531
F 0.232732 0.232453 0.232174 0.231896 0.231617 0.231338 0.231059 0.230988 0.232762 0.232483
P 0.767268 0.767547 0.767826 0.768104 0.768383 0.768662 0.768941 0.769012 0.767238 0.767517
7
Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan Farmland: 20-Yrs
(1997-2016)
Min. Risk Max. Sharpe
Mean 0.0462 0.0465 0.0467 0.0470 0.0473 0.0476 0.0479 0.04803 0.0483 0.0486 0.0489
St. Dev. 0.0091 0.0091 0.0092 0.0092 0.0093 0.0094 0.0096 0.0096 0.0098 0.0100 0.0102
Sharpe 1.7769 1.8053 1.8225 1.8434 1.8587 1.8684 1.8729 1.8734 1.8715 1.8655 1.8557
F 0.18 0.19 0.19 0.20 0.21 0.21 0.22 0.23 0.23 0.24 0.25
P 0.82 0.81 0.81 0.80 0.79 0.79 0.78 0.77 0.77 0.76 0.75
0.0460
0.0465
0.0470
0.0475
0.0480
0.0485
0.0490
0.0495
0.0090 0.0092 0.0094 0.0096 0.0098 0.0100 0.0102 0.0104
Return
Risk
Efficient Frontier
8
Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan Farmland: 30-Yrs
(1987-2016)
Min. Risk Max. Sharpe
Mean 0.0544400 0.0544405 0.0544410 0.0544415 0.0544420 0.0544425 0.0544431 0.0544432 0.0544399 0.0544404
St. Dev. 0.0145606 0.0145606 0.0145607 0.0145608 0.0145610 0.0145612 0.0145615 0.0145615 0.0145606 0.0145606
Sharpe 1.678502 1.678535 1.678561 1.678582 1.678598 1.678608 1.678612 1.678612 1.678499 1.678531
F 0.232732 0.232453 0.232174 0.231896 0.231617 0.231338 0.231059 0.230988 0.232762 0.232483
P 0.767268 0.767547 0.767826 0.768104 0.768383 0.768662 0.768941 0.769012 0.767238 0.767517
0.0544395
0.0544400
0.0544405
0.0544410
0.0544415
0.0544420
0.0544425
0.0544430
0.0544435
0.0145604 0.0145606 0.0145608 0.0145610 0.0145612 0.0145614 0.0145616
Return
Risk
Efficient Frontier
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Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan
Farmland: 32-Yrs (1985-2016)
9
Efficient Frontiers for Low Risk Portfolio – 100% Bonds – with allocation of 50/50 Alberta and Saskatchewan Farmland: 32-Yrs
(1985-2016)
Min. Risk Max. Sharpe
Mean 0.05466 0.05468 0.05470 0.05472 0.05474 0.05476 0.05478 0.05480 0.05482 0.05484 0.05486
St. Dev. 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142
Sharpe 1.7409 1.7424 1.7435 1.7444 1.7450 1.7455 1.7458 1.7459 1.7458 1.7455 1.7450
F 0.24 0.24 0.23 0.23 0.23 0.23 0.23 0.23 0.23 0.22 0.22
P 0.76 0.76 0.77 0.77 0.77 0.77 0.77 0.77 0.77 0.78 0.78
0.05450
0.05455
0.05460
0.05465
0.05470
0.05475
0.05480
0.05485
0.05490
0.0141 0.0141 0.0141 0.0142 0.0142 0.0142 0.0142 0.0142 0.0143
Return
Risk
Efficient Frontier
Min. Risk Max. Sharpe
Mean 0.05466 0.05468 0.05470 0.05472 0.05474 0.05476 0.05478 0.05480 0.05482 0.05484 0.05486
St. Dev. 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142 0.0142
Sharpe 1.7409 1.7424 1.7435 1.7444 1.7450 1.7455 1.7458 1.7459 1.7458 1.7455 1.7450
F 0.24 0.24 0.23 0.23 0.23 0.23 0.23 0.23 0.23 0.22 0.22
P 0.76 0.76 0.77 0.77 0.77 0.77 0.77 0.77 0.77 0.78 0.78
2. Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50
Alberta and Saskatchewan Farmland: 10-Yrs (2007-2016)
Min. Risk Max. Sharpe
Mean 0.1105 0.1114 0.1122 0.1130 0.1138 0.1146 0.1155 0.11628 0.1171 0.1179 0.1187
St. Dev. 0.0405 0.0406 0.0406 0.0408 0.0410 0.0412 0.0416 0.0419 0.0424 0.0428 0.0433
Sharpe 1.9875 2.0071 2.0224 2.0349 2.0445 2.0514 2.0558 2.0570 2.0557 2.0521 2.0463
F 0.81 0.83 0.84 0.85 0.86 0.87 0.89 0.90 0.91 0.92 0.94
P 0.19 0.17 0.16 0.15 0.14 0.13 0.11 0.10 0.09 0.08 0.06
10
2. Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50 Alberta and Saskatchewan
Farmland: 10-Yrs (2007-2016)
Min. Risk Max. Sharpe
Mean 0.1105 0.1114 0.1122 0.1130 0.1138 0.1146 0.1155 0.11628 0.1171 0.1179 0.1187
St. Dev. 0.0405 0.0406 0.0406 0.0408 0.0410 0.0412 0.0416 0.0419 0.0424 0.0428 0.0433
Sharpe 1.9875 2.0071 2.0224 2.0349 2.0445 2.0514 2.0558 2.0570 2.0557 2.0521 2.0463
F 0.81 0.83 0.84 0.85 0.86 0.87 0.89 0.90 0.91 0.92 0.94
P 0.19 0.17 0.16 0.15 0.14 0.13 0.11 0.10 0.09 0.08 0.06
0.1100
0.1110
0.1120
0.1130
0.1140
0.1150
0.1160
0.1170
0.1180
0.1190
0.1200
0.0400 0.0405 0.0410 0.0415 0.0420 0.0425 0.0430 0.0435
Return
Risk
Efficient Frontier
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PARTNERS
Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50 Alber-
ta and Saskatchewan Farmland: 20-Yrs (1997-2016)
Min. Risk Max. Sharpe
Mean 0.0752 0.0753 0.0755 0.0756 0.0758 0.0759 0.0761 0.07623 0.0764 0.0765 0.0767
St. Dev. 0.0485 0.0485 0.0486 0.0486 0.0487 0.0488 0.0489 0.0491 0.0493 0.0494 0.0497
Sharpe 0.9312 0.9338 0.9370 0.9383 0.9403 0.9411 0.9419 0.9421 0.9418 0.9414 0.9401
F 0.76 0.77 0.78 0.79 0.80 0.81 0.82 0.82 0.83 0.84 0.85
P 0.24 0.23 0.22 0.21 0.20 0.19 0.18 0.18 0.17 0.16 0.15
Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50 Alber-
ta and Saskatchewan Farmland: 30-Yrs (1987-2016)
Min. Risk Max. Sharpe
Mean 0.0626 0.0632 0.0638 0.0644 0.0650 0.0656 0.0662 0.06691 0.0675 0.0681 0.0687
St. Dev. 0.0581 0.0582 0.0584 0.0588 0.0593 0.0600 0.0608 0.0619 0.0629 0.0641 0.0654
Sharpe 0.5607 0.5703 0.5784 0.5850 0.5900 0.5936 0.5958 0.5966 0.5961 0.5944 0.5919
F 0.63 0.61 0.59 0.56 0.54 0.52 0.50 0.47 0.45 0.42 0.40
P 0.37 0.39 0.41 0.44 0.46 0.48 0.50 0.53 0.55 0.58 0.60
11
Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50 Alberta and Saskatchewan
Farmland: 20-Yrs (1997-2016)
Min. Risk Max. Sharpe
Mean 0.0752 0.0753 0.0755 0.0756 0.0758 0.0759 0.0761 0.07623 0.0764 0.0765 0.0767
St. Dev. 0.0485 0.0485 0.0486 0.0486 0.0487 0.0488 0.0489 0.0491 0.0493 0.0494 0.0497
Sharpe 0.9312 0.9338 0.9370 0.9383 0.9403 0.9411 0.9419 0.9421 0.9418 0.9414 0.9401
F 0.76 0.77 0.78 0.79 0.80 0.81 0.82 0.82 0.83 0.84 0.85
P 0.24 0.23 0.22 0.21 0.20 0.19 0.18 0.18 0.17 0.16 0.15
0.0750
0.0752
0.0754
0.0756
0.0758
0.0760
0.0762
0.0764
0.0766
0.0768
0.0484 0.0486 0.0488 0.0490 0.0492 0.0494 0.0496 0.0498
Return
Risk
Efficient Frontier
12
Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50 Alberta and Saskatchewan
Farmland: 30-Yrs (1987-2016)
Min. Risk Max. Sharpe
Mean 0.0626 0.0632 0.0638 0.0644 0.0650 0.0656 0.0662 0.06691 0.0675 0.0681 0.0687
St. Dev. 0.0581 0.0582 0.0584 0.0588 0.0593 0.0600 0.0608 0.0619 0.0629 0.0641 0.0654
Sharpe 0.5607 0.5703 0.5784 0.5850 0.5900 0.5936 0.5958 0.5966 0.5961 0.5944 0.5919
F 0.63 0.61 0.59 0.56 0.54 0.52 0.50 0.47 0.45 0.42 0.40
P 0.37 0.39 0.41 0.44 0.46 0.48 0.50 0.53 0.55 0.58 0.60
0.0620
0.0630
0.0640
0.0650
0.0660
0.0670
0.0680
0.0690
0.0700
0.0570 0.0580 0.0590 0.0600 0.0610 0.0620 0.0630 0.0640 0.0650 0.0660
Return
Risk
Efficient Frontier
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PARTNERS
Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50 Alber-
ta and Saskatchewan Farmland: 32-Yrs (1985-2016)
Min. Risk Max. Sharpe
Mean 0.0606 0.0620 0.0634 0.0648 0.0662 0.0676 0.0690 0.07017 0.0715 0.0729 0.0743
St. Dev. 0.0578 0.0580 0.0586 0.0595 0.0608 0.0625 0.0644 0.0663 0.0686 0.0712 0.0741
Sharpe 0.5291 0.5516 0.5701 0.5845 0.5950 0.6018 0.6054 0.6063 0.6053 0.6024 0.5981
F 0.59 0.56 0.52 0.49 0.45 0.42 0.38 0.36 0.32 0.29 0.25
P 0.41 0.44 0.48 0.51 0.55 0.58 0.62 0.64 0.68 0.71 0.75
3. Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and
Saskatchewan Farmland: 10-Yrs (2007-2016)
Min. Risk Max. Sharpe
Mean 0.1190 0.1191 0.1193 0.1195 0.1197 0.1199 0.1201 0.12010 0.1203 0.1205 0.1207
St. Dev. 0.0435 0.0436 0.0436 0.0436 0.0437 0.0437 0.0438 0.0438 0.0439 0.0441 0.0442
Sharpe 2.0430 2.0458 2.0495 2.0523 2.0543 2.0555 2.0559 2.0559 2.0555 2.0543 2.0524
F 0.91 0.92 0.92 0.93 0.93 0.93 0.94 0.94 0.94 0.95 0.95
P 0.09 0.08 0.08 0.07 0.07 0.07 0.06 0.06 0.06 0.05 0.05
13
Efficient Frontiers for Medium Risk Portfolio – 60/40 Equities and Bonds – with added allocation of 50/50 Alberta and Saskatchewan
Farmland: 32-Yrs (1985-2016)
Min. Risk Max. Sharpe
Mean 0.0606 0.0620 0.0634 0.0648 0.0662 0.0676 0.0690 0.07017 0.0715 0.0729 0.0743
St. Dev. 0.0578 0.0580 0.0586 0.0595 0.0608 0.0625 0.0644 0.0663 0.0686 0.0712 0.0741
Sharpe 0.5291 0.5516 0.5701 0.5845 0.5950 0.6018 0.6054 0.6063 0.6053 0.6024 0.5981
F 0.59 0.56 0.52 0.49 0.45 0.42 0.38 0.36 0.32 0.29 0.25
P 0.41 0.44 0.48 0.51 0.55 0.58 0.62 0.64 0.68 0.71 0.75
0.0550
0.0600
0.0650
0.0700
0.0750
0.0800
0.0550 0.0600 0.0650 0.0700 0.0750 0.0800
Return
Risk
Efficient Frontier
14
3. Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and Saskatchewan Farmland: 10-
Yrs (2007-2016)
Min. Risk Max. Sharpe
Mean 0.1190 0.1191 0.1193 0.1195 0.1197 0.1199 0.1201 0.12010 0.1203 0.1205 0.1207
St. Dev. 0.0435 0.0436 0.0436 0.0436 0.0437 0.0437 0.0438 0.0438 0.0439 0.0441 0.0442
Sharpe 2.0430 2.0458 2.0495 2.0523 2.0543 2.0555 2.0559 2.0559 2.0555 2.0543 2.0524
F 0.91 0.92 0.92 0.93 0.93 0.93 0.94 0.94 0.94 0.95 0.95
P 0.09 0.08 0.08 0.07 0.07 0.07 0.06 0.06 0.06 0.05 0.05
0.1188
0.1190
0.1192
0.1194
0.1196
0.1198
0.1200
0.1202
0.1204
0.1206
0.1208
0.0435 0.0436 0.0437 0.0438 0.0439 0.0440 0.0441 0.0442 0.0443
Return
Risk
Efficient Frontier
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PARTNERS
Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and
Saskatchewan Farmland: 20-Yrs (1997-2016)
Min. Risk Max. Sharpe
Mean 0.07908 0.07908 0.07909 0.07909 0.07909 0.07909 0.07909 0.07909 0.07909 0.07910 0.07910
St. Dev. 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05353 0.05353
Sharpe 0.91717 0.91720 0.91721 0.91722 0.91723 0.91724 0.91725 0.91725 0.91724 0.91724 0.91723
F 0.90 0.90 0.90 0.91 0.91 0.91 0.91 0.91 0.91 0.91 0.91
P 0.10 0.10 0.10 0.09 0.09 0.09 0.09 0.09 0.09 0.09 0.09
Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and
Saskatchewan Farmland: 30-Yrs (1987-2016)
Min. Risk Max. Sharpe
Mean 0.0601 0.0613 0.0625 0.0637 0.0649 0.0661 0.0673 0.06880 0.0700 0.0712 0.0724
St. Dev. 0.0685 0.0687 0.0692 0.0701 0.0714 0.0730 0.0749 0.0777 0.0803 0.0830 0.0860
Sharpe 0.4395 0.4559 0.4695 0.4804 0.4886 0.4943 0.4977 0.4991 0.4983 0.4962 0.4930
F 0.83 0.80 0.78 0.75 0.72 0.69 0.66 0.63 0.60 0.57 0.54
P 0.17 0.20 0.22 0.25 0.28 0.31 0.34 0.37 0.40 0.43 0.46
15
Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and Saskatchewan Farmland: 20-
Yrs (1997-2016)
Min. Risk Max. Sharpe
Mean 0.07908 0.07908 0.07909 0.07909 0.07909 0.07909 0.07909 0.07909 0.07909 0.07910 0.07910
St. Dev. 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05352 0.05353 0.05353
Sharpe 0.91717 0.91720 0.91721 0.91722 0.91723 0.91724 0.91725 0.91725 0.91724 0.91724 0.91723
F 0.90 0.90 0.90 0.91 0.91 0.91 0.91 0.91 0.91 0.91 0.91
P 0.10 0.10 0.10 0.09 0.09 0.09 0.09 0.09 0.09 0.09 0.09
0.07908
0.07908
0.07909
0.07909
0.07909
0.07909
0.07909
0.07910
0.07910
0.05351 0.05352 0.05352 0.05352 0.05352 0.05352 0.05353 0.05353
Return
Risk
Efficient Frontier
16
Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and Saskatchewan Farmland: 30-
Yrs (1987-2016)
Min. Risk Max. Sharpe
Mean 0.0601 0.0613 0.0625 0.0637 0.0649 0.0661 0.0673 0.06880 0.0700 0.0712 0.0724
St. Dev. 0.0685 0.0687 0.0692 0.0701 0.0714 0.0730 0.0749 0.0777 0.0803 0.0830 0.0860
Sharpe 0.4395 0.4559 0.4695 0.4804 0.4886 0.4943 0.4977 0.4991 0.4983 0.4962 0.4930
F 0.83 0.80 0.78 0.75 0.72 0.69 0.66 0.63 0.60 0.57 0.54
P 0.17 0.20 0.22 0.25 0.28 0.31 0.34 0.37 0.40 0.43 0.46
0.0500
0.0550
0.0600
0.0650
0.0700
0.0750
0.0600 0.0650 0.0700 0.0750 0.0800 0.0850 0.0900
Return
Risk
Efficient Frontier
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PARTNERS
Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and
Saskatchewan Farmland: 32-Yrs (1985-2016)
Min. Risk Max. Sharpe
Mean 0.0564 0.0590 0.0616 0.0642 0.0668 0.0694 0.0720 0.07480 0.0774 0.0800 0.0826
St. Dev. 0.0701 0.0706 0.0720 0.0744 0.0775 0.0814 0.0859 0.0914 0.0969 0.1027 0.1089
Sharpe 0.3761 0.4109 0.4387 0.4599 0.4746 0.4840 0.4889 0.4904 0.4894 0.4867 0.4829
F 0.79 0.75 0.70 0.66 0.61 0.57 0.52 0.47 0.43 0.38 0.34
P 0.21 0.25 0.30 0.34 0.39 0.43 0.48 0.53 0.57 0.62 0.66
CONCLUSIONS:
Canadian farmland has been a good investment over multiple time periods both short and long term. For a medium
risk portfolio represented by equity/bond holdings of 60/40 weighting, farmland enhanced financial performance
and a material allocation is supportable.
NOTES:
The data used to derive the data series in this paper come from multiple sources listed below:
Farmland price change Farm Credit Canada
CPI StatsCan
Oil http://www.macrotrends.net/1369/crude-oil-price-history-chart
Natgas https://www.eia.gov/dnav/ng/hist/n9190us3a.htm
Gold http://onlygold.com/Info/Historical-Gold-Prices.asp
GDP https://tradingeconomics.com/canada/gdp
Residential properties https://tradingeconomics.com/canada/housing-index
Bond - 10yr sovereign https://tradingeconomics.com/canada/government-bond-yield
exchange rate https://tradingeconomics.com/canada/currency
S&P 500 http://finance.yahoo.com/echarts?s=%5Egspc+interactive
17
Efficient Frontiers for High Risk Portfolio – 100% Equities – with added allocation of 50/50 Alberta and Saskatchewan Farmland: 32-
Yrs (1985-2016)
Min. Risk Max. Sharpe
Mean 0.0564 0.0590 0.0616 0.0642 0.0668 0.0694 0.0720 0.07480 0.0774 0.0800 0.0826
St. Dev. 0.0701 0.0706 0.0720 0.0744 0.0775 0.0814 0.0859 0.0914 0.0969 0.1027 0.1089
Sharpe 0.3761 0.4109 0.4387 0.4599 0.4746 0.4840 0.4889 0.4904 0.4894 0.4867 0.4829
F 0.79 0.75 0.70 0.66 0.61 0.57 0.52 0.47 0.43 0.38 0.34
P 0.21 0.25 0.30 0.34 0.39 0.43 0.48 0.53 0.57 0.62 0.66
0.0550
0.0600
0.0650
0.0700
0.0750
0.0800
0.0850
0.0550 0.0650 0.0750 0.0850 0.0950 0.1050 0.1150
Return
Risk
Efficient Frontier
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VERIPATH
PARTNERS
REFERENCES:
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3. Lence, Sergio H. and Douglas J. Miller (1999).
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in Saskatchewan Farmland” 13th International
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