The Global VaR Concept & Product Line
|
|
- Iris Gilbert
- 8 years ago
- Views:
Transcription
1 CAAM London Global Bond & Currency Management The Global VaR Concept & Product Line January 2008
2 Organisation & Business of CAAM
3 CAAM (London Branch) Investment & Support teams Chief Investment Officer Bruno Crastes, CEO International Bond & Currency Vincent Chailley Global Long/Short & UK equities Rae Brooks UK institutions Fixed Income Russell Büsst 5.3 bn. 22 investment managers (inc. 3 in Singapore) + 5 analysts Benchmark mgt. Absolute return Forex funds Overlay Equity Total (Dec. 07) 16.5 bn bn. 1.2 bn bn. 0.5 bn bn. Client servicing 4 (London) - Marc Maudhuit Currency & Derivative dealing 4 (London) - Aurélie Brandy Middle office Juliette Caillot Risk control Stéphane Ruegg Compliance Gaël Kerrigan 14 (London) + 8 (Sing.) 4 (London) + 1 (Singapore) 3 (London) Page 2
4 CAAM (London Branch) Investment Teams Page 3 CAAM (London Branch) CEO & CIO Bruno Crastes GLOBAL BOND AND CURRENCY MANAGEMENT Vincent Chailley, Head / Cedric Morisseau, Deputy Head Carlos Galvis Raphaël Stefani Mervin Yeung Merrick Styles Eddie Pong Rajeesh Purih Vivek Mahtani Charles Zerah Loïc Cadiou Sergeï Strigo Thomas Delabre Philippe Jauer Markus Krygier Yves Casa Lhoucine Aderdor Ludovic Colin Stéphane Leclerc Jeremy Touboul Alain Casiraghi Philippe Jauer Marc Plans Christophe Chapuis Matthew Fairclow Patricia Rimes Patrick Chia Hervé Hanoune Jean-Baptiste Roux Pascal Dubreuil * Denotes pending FSA registration QUANTITATIVE MANAGEMENT Quantitative management Quantitative Management Quantitative Management Quantitative Management (trainee*) Quantitative Analyst Quantitative Analyst Quantitative Analyst CREDIT Emerging market bonds & currencies Emerging market bonds & currencies Emerging market bonds and currencies (trainee*) Emerging market bonds and currencies analyst Global corporate credit Global corporate credit TRADING Head of Forex trading Currency trader assistant (trainee*) Volatility & Emerging Currency trader Head of derivative trading Derivatives trading Commodity futures trading CASH MANAGEMENT Head of Cash management Cash manager Cash manager Cash manager Cash manager SINGAPORE GLOBAL BD & CCY MGT Head of Singapore Global Bond & Currency mgt Investment manager Investment manager (trainee*) Emerging corporate bond analyst (trainee*)
5 CAAM (London Branch) Support Teams CAAM (London Branch) CEO & CIO Bruno Crastes CLIENT SERVICING Marc Maudhuit Jacques Keller Alexandra Meheust Camille du Haÿs Head of Client servicing Client Servicing Client Servicing Client Servicing CAAM (London Branch) deputy CEO Jean-Noël Alba DEALING Aurélie Brandy Aurélie Kevin Brandy Hughes Kevin Steven Hughes Fawn Steven Mark Fawn Hudson Mark Hudson Stéphane Ruegg Erwan Guilloux Romain Mercier Francois Carrie Gaël Kerrigan Marc Largan David Monk Head of FX & Derivatives dealing Head of Currency FX dealing dealing Currency Currency dealing dealing Currency Derivatives dealing dealing Derivative sdealing RISK CONTROL & COMPLIANCE Head of risk control Risk manager Risk manager Risk manager Head of compliance Compliance officer Compliance officer Page 4
6 Presentation of CAAM London Branch
7 A core-satellite organisation CIO B.Crastes P.-L. Martin Emerging markets T. Delabre C. Zerah R. Brooks Equities M. Yeung L. Cadiou C. Morisseau M. Styles G. Legoff S. Strigo P. Jauer V. Chailley E. Pong P Chia C. Galvis H Hanoune R. Purih R. Stefani S. Leclerc Trading Derivatives Forex Y. Casa Page 6 A. Casiraghi J. Touboul L. Colin JB Roux L. Aderdor
8 Absolute Return Management : Beta vs. Alpha management Traditional management Alternative management Benchmark-oriented Beta management Minimization of costs Limited diversification Accounting reading Asset allocation Performance-oriented Alpha creation Maximization of revenues Maximum diversification Financial reading Risk allocation Beta versus Alpha Management : Two radically different management approaches Page 7
9 Definition of Value at Risk VaR 20 Fund +/ X 90% confidence level +/ % confidence level VaR: This area represents the 5% risk that the portfolio under-performs its expected return by more than its VaR (20%) over one year. Source : CAAM Target Return less 20% Target Return: LIBOR + X% (std. deviations) Page 8
10 Philosophy & Investment Process
11 Philosophy and investment process Over the long term, a portfolio manager cannot rely on prediction alone... Global Alpha Individual alpha Individual skills = X Organisation Adding up individual skills 70% 60% 50% Limited to 60-65% success-ratio Vulnerable when under pressure Consumes resources exponentially Maintains the quality from the decision to the position Releases pressure from the manager Size makes it harder Page 10
12 Philosophy and investment process Multiply skills Statistical and objective diversification provide risk-reduction and return normalization OECD bonds T-Notes OATs CURRENCIES $ Gilts JGBs Bunds CAD Strategic positions Global exposure Country allocation Yield curve allocation CREDIT Total Active Risk USD exposure Inter-bloc (EUR, JPY, CAD) Intra-bloc Emerging mkts ccy exposure EQUITIES Global exposure Style allocation Global exposure Country allocation Country/Style allocation Short-term opportunistic Emg mkts relative value Emg mkts ccy allocation Corporate debt opportunistic OVERLAYS Derivative trading Commodity trading Currency trading Volatility Sector allocation Long-short stock-picking Page 11
13 Philosophy and investment process A 5-step investment process... Risk and performance measurement and control Crédit Agricole & external research, CAAM global fixed income Global fixed income & Quantitative research Global fixed income & Quantitative research Strategic analysis Macroeconomic scenario Yield and currency scenario construction Interest rate & currency grids Risk-adjusted model portfolio construction Model Portfolios Macroeconomic and market data Market data Management guidelines 5 Global fixed income Real portfolio construction 4 Bond selection, market timing, trading, etc. Real portfolios Page 12
14 Making decisions and a single decision-maker per source of performance London CIO Control * In the case of mandates & indexbenchmarked funds, the 5 trading overlay is implemented by the portfolio manager as part of his discretion limit, rather than delegated with a VaR budget to specialist overlay managers Style segregation Decision : Head of Global FI Inputs : Macro-eco, valuation, flows, risk and correlation sentiment Decision : Head of Global FI Inputs : Macro-eco, valuation, flows BONDS 2. Country 3. Curve BONDS CREDIT 2. Style alloc. CCIES CREDIT EQUITIES CCIES 2. Inter-bloc 3. Intra-bloc EQUITIES 2. Zone 3. Country / Industry DIRECTIONAL (30% ; 50%)* RELATIVE (40% ; 20%) Different horizons Decision : Overlay manager* Inputs : macro, micro, technical, price action BONDS 4. Derivative trading 5. Commodities CREDIT 3. Corpo tilt 4. Emg Ctry. 5. Lg/shrt arb. CCIES 4. Emg alloc. 5. Quant. Trad. EQUITIES 4. Sector 5. Long-short OVERLAYS* (30% ; 30%) VOLATILITY Page 13 * : (past 10-year risk allocation ; 2007 risk allocation)
15 Making decisions: Overlay management risk allocation Overlay VaR budget 2007 Objective diversification for more opportunities and better robustness OVERLAYS 30% of sum of VaRs Page 14 TRADING Derivative & commodity trading Currency & Volatility OverlayEmergent CREDIT (Dette & devises) Emerging market arbitrage Emg mkts currency arbitrage Overlay EQUITIES Actions 2 nd level Sector allocation Long/short equity 40% of VaR max = 30% of VaR max. + 12% of VaR max. + 15% of VaR max. + 17% of Diversification Fund manager: 18% of VaR max. P.G.T.: 18% of VaR max. Derivative trading (inc. Cmdty.): 12% of VaR max. Currency & Volatility: 12% of VaR max. Horizon < 1 mth B&E deriv.: 8% of VaR max. Commodity: 6% of VaR max. G 10 Ccy.: 8% of VaR max. Emerg. Ccy.:4% of VaR max. Volatility: 4% of VaR max.
16 Making decisions: Overlay management Decision makers OverlayEmergent CREDIT (Dette & devises) Overlay EQUITIES Actions BD & CCY EMG MKTS L.Cadiou C.Zerah S.Strigo ANALYSIS T. Delabre P.Dubreuil G10 CORPO Europe & US Lg/Short P.Jauer R.Brooks G.Legoff W.Maby JP.Bry THEMATIC PG.Moucan TRADING BONDS EQUITIES COMMODITIES VOLATILITY CURRENCIES EMG MKTS S.Leclerc 18% 18% Head of Derivatives trading Y.Casa Head of Currency trading Judgmental (4) + Volatility (8) Model trading (10) J.Touboul Derivative trader A.Casiraghi Commodity trader Tech. analysis (4) Model (8) L.Aderdor Currency trader J.B. Roux Ccy trader L.Colin Emg mkts Model (4) Model (4) Judg. + Vol (6) Page 15
17 Investment Process : Translate views into positions (translate skill into positions) In a broad investment universe, a human being cannot accurately and consistently consider correlations and volatility Qualitative views OECD bonds Duration: - US & Jap. vs EMU: = Flattening US: ++ Swap spreads: -/2 Complete quantitative market forecasts Emerging bonds Latam (Brazil): - Argentina : + Central Europe : +/2 Russia : + Qualitative views Dual Z- scoring Market scenario Currencies USD exposure: + EUR & JPY blocs: - Commodity-bloc: + etc. Consistency checking The computer double-checks and quantifies the scenario MAXIMUM CONSISTENCY Page 16
18 Investment Process : Translate views into positions (translate skill into positions) Constraints are introduced at the very end of the process so that portfolios benefit from all the markets views Final bond & currency strategy forecasts Investor s objectives & constraints (benchmark & tracking error) Optimisation Modified duration allocation Currency allocation Emerging market allocation Ex-ante portfolio analysis Model portfolios Page 17
19 Investment Process : Day-to-day management (optimize performance and absorb shocks) Dynamic risk monitoring Instant-update & global risk monitoring is key for consistency and reactivity Contribution to global risk measured real-time along every source of performance Active control of strategic vs. tactical risk Aggregated risk measured real-time thanks to a global variancecovariance matrix based on JPM RiskMetrics technology M B P P-B P-LP VaR breakdown TE CHECK 95% VaR 3.98% <4% G4 132 Ccy VaR 1.45% <2% CA-AM DYNARBITRAGE Vol G10 87 Bond VaR 1.95% VAR 4 <2% 1 Emg 119 Credit VaR 0.59% <2% Carry Trading 20 Equity VaR 1.92% <2% 0.8 Date: 21-Apr-05 Expo. 144 VaR / LP 1.25% <1.3% Rating AAA BB BB -BBB- Zone 104 Total ex-mm 14% <100% 0.6 Bench. EU R IB OR _ 3 m_ EU R Country 52 Comm. Bonds 8% Currencies Curve 29 Comm. Credit 4% 0.4 M.Portf. EURIBOR GLOBAL 1 Swap 22 Comm. Equities 3% Int. Rates Credit exp. 31 Total Off-bal. 78% 0.2 <100% EUR 2577 EUR Ctry/Pick. 51 Comm. Repos 5% Swaps 172 Equity exp. 178 Comm. Futures 64% 0 Update Country 52 Comm. Sw aps 9% Credit CURRENCIES Equities BONDS Sector 44 Comm. Options Long/Short 20 Volatility 10 P-B MP-B Ccy 1-3 y 3-7 y 7-15 y y Total swap Country Wght MD sps yld Sector EMU EXE NAM JPY PAX EUR -3.0 $ EUR RU Russia IN Industrials SEK 2.4 SEK HR Croatia #N/A CD Cons. Discr NOK -bloc PLN CZ Czech Republic #N/A MT Materials CHF -4.0 DKK TR Turkey FN Financials PLN 3.0 GBP BG Bulgaria 1 IT Info. Technology 5 8 HUF TC Telecommunication 141 Services P USD BR Brazil HC Health Care GBP 0.7 CAD AR Argentina MT Materials USD 1.4 -Emg AUD JM Jamaica #N/A EN Energy CAD -1.8 MXN CR Costa Rica #N/A UT Utilities AUD 2.8 Y-bloc ZAR TOTAL NZD 0.0 JPY ZAR Y 300 SGD PK Pakistan #N/A A sia 250 MXN A merica 4.9 Oth. VN Vietnam #N/A Y-P 200 Euro pe Total : KZ Kasakhstan #N/A JPY DO Dominican Republic Commo KRW Ccies PHP Oth Latam 200 Bonds MYR Credit Total D ef. C ycl. F in. T M T N C ycl. IDR Asia A llo c 10 A vg OPTIONS Others 50 8 Oth. 0.0 Bonds Equities Currencies 0 6 $ $ /$ /Y $ -blocy-bloccommo Emg Options Total % -2% A A A B B B B B B C C C C / D N R P_B CREDIT EQUITIES 2 full-time developers: E.Pong R.Puri Real-time position monitoring on all asset classes Page 18
Amundi Asset Management (previously Credit Agricole Asset Management)
Amundi Asset Management (previously Credit Agricole Asset Management) Manages global multi-sector bonds for MLC, since 2010. Manages $1 trillion, across the world, as at 31 March 2010 Amundi was formed
More informationGFMA GLOBAL FX DIVISION OTC FX OPTIONS CLEARING & SETTLEMENT ANALYSIS RESULTS NOVEMBER 18, 2013
GFMA GLOBAL FX DIVISION OTC FX OPTIONS CLEARING & SETTLEMENT ANALYSIS RESULTS NOVEMBER 18, 2013 OTC FX Options Clearing & Analysis Results Contents I. Executive Summary II. Background III. Summary Results
More informationAxioma Risk Monitor Global Developed Markets 29 June 2016
Axioma Risk Monitor Global Developed Markets 29 June 2016 1. Global volatility hotspots 2. Global correlation hotspots www.axioma.com Greater than 1% rise over last week Greater than 1% fall over last
More informationClearing Firm ID No. Asset Account ID No.
CLEARING MEMBER SETTLEMENT AND CUSTODY LISTING AND DEBIT AUTHORIZATION Clearing Firm ID No. Asset Account ID No. NOTE: CLEARING MEMBER FIRM MUST CONTACT ITS DESIGNATED S AND EXECUTE ALL DEBIT AUTHORITY
More informationNEI Global Total Return Bond Fund Managed by Amundi Asset Management
NEI Global Total Return Bond Fund Managed by Amundi Asset Management Tapping value wherever it exists. A broad fixed income and currency universe. Full cycle product. CANADIAN FIXED INCOME ALLOCATIONS
More informationInvestment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients
Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This
More informationInvestment Strategies for Pension Funds. Christopher Nichols Investment Director, Multi Asset Investing Standard Life Investments (UK)
Investment Strategies for Pension Funds Christopher Nichols Investment Director, Multi Asset Investing Standard Life Investments (UK) Pensions need consistency but markets deliver chaos Discrete Yearly
More informationJornadas Economicas del Banco de Guatemala. Managing Market Risk. Max Silberberg
Managing Market Risk Max Silberberg Defining Market Risk Market risk is exposure to an adverse change in value of financial instrument caused by movements in market variables. Market risk exposures are
More informationCLS Statistics on Foreign Exchange Activity
CLS Statistics on Foreign Exchange Activity October 18, 2010 www.cls-group.com CLS and the CLS Logo are registered trademarks of CLS UK Intermediate Holdings Ltd 2010 CLS UK Intermediate Holdings Ltd.
More information2015 FUZZY DAY CONFERENCE Facts that are Not Facts. The US dollar Safe Haven Myth and the United States Hedge Fund.
2015 FUZZY DAY CONFERENCE Facts that are Not Facts The US dollar Safe Haven Myth and the United States Hedge Fund Alessio de Longis 1 The Role of Currency in Institutional Portfolios, edited by Momtchil
More informationOption Contract Size. Spreads as low as (in pips) Standard Lot 100,000 of 1st Ccy, Mini Lot 10,000 of 1st Ccy. 10:00am EST**
MARKET INFORMATION SHEETS FX OPTIONS* Pairs Available (Calls & Puts) Trading Hours Margin Requirement Contract Listings Strikes*** Option Expiration (Cut) Time** Option Contract Size Spreads as low as
More informationRisk Management for Fixed Income Portfolios
Risk Management for Fixed Income Portfolios Strategic Risk Management for Credit Suisse Private Banking & Wealth Management Products (SRM PB & WM) August 2014 1 SRM PB & WM Products Risk Management CRO
More informationApril 2012. The European Fund Classification. EFC Categories
April 2012 The European Fund Classification EFC Categories Table of Contents 1. Introduction... 1 2. Historical Background... 1 3. State of Play... 2 4. Overview of the European Fund Classification...
More informationExperience with external active fixed income managers - NBIM
Page 1 of 5 Experience with external active fixed income managers This article summarises nearly five years experience with external fixed income managers. During this period, net excess return in relation
More informationMerchant's Default Payout in local currency
HiPay Mobile - 1 - EUROPE - AUSTRIA - Direct Carrier Billing Local EUR 1,10 0,92 Activated 0,3328 EUR 2,00 1,67 Activated 0,6870 EUR 3,00 2,50 Activated 1,1250 EUR 4,00 3,33 Activated 1,6797 EUR 5,00 4,17
More informationSAXO CAPITAL MARKETS UK LTD - EQUITY ACTIVE TRADER Rates and Conditions, valid from 1 July 2015
STOCKS & ETFs FLAT FEE THRESHOLD COMMISSION ABOVE MAIN MARKETS FLAT FEE (TRADE SIZE) THRESHOLD NASDAQ, NYSE & NYSE ARCA 1) Stocks 6,000 shares 0.7 cps/share London Stock Exchange 1) Stocks 5 GBP 30,000
More informationInformation on our MiFID order handling & execution policy
Public Information on our MiFID order handling & execution policy Product General Procedure - Foreign Exchange This is a supplement to the information on our MiFID order handling & execution policy July
More informationSTANDARD TARIFF SCALE STOCK, ADR, ETF
ANNEX 1 TO BROKERAGE SERVICE AGREEMENT USA Canada Mexico Austria Belgium France NORTH AMERICA Fee EUROPE Germany SWB FWB (1) Chi-X/NURO/Turqoise DE Xetra ETFs Xetra - Stocks Italy Netherlands Spain Sweden
More informationThe Money Market. Juan Barragan ECP January 2009
The Money Market Juan Barragan ECP January 2009 The Money Market Central Banks They drive the Money Market. They make funds available to commercial banks. They ensure liquidity. Funds available for a short
More informationThe benchmark portfolio for the Government Pension Fund Global
Letter to the Ministry of Finance The benchmark portfolio for the Government Pension Fund Global 1. Background In its letter dated 20 June 2008, the Ministry of Finance asked for Norges Bank s recommendations
More informationROYAL LONDON ABSOLUTE RETURN GOVERNMENT BOND FUND
ROYAL LONDON ABSOLUTE RETURN GOVERNMENT BOND FUND For professional investors only A NEW OPPORTUNITY Absolute return funds offer an attractive, alternative source of alpha outright or as part of a balanced
More informationSchroders Investment Risk Group
provides investment management services for a broad spectrum of clients including institutional, retail, private clients and charities. The long term objectives of any investment programme that we implement
More informationModerator Timothy Wilson
Investment Symposium March 2012 P2: Portfolio Construction: Asset Allocation versus Risk/Strategy Buckets Marc Carhart Radu Gabudean Moderator Timothy Wilson Beyond Modern Portfolio Theory Radu C. Gabudean
More informationKey investor information document Glossary
Key investor information document Glossary TERMS DEFINITION Absolute Return The appreciation or depreciation (expressed as a percentage of the Net Asset Value) that a Sub-Fund achieves over a given period
More informationWhat moves if oil moves? Be aware of indirect oil exposure and make use of it
What moves if oil moves? Be aware of indirect oil exposure and make use of it DR BERND MEYER CFA HEAD OF CROSS ASSET STRATEGY dr.bernd.meyer@ commerzbank.com Large changes in the oil price and elevated
More informationFixed Income Training Seminar Asset Management Experience
Asset Management Fixed Income Training Seminar Asset Management Experience Philipp Büchler, Chris Koslowski, Markus Kramer, Manuel Walker Credit Suisse Asset Management Core Fixed Income Group Zurich August
More informationHow To Convert Euro To Korean Rouble
COMMISSIONS, CHARGES & MARGIN SCHEDULE This schedule outlines the various commissions, charges, margins, interest, any other rates and important information that you should be aware of and/or are referred
More informationCiti International Payment Account (IPA) Solution. Globalization Enabled
Citi International Payment Account (IPA) Solution Globalization Enabled For multinational organizations operating in different markets around the globe, an efficient, cost-effective and convenient solution
More informationDiversify your wealth internationally
ab UBS Swiss Financial Advisers Diversify your wealth internationally UBS Swiss Financial Advisers offers US investors a safe, easy and tax-compliant way to diversify their assets abroad. Contents 3 Why
More informationDo Currencies Have a Fair Value?
Do Currencies Have a Fair Value? May 2011 George Saravelos European FX Strategist IMPORTANT: PLEASE SEE CONFLICT DISCLOSURES AND ANALYST CERTIFICATION IMMEDIATELY AT THE END OF THE TEXT OF THIS REPORT.
More informationGlovista Global Perspectives
Issue 65 May/15 Monthly Newsletter for Global Investors Glovista Global Perspectives This issue : S&P Sector Performance P.2 Ccy and Cmdty Performance P.3 Important Interest Rates P.4 Carlos Asilis, Ph.D.
More informationOPTIMTRADER COMMISSIONS
OPTIMTRADER COMMISSIONS OptimTrader offers three different accounts of commissions. and commissionable accounts shall be determined on the basis of the initial deposit, while the Premium account is determined
More informationAnnual financial statements, distributions & tax issues
Portfolio Funds 2087605 CH0020876055 Credit Suisse (CH) Interest & Dividend Focus Balanced CHF A CHF CH 31.12. Distributing 19955038 CH0199550382 Credit Suisse (CH) Interest & Dividend Focus Balanced CHF
More informationEquity and Fixed Income Funds The London & Capital Managed Series of UCITS IV Funds
Equity and Fixed Income Funds The London & Capital Managed Series of UCITS IV Funds 1 Equity and Fixed Income Funds London & Capital Equity and Fixed Income Funds London & Capital 2 We are an independently-owned
More informationInternational payments Tariff for corporate customers effective from 1 January 2015
International payments Tariff for corporate customers effective from 1 January 2015 About the customer tariff This tariff is applicable to international payment services provided via branches by Nordea
More informationCapital preservation strategy update
Client Education Summit 2012 Capital preservation strategy update Head of Institutional Fixed Income Investments, Americas October 9, 2012 Topics for discussion 1 Capital preservation strategies 2 3 4
More informationANZ ETFS PHYSICAL RENMINBI ETF. (ASX Code: ZCNH)
ANZ ETFS PHYSICAL RENMINBI ETF (ASX Code: ZCNH) INVESTMENT BUILDING BLOCKS FOR A CHANGING WORLD Introducing a suite of innovative exchange traded funds (ETFs) designed for Australian investors by ANZ
More informationdistributie ISIN No. Provider Fundnaam in basispunten in basispunten
ISIN No. Provider Fundnaam distributie basispunten Managementfee vergoeding in basispunten in LU0119174026 ABERDEEN Aberdeen European High Yield Bond Fund A Inc 125,000 62,500 LU0094547139 ABERDEEN Aberdeen
More informationManaging Risk/Reward in Fixed Income
INSIGHTS Managing Risk/Reward in Fixed Income Using Global Currency-Hedged Indices as Benchmarks In the pursuit of alpha, is it better to use a global hedged or unhedged index as a benchmark for measuring
More informationQuantitative Asset Manager Analysis
Quantitative Asset Manager Analysis Performance Measurement Forum Dr. Stephan Skaanes, CFA, CAIA, FRM PPCmetrics AG Financial Consulting, Controlling & Research, Zurich, Switzerland www.ppcmetrics.ch Copenhagen,
More informationDiversify your wealth internationally
ab UBS Swiss Financial Advisers Diversify your wealth internationally UBS Swiss Financial Advisers offers US investors a safe, easy and tax-compliant way to diversify their assets abroad. Contents 3 Why
More informationDevelopments in Risk Attribution
Singapore 2004 Developments in Risk Attribution Investment Managers Association of Singapore September 23, 2004 Alex Carmichael Director Risk Solutions & Operations RiskMetrics Group Asia Pacific Alex.carmichael@riskmetrics.com
More informationMinimum Australia 0.10% AUD $7.00
CMC Markets s Schedule for CFD trades executed as a client introduced by Rivkin Securities Pty Ltd to CMC Markets are outlined below. These rates are current at the time of this email however may be subject
More informationClasses of OTC derivatives that LCH Clearnet Ltd has been authorised to clear as notified to ESMA under Regulation 648/2012
Classes of OTC derivatives that LCH Clearnet Ltd has been authorised to clear as notified to ESMA under Regulation 648/2012 In accordance with Article 6 of Regulation (EU) No 648/2012 of the European Parliament
More informationInvestment Risk Management Under New Regulatory Framework. Steven Yang Yu Muqiu Liu Redington Ltd
Investment Risk Management Under New Regulatory Framework Steven Yang Yu Muqiu Liu Redington Ltd 06 May 2015 Premiums written in billion RMB Dramatic growth of insurance market 2,500 Direct premium written
More informationMANAGED PORTFOLIO SERVICE
When clients select our Managed Portfolio Service they expect us to take care of their wealth. Over the past decade we have been proactive and innovative in expanding our offering to meet the evolving
More informationHow To Hedge Risk
Financial Risk Management/1 SIM/NYU The Job of the CFO Financial Risk Management Prof. Ian Giddy New York University Risk Management is a Process Corporate Risk Management Define Measure Manage Monitor
More informationCitadele Eastern European Bond Fund. February 2014
Citadele Eastern European Bond Fund February 2014 Citadele Asset Management Government of Latvia EBRD Solid shareholder base Regulated by Financial and Capital Market Commission 75% 25% Citadele Bank MiFID
More informationImpact of QE on Fixed Income
Impact of QE on Fixed Income David Greene, Client Portfolio Manager Pioneer Investments Unconstrained Approaches Potential returns mean investors have to be more opportunistic 5 0 Expected return based
More informationAsset Management Services
Asset Management Services A successful joint venture between traditions, technology and professionalism 1 Who we are 2 Space for the date Our Values It is a duty of everyone in our company to bring to
More informationGalvan Derivative Trading - CFD Market Information Sheets
Galvan Derivative Trading - CFD Market Information Sheets Effective from: 28th July 2008 Contents Introduction 1 Indices 2 Shares 3 Sectors 4 Currencies 5 Metals 6 Commodities 7 Bonds 8 Interest rates
More informationDr Christine Brown University of Melbourne
Enhancing Risk Management and Governance in the Region s Banking System to Implement Basel II and to Meet Contemporary Risks and Challenges Arising from the Global Banking System Training Program ~ 8 12
More informationAutumn Investor Seminar. Workshops. Managing Variable Annuity Risk
Autumn Investor Seminar Workshops Managing Variable Annuity Risk Jean-Christophe Menioux Kevin Byrne Denis Duverne Group CRO CIO AXA Equitable Chief Financial Officer Paris November 25, 2008 Cautionary
More informationTotal-Return Investment Pool (TRIP) Asset Allocation & Investment Policy Review and Recommendations
ATTACHMENT 2 Total-Return Investment Pool (TRIP) Asset Allocation & Investment Policy Review and Recommendations May 27, 2015 Office of the Chief Investment Officer Contents For Discussion at Committee
More informationMulti Asset Credit. Reviewing your credit exposure is it time to consider a multi-asset approach?
It seems that whoever you talk to in the pensions industry about their current hot topic, the answer is Multi-Asset Credit (MAC). But what does this term really mean? The answer, it appears, depends who
More informationWelcome to this ACT webinar
Welcome to this ACT webinar Case studies on FX risk management 16 July 2015 12.30-13.15 BST Sponsored by Sponsored by Introduction Will Spinney Associate Director of Education ACT Interactive widgets Please
More informationPayments via Unitel & Corporate Netbank Request for Transfer Customer tariff effective from 1 September 2016
Payments via Unitel & Corporate Netbank for Transfer Customer tariff effective from 1 September 2016 Contents About the... 3 Charges... 3 and local... 3 Intercompany transfers... 3 Cancellations... 3 Disclosure
More informationDynamic Diversified Growth Fund
Dynamic Diversified Growth Fund with BlackRock Investment Management (UK) Limited Customer Brochure BlackRock is a truly global firm that manages assets for clients in Europe, North and South America,
More informationGlovista Global Emerging Market Perspectives
Issue 28 April/12 Monthly Newsletter for Emerging Market Investors Glovista Global Emerging Market Perspectives This issue : Emg Mkt. Sector Performance P.2 S&P 500 Sector Performance P.5 Ccv and Cmdty
More informationTHE COLLECTIVES PORTFOLIO SERVICE MADE FOR YOU
THE COLLECTIVES PORTFOLIO SERVICE MADE FOR YOU THE COLLECTIVES PORTFOLIO SERVICE The Collectives Portfolio Service (CPS) is a discretionary investment management service, which invests solely in funds
More informationFund & Asset Manager Rating Group
Managed by BlueBay Asset Management Full Rating Report Fixed Income Funds / Luxembourg Key Rating Drivers Emerging Markets Bond Fund: BlueBay Emerging Market (EM) Bond Fund invests primarily in hard currency
More informationQuarterly Asset Class Report Institutional Fixed Income
Quarterly Asset Class Report Institutional Presentation To: Presented By: canterburyconsulting.com September 30, 015 Role in the Canterbury Consulting recommends and communicates asset-class strategy with
More informationInvestment Strategy for Pensions Actuaries A Multi Asset Class Approach
Investment Strategy for Pensions Actuaries A Multi Asset Class Approach 16 January 2007 Representing Schroders: Neil Walton Head of Strategic Solutions Tel: 020 7658 2486 Email: Neil.Walton@Schroders.com
More informationThe case for tactical trading for nonprofits
By: Mark Raskopf, CFA, Head of Tactical Trading Strategies MARCH 2012 Darren Spencer, Director, Alternative Investment Consulting The case for tactical trading for nonprofits Issue: The investment portfolios
More informationInternational Investments
2008 AGI-Information Management Consultants May be used for personal purporses only or by libraries associated to dandelon.com network. International Investments Bruno Solnik H.E.C. SCHOOL of MANAGEMENT
More informationOfficial Journal C 425
Official Journal C 425 of the European Union Volume 57 English edition Information and Notices 27 November 2014 Contents II Information INFORMATION FROM EUROPEAN UNION INSTITUTIONS, BODIES, OFFICES AND
More informationMoney market portfolio
1 Money market portfolio April 11 Management of Norges Bank s money market portfolio Report for the fourth quarter 1 Contents 1 Key figures Market value and return 3 3 Market risk and management guidelines
More informationAbsolute return: The search for positive returns in changing markets
Absolute return: The search for positive returns in changing markets Tuesday, 7 June 2011 Portfolio Manager for Global Fixed Income and Absolute Return Funds www.dbadvisors.com Topics for discussion What
More informationEffective Techniques for Stress Testing and Scenario Analysis
Effective Techniques for Stress Testing and Scenario Analysis Om P. Arya Federal Reserve Bank of New York November 4 th, 2008 Mumbai, India The views expressed here are not necessarily of the Federal Reserve
More informationRate Card. Nationwide Sharedealing Service
Rate Card Nationwide Sharedealing Service Stocktrade: Rate Card Charges Below are details of the commission rates for each transaction, the account administration fees, foreign dealing charges and deposit
More informationManaging Currency Mismatch. May 2010
Managing Currency Mismatch May 2010 FX Volatility 2 Very High Volatility in Asian Currencies Currency Performance % 140 130 120 110 100 90 80 70 60 50 40 Jan-06 Jun-06 Dec-06 Jun-07 Dec-07 May-08 Nov-08
More informationRate Minimum Maximum Minimum commission will apply on amounts up to. Maximum commission will apply on amounts from 0.4% 14.
Rate Card Charges Below are details of the commission rates for each transaction, the account administration fees, foreign dealing charges and deposit account interest rates. We may vary these charges/rates
More informationTrading forex is buying one currency while at the same time selling a different currency.
F O R E I G N E X C H A N G E B A S I C S T E R M S U S E D I N F O R E X T R A D I N G The foreign exchange market is global, and it is conducted over-the-counter (OTC) through the use of electronic trading
More informationThis fund has received FCA approval but is not currently available for sale UK launch date: 11 September 2014
This fund has received FCA approval but is not currently available for sale UK launch date: 11 September 2014 Proposal for the M&G Global Floating Rate High Yield Fund UK Discretionary clients James Tomlins,
More informationAnnual Report 31 December 2010
Annual Report 31 December 2010 PIMCO Funds: Global Investors Series plc An open-ended investment company with variable capital and segregated liability between Funds incorporated with limited liability
More informationRisk management Making the difference in fixed income investing
Risk management Making the difference in fixed income investing Pictet Asset Management September 2014 For professional investors only Overview Tough times lie ahead for fixed income investors. The ballooning
More informationThe Growing Importance of Fixed Income Analytics
Trusted by the Market. Driven by You. www.yieldbook.com The Growing Importance of Fixed Income Analytics Susan Y. Lin Managing Director Regional Head, Asia Pacific The Yield Book and Citi Fixed Income
More informationJPMorgan Global Bond Fund. Global investing - A less volatile choice NEW. SFC-authorised global bond fund with RMB-hedged share classes*!
AVAILABLE FOR PUBLIC CIRCULATION NEW JPMorgan Global Bond Fund December 2015 Asset Management Company of the Year 2014 Fundamental Strategies, Asia + Important information 1. The Fund invests primarily
More informationBrazil So Bad, It s Good Michael Novogratz, CIO, Fortress Liquid Markets
Brazil So Bad, It s Good Michael Novogratz, CIO, Fortress Liquid Markets All information contained herein is qualified in its entirety by the disclaimer at the beginning of this presentation. Disclaimer
More informationSHARE IN OUR PERFORMANCE
intalus.com SHARE IN OUR PERFORMANCE GRE T PERFORMANCE. MADE IN GERMANY. SINCE 1990. STRATEGY INDEX. CHAMELEON FX One 4 A breakout intraday strategy, covering 9 currency pairs CHAMELEON FX Global 6 An
More informationCash-Settled Forward (CSFs)
Cash-Settled Forward (CSFs) CME has filed rules with the CFTC for 26 CSF contracts to be clearing eligible by Jan 3, 2012. The intent of the CSFs is to provide FX market participants with a clearable alternative
More informationFTSE Global Bond Index Series
FTSE Global Bond Index Series FTSE GLOBAL BOND INDEX SERIES The FTSE Global Bond Index Series is a series of fixed income indices covering the principal government bond markets and selected corporate markets.
More informationDAILY FX OUTLOOK. Thursday, October 08, 2015 Major FX Themes. FX Strategy/Trading Ideas. Asian FX
DAILY FX OUTLOOK Thursday, October 08, 2015 Major FX Themes In spite of firmer UST yields, the USD ended mixed against the majors on Wednesday. Improved risk appetite saw the antipodeans gaining against
More informationRISK ALLOCATION IN THE 21 ST CENTURY. February 2012. SEATTLE 206.622.3700 LOS ANGELES 310.297.1777 www.wurts.com
RISK ALLOCATION IN THE 21 ST CENTURY February 2012 SEATTLE 206.622.3700 LOS ANGELES 310.297.1777 www.wurts.com AGENDA INVESTMENT APPROACH SAMPLE RISK DASHBOARD GOVERNANCE 2 INVESTMENT APPROACH 3 WHY DOES
More informationCarry Trades and Currency Crashes
Carry Trades and Currency Crashes Markus K. Brunnermeier, Stefan Nagel, Lasse Pedersen Princeton, Stanford, NYU AEA Meetings, January 2008 BNP (2008) Carry Trades & Currency Crashes AEA, Jan 2008 1 / 23
More informationRate Card. Yorkshire Building Society Sharedealing Service
Rate Card Yorkshire Building Society Sharedealing Service Charges Below are details of the commission rates for each transaction, the account administration fees, foreign dealing charges and deposit account
More informationImplementing Reveleus: A Case Study
Implementing Reveleus: A Case Study Implementing Reveleus: A Case Study Reveleus is a state of the art risk management tool that assists financial institutions in measuring and managing risks. It encompasses
More informationUiterste aanlevertijd Via Access Direct of Swift FileAct Azië China Bank Cheques (Domestic / Foreign) CNY 12:45
specificaties Via Access Direct of Swift Azië China Bank Cheques (Domestic / Foreign) CNY 12:45 Azië China Bank Cheques (Domestic / Foreign) USD & other ccy 12:45 Azië China Domestic ACH (single and batch)
More informationBMO Corporate Bond ETFs
For professional investors only Exchange Traded Funds PAGE 1 BMO Corporate Bond ETFs Diversified, global bond exposure ember 20 Contact us Client Services +44 (0) 20 70 4444 client.service@bmogam.com bmogam.com/etfs
More informationdb Currency Harvest Deutsche Bank Global Currency Harvest Index Deutsche Bank Balanced Currency Harvest Index Deutsche Bank G10 Currency Harvest Index
GLOBAL MARKETS CURRENCIES & COMMODITIES db Currency Harvest Deutsche Bank Global Currency Harvest Index Deutsche Bank Balanced Currency Harvest Index Deutsche Bank G10 Currency Harvest Index Introducing
More informationWyoming State Treasurer's Office
STATE OF WYOMING'S INVESTMENT PORTFOLIO: AN OVERVIEW OF STRATEGIES Wyoming State Treasurer's Office & RV Kuhns & Associates consultant to the Wyoming State Loan and Investment Board December 2007 STATE
More informationAre Unconstrained Bond Funds a Substitute for Core Bonds?
TOPICS OF INTEREST Are Unconstrained Bond Funds a Substitute for Core Bonds? By Peter Wilamoski, Ph.D. Director of Economic Research Philip Schmitt, CIMA Senior Research Associate AUGUST 2014 The problem
More informationTHE USE OF FIXED INCOME DERIVATIVES AT TAL GLOBAL ASSET MANAGEMENT
GLOBAL ASSET MANAGEMENT INC. THE USE OF FIXED INCOME DERIVATIVES AT TAL GLOBAL ASSET MANAGEMENT Paul Bourdeau, CFA Page 1 September 2002 AGENDA Overview of TAL Overview of the Use of Derivatives at Use
More informationInvestment Intervaluation Within a Non-Fixed Market Entity
Bond Realities: The Changing Landscape for Fixed Income A Deeper Dive into Opportunistic 2.0 August 2013 OPENING REMARKS From Uncharted Waters to Spread Normalization Cumulative excess returns from 2007
More informationStrength Across the Board Investment Excellence in Fixed Income 30 June 2015
Strength Across the Board Investment Excellence in Fixed Income 30 June 205 Recognising the strength and depth of our Fixed Income range across Europe, the US and Emerging Markets CLASS I EUR Performance
More informationIndex Solutions A Matter of Weight
Index Solutions A Matter of Weight Newsletter No. 11 Our current newsletter is about weight, or more precisely the weighting of equities in an index. Non-market capitalization weighted indices are at present
More informationEmerging markets: The multi-asset approach
Asset management research June 212 Emerging markets: The multi-asset approach 1 Outcome-oriented solutions. Delivered. UBS Global Asset Management s 3-year track record in multi-asset funds is one of the
More informationHow a thoughtful FX strategy can give Fund Managers a competitive edge
How a thoughtful FX strategy can give Fund Managers a competitive edge Executive summary Each alternative investment fund takes a different approach to its investment strategy, but the ultimate goals are
More informationKEY ELEMENTS TO DESIGN AN EXTERNAL ACTIVE MANAGEMENT PROGRAM. Alejandro C. Reveiz H. Director, Quantitative Solutions, SAA & Analytics (QSA)
KEY ELEMENTS TO DESIGN AN EXTERNAL ACTIVE MANAGEMENT PROGRAM Alejandro C. Reveiz H. Director, Quantitative Solutions, SAA & Analytics (QSA) October 1, 2015 Table of Contents Design guidelines in such a
More information