Global Investable Markets Value and Growth Index Methodology

Size: px
Start display at page:

Download "Global Investable Markets Value and Growth Index Methodology"

Transcription

1 Global Investable Markets Value and Index Methodology

2 Contents 1 MSCI Global Investable Market Value and Indexes Methodology Overvew General Introducton A Partton of the MSCI Global Investable Market Indexes Defnng the Value and Investment Styles and Indexes Mult-Factor Approach Two-Dmensonal Framework Index Desgn Unverse and Approach for Style Segmentaton Constructon of the MSCI Global Investable Market Value and Indexes... 8 Constructng the MSCI Global Investable Market Value and Indexes Varables Used to Specfy Value and Characterstcs Calculatng the Z-Scores Wnsorzng the Varable Calculatng the Z-Scores Aggregatng the Style Z-Scores Calculatng the Value Z-Score Calculatng the Z-Score Identfyng the Overall Style Characterstcs Assgnng Intal Style Incluson Factors Intal Style Incluson Factors for Securtes wth Both Value and or Non-Value and Non- Characterstcs Allocatng Securtes to the Value and Indexes Sortng Securtes by Dstance from the Orgn Applyng Buffer Rules Allocatng Securtes to Reach 50% Target of 30

3 3 Mantanng MSCI Global Investable Market Value and Indexes Sem-Annual Style Index Revew Securty Style Revew Outsde of the Sem-Annual Style Index Revews... 1 Appendx I: Varable Defntons and Computatons... 3 Varables Used to Defne Value Investment Style Characterstcs... 3 Book Value to Prce Rato (BV / P) month Forward Earnngs to Prce Rato (E fwd / P)... 3 Dvdend yeld (D / P)... 5 Varables Used to Defne Investment Style Characterstcs... 5 Long-term Forward Earnngs per Share Rate (LT fwd EPS G)... 5 Short-term Forward Earnngs per Share Rate (ST fwd EPS G)... 6 Current Internal Rate (g)... 7 Long-term Hstorcal EPS Trend (LT hs EPS G) and... 7 Long-term Hstorcal Sales per Share (SPS) Trend (LT hs SPS G)... 7 Appendx II: Calculaton of Market Mean and Standard Devaton... 9 Clent Servce Informaton s Avalable 4 Hours a Day Notce and Dsclamer About MSCI of 30

4 1 MSCI Global Investable Market Value and Indexes Methodology Overvew 1.1 General Ths verson of the MSCI Global Investable Market Value and Indexes Methodology Book s effectve as of the close of December 8, Introducton For over 30 years, MSCI has been constructng global equty benchmark ndexes that contrbute to the nternatonal nvestment management process. These ndexes serve as relevant and precse performance benchmarks, effectve research and asset allocaton tools, and are lcensed as the bass for varous nvestment vehcles desgned to gan and/or manage exposure to nternatonal markets. As such, the MSCI Equty Index Seres asssts the nvestment process of a wde varety of nternatonal nvestors. In constructng ts equty ndexes, MSCI consstently apples ts equty ndex constructon and mantenance methodology across developed and emergng markets. Ths consstency of approach makes t possble to aggregate ndvdual country and ndustry ndexes to create meanngful regonal and composte benchmark ndexes for nternatonal nvestors. Snce 1997, MSCI has been assstng the nvestment process of nternatonal style nvestors wth ts Global Value and Index Seres. From 1997 to May 003, the value and growth ndexes were constructed based on a sngle-dmensonal framework that allocated securtes n an MSCI Standard Country Index nto ether value or growth based on ther Prce to Book Value ratos (P/BV). As vews on style defnton and segmentaton contnued to develop, MSCI s methodology also evolved to ensure that ts value and growth ndexes reman reflectve of the phlosophy and state-of-the art thnkng n nternatonal style nvestng. Effectve as of the close of May 30, 003, MSCI began applyng a two-dmensonal framework for style segmentaton n whch value and growth securtes are categorzed usng dfferent attrbutes. In addton, multple factors are used to dentfy value and growth characterstcs. Ths enhanced methodology better reflects nvestors vews on style defnton and segmentaton and provdes a more precse representaton of the opportunty sets of global style managers A Partton of the MSCI Global Investable Market Indexes The MSCI Global Investable Market Value and Indexes s constructed from the consttuents of the MSCI Global Investable Market Indexes on a country-by-country bass for each of the countres ncluded n the MSCI All Country World Index (ACWI), except DM Europe where the style ndexes are constructed on a regonal bass. The MSCI Global Investable Market Value and Indexes s a subset of the MSCI Global Investable Market Indexes. Therefore, common ndex attrbutes such as free float estmaton, number of shares and ndustry classfcaton are dentcal for consttuents of the two ndex seres. Consequently, changes n the underlyng MSCI Global Investable Market Indexes wll have an mpact on the MSCI Global Investable Market Value and Indexes. The changes nclude 4 of 30

5 addtons, deletons, changes n Foregn Incluson Factors (FIFs), updates n number of shares and changes n ndustry classfcaton. 1. Defnng the Value and Investment Styles and Indexes In constructng the MSCI Global Investable Market Value and Indexes, MSCI has adopted a twodmensonal framework for style segmentaton n whch value and growth securtes are categorzed usng dfferent attrbutes. In addton, multple factors are used to dentfy value and growth characterstcs Mult-Factor Approach The value nvestment style characterstcs for ndex constructon are defned usng the followng three varables: Book value to prce rato (BV / P) 1-month forward earnngs to prce rato (E fwd / P) Dvdend yeld (D / P) The growth nvestment style characterstcs for ndex constructon are defned usng the followng fve varables: Long-term forward earnngs per share (EPS) growth rate (LT fwd EPS G) Short-term forward EPS growth rate (ST fwd EPS G) Current Internal Rate (g) Long-term hstorcal EPS growth trend (LT hs EPS G) Long-term hstorcal sales per share (SPS) growth trend (LT hs SPS G) 1.. Two-Dmensonal Framework Usng the varables mentoned above, value z-scores and growth z-scores are calculated and used to determne the overall style characterstcs of each securty n the MSCI value and growth style space, as depcted n Exhbt 1. In the two-dmensonal framework, non-value does not necessarly mean growth, and vce versa. Addtonally, some securtes can exhbt both value and growth characterstcs, whle others may exhbt nether. 5 of 30

6 Exhbt 1 MSCI Value and Style Space Value Value (and Non-) 1.0 Value and Non Non-Value and Non (and Non-Value) -4.0 Non-Value Note: The values on the axes are z-scores. The pont where the value and non-value axs ntersects the growth and non-growth axs,.e., the orgn, s located at a z- score of zero for each axs. Hence, under the two-dmensonal framework for style segmentaton, a securty can have the followng four style characterstcs: 1. A securty wth a postve value z-score and a negatve or zero growth z-score s stuated n the Value (and Non-) quadrant as t exhbts clear value characterstcs.. A securty wth a negatve or zero value z-score and a postve growth z-score s stuated n the (and Non-Value) quadrant as t exhbts clear growth characterstcs. 3. A securty wth a postve value z-score and a postve growth z-score s stuated n the Value and quadrant as t exhbts both value and growth characterstcs. 4. A securty wth a negatve or zero value z-score and a negatve or zero growth z-score s stuated n the Non-Value and Non- quadrant as t exhbts both non-value and non-growth characterstcs. 6 of 30

7 1..3 Index Desgn The objectve of the MSCI Value and Indexes desgn s to dvde consttuents of an underlyng market captalzaton ndex nto a value ndex and a growth ndex, each targetng 50% of the free floatadjusted market captalzaton of the underlyng ndex. The market captalzaton of each consttuent should be fully represented n the combnaton of the value ndex and the growth ndex, and, at the same tme, should not be double-counted. One securty may, however, be represented n both the value ndex and the growth ndex at a partal weght Unverse and Approach for Style Segmentaton The MSCI Global Investable Market Value and methodology s appled to the Standard and Small Cap Indexes on a market by market bass. In defnng markets, MSCI adopts a country approach n conductng the style segmentaton of the value and growth ndexes, except for DM Europe where a regon approach s adopted. The large Cap and Md Cap Value and Indexes are derved usng the Value and Incluson Factors from the Standard Value and Indexes. The Investable Market Value and Indexes are created by aggregatng the Value and segments of the Standard and Small Cap Indexes. Securtes n each MSCI Global Investable Market Index are allocated to the approprate value and growth ndexes. The same style segmentaton process s appled ndependently and consstently across all MSCI Global Investable Market Indexes. Standard Index Standard Value Standard Small Value Large Value Md Value Large Md Standard Value Standard Small Value Investable Market Index Value Investable Market Index Small Cap Index Small Small The consstent applcaton of ndex methodology to all countres also makes t possble to apply a buldng block approach n the constructon of regonal and composte style ndexes. Under ths approach, ndvdual value and growth ndexes can be aggregated to create varous meanngful and comparable regonal and composte benchmark style ndexes. Please note that the value and growth style classfcaton and allocaton s appled at the securty level rather than at the company level. 7 of 30

8 1..5 Constructon of the MSCI Global Investable Market Value and Indexes In order to acheve the above-mentoned ndex desgn objectve, MSCI constructs and mantans the value and growth ndexes by allocatng securtes and ther free float-adjusted market captalzatons to the approprate value and growth ndexes, durng the sem-annual style ndex revews that take place each May and November. MSCI s constructon of the value and growth ndexes for each country ndex nvolves the followng fve steps: Determnng the values of the varables used to specfy value and growth characterstcs for each securty. Calculatng the z-scores of each varable for each securty. Aggregatng the style z-scores for each securty to determne the securty s overall style characterstcs. Assgnng ntal style ncluson factors for each securty. Achevng the 50% free float-adjusted market captalzaton target by allocatng securtes to the value and growth ndexes after applyng buffer rules. In the next secton, we revew each of these steps n detal. Constructng the MSCI Global Investable Market Value and Indexes.1 Varables Used to Specfy Value and Characterstcs The value and growth ndexes constructon process begns by determnng the values of the varables used to specfy value and growth characterstcs. The value nvestment style characterstcs for ndex constructon are defned usng the followng three varables: Book value to prce rato (BV / P) 1-month forward earnngs to prce rato (E fwd / P ) Dvdend yeld (D / P) 8 of 30

9 For these varables, securtes of the same company may have dfferent values due to dfferent securty prces. In addton, the dvdend rate may dffer from one securty to another of the same company. As a result, n certan crcumstances, one securty of a company may be classfed as value and another as growth. In the above three varables, the prce s used n the denomnator n order to compute meanngful market means and standard devatons for these varables. The growth nvestment style characterstcs for ndex constructon are defned usng the followng fve varables: Long-term forward earnngs per share (EPS) growth rate (LT fwd EPS G) Short-term forward EPS growth rate (ST fwd EPS G) Current Internal Rate (g) Long-term hstorcal EPS growth trend (LT hs EPS G) Long-term hstorcal sales per share (SPS) growth trend (LT hs SPS G) For these varables, all securtes of the same company have the same varable values for each of the fve varables used to defne growth nvestment style characterstcs for ndex constructon unless there s a dfference n dvdend payout, whch wll result n a dfference n the Current Internal Rate (g). The long-term forward EPS growth rate s not taken nto account for the Small Cap Global Value and Indexes. No long-term hstorcal SPS growth trend s calculated for securtes classfed n the Banks (4010) and Dversfed Fnancals (400) ndustry groups, other than securtes classfed n the Mult-Sector Holdngs ( ) sub-ndustry, under the Global Industry Classfcaton Global Investable Market Index (GICS). For further detals on defntons and computatons of the varables, see Appendx I, enttled Varable Defntons and Computatons.. Calculatng the Z-Scores After computng the eght varable values for each securty, each of the eght varable values are standardzed wthn each ndvdual MSCI Market Standard and Small Cap Index and assgned a z-score. Standardzaton ensures that the varables are comparable to each other and that the combnaton of the varables s meanngful. 9 of 30

10 ..1 Wnsorzng the Varable As part of the standardzaton process, outler varable values are wnsorzed to ensure that the market average values used to standardze the varables are less affected by extreme values. To do ths, for a gven varable, the values for all securtes are frst ranked by ascendng order wthn each MSCI Market Index. Mssng values are excluded from the rankng. Then, for values that le n the bottom 5th percentle rank or n the top 95th percentle rank, ther value s set equal to the value of the 5th percentle ranked or 95th percentle ranked securty, as applcable. Ths process s repeated for each of the eght varables. Example: Wnsorzaton: Suppose there are 00 securtes ranked by ascendng order. For all securtes ranked from 1 through 9, ther values become equal to the value of the 10th ranked securty. Meanwhle, for all securtes ranked from 19 through 00, ther values become equal to the value of the 191st ranked securty... Calculatng the Z-Scores After wnsorzng all the eght varables wthn each MSCI Market Index, the z-score for each of the eght varables for each securty can be calculated usng the free float-adjusted market captalzaton weghted market mean and standard devaton of the relevant varable wthn each MSCI Market Index. Computng a z-score s a wdely used method of standardzng a varable n order to combne t wth other varables that may have a dfferent unt of measurement or a dfferent scale. Because t has a mean value of zero and a standard devaton of 1, the value of a z-score shows how many standard devatons a gven value les from the mean. The z-score s defned as follows: Z x mcap weghted mcap weghted Where: x s the wnsorzed varable value for a gven securty s the free float-adjusted market captalzaton weghted market mean usng wnsorzed varables n the MSCI Market Index s the free float-adjusted market captalzaton weghted market standard devaton usng wnsorzed varables n the MSCI Market Index For further detals on the calculaton of the market mean and the standard devaton, see Appendx II, enttled Calculaton of Market Mean and Standard Devaton. 10 of 30

11 Example: Calculatng Dvdend Yeld Z-Scores: Index Securty A Securty B Securty C Mean dvdend yeld for the country ndex.50 Standard devaton of dvdend yeld for the country ndex 1.38 Dvdend yeld Dvdend yeld z-score Securty A has a postve dvdend yeld z-score. Ths mples that based on dvdend yeld, Securty A exhbts clear value characterstcs, as ts dvdend yeld value of 3.5 s 0.7 standard devaton above the market dvdend yeld of.5. On the other hand, a dvdend yeld z-score of 1.16 for Securty B mples that ts dvdend yeld value of 0.9 s 1.16 standard devatons below the market dvdend yeld. In other words, Securty B exhbts clear non-value characterstcs, based on dvdend yeld. As for Securty C, a z- score of 0 mples that the securty has the same dvdend yeld value as the market mean..3 Aggregatng the Style Z-Scores After standardzng each of the eght varable values for each securty, MSCI calculates a value z-score and a growth z-score for each securty. Value z-scores are computed by averagng the three value varable z-scores whle growth z-scores are calculated by averagng the fve growth varable z-scores. The value z-score and the growth z-score of a securty defne ts overall style characterstcs and ts postonng wthn the value and growth style space..3.1 Calculatng the Value Z-Score To compute a value z-score, an equally weghted average of the three value varables z-scores s calculated. Only avalable varable z-scores are used and mssng varable z-scores are excluded from the calculaton. The value z-score s calculated as follows: 1 3 Value ZScore ZBV / P ZE fwd / P ZD / P For nstance, f the E fwd /P varable s mssng: 1 Value ZScore Z BV / P ZD / P 11 of 30

12 Example: Calculatng the Value Z-Score: Securty A Securty B Securty C Book value to prce z-score month forward earnngs to prce z-score Dvdend yeld z-score Value Z-Score Calculatng the Z-Score For the calculaton of the growth z-score, the z-score for long-term forward EPS growth rate s gven a double weght for the Standard Global Value and Indexes, as t s the most systematcally assocated wth the concept of growth and t captures growth style attrbutes relatvely more effectvely than other varables. As a remnder, the z-score for long-term forward EPS growth rate s not calculated and therefore s not taken nto account for the Small Cap Global Value and Indexes. When computng the growth z-score, mssng varable z-scores are excluded from the calculaton. The long-term hstorcal SPS growth trend s not used to specfy growth characterstcs for securtes classfed n the Banks (4010) and Dversfed Fnancals (400) ndustry groups, other than securtes classfed n the Mult-Sector Holdngs ( ) sub-ndustry, under the Global Industry Classfcaton Global Investable Market Index (GICS) SM. In ths case, only fve varables are averaged, rather than replacng the sales growth trend wth a zero value. The growth z-score s calculated as follows: 1 Z Score * Z 6 LT fwd EPS G Z STfwd EPS G Z g Z LT hs EPS G Z LT hssps G For nstance, f the long-term forward EPS growth rate varable s mssng: 1 ZScore 4 Z STfwd EPS G Z g Z LT hs EPS G Z LT hssps G For a fnancal company: 1 Z Score * Z 5 LT fwd EPS G Z STfwd EPS G Z g Z LT hs EPS G For the Small Cap Value and Indexes, the z-score for the long-term forward EPS growth rate s not taken nto account: 1 of 30

13 1 ZScore 4 Z STfwd EPS G Z g Z LT hs EPS G Z LT hssps G Example Calculatng the Z-Score: Securty A Securty B Securty C Long-term forward EPS growth rate z-score Not Avalable Short-term forward EPS growth rate z-score Current Internal Rate z-score Long-term hstorcal EPS growth trend z-score Long-term hstorcal SPS growth trend z-score 0.10 Not Relevant 0.50 (Fnancal Company) Z-Score Securty A has all 5 varables avalable. Its growth z-score s the sum of the 5 varables wth a double weght on the long-term forward EPS growth dvded by 6. Securty B s a fnancal company. Therefore, no long-term hstorcal SPS growth trend s used and ts growth z-score s computed usng a 5 as the denomnator. Fnally, the long-term forward EPS growth rate varable s mssng for Securty C and the denomnator wll be Identfyng the Overall Style Characterstcs After calculatng the value and growth z-scores for each securty, each securty s overall style characterstcs and poston wthn the value and growth style space can be determned based on the table below. Value Z-Score Z-Score Style Characterstcs Postve Negatve or Zero Value Negatve or Zero Postve Postve Postve Both Value and Negatve or Zero Negatve or Zero Nether Value nor.4 Assgnng Intal Style Incluson Factors Based on the overall style characterstcs, securtes are assgned ntal style ncluson factors. At ths tme, securtes that exhbt both value and growth or nether value nor growth characterstcs are also adjusted for domnant style. 13 of 30

14 Each securty has two style ncluson factors, one for value, defned as the Value Incluson Factor (VIF), and the other for growth, defned as the Incluson Factor (GIF), and they represent the proporton of a securty s free float-adjusted market captalzaton that should be allocated to the value and/or growth ndexes. The sum of the VIF and the GIF s always equal to one. There are fve possble values for the style ncluson factors: 1, 0.65, 0.5, 0.35 and 0. For nstance, a VIF of 1 mples that the securty s free float-adjusted market captalzaton s fully allocated to the value ndex, whle a VIF of 0.35 mples that only 35% of the securty s free floatadjusted market captalzaton s allocated to the value ndex. The sum of VIF and GIF s always equal to one. For example, a VIF of 0.35 wll result n a GIF of Exhbt on the next page shows the varous style ncluson factors wthn the value and growth style space, whch wll be descrbed n detal n the followng paragraphs..4.1 Intal Style Incluson Factors for Securtes wth Both Value and or Non-Value and Non- Characterstcs For securtes wth style characterstcs of both value and growth or nether value nor growth, ther ntal VIF and GIF can range between 0 and 1, dependng on the contrbuton of the value (or nongrowth, f the growth z-score s negatve) and growth (or non-value, f the value z-score s negatve) z- scores to the dstance of a securty from the orgn. The contrbuton of each style z-score to the dstance from the orgn s calculated as follows: value contrbut on value z-score dstance value value z-score z-score growth z-score growth z-score dstance growth value z-score z-score growth z-score growth contrbut on valuecontrbuton growth contrbut on 1 For securtes where a style contrbuton of a postve style z-score (a negatve style z-score) s at least 80% (less than 0%), that style s deemed to clearly domnate the other style. Such securtes are allocated wth an ntal VIF or GIF of 1, dependng on whether value (non-growth) or growth (non-value) contrbuted at least 80% (less than 0%) to the dstance respectvely. Ths s represented by the 80/0 lne (0/80) n Exhbt, whch corresponds to the value z-score (growth z-score) representng twce the growth z-score (value z-score),.e., representng a contrbuton of 80% of the total dstance from the orgn. Otherwse, f a style contrbuton ranges between more than 0% and less than 80%, the VIF and GIF are determned usng the table below. 14 of 30

15 Exhbt MSCI Value and Style Space, Allocatng Intal VIF & GIF Value /0 60/ a 3b Value and - Partal Allocaton 40/60 Value - Full Allocaton 3c 1.0 3d 0/ e Non a /0 60/40 4b 4c Non-Value and Non- - Partal Allocaton 4d 4e Full Allocaton 40/60 0/ Non-Value Note: The values on the axes are z-scores. The pont where the value and non-value axs ntersects the growth and non-growth axs,.e., the orgn, s located at a z-score of zero for each axs. Zone 1 3a 3b 3c 3d 3e 4a 4b 4c 4d 4e Style Characterstcs Value Growt h Value/ Growt h Value/ Growt h Value/ Value/ Value/ Non- Value/ Non- Non- Value/ Non- Non- Value/ Non- Non- Value/ Non- Non- Value/ Non- Style Bas Value Growt h Value Value- Bas No Bas -Bas Value Value- Bas No Bas -Bas Intal VIF Intal GIF of 30

16 Example: Calculatng the Dstance and the Style Contrbuton: Securty A Securty B Securty C Value z-score z-score Value z-score squared z-score squared Dstance from the orgn squared Value contrbuton to the dstance 94% 50% 85% contrbuton to the dstance 6% 50% 15% Intal VIF Intal GIF Securty A s value contrbutes 94% of ts overall style characterstcs. Hence, the value z-score clearly domnates the growth z-score and a VIF of 1 s allocated to Securty A. As for Securty B, no style clearly domnates, as the contrbuton of the two style z-scores s equal at 50%. Therefore, a VIF and GIF of 0.5 s allocated to securty B. For Securty C, ts value z-score and growth z-score are both negatve. Hence, the non-value z-score contrbutes 85% and the non-growth z-score contrbutes 15%. Ths means that the growth z-score clearly domnates the value z-score, and as a result, a GIF of 1 s assgned to Securty C..5 Allocatng Securtes to the Value and Indexes The value and growth ndexes target a 50% free float-adjusted market captalzaton representaton for each of the value and growth ndexes n each MSCI Market Index. In order to acheve the 50% target, the style allocaton process nvolves the followng three steps: Sortng securtes by dstance from the orgn n the style space. Applyng buffer rules and reassgnng ntal VIF and GIF, as approprate. Achevng the 50% free float-adjusted market captalzaton target by allocatng securtes to the value and growth ndexes..5.1 Sortng Securtes by Dstance from the Orgn In the allocaton process, frst all securtes are sorted by dstance from the orgn. The strength of the securty style characterstcs s measured by the dstance from the orgn. Therefore, the securty wth the strongest style characterstcs s the one wth the greatest dstance from the orgn. 16 of 30

17 The dstance from the orgn (d) s computed as follows: d value zscore growth zscore Calculatng the Dstance: Securty A Securty B Securty C Value z-score z-score Value z-score squared z-score squared Dstance from the orgn Securty C s the furthest away from the orgn among the three securtes. Therefore, t has the strongest style characterstcs and s allocated to ts approprate style ndex frst..5. Applyng Buffer Rules Next, the ntal style ncluson factors for all exstng consttuents are revewed based on buffer rules. Accordng to the buffer rules, all securtes that fall n the buffers wll not change ther current style ncluson factors and reman n ther current ndex or ndexes, unless they need to be reassgned, f requred, to meet the 50% target. Buffer rules help lmt the ndex turnover caused by temporary mgraton of securtes from one style ndex to the other and come nto effect only at the sem-annual style ndex revews. The buffers are represented by a cross resultng from the overlap of a horzontal rectangle around the growth axs and a vertcal rectangle around the value axs. The horzontal rectangle s defned by a value z-score between +/- 0. and a growth z-score between +/- 0.4 and the vertcal rectangle s defned by a value z-score between +/- 0.4 and a growth z-score between +/- 0., as shown n the shaded area n Exhbt. 17 of 30

18 Example: Reassgnng Style Incluson Factors Based on Buffer Rule Securty A Securty B Securty C Value z-score z-score Falls n the buffers no yes yes Current VIF Intal VIF Post buffer VIF Securty A s not mpacted by the buffer rules as ts pro forma value and growth z-scores do not fall wthn the buffers. Hence, ts ntal style ncluson factors reman unchanged. Securtes B and C are mpacted by the buffer rules and, therefore, ther style ncluson factors are reassgned to the current style ncluson factors..5.3 Allocatng Securtes to Reach 50% Target The allocaton process starts by assgnng to the approprate style ndex the securty that s the greatest dstance away from the orgn and hence possesses the strongest style characterstcs, based on ts ntal VIF and GIF modfed for buffers. Allocatng securtes startng wth those that are furthest away from the orgn ensures that securtes wth the strongest style characterstcs are allocated to ther approprate styles frst. Durng the style allocaton process, f two securtes have the same dstance, the securty wth a larger free float-adjusted market captalzaton s allocated to ts approprate style ndex frst. The allocaton process s stopped when addng a securty to a partcular style ndex results n the cumulatve weght of that ndex exceedng the 50% free float-adjusted market captalzaton representaton target. The securty that stopped the allocaton process s defned as the mddle securty. In ths step, the allocaton of the mddle securty s revewed to determne how to best approxmate the 50% target. If the mddle securty has a free float-adjusted market captalzaton weght of less than 5% n the MSCI Market Index, ts free float-adjusted market captalzaton s allocated to the value or growth ndex that comes closest to the 50% target. If the mddle securty has a free float-adjusted market captalzaton weght of more than 5% n the MSCI Market Index, ts free float-adjusted market captalzaton can be partally allocated to the value and growth ndexes n order to be closer to the 50% target. The VIF and GIF for a mddle securty can be ether 1, 0.65, 0.5, 0.35 or 0. Dependng on the outcome of the attrbuton of ths mddle securty, nether ndex may reach the 50% target and therefore the attrbuton process may contnue. 18 of 30

19 Once the 50% target s reached, all remanng securtes are allocated or reallocated to the ndex that has not yet reached the 50% target. Therefore, some securtes may be allocated to a style ndex that s dfferent from ther ntal style classfcaton. However, as the allocaton process starts wth securtes havng the strongest style characterstcs and the remanng securtes that are reassgned have relatvely less pronounced style characterstcs, the mpact on the style ndexes s expected to be modest. Example: Reallocatng Securtes wth a Weght of Less than 5% to Reach 50% Target: Dstance Securty Cumulatve Index Weght Post Buffer Fnal VIF Securtes Weghts Value VIF A % 0.1% 0.0% B.63 0.% 0.3% 0.0% C % 0.4% 0.0% X % 46.5% 50.% Y % 47.4% 50.% 0.00 Reallocated 1.00 Securty A s the frst securty to be allocated as t s the furthest away from the orgn and therefore has the strongest style characterstcs. Ths securty s assgned to the value ndex as ts post buffer VIF s 1. As a result, the cumulatve value ndex weght ncreases from 0% to 0.1%. The process contnues untl Securty X s allocated. Ths securty s allocated to the growth ndex accordng to ts post buffer VIF and as a result, the cumulatve growth ndex weght reaches 50.%, above the 50% target. Securty X s the mddle securty. Securtes startng from Securty Y are fully reallocated to the value ndex. Example: 19 of 30

20 Reallocatng Securtes wth a Weght of More than 5% to Reach 50% Target: Dstance Securty Cumulatve Index Weght Post Buffer Fnal VIF Securtes Weghts Value VIF A % 0.1% 0.0% B.63 0.% 0.3% 0.0% C % 0.4% 0.0% X % 48.5% 50.6% 0.00 Reallocated 0.35 Y % 49.4% 50.% 0.00 Reallocated 1.00 In ths example, Securty X s the mddle securty. It has a free float-adjusted market captalzaton weght of more than 5% n the MSCI Market Index. Accordng to ts post buffer VIF, t should have been allocated to the growth ndex, resultng n a weght of 5.5% representaton, above the 50% target. In ths case, the securty s partally allocated n order to most closely approxmate the 50% target. As a result, 35% of the securty s weght s reallocated from the growth ndex to the value ndex and ts fnal VIF s Mantanng MSCI Global Investable Market Value and Indexes The value and growth ndexes are mantaned wth the objectve of reflectng the evoluton of style segments wthn each country unverse on a tmely bass. In mantanng the ndexes, emphass s also placed on ther contnuty and on mnmzng unnecessary ndex turnover. Mantanng the MSCI Global Investable Market Value and Indexes nvolves two man dmensons. The frst s the style mantenance of consttuents resultng from the revew of the Global Investable Market Value and Indexes, whch takes place on a sem-annual bass. The second aspect nvolves changes drven by the underlyng MSCI Global Investable Market Country Indexes, whch nclude addtons to and deletons from the MSCI Global Investable Market Country Index, changes n Foregn Incluson Factors (FIFs), updates n number of shares and changes n ndustry classfcaton, as a result of quarterly ndex revews, annual full country ndex revews and ongong event-related changes. The style ndex mantenance for the value and growth ndexes can be descrbed by the followng two broad categores: Sem-annual style ndex revews. Style revew outsde of the sem-annual style ndex revews. 0 of 30

21 3.1 Sem-Annual Style Index Revew The style revew of the value and growth ndexes s conducted at the end of May and November, concdng wth the May annual full country ndex revew and the November quarterly ndex revew of the underlyng MSCI Global Investable Market Country Indexes. Durng the style revew, new value and growth z-scores are calculated for the pro forma MSCI Global Investable Market Country Index consttuents and, after applyng the buffer rules, securtes are allocated to the value and growth ndexes, targetng 50% of the free float-adjusted market captalzaton wthn each MSCI Market Index as outlned n Secton. Values of the fundamental data used to determne style characterstcs are mantaned on a monthly bass. For the May and the November sem-annual style ndex revews, fundamental and forward lookng data as of the end of March and the end of September are used respectvely. The revew date for market captalzaton and prces s generally any one of the last 10 busness days of Aprl and October for the May and the November sem-annual style ndex revews respectvely. The prces from that same date are used for the calculaton of the three prce based ratos used to determned value style characterstcs. 3. Securty Style Revew Outsde of the Sem-Annual Style Index Revews Style revews outsde the sem-annual style ndex revews are conducted for new securtes n cases of addtons to the underlyng MSCI Global Investable Market Country Indexes. For these securtes, the style revew nvolves the followng: Determnng the values of the eght varables used to specfy value and growth characterstcs of affected securtes usng the latest avalable underlyng fundamental and forward lookng data. Calculatng the z-scores of each varable for affected securtes usng the prevous daly free floatadjusted market captalzaton weghted mean and standard devaton of the relevant varables. Aggregatng the style z-scores for the affected securtes to determne ther overall style characterstcs. Allocatng the affected securtes wth the approprate style ncluson factors wthout consderng the buffer rules or the 50% free float-adjusted market captalzaton target. Addtons of consttuents to the value and growth ndexes outsde the regular ndex revews can result from: Inclusons to the underlyng MSCI Global Investable Market Country Indexes durng the February and August quarterly ndex revews for the MSCI Global Investable Market Indexes, or 1 of 30

22 Inclusons to the underlyng MSCI Global Investable Market Index Country Indexes due to M&As, spn-offs, large IPOs and other early nclusons as descrbed n the MSCI Global Investable Market Indexes Methodology Book. Style revews are conducted for new ndex consttuents except n the followng cases: When a non-consttuent company acqures a consttuent company and the consttuent company s securtes are replaced by the securtes of the acqurng company, the securtes of the acqurng company wll keep the style of the securtes of the acqured company. When a consttuent company merges wth a non-consttuent company and the merged company replaces the consttuent company, the securtes of the merged company wll keep the style of the consttuent securtes before the merger. When two consttuent companes merge and the merged company replaces the two consttuent companes, the securtes of the merged company wll keep the style of the consttuent securtes to whch t s hstorcally lnked. When securtes spun-off from exstng consttuents are consdered for early ncluson at the tme of the event and the spnnng-off securty s not deleted from the Global Investable Market Index Index, the spun-off securtes wll keep the style of the spnnng-off securty. of 30

23 Appendx I: Varable Defntons and Computatons Ths appendx provdes detals on the defntons and computatons of the eght varables used to defne the value and growth nvestment style characterstcs for ndex constructon. All forward varables are based on consensus analysts estmates are provded by specalzed data vendors. Currently, the prmary vendor for forward varables s Thomson I/B/E/S. For Japan, Toyo Keza s used as secondary source for securtes whch are not covered by Thomson I/B/E/S. For all other fundamental data, MSCI data are used. As a general rule, n order to avod nconsstences of data between the dfferent provders, the fundamental data used n the forward varable calculatons are also provded by Thomson I/B/E/S. Thomson I/B/E/S provdes data at the company level. Hence, MSCI propagates the company level Thomson I/B/E/S data to all securtes of the same company when combnng t wth securty level prces. In case of par value dfference between multple securtes of the same company, MSCI adjusts Thomson I/B/E/S data accordngly. In certan crcumstances, such as for securtes recently lsted or undergong sgnfcant events where forward-lookng data s not yet avalable from I/B/E/S and Toyo Keza, MSCI s usng an average of analyst estmates avalable from other sources. Varables Used to Defne Value Investment Style Characterstcs Book Value to Prce Rato (BV / P) The BV / P calculaton s as follows: BV / P = book value per share / prce of securty The most recently reported book value s used to estmate book value per share. 1-month Forward Earnngs to Prce Rato (E fwd / P) The E fwd / P s calculated as follows: E fwd / P = EPS1F / prce of securty Where: EPS 1F s the 1-month forward EPS estmate and s derved on a rollng bass from the consensus of analysts earnngs estmates for fscal year 1 and fscal year. 3 of 30

24 Where EPS1 F M * EPS1 (1 M )* EPS 1 EPS 1 s the consensus of analysts earnngs estmates for fscal year 1 EPS s the consensus of analysts earnngs estmates for fscal year M s the number of months remanng before the fscal year end The fscal year 1 corresponds to the fscal year followng the last fscal year for whch the company has made ts results publcly avalable For cases where EPS s not avalable and M s greater than or equal to 8, EPS 1 s used as an approxmaton of EPS 1F. Example: Calculatng the 1-month forward earnngs as of January 0, 005: Securty A Securty B Securty C Latest reported Fscal Year Dec 31, 004 Mar 31, 004 Dec 31, 003 M EPS EPS 1 date Dec 31, 005 Mar 31, 005 Dec 31, 004 EPS EPS date Dec 31, 006 Mar 31, 006 Dec 31, 005 EPS EPS 3 date Dec 31, 006 EPS 1F For Securty C, the results for the fscal year endng December 31, 004 are not yet avalable. As a result, the EPS 1 estmates stll pertan to the fscal year endng December 31, 004. Therefore, n order to have meanngful 1-month forward earnngs, the EPS and the EPS 3 are used nstead of the EPS 1 and EPS. 4 of 30

25 Example: Calculatng the 1-month forward earnngs as of January 0, 005 when EPS s mssng: Securty A Securty B Securty C Latest reported Fscal Year Sep 30, 004 Jun 30, 004 Dec 31, 004 M EPS EPS 1 date Sep 30, 005 Jun 30, 005 Dec 31, 005 EPS 0.74 EPS date Sep 30, 006 EPS 1F 0.67 N/A 1.04 For securty B, estmates for June 30, 006 are not avalable. Snce M s smaller than 8, EPS 1F s not avalable. In the case of Securty C, estmates for December 31, 006 are not avalable but as M s greater than 8, EPS 1 s used as EPS 1F. Dvdend yeld (D / P) D / P = Current Annualzed Dvdend per Share / Prce of Securty The current annualzed dvdend per share s the sum of all the latest declared dvdends representng one year of dvdends. For the USA and Canada, the current annualzed dvdend per share s calculated by annualzng the latest publshed quarterly dvdend. Yelds are gross, before wthholdng tax, and take nto account specal tax credts when applcable. Varables Used to Defne Investment Style Characterstcs Long-term Forward Earnngs per Share Rate (LT fwd EPS G) The LT fwd EPS G s the consensus of analysts earnngs growth rate estmates typcally provded for the next 3 to 5 years. LT fwd EPS G wth values above 50 or below -33 are not taken nto account and consdered as mssng f contrbuted by only one analyst. 5 of 30

26 Short-term Forward Earnngs per Share Rate (ST fwd EPS G) The ST fwd EPS G s a growth rate between the 1-month backward earnngs per share and the 1- month forward earnngs per share. The ST fwd EPS G s computed as follows: Where EPS1F EPS ST forward EPS G EPS EPS 1B = 1-month backward EPS s derved n a smlar fashon as the EPS 1F but from the last reported fscal year and the consensus of analysts earnngs estmates for fscal year 1 1B 1B EPS1 B M * EPS 0 (1 M )* EPS1 1 Where EPS 0 s last fscal year end reported earnngs per share For cases where EPS 1 s used as an approxmaton of EPS 1F, EPS 0 s used as the value for EPS 1B. Example: Calculatng the Short-term forward EPS growth rate as of the January 0, 005: Securty A Securty B Securty C Fscal Year End Dec 31, 004 Nov 30, 004 Mar 31, 004 M EPS EPS EPS EPS 1F EPS 1B ST fwd EPS G 6.7% 69.7% 41.9% 6 of 30

27 Current Internal Rate (g) The Current Internal Rate s calculated as follows: g = ROE*(1-PO) Return on Equty (ROE) s calculated usng the tralng 1-month EPS dvded by the most recently reported book value. The ROE s consdered meanngful and s calculated f the followng condtons are met: the book value s postve and the dfference between the book value and earnngs date s less than 18 months and the book value s date s older than the earnngs date and the ssuer results are consoldated or not consoldated for both book value and earnngs. Otherwse, the ROE value s consdered mssng. Payout rato (PO) s calculated usng the current annualzed dvdend per share dvded by the tralng 1-month EPS. In the event of a mssng value for ether the payout rato or the ROE, the g value s consdered to be mssng. Long-term Hstorcal EPS Trend (LT hs EPS G) and Long-term Hstorcal Sales per Share (SPS) Trend (LT hs SPS G) For the calculaton of the LT hs EPS G and LT hs SPS G, frst a regresson (ordnary least square method) s appled to the last 5 yearly restated EPS and SPS respectvely. EPS t at b Where: a, the slope coeffcent, b, the ntercept, t, the year expressed n number of months. Then, an average absolute EPS or SPS s estmated: 7 of 30

28 ~~~ EPS n 1 EPS n The growth trend s fnally obtaned as follows: ~~~ SPS n 1 SPS n LT hs EPS G aeps ~~ ~ EPS LT hs SPS G asps ~~ ~ SPS In order to compute a meanngful long-term hstorcal growth trend for the EPS and SPS, 5 years of comparable data are requred. In the event that comparable restated pro forma data are unavalable, MSCI may restate the data usng adjustments. A mnmum of the last four EPS or SPS values are needed to compute ther hstorcal growth trends. trends for securtes wthout suffcent EPS or SPS values are consdered to be mssng. Example: Calculatng Long-term hstorcal EPS and SPS growth trend January 0, 003: Years t EPS SPS Fscal Year End 0 Dec 31, Fscal Year End 1 Dec 31, Fscal Year End Dec 31, Fscal Year End 3 Dec 31, Fscal Year End 4 Dec 31, a a, annualzed EPS ~~~ ~~~ & SPS Trend 70.6% 9.36% 8 of 30

29 Appendx II: Calculaton of Market Mean and Standard Devaton Ths appendx explans the calculaton of the market mean and Standard devaton used n the determnaton of the z-score. The calculaton nvolves the followng three steps: Frst, the varable values are wnsorzed usng the 5th and 95th percentle cut-off. Second, the wnsorzed per share values are used to compute the market mean. Thrd, the market standard devaton s computed. The market mean s the market captalzaton weghted average of the varable and s computed as follows: varable Shares P FIF Shares P FIF Varable The market standard devaton s computed as follows: wnsorzed Shares P FIF wnsorzed varable Varable varable Shares P FIF For example, the market mean and the market standard devaton for BV/P s calculated as follows: BV P Shares P FIF Shares P FIF BV P wnsorzed BV wnsorzed Shares P FIF BV / P Shares P FIF P Please note that only securtes wth non-mssng varables are ncluded n the market mean and standard devaton. BV P 9 of 30

30 Clent Servce Informaton s Avalable 4 Hours a Day Amercas Europe, Mddle East & Afrca Asa Pacfc Amercas Atlanta Boston Chcago Monterrey New York San Francsco Sao Paulo Toronto (toll free) Cape Town Frankfurt Geneva London Mlan Pars (toll free) Chna North Chna South Hong Kong Seoul Sngapore Sydney Tape Tokyo (toll free) (toll free) (toll free) (toll free) (toll free) Notce and Dsclamer Ths document and all of the nformaton contaned n t, ncludng wthout lmtaton all text, data, graphs, charts (collectvely, the Informaton ) s the property of MSCI Inc. or ts subsdares (collectvely, MSCI ), or MSCI s lcensors, drect or ndrect supplers or any thrd party nvolved n makng or complng any Informaton (collectvely, wth MSCI, the Informaton Provders ) and s provded for nformatonal purposes only. The Informaton may not be reproduced or redssemnated n whole or n part wthout pror wrtten permsson from MSCI. The Informaton may not be used to create dervatve works or to verfy or correct other data or nformaton. For example (but wthout lmtaton), the Informaton may not be used to create ndexes, databases, rsk models, analytcs, software, or n connecton wth the ssung, offerng, sponsorng, managng or marketng of any securtes, portfolos, fnancal products or other nvestment vehcles utlzng or based on, lnked to, trackng or otherwse derved from the Informaton or any other MSCI data, nformaton, products or servces. The user of the Informaton assumes the entre rsk of any use t may make or permt to be made of the Informaton. NONE OF THE INFORMATION PROVIDERS MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, EACH INFORMATION PROVIDER EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO ANY OF THE INFORMATION. Wthout lmtng any of the foregong and to the maxmum extent permtted by applcable law, n no event shall any Informaton Provder have any lablty regardng any of the Informaton for any drect, ndrect, specal, puntve, consequental (ncludng lost profts) or any other damages even f notfed of the possblty of such damages. The foregong shall not exclude or lmt any lablty that may not by applcable law be excluded or lmted, ncludng wthout lmtaton (as applcable), any lablty for death or personal njury to the extent that such njury results from the neglgence or wllful default of tself, ts servants, agents or sub-contractors. Informaton contanng any hstorcal nformaton, data or analyss should not be taken as an ndcaton or guarantee of any future performance, analyss, forecast or predcton. Past performance does not guarantee future results. None of the Informaton consttutes an offer to sell (or a solctaton of an offer to buy), any securty, fnancal product or other nvestment vehcle or any tradng strategy. You cannot nvest n an ndex. MSCI does not ssue, sponsor, endorse, market, offer, revew or otherwse express any opnon regardng any nvestment or fnancal product that may be based on or lnked to the performance of any MSCI ndex. MSCI s subsdares Insttutonal Shareholder Servces Inc. ( ISS ) and MSCI ESG Research Inc. are Regstered Investment Advsers under the Investment Advsers Act of Except wth respect to any applcable products or servces from ISS or MSCI ESG Research, nether MSCI nor any of ts products or servces recommends, endorses, approves or otherwse expresses any opnon regardng any ssuer, securtes, fnancal products or nstruments or tradng strateges and nether MSCI nor any of ts products or servces s ntended to consttute nvestment advce or a recommendaton to make (or refran from makng) any knd of nvestment decson and may not be reled on as such. The MSCI ESG Indexes use ratngs and other data, analyss and nformaton produced by MSCI ESG Research Inc. Issuers mentoned or ncluded n any MSCI ESG Research materals may be a clent of MSCI, ISS, or another MSCI subsdary, or the parent of, or afflated wth, a clent of MSCI, and may also purchase research or tools from MSCI ESG Research Inc. MSCI ESG Research materals, ncludng materals utlzed n any MSCI ESG Indexes or other products, have not been submtted to, nor receved approval from, the Unted States Securtes and Exchange Commsson or any other regulatory body. Any use of or access to products, servces or nformaton of MSCI requres a lcense from MSCI. MSCI, Barra, RskMetrcs, IPD, FEA, InvestorForce, and other MSCI brands and product names are the trademarks, servce marks, or regstered trademarks of MSCI or ts subsdares n the Unted States and other jursdctons. The Global Industry Classfcaton Standard (GICS) was developed by and s the exclusve property of MSCI and Standard & Poor s. Global Industry Classfcaton Standard (GICS) s a servce mark of MSCI and Standard & Poor s. About MSCI MSCI Inc. s a leadng provder of nvestment decson support tools to nvestors globally, ncludng asset managers, banks, hedge funds and penson funds. MSCI products and servces nclude ndexes, portfolo rsk and performance analytcs, and governance tools. The company s flagshp product offerngs are: the MSCI ndexes wth approxmately USD 8 trllon estmated to be benchmarked to them on a worldwde bass 1 ; Barra mult-asset class factor models, portfolo rsk and performance analytcs; RskMetrcs mult-asset class market and credt rsk analytcs; IPD real estate nformaton, ndexes and analytcs; MSCI ESG (envronmental, socal and governance) Research screenng, analyss and ratngs; ISS corporate governance research, data and outsourced proxy votng and reportng servces; and FEA valuaton models and rsk management software for the energy and commodtes markets. MSCI s headquartered n New York, wth research and commercal offces around the world. 1 As of September 30, 013, as reported on January 31, 014 by evestment, Lpper and Bloomberg Feb of 30

Construction Rules for Morningstar Canada Target Dividend Index SM

Construction Rules for Morningstar Canada Target Dividend Index SM Constructon Rules for Mornngstar Canada Target Dvdend Index SM Mornngstar Methodology Paper October 2014 Verson 1.2 2014 Mornngstar, Inc. All rghts reserved. The nformaton n ths document s the property

More information

An Alternative Way to Measure Private Equity Performance

An Alternative Way to Measure Private Equity Performance An Alternatve Way to Measure Prvate Equty Performance Peter Todd Parlux Investment Technology LLC Summary Internal Rate of Return (IRR) s probably the most common way to measure the performance of prvate

More information

Performance attribution for multi-layered investment decisions

Performance attribution for multi-layered investment decisions Performance attrbuton for mult-layered nvestment decsons 880 Thrd Avenue 7th Floor Ne Yor, NY 10022 212.866.9200 t 212.866.9201 f qsnvestors.com Inna Oounova Head of Strategc Asset Allocaton Portfolo Management

More information

benefit is 2, paid if the policyholder dies within the year, and probability of death within the year is ).

benefit is 2, paid if the policyholder dies within the year, and probability of death within the year is ). REVIEW OF RISK MANAGEMENT CONCEPTS LOSS DISTRIBUTIONS AND INSURANCE Loss and nsurance: When someone s subject to the rsk of ncurrng a fnancal loss, the loss s generally modeled usng a random varable or

More information

DBIQ Australian Bond Indices

DBIQ Australian Bond Indices db Index Development 25 November 2014 DBIQ Index Gude DBIQ Australan Bond Indces The DBIQ Australan Bond Indces have been developed to allow transparent, replcable rules based selecton of bonds for ease

More information

JPMorgan Commodity Target Volatility Index Series

JPMorgan Commodity Target Volatility Index Series JPMorgan Commodty Target Volatlty Index Seres Index Rules November 2010 All Rghts Reserved 1. Ths Part A: General Rules 1.1 Introducton PART A General Rules Ths Part A: General Rules sets out a general

More information

Reporting Forms ARF 113.0A, ARF 113.0B, ARF 113.0C and ARF 113.0D FIRB Corporate (including SME Corporate), Sovereign and Bank Instruction Guide

Reporting Forms ARF 113.0A, ARF 113.0B, ARF 113.0C and ARF 113.0D FIRB Corporate (including SME Corporate), Sovereign and Bank Instruction Guide Reportng Forms ARF 113.0A, ARF 113.0B, ARF 113.0C and ARF 113.0D FIRB Corporate (ncludng SME Corporate), Soveregn and Bank Instructon Gude Ths nstructon gude s desgned to assst n the completon of the FIRB

More information

S&P/CITIC CHINA BOND INDICES

S&P/CITIC CHINA BOND INDICES October 2006 S&P/CITIC CHINA BOND INDICES INDEX METHODOLOGY Table of Contents Introducton 3 Hghlghts 3 Partnershp 4 Index Famly 4 Elgblty Crtera 5 S&P/CITIC Government Bond Index 5 S&P/CITIC Corporate

More information

Course outline. Financial Time Series Analysis. Overview. Data analysis. Predictive signal. Trading strategy

Course outline. Financial Time Series Analysis. Overview. Data analysis. Predictive signal. Trading strategy Fnancal Tme Seres Analyss Patrck McSharry patrck@mcsharry.net www.mcsharry.net Trnty Term 2014 Mathematcal Insttute Unversty of Oxford Course outlne 1. Data analyss, probablty, correlatons, vsualsaton

More information

Nordea G10 Alpha Carry Index

Nordea G10 Alpha Carry Index Nordea G10 Alpha Carry Index Index Rules v1.1 Verson as of 10/10/2013 1 (6) Page 1 Index Descrpton The G10 Alpha Carry Index, the Index, follows the development of a rule based strategy whch nvests and

More information

THE DISTRIBUTION OF LOAN PORTFOLIO VALUE * Oldrich Alfons Vasicek

THE DISTRIBUTION OF LOAN PORTFOLIO VALUE * Oldrich Alfons Vasicek HE DISRIBUION OF LOAN PORFOLIO VALUE * Oldrch Alfons Vascek he amount of captal necessary to support a portfolo of debt securtes depends on the probablty dstrbuton of the portfolo loss. Consder a portfolo

More information

Fixed income risk attribution

Fixed income risk attribution 5 Fxed ncome rsk attrbuton Chthra Krshnamurth RskMetrcs Group chthra.krshnamurth@rskmetrcs.com We compare the rsk of the actve portfolo wth that of the benchmark and segment the dfference between the two

More information

S&P U.S. Corporate Bond Indices Methodology

S&P U.S. Corporate Bond Indices Methodology S&P U.S. Corporate Bond Indces Methodology S&P Dow Jones Indces: Index Methodology March 2015 Table of Contents Introducton 3 Index Famly 3 Elgblty Crtera 4 Elgblty Factors 4 Tmng of Changes 5 Monthly

More information

DEFINING %COMPLETE IN MICROSOFT PROJECT

DEFINING %COMPLETE IN MICROSOFT PROJECT CelersSystems DEFINING %COMPLETE IN MICROSOFT PROJECT PREPARED BY James E Aksel, PMP, PMI-SP, MVP For Addtonal Informaton about Earned Value Management Systems and reportng, please contact: CelersSystems,

More information

Analysis of Premium Liabilities for Australian Lines of Business

Analysis of Premium Liabilities for Australian Lines of Business Summary of Analyss of Premum Labltes for Australan Lnes of Busness Emly Tao Honours Research Paper, The Unversty of Melbourne Emly Tao Acknowledgements I am grateful to the Australan Prudental Regulaton

More information

Multiple-Period Attribution: Residuals and Compounding

Multiple-Period Attribution: Residuals and Compounding Multple-Perod Attrbuton: Resduals and Compoundng Our revewer gave these authors full marks for dealng wth an ssue that performance measurers and vendors often regard as propretary nformaton. In 1994, Dens

More information

DB Global Short Maturity High Yield Bond Index

DB Global Short Maturity High Yield Bond Index 12 February 2015 DBIQ Index Gude DB Global Short Maturty Hgh Yeld Bond Index Summary The DB Global Short Maturty Hgh Yeld Bond Index ( Index ) tracks the performance of a selected basket of short term

More information

Ameriprise Financial Services, Inc. or RiverSource Life Insurance Company Account Registration

Ameriprise Financial Services, Inc. or RiverSource Life Insurance Company Account Registration CED0105200808 Amerprse Fnancal Servces, Inc. 70400 Amerprse Fnancal Center Mnneapols, MN 55474 Incomng Account Transfer/Exchange/ Drect Rollover (Qualfed Plans Only) for Amerprse certfcates, Columba mutual

More information

Hollinger Canadian Publishing Holdings Co. ( HCPH ) proceeding under the Companies Creditors Arrangement Act ( CCAA )

Hollinger Canadian Publishing Holdings Co. ( HCPH ) proceeding under the Companies Creditors Arrangement Act ( CCAA ) February 17, 2011 Andrew J. Hatnay ahatnay@kmlaw.ca Dear Sr/Madam: Re: Re: Hollnger Canadan Publshng Holdngs Co. ( HCPH ) proceedng under the Companes Credtors Arrangement Act ( CCAA ) Update on CCAA Proceedngs

More information

MSCI Global Minimum Volatility Indices Methodology

MSCI Global Minimum Volatility Indices Methodology MSCI Global Minimum Volatility Indices Methodology Table of Contents Section 1: Introduction... 3 Section 2: Characteristics of MSCI Minimum Volatility Indices... 3 Section 3: Constructing the MSCI Minimum

More information

A Simplified Framework for Return Accountability

A Simplified Framework for Return Accountability Reprnted wth permsson from Fnancal Analysts Journal, May/June 1991. Copyrght 1991. Assocaton for Investment Management and Research, Charlottesvlle, VA. All rghts reserved. by Gary P. Brnson, Bran D. Snger

More information

Answer: A). There is a flatter IS curve in the high MPC economy. Original LM LM after increase in M. IS curve for low MPC economy

Answer: A). There is a flatter IS curve in the high MPC economy. Original LM LM after increase in M. IS curve for low MPC economy 4.02 Quz Solutons Fall 2004 Multple-Choce Questons (30/00 ponts) Please, crcle the correct answer for each of the followng 0 multple-choce questons. For each queston, only one of the answers s correct.

More information

MSCI Quality Indices Methodology

MSCI Quality Indices Methodology Methodology Contents Contents... 2 Section 1: Introduction... 3 Section 2: Index Construction Methodology... 4 Section 2.1: Applicable Universe... 4 Section 2.2: Determination of Quality Score... 4 Section

More information

Module 2 LOSSLESS IMAGE COMPRESSION SYSTEMS. Version 2 ECE IIT, Kharagpur

Module 2 LOSSLESS IMAGE COMPRESSION SYSTEMS. Version 2 ECE IIT, Kharagpur Module LOSSLESS IMAGE COMPRESSION SYSTEMS Lesson 3 Lossless Compresson: Huffman Codng Instructonal Objectves At the end of ths lesson, the students should be able to:. Defne and measure source entropy..

More information

Traffic-light a stress test for life insurance provisions

Traffic-light a stress test for life insurance provisions MEMORANDUM Date 006-09-7 Authors Bengt von Bahr, Göran Ronge Traffc-lght a stress test for lfe nsurance provsons Fnansnspetonen P.O. Box 6750 SE-113 85 Stocholm [Sveavägen 167] Tel +46 8 787 80 00 Fax

More information

7.5. Present Value of an Annuity. Investigate

7.5. Present Value of an Annuity. Investigate 7.5 Present Value of an Annuty Owen and Anna are approachng retrement and are puttng ther fnances n order. They have worked hard and nvested ther earnngs so that they now have a large amount of money on

More information

MSCI Dividend Masters Indexes Methodology

MSCI Dividend Masters Indexes Methodology Index Methodology MSCI es Methodology July 2014 msci.com Contents 1 Introduction... 3 2 Index Construction Methodology... 3 Section 2.1: Applicable Universe... 3 Section 2.2: Security Selection... 3 Section

More information

Staff Paper. Farm Savings Accounts: Examining Income Variability, Eligibility, and Benefits. Brent Gloy, Eddy LaDue, and Charles Cuykendall

Staff Paper. Farm Savings Accounts: Examining Income Variability, Eligibility, and Benefits. Brent Gloy, Eddy LaDue, and Charles Cuykendall SP 2005-02 August 2005 Staff Paper Department of Appled Economcs and Management Cornell Unversty, Ithaca, New York 14853-7801 USA Farm Savngs Accounts: Examnng Income Varablty, Elgblty, and Benefts Brent

More information

MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX

MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX INDEX METHODOLOGY MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX September 2014 SEPTEMBER 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI China and USA Internet Top 50 Equal Weighted

More information

Calculation of Sampling Weights

Calculation of Sampling Weights Perre Foy Statstcs Canada 4 Calculaton of Samplng Weghts 4.1 OVERVIEW The basc sample desgn used n TIMSS Populatons 1 and 2 was a two-stage stratfed cluster desgn. 1 The frst stage conssted of a sample

More information

Can Auto Liability Insurance Purchases Signal Risk Attitude?

Can Auto Liability Insurance Purchases Signal Risk Attitude? Internatonal Journal of Busness and Economcs, 2011, Vol. 10, No. 2, 159-164 Can Auto Lablty Insurance Purchases Sgnal Rsk Atttude? Chu-Shu L Department of Internatonal Busness, Asa Unversty, Tawan Sheng-Chang

More information

Efficient Project Portfolio as a tool for Enterprise Risk Management

Efficient Project Portfolio as a tool for Enterprise Risk Management Effcent Proect Portfolo as a tool for Enterprse Rsk Management Valentn O. Nkonov Ural State Techncal Unversty Growth Traectory Consultng Company January 5, 27 Effcent Proect Portfolo as a tool for Enterprse

More information

The Use of Analytics for Claim Fraud Detection Roosevelt C. Mosley, Jr., FCAS, MAAA Nick Kucera Pinnacle Actuarial Resources Inc.

The Use of Analytics for Claim Fraud Detection Roosevelt C. Mosley, Jr., FCAS, MAAA Nick Kucera Pinnacle Actuarial Resources Inc. Paper 1837-2014 The Use of Analytcs for Clam Fraud Detecton Roosevelt C. Mosley, Jr., FCAS, MAAA Nck Kucera Pnnacle Actuaral Resources Inc., Bloomngton, IL ABSTRACT As t has been wdely reported n the nsurance

More information

10.2 Future Value and Present Value of an Ordinary Simple Annuity

10.2 Future Value and Present Value of an Ordinary Simple Annuity 348 Chapter 10 Annutes 10.2 Future Value and Present Value of an Ordnary Smple Annuty In compound nterest, 'n' s the number of compoundng perods durng the term. In an ordnary smple annuty, payments are

More information

Using Series to Analyze Financial Situations: Present Value

Using Series to Analyze Financial Situations: Present Value 2.8 Usng Seres to Analyze Fnancal Stuatons: Present Value In the prevous secton, you learned how to calculate the amount, or future value, of an ordnary smple annuty. The amount s the sum of the accumulated

More information

Small pots lump sum payment instruction

Small pots lump sum payment instruction For customers Small pots lump sum payment nstructon Please read these notes before completng ths nstructon About ths nstructon Use ths nstructon f you re an ndvdual wth Aegon Retrement Choces Self Invested

More information

Chapter 15 Debt and Taxes

Chapter 15 Debt and Taxes hapter 15 Debt and Taxes 15-1. Pelamed Pharmaceutcals has EBIT of $325 mllon n 2006. In addton, Pelamed has nterest expenses of $125 mllon and a corporate tax rate of 40%. a. What s Pelamed s 2006 net

More information

Brigid Mullany, Ph.D University of North Carolina, Charlotte

Brigid Mullany, Ph.D University of North Carolina, Charlotte Evaluaton And Comparson Of The Dfferent Standards Used To Defne The Postonal Accuracy And Repeatablty Of Numercally Controlled Machnng Center Axes Brgd Mullany, Ph.D Unversty of North Carolna, Charlotte

More information

R Risk-Based Global Developed Markets Equity Index. Methodology

R Risk-Based Global Developed Markets Equity Index. Methodology R Rsk-Based Global Developed Markets Equty Index Methodology R Rsk-Based Global Developed Markets Equty Index Fnal Documentaton Dsclamer Rsk Based Investment Solutons Ltd ("RBIS") 2014. RBIS s the Index

More information

Reporting Instructions for Schedules A through S

Reporting Instructions for Schedules A through S FFIEC 0 Reportng Instructons for Schedules A through S FFIEC 0 FFIEC 0 CONTENTS INSTRUCTIONS FOR PREPARATION OF FFIEC 0 Rsk-Based Captal Reportng for Insttutons Subject to the Advanced Captal Adequacy

More information

Capital International Global Equities Fund (Hedged)

Capital International Global Equities Fund (Hedged) Captal Internatonal Global Equtes Fund (Hedged) Product dsclosure statement Contents 1. About Captal Group Investment Management Lmted 2. How Global Equtes Fund (Hedged) works 3. Benefts of nvestng n Global

More information

Section 5.4 Annuities, Present Value, and Amortization

Section 5.4 Annuities, Present Value, and Amortization Secton 5.4 Annutes, Present Value, and Amortzaton Present Value In Secton 5.2, we saw that the present value of A dollars at nterest rate per perod for n perods s the amount that must be deposted today

More information

CHOLESTEROL REFERENCE METHOD LABORATORY NETWORK. Sample Stability Protocol

CHOLESTEROL REFERENCE METHOD LABORATORY NETWORK. Sample Stability Protocol CHOLESTEROL REFERENCE METHOD LABORATORY NETWORK Sample Stablty Protocol Background The Cholesterol Reference Method Laboratory Network (CRMLN) developed certfcaton protocols for total cholesterol, HDL

More information

Solution: Let i = 10% and d = 5%. By definition, the respective forces of interest on funds A and B are. i 1 + it. S A (t) = d (1 dt) 2 1. = d 1 dt.

Solution: Let i = 10% and d = 5%. By definition, the respective forces of interest on funds A and B are. i 1 + it. S A (t) = d (1 dt) 2 1. = d 1 dt. Chapter 9 Revew problems 9.1 Interest rate measurement Example 9.1. Fund A accumulates at a smple nterest rate of 10%. Fund B accumulates at a smple dscount rate of 5%. Fnd the pont n tme at whch the forces

More information

To manage leave, meeting institutional requirements and treating individual staff members fairly and consistently.

To manage leave, meeting institutional requirements and treating individual staff members fairly and consistently. Corporate Polces & Procedures Human Resources - Document CPP216 Leave Management Frst Produced: Current Verson: Past Revsons: Revew Cycle: Apples From: 09/09/09 26/10/12 09/09/09 3 years Immedately Authorsaton:

More information

LIFETIME INCOME OPTIONS

LIFETIME INCOME OPTIONS LIFETIME INCOME OPTIONS May 2011 by: Marca S. Wagner, Esq. The Wagner Law Group A Professonal Corporaton 99 Summer Street, 13 th Floor Boston, MA 02110 Tel: (617) 357-5200 Fax: (617) 357-5250 www.ersa-lawyers.com

More information

Multiple discount and forward curves

Multiple discount and forward curves Multple dscount and forward curves TopQuants presentaton 21 ovember 2012 Ton Broekhuzen, Head Market Rsk and Basel coordnator, IBC Ths presentaton reflects personal vews and not necessarly the vews of

More information

GS $ High Yield Index GS $ HYTop Index. Rules and Methodology

GS $ High Yield Index GS $ HYTop Index. Rules and Methodology Goldman Sachs Global Credt Strategy Credt Indces GS $ Hgh Yeld Index GS $ HYTop Index Rules and Methodology Global Credt Strategy gs-cr-ndces@ny.emal.gs.com Important dsclosures appear at the back of ths

More information

The Development of Web Log Mining Based on Improve-K-Means Clustering Analysis

The Development of Web Log Mining Based on Improve-K-Means Clustering Analysis The Development of Web Log Mnng Based on Improve-K-Means Clusterng Analyss TngZhong Wang * College of Informaton Technology, Luoyang Normal Unversty, Luoyang, 471022, Chna wangtngzhong2@sna.cn Abstract.

More information

Return decomposing of absolute-performance multi-asset class portfolios. Working Paper - Nummer: 16

Return decomposing of absolute-performance multi-asset class portfolios. Working Paper - Nummer: 16 Return decomposng of absolute-performance mult-asset class portfolos Workng Paper - Nummer: 16 2007 by Dr. Stefan J. Illmer und Wolfgang Marty; n: Fnancal Markets and Portfolo Management; March 2007; Volume

More information

Study on Model of Risks Assessment of Standard Operation in Rural Power Network

Study on Model of Risks Assessment of Standard Operation in Rural Power Network Study on Model of Rsks Assessment of Standard Operaton n Rural Power Network Qngj L 1, Tao Yang 2 1 Qngj L, College of Informaton and Electrcal Engneerng, Shenyang Agrculture Unversty, Shenyang 110866,

More information

The Current Employment Statistics (CES) survey,

The Current Employment Statistics (CES) survey, Busness Brths and Deaths Impact of busness brths and deaths n the payroll survey The CES probablty-based sample redesgn accounts for most busness brth employment through the mputaton of busness deaths,

More information

The Role of Fixed Income Benchmarks. May 2007 Lev Dynkin, Managing Director Global Head of Quantitative Portfolio Strategies

The Role of Fixed Income Benchmarks. May 2007 Lev Dynkin, Managing Director Global Head of Quantitative Portfolio Strategies The Role of Fxed Income enchmarks May 2007 Lev Dynkn, Managng Drector Global Head of Quanttatve Portfolo Strateges Why use a benchmark? Is the portfolo manager addng value vs a nave ( zero skll ) nvestment

More information

MAPP. MERIS level 3 cloud and water vapour products. Issue: 1. Revision: 0. Date: 9.12.1998. Function Name Organisation Signature Date

MAPP. MERIS level 3 cloud and water vapour products. Issue: 1. Revision: 0. Date: 9.12.1998. Function Name Organisation Signature Date Ttel: Project: Doc. No.: MERIS level 3 cloud and water vapour products MAPP MAPP-ATBD-ClWVL3 Issue: 1 Revson: 0 Date: 9.12.1998 Functon Name Organsaton Sgnature Date Author: Bennartz FUB Preusker FUB Schüller

More information

MSCI Core Infrastructure Indexes Methodology

MSCI Core Infrastructure Indexes Methodology Index Methodology MSCI Core Infrastructure Indexes Methodology January 2015 msci.com Contents 1 Introduction... 3 2 Constructing MSCI Core Infrastructure Indexes... 3 2.1 Country and Constituent Selection...

More information

1.1 The University may award Higher Doctorate degrees as specified from time-to-time in UPR AS11 1.

1.1 The University may award Higher Doctorate degrees as specified from time-to-time in UPR AS11 1. HIGHER DOCTORATE DEGREES SUMMARY OF PRINCIPAL CHANGES General changes None Secton 3.2 Refer to text (Amendments to verson 03.0, UPR AS02 are shown n talcs.) 1 INTRODUCTION 1.1 The Unversty may award Hgher

More information

HOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA*

HOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA* HOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA* Luísa Farnha** 1. INTRODUCTION The rapd growth n Portuguese households ndebtedness n the past few years ncreased the concerns that debt

More information

Institute of Informatics, Faculty of Business and Management, Brno University of Technology,Czech Republic

Institute of Informatics, Faculty of Business and Management, Brno University of Technology,Czech Republic Lagrange Multplers as Quanttatve Indcators n Economcs Ivan Mezník Insttute of Informatcs, Faculty of Busness and Management, Brno Unversty of TechnologCzech Republc Abstract The quanttatve role of Lagrange

More information

The Funeral Fund Offer Document

The Funeral Fund Offer Document Contact Detals Regstered Offce Level 5, 130 Lttle Collns Street Melbourne VIC 3000 The Funeral Fund Offer Document Issued 1 September 2015 Issued by The Untng Church n Australa Property Trust (Vctora)

More information

Causal, Explanatory Forecasting. Analysis. Regression Analysis. Simple Linear Regression. Which is Independent? Forecasting

Causal, Explanatory Forecasting. Analysis. Regression Analysis. Simple Linear Regression. Which is Independent? Forecasting Causal, Explanatory Forecastng Assumes cause-and-effect relatonshp between system nputs and ts output Forecastng wth Regresson Analyss Rchard S. Barr Inputs System Cause + Effect Relatonshp The job of

More information

Interest Rate Futures

Interest Rate Futures Interest Rate Futures Chapter 6 6.1 Day Count Conventons n the U.S. (Page 129) Treasury Bonds: Corporate Bonds: Money Market Instruments: Actual/Actual (n perod) 30/360 Actual/360 The day count conventon

More information

Simple Interest Loans (Section 5.1) :

Simple Interest Loans (Section 5.1) : Chapter 5 Fnance The frst part of ths revew wll explan the dfferent nterest and nvestment equatons you learned n secton 5.1 through 5.4 of your textbook and go through several examples. The second part

More information

Documentation about calculation methods used for the electricity supply price index (SPIN 35.1),

Documentation about calculation methods used for the electricity supply price index (SPIN 35.1), STATISTICS SWEDEN Documentaton (6) ES/PR-S 0-- artn Kullendorff arcus rdén Documentaton about calculaton methods used for the electrct suppl prce ndex (SPIN 35.), home sales (HPI) The ndex fgure for electrct

More information

Intra-year Cash Flow Patterns: A Simple Solution for an Unnecessary Appraisal Error

Intra-year Cash Flow Patterns: A Simple Solution for an Unnecessary Appraisal Error Intra-year Cash Flow Patterns: A Smple Soluton for an Unnecessary Apprasal Error By C. Donald Wggns (Professor of Accountng and Fnance, the Unversty of North Florda), B. Perry Woodsde (Assocate Professor

More information

MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX

MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX INDEX METHODOLOGY MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX March 2014 MARCH 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Australia Select High Dividend Yield Index... 4 3 Maintaining

More information

Introducing the Loan Pool Specific Factor in CreditManager

Introducing the Loan Pool Specific Factor in CreditManager Technical Note Introducing the Loan Pool Specific Factor in CreditManager A New Tool for Decorrelating Loan Pools Driven by the Same Market Factor Attila Agod, András Bohák, Tamás Mátrai Attila.Agod@ Andras.Bohak@

More information

DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS?

DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS? DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS? Fernando Comran, Unversty of San Francsco, School of Management, 2130 Fulton Street, CA 94117, Unted States, fcomran@usfca.edu Tatana Fedyk,

More information

SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME

SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME August 7 - August 12, 2006 n Baden-Baden, Germany SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME Vladmr Šmovć 1, and Vladmr Šmovć 2, PhD 1 Faculty of Electrcal Engneerng and Computng, Unska 3, 10000

More information

Accounting Discretion of Banks During a Financial Crisis

Accounting Discretion of Banks During a Financial Crisis WP/09/207 Accountng Dscreton of Banks Durng a Fnancal Crss Harry Huznga and Luc Laeven 2009 Internatonal Monetary Fund WP/09/207 IMF Workng Paper Research Department Accountng dscreton of banks durng a

More information

The program for the Bachelor degrees shall extend over three years of full-time study or the parttime equivalent.

The program for the Bachelor degrees shall extend over three years of full-time study or the parttime equivalent. Bachel of Commerce Bachel of Commerce (Accountng) Bachel of Commerce (Cpate Fnance) Bachel of Commerce (Internatonal Busness) Bachel of Commerce (Management) Bachel of Commerce (Marketng) These Program

More information

Stress test for measuring insurance risks in non-life insurance

Stress test for measuring insurance risks in non-life insurance PROMEMORIA Datum June 01 Fnansnspektonen Författare Bengt von Bahr, Younes Elonq and Erk Elvers Stress test for measurng nsurance rsks n non-lfe nsurance Summary Ths memo descrbes stress testng of nsurance

More information

Trust Deed UNISAVER NEW ZEALAND

Trust Deed UNISAVER NEW ZEALAND Trust Deed UNISAVER NEW ZEALAND Table of contents Partes...1 Background...1 Operatve Part...1 Covenants...2 1 Establshment of Scheme...2 2 Defntons and Interpretaton...2 3 Membershp...10 4 Contrbutons...10

More information

The Investor Recognition Hypothesis:

The Investor Recognition Hypothesis: The Investor Recognton Hypothess: the New Zealand Penny Stocks Danel JP Cha, Department of Accountng and Fnance, onash Unversty, Clayton 3168, elbourne, Australa, and Danel FS Cho, Department of Fnance,

More information

Morningstar After-Tax Return Methodology

Morningstar After-Tax Return Methodology Mornngstar After-Tax Return Methodology Mornngstar Research Report March 1, 2013 2013 Mornngstar, Inc. All rghts reserved. The nformaton n ths document s the property of Mornngstar, Inc. Reproducton or

More information

Number of Levels Cumulative Annual operating Income per year construction costs costs ($) ($) ($) 1 600,000 35,000 100,000 2 2,200,000 60,000 350,000

Number of Levels Cumulative Annual operating Income per year construction costs costs ($) ($) ($) 1 600,000 35,000 100,000 2 2,200,000 60,000 350,000 Problem Set 5 Solutons 1 MIT s consderng buldng a new car park near Kendall Square. o unversty funds are avalable (overhead rates are under pressure and the new faclty would have to pay for tself from

More information

PRACTICE 1: MUTUAL FUNDS EVALUATION USING MATLAB.

PRACTICE 1: MUTUAL FUNDS EVALUATION USING MATLAB. PRACTICE 1: MUTUAL FUNDS EVALUATION USING MATLAB. INDEX 1. Load data usng the Edtor wndow and m-fle 2. Learnng to save results from the Edtor wndow. 3. Computng the Sharpe Rato 4. Obtanng the Treynor Rato

More information

APPLICATION OF PROBE DATA COLLECTED VIA INFRARED BEACONS TO TRAFFIC MANEGEMENT

APPLICATION OF PROBE DATA COLLECTED VIA INFRARED BEACONS TO TRAFFIC MANEGEMENT APPLICATION OF PROBE DATA COLLECTED VIA INFRARED BEACONS TO TRAFFIC MANEGEMENT Toshhko Oda (1), Kochro Iwaoka (2) (1), (2) Infrastructure Systems Busness Unt, Panasonc System Networks Co., Ltd. Saedo-cho

More information

The impact of hard discount control mechanism on the discount volatility of UK closed-end funds

The impact of hard discount control mechanism on the discount volatility of UK closed-end funds Investment Management and Fnancal Innovatons, Volume 10, Issue 3, 2013 Ahmed F. Salhn (Egypt) The mpact of hard dscount control mechansm on the dscount volatlty of UK closed-end funds Abstract The mpact

More information

A Secure Password-Authenticated Key Agreement Using Smart Cards

A Secure Password-Authenticated Key Agreement Using Smart Cards A Secure Password-Authentcated Key Agreement Usng Smart Cards Ka Chan 1, Wen-Chung Kuo 2 and Jn-Chou Cheng 3 1 Department of Computer and Informaton Scence, R.O.C. Mltary Academy, Kaohsung 83059, Tawan,

More information

Section 5.3 Annuities, Future Value, and Sinking Funds

Section 5.3 Annuities, Future Value, and Sinking Funds Secton 5.3 Annutes, Future Value, and Snkng Funds Ordnary Annutes A sequence of equal payments made at equal perods of tme s called an annuty. The tme between payments s the payment perod, and the tme

More information

Trivial lump sum R5.0

Trivial lump sum R5.0 Optons form Once you have flled n ths form, please return t wth your orgnal brth certfcate to: Premer PO Box 2067 Croydon CR90 9ND. Fll n ths form usng BLOCK CAPITALS and black nk. Mark all answers wth

More information

IDENTIFICATION AND CORRECTION OF A COMMON ERROR IN GENERAL ANNUITY CALCULATIONS

IDENTIFICATION AND CORRECTION OF A COMMON ERROR IN GENERAL ANNUITY CALCULATIONS IDENTIFICATION AND CORRECTION OF A COMMON ERROR IN GENERAL ANNUITY CALCULATIONS Chrs Deeley* Last revsed: September 22, 200 * Chrs Deeley s a Senor Lecturer n the School of Accountng, Charles Sturt Unversty,

More information

Time Value of Money Module

Time Value of Money Module Tme Value of Money Module O BJECTIVES After readng ths Module, you wll be able to: Understand smple nterest and compound nterest. 2 Compute and use the future value of a sngle sum. 3 Compute and use the

More information

Underwriting Risk. Glenn Meyers. Insurance Services Office, Inc.

Underwriting Risk. Glenn Meyers. Insurance Services Office, Inc. Underwrtng Rsk By Glenn Meyers Insurance Servces Offce, Inc. Abstract In a compettve nsurance market, nsurers have lmted nfluence on the premum charged for an nsurance contract. hey must decde whether

More information

Account Transfer and Direct Rollover

Account Transfer and Direct Rollover CED0105 Amerprse Fnancal Servces, Inc. 70100 Amerprse Fnancal Center Mnneapols, MN 55474 Account Transfer and Drect Rollover Important: Before fnal submsson to the Home Offce you wll need a Reference Number.

More information

Overview of monitoring and evaluation

Overview of monitoring and evaluation 540 Toolkt to Combat Traffckng n Persons Tool 10.1 Overvew of montorng and evaluaton Overvew Ths tool brefly descrbes both montorng and evaluaton, and the dstncton between the two. What s montorng? Montorng

More information

EXAMPLE PROBLEMS SOLVED USING THE SHARP EL-733A CALCULATOR

EXAMPLE PROBLEMS SOLVED USING THE SHARP EL-733A CALCULATOR EXAMPLE PROBLEMS SOLVED USING THE SHARP EL-733A CALCULATOR 8S CHAPTER 8 EXAMPLES EXAMPLE 8.4A THE INVESTMENT NEEDED TO REACH A PARTICULAR FUTURE VALUE What amount must you nvest now at 4% compoune monthly

More information

Lecture 3: Force of Interest, Real Interest Rate, Annuity

Lecture 3: Force of Interest, Real Interest Rate, Annuity Lecture 3: Force of Interest, Real Interest Rate, Annuty Goals: Study contnuous compoundng and force of nterest Dscuss real nterest rate Learn annuty-mmedate, and ts present value Study annuty-due, and

More information

Traffic-light extended with stress test for insurance and expense risks in life insurance

Traffic-light extended with stress test for insurance and expense risks in life insurance PROMEMORIA Datum 0 July 007 FI Dnr 07-1171-30 Fnansnspetonen Författare Bengt von Bahr, Göran Ronge Traffc-lght extended wth stress test for nsurance and expense rss n lfe nsurance Summary Ths memorandum

More information

1. Measuring association using correlation and regression

1. Measuring association using correlation and regression How to measure assocaton I: Correlaton. 1. Measurng assocaton usng correlaton and regresson We often would lke to know how one varable, such as a mother's weght, s related to another varable, such as a

More information

iavenue iavenue i i i iavenue iavenue iavenue

iavenue iavenue i i i iavenue iavenue iavenue Saratoga Systems' enterprse-wde Avenue CRM system s a comprehensve web-enabled software soluton. Ths next generaton system enables you to effectvely manage and enhance your customer relatonshps n both

More information

INDEX METHODOLOGY MSCI REIT PREFERRED. Index Construction and Maintenance Methodology for the MSCI REIT Preferred Index.

INDEX METHODOLOGY MSCI REIT PREFERRED. Index Construction and Maintenance Methodology for the MSCI REIT Preferred Index. INDEX METHODOLOGY MSCI REIT PREFERRED INDEX METHODOLOGY Index Construction and Maintenance Methodology for the MSCI REIT Preferred Index December 2014 DECEMBER 2014 CONTENTS 1 Introduction... 3 2 Defining

More information

CHAPTER 5 RELATIONSHIPS BETWEEN QUANTITATIVE VARIABLES

CHAPTER 5 RELATIONSHIPS BETWEEN QUANTITATIVE VARIABLES CHAPTER 5 RELATIONSHIPS BETWEEN QUANTITATIVE VARIABLES In ths chapter, we wll learn how to descrbe the relatonshp between two quanttatve varables. Remember (from Chapter 2) that the terms quanttatve varable

More information

HP Mission-Critical Services

HP Mission-Critical Services HP Msson-Crtcal Servces Delverng busness value to IT Jelena Bratc Zarko Subotc TS Support tm Mart 2012, Podgorca 2010 Hewlett-Packard Development Company, L.P. The nformaton contaned heren s subject to

More information

NPAR TESTS. One-Sample Chi-Square Test. Cell Specification. Observed Frequencies 1O i 6. Expected Frequencies 1EXP i 6

NPAR TESTS. One-Sample Chi-Square Test. Cell Specification. Observed Frequencies 1O i 6. Expected Frequencies 1EXP i 6 PAR TESTS If a WEIGHT varable s specfed, t s used to replcate a case as many tmes as ndcated by the weght value rounded to the nearest nteger. If the workspace requrements are exceeded and samplng has

More information

Recurrence. 1 Definitions and main statements

Recurrence. 1 Definitions and main statements Recurrence 1 Defntons and man statements Let X n, n = 0, 1, 2,... be a MC wth the state space S = (1, 2,...), transton probabltes p j = P {X n+1 = j X n = }, and the transton matrx P = (p j ),j S def.

More information

The Short-term and Long-term Market

The Short-term and Long-term Market A Presentaton on Market Effcences to Northfeld Informaton Servces Annual Conference he Short-term and Long-term Market Effcences en Post Offce Square Boston, MA 0209 www.acadan-asset.com Charles H. Wang,

More information

The OC Curve of Attribute Acceptance Plans

The OC Curve of Attribute Acceptance Plans The OC Curve of Attrbute Acceptance Plans The Operatng Characterstc (OC) curve descrbes the probablty of acceptng a lot as a functon of the lot s qualty. Fgure 1 shows a typcal OC Curve. 10 8 6 4 1 3 4

More information

Fuzzy TOPSIS Method in the Selection of Investment Boards by Incorporating Operational Risks

Fuzzy TOPSIS Method in the Selection of Investment Boards by Incorporating Operational Risks , July 6-8, 2011, London, U.K. Fuzzy TOPSIS Method n the Selecton of Investment Boards by Incorporatng Operatonal Rsks Elssa Nada Mad, and Abu Osman Md Tap Abstract Mult Crtera Decson Makng (MCDM) nvolves

More information

DISCLOSURES I. ELECTRONIC FUND TRANSFER DISCLOSURE (REGULATION E)... 2 ELECTRONIC DISCLOSURE AND ELECTRONIC SIGNATURE CONSENT... 7

DISCLOSURES I. ELECTRONIC FUND TRANSFER DISCLOSURE (REGULATION E)... 2 ELECTRONIC DISCLOSURE AND ELECTRONIC SIGNATURE CONSENT... 7 DISCLOSURES The Dsclosures set forth below may affect the accounts you have selected wth Bank Leum USA. Read these dsclosures carefully as they descrbe your rghts and oblgatons for the accounts and/or

More information