Real Estate Investments: The Case of Italian Market
|
|
- Belinda Day
- 8 years ago
- Views:
Transcription
1 Financial Management Association European Conference june 2005 Real Estate Investments: The Case of Italian Market Gabriele Sampagnaro Dipartimento di Studi Aziendali, University of Naples arthenope.
2 Real Estate Investments: the case of Italian market Topic: analysis of the role of Italian real estate in a mixed-portfolio with the MVO framework. Some initial questions: Which aspect of the role? Why MVO? Which the limits? Which data use? rivate or public market? private ublic Market, characteristics: Italian closed property funds Officially started in with the institution of specialized closed fund (fondi comuni di investimento immobiliari, Law 86/994) Illiquidity of the market and the limited number of listed funds Lack of a benchmark Real estate companies ABS
3 Global Real Estate Transparency Index 2004 Rank Real Estate Transparency Tier -5 (2004) Real Estate Transparency Tier -5 (2004) Real Estate Transp. (200) Australia.9 Same 2 New Zealand.9 Same 3 US.24 Same 4 UK.24 Same 22 Italy Improved Highly Transparent (Tier ) Transparent (Tier 2) Semi-Transparent (Tier 3) Low Transparent (Tier 4) Opaque (Tier 5)
4 Benefit from inclusion of an asset class not correlated returns C σ Max A σ Max B σ Max Frontier A without RE Frontier B A σ Min B σ Min C σ Min with RE Frontier C σ Min with RE σ Max From A to B : sling effect risk From A to C: raising effect
5 A Measure of Benefit Change in Mean Risk Adjusted erformance of Frontier (MeRAF) MeRAF returns = N N i= * R i σ i C σ Max N =0 decile MeRAF A σ Max B σ Max Frontier A without RE Frontier B A σ Min B σ Min C σ Min Deciles ortfolio (A C) ort. Var. Max. (A C) with RE Frontier C with RE D D2 D3 D4 D5 D6 D7 D8 D9 D0 Deciles ortfolio (A B) risk
6 DATA ortfolio are mixed in 4 domestic asset classes ) Stock COMIT Globale Index 2) Long Term Government Bond Buono Tesoro oliennale,bt 0 Y 3) Risk free rate 6-m; Buono Ordinari del Tesoro, BOT 6-m All Time series are monthly based. Time eriod: Jun 997-Jun ) Real Estate Scenari Immobiliari General Index Not Residential Index sectors Residential Commercial Inustrial Office
7 Real Estate DATA The SI indexes are based on a sample of 2000 properties, under the hypothesis they are representative of domestic market They are domestic indexes: the properties located in 03 town. The General and Not Residential Index consider the weight of each sector in Italian market They started the st of June 997 They are calculated following a mix approach (transaction/appraisal). In details, they re based on three variables: ) change in rental values; 2) Change of returns; 3) Change of volumes.
8 Real Estate DATA 280 Figure Cumulated returns may-96 sept-97 feb-99 jun-00 nov-0 mar-03 aug-04 Monthly Returns Residential Office Commercial Industrial SI General Not Residenial 5,00% 4,00% 3,00% 2,00%,00% 0,00% Figure 2 aug-96 jan-98 may-99 oct-00 feb-02 jun-03 Correlation Resid. Off. Comm Ind. Res. 0,50 0,48 0,52 Off. 0,58 0,42 Comm. 0,24 Ind. -,00% -2,00% -3,00% Residenziale Industriale Uffici ISI Generale Commerciale ISI Gen. non Residenz.
9 0,250 Table Asset Classes: perfomance and risk Stock LT Bond Risk free RE Mean 0,93% -0,47% 0,33%,% Standard Errors 0, , , , Median 0, , , ,08 Mode n.c. n.c. n.c 0,023 Standard Deviation 0,072 0,039 0,003 0,0063 Kurtosis 0, ,7392-0,532-0,936 Skewness 0,4065 0, ,5353-0,556 Min. -0,6875-0, ,000-0,0009 Max. 0,2352 0, , ,023 Figure 3 Data unsmoothed 0,200 0,50 Stock A Bond B Risk Free C RE (SI Gen) D RE Unsm. E 0,00 0,050 0,000 /03/997 24/07/998 06/2/999 9/04/200 0/09/2002 4/0/2004-0,050 A B C 0,090 0,06-0,56-0,00 D -0,002-0,044-0,005-0,50 E -0,29 0,066-0,080 0,767-0,200 Stock LT Gov. Bond Risk Free Real Estate
10 6 Empirical Results: RE General Index Annualized Return (%) unsmoothed 00% Stock 00% RE (SI Gen) 00% Bond 00% Risk Free Risk (%) Frontier withour RE Frontier with RE Frontier with RE (unsmoothed returns) 00% 0% 0% 00% 0% Risk 0% Risk % 0% 0% Risk Risk Free Rate LT Gov. Bond Stock RE Smothed RE Unsmothed
11 Empirical Results: RE not Residential Index 9 8 Annualized Return (%) % Stock 00% ISI non Res. 00% Bond 00% Risk Free Risk (%) Frontier without RE Frontier with RE Frontier with RE (unsm. ret.) 00% 0% 0% Risk % 0% 0% 00% 0% Risk 0% Risk Risk Free Rate LT Gov. Bond Stock RE Smothed RE Unsmothed
12 Returns (%) 7 6 Bayes&Stein rocedure 00% Stock 5 00% Re not Res. 00% Bond 4 00% Risk Free Risk (%) Frontier without RE Frontier with RE (Not Res.) E( ri ) = rg + wi ( ri rg ) w B&S Approach: i 2 ( k 3) σ i = max 0, 2 ( ri rg ) 00% 0% 0% Risk Risk Free Rate LT Gov. Bond Stock RE Smothed
13 0 Efficient Frontier contrained 9 Return (%) % Stock 00% RE not Res. 00% Bond 00% Risk Free Risk (%) CONSTRAINTS 0% Liquidity 5% bond equity 0% Real Estate 00% Risk Free Rate LT Gov. Bond Stock RE Smothed 0% 0% risk
14 Benefit of Diversification: MeRAF Efficient Frontier *Withour Real Estate With Re (SI Gen.) With RE (SI Gen Unsm.) With SI Non Resid. Index With SI Not Resid. Unsm. Index B&S Approach Constrained ortfolios MeRAF,5846 7,9670 3,7523,9076,7858,5577 0,60 Change - 9,0% 49,3% 20,4% 2,7% 4,2%,7%
15 Final remarks Use of more asset classes, (and not only domestic)..but the results do not change roblems with Italian real estate data. ublic markets.. Transaction costs and indivisibility of real estate investment
COMPARISON OF FIXED & VARIABLE RATES (25 YEARS) CHARTERED BANK ADMINISTERED INTEREST RATES - PRIME BUSINESS*
COMPARISON OF FIXED & VARIABLE RATES (25 YEARS) 2 Fixed Rates Variable Rates FIXED RATES OF THE PAST 25 YEARS AVERAGE RESIDENTIAL MORTGAGE LENDING RATE - 5 YEAR* (Per cent) Year Jan Feb Mar Apr May Jun
More informationCOMPARISON OF FIXED & VARIABLE RATES (25 YEARS) CHARTERED BANK ADMINISTERED INTEREST RATES - PRIME BUSINESS*
COMPARISON OF FIXED & VARIABLE RATES (25 YEARS) 2 Fixed Rates Variable Rates FIXED RATES OF THE PAST 25 YEARS AVERAGE RESIDENTIAL MORTGAGE LENDING RATE - 5 YEAR* (Per cent) Year Jan Feb Mar Apr May Jun
More informationAnalysis One Code Desc. Transaction Amount. Fiscal Period
Analysis One Code Desc Transaction Amount Fiscal Period 57.63 Oct-12 12.13 Oct-12-38.90 Oct-12-773.00 Oct-12-800.00 Oct-12-187.00 Oct-12-82.00 Oct-12-82.00 Oct-12-110.00 Oct-12-1115.25 Oct-12-71.00 Oct-12-41.00
More informationAT&T Global Network Client for Windows Product Support Matrix January 29, 2015
AT&T Global Network Client for Windows Product Support Matrix January 29, 2015 Product Support Matrix Following is the Product Support Matrix for the AT&T Global Network Client. See the AT&T Global Network
More informationTABELLA DELLE VARIAZIONI DI PORTAFOGLIO I 20 MAGGIORI ACQUISTI E VENDITE PER COMPARTO (NON SOTTOPOSTI A REVISIONE CONTABILE) (valori espressi in EUR)
ACTIVE 100 FUND 24-feb-14 CHALLENGE Emerging Market Equity Fund - Classe Mediolanum L* 433.511 08-dic-14 Mediolanum Specialities SICAV - SIF Equity Income Fund* 195.839 11-nov-14 CHALLENGE North American
More informationTax Cognizant Portfolio Analysis: A Methodology for Maximizing After Tax Wealth
Tax Cognizant Portfolio Analysis: A Methodology for Maximizing After Tax Wealth Kenneth A. Blay Director of Research 1st Global, Inc. Dr. Harry M. Markowitz Harry Markowitz Company CFA Society of Austin
More informationCase 2:08-cv-02463-ABC-E Document 1-4 Filed 04/15/2008 Page 1 of 138. Exhibit 8
Case 2:08-cv-02463-ABC-E Document 1-4 Filed 04/15/2008 Page 1 of 138 Exhibit 8 Case 2:08-cv-02463-ABC-E Document 1-4 Filed 04/15/2008 Page 2 of 138 Domain Name: CELLULARVERISON.COM Updated Date: 12-dec-2007
More informationEnhanced Vessel Traffic Management System Booking Slots Available and Vessels Booked per Day From 12-JAN-2016 To 30-JUN-2017
From -JAN- To -JUN- -JAN- VIRP Page Period Period Period -JAN- 8 -JAN- 8 9 -JAN- 8 8 -JAN- -JAN- -JAN- 8-JAN- 9-JAN- -JAN- -JAN- -JAN- -JAN- -JAN- -JAN- -JAN- -JAN- 8-JAN- 9-JAN- -JAN- -JAN- -FEB- : days
More informationInvesting in Bonds challenges and opportunities in 2015
For Financial Brokers and Advisors Only Investing in Bonds challenges and opportunities in 2015 March 2015 Andy Ivory-Corr, QFA, Grad Dip, CFP Head of Investments New Ireland Assurance What exactly is
More informationGE Capital. Liquidity and Funding Overview. Global issuer of long and short term debt. 2012 third quarter
Liquidity and Funding Overview Global issuer of long and short term debt This document contains forward-looking statements - that is, statements related to future, not past, events. In this context, forward-looking
More informationHIGH DIVIDEND STOCKS IN RISING INTEREST RATE ENVIRONMENTS. September 2015
HIGH DIVIDEND STOCKS IN RISING INTEREST RATE ENVIRONMENTS September 2015 Disclosure: This research is provided for educational purposes only and is not intended to provide investment or tax advice. All
More informationAurora Updates Aurora Dividend Income Trust (Managed Fund) vs. Listed Investment Companies
Aurora Updates Aurora Dividend Income Trust (Managed Fund) vs. Listed Investment Companies Executive Summary 21 January 2014 The Aurora Dividend Income Trust (Managed Fund) is an efficient and low risk
More informationDiversifying with Negatively Correlated Investments. Monterosso Investment Management Company, LLC Q1 2011
Diversifying with Negatively Correlated Investments Monterosso Investment Management Company, LLC Q1 2011 Presentation Outline I. Five Things You Should Know About Managed Futures II. Diversification and
More informationSEB s Swedish Residential Mortgage Lending and Covered Bonds. Stockholm September, 2013
SEB s Swedish Residential Mortgage Lending and Covered Bonds Stockholm September, 2013 Contents SEB s Residential Mortgage Lending p.3 Asset Quality p.19 Cover Pool and Covered Bond Funding p.24 2 SEB
More informationROYAL REHAB COLLEGE AND THE ENTOURAGE EDUCATION GROUP. UPDATED SCHEDULE OF VET UNITS OF STUDY AND VET TUITION FEES Course Aug 1/2015
UPDATED SCHEDULE OF UNITS OF STUDY AND TUITION FEES Course Aug 1/2015 Course Name: Delivery Mode: BSB50215 Diploma of Business Online DBTEU01 01/08/2015 19/08/2015 31/10/2015 0.25 $4245 $3265 DBTEU02 01/11/2015
More information2004, 2006 & 2009 Bond Financings. Update
2004, 2006 & 2009 Bond Financings Update 2004 Bond Financing Issued through St. John s County Issued: $31,590,000 of Fixed Rate Bonds at 4.75% to 5.85%. $12,000,000 of Taxable Variable Rate Bonds that
More informationEconomic indicators dashboard
AS OF NOVEMBER 17, 2015 Economic indicators dashboard Vist www.blog.helpingadvisors.com for the full commentary of the Economic Indicators Dashboard. MOST RECENT 3-MO. trend TYPICAL range EXTREME range
More informationSLVO Silver Shares Covered Call ETN
Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 April 15, 2014 SLVO Silver Shares Covered Call ETN Credit Suisse AG, Investor Solutions April 2014 Executive Summary Credit Suisse Silver
More informationWorking Capital and the Financing Decision C H A P T E R S I X
Working Capital and the Financing Decision C H A P T E R S I X Limited 2000 Figure 6-1a The nature of asset growth A. Stage I: Limited or no Growth PPT 6-1 Dollars Temporary current assets Capital assets
More informationWhen rates rise, do stocks fall?
PRACTICE NOTE When rates rise, do stocks fall? The performance of equities and other return-seeking assets in rising and falling interest rate scenarios, January 1970 through September 2013 William Madden,
More informationDeriving Investor Sentiment from Options Markets
Deriving Investor Sentiment from Options Markets Chikashi TSUJI February 28, 29 Abstract The purpose of this paper is to introduce the put call ratio (PCR) as an investor sentiment index, and show the
More informationdriven by short-term traders
Domestic ETF market's rapid growth driven by short-term traders Atsuo Urakabe 10. June. 2014 Executive Summary Domestic ETF/ETN trading volumes were buoyant in fiscal 2013 by virtue of a sharp increase
More informationNavigating Rising Rates with Active, Multi-Sector Fixed Income Management
Navigating Rising Rates with Active, Multi-Sector Fixed Income Management With bond yields near 6-year lows and expected to rise, U.S. core bond investors are increasingly questioning how to mitigate interest
More informationEssentials of Investing. Stacie Mintz Portfolio Manager Quantitative Management Associates
January 2012 Essentials of Investing Stacie Mintz Portfolio Manager Quantitative Management Associates Why Invest? Grow Assets Save for specific financial goals Fund operations/charitable giving Maintain
More informationFIRST COMMAND FINANCIAL BEHAVIORS INDEX
FIRST COMMAND FINANCIAL BEHAVIORS INDEX Third Quarter 2015 FIRST COMMAND FINANCIAL SERVICES, INC. with SENTIENT DECISION SCIENCE, INC WWW.SENTIENTDECISIONSCIENCE.COM POSITIVE TRENDING ON THE FINANCIAL
More informationCHILDREN AND YOUNG PEOPLE'S PLAN: PLANNING AND PERFORMANCE MANAGEMENT STRATEGY
CHILDREN AND YOUNG PEOPLE'S PARTNERSHIP BOARD CHILDREN AND YOUNG PEOPLE'S PLAN: PLANNING AND PERFORMANCE MANAGEMENT STRATEGY 1 Introduction 1.1 The purposes of this strategy are to set out: i) the arrangements
More informationPlease see below for the current credit ratings of Santander UK:
Santander UK Santander UK is regulated on a standalone basis by the United Kingdom Financial Services Authority. The bank is UK focused with more than 95% of assets UK based. In the UK, the bank has a
More informationThe rise of SMSFs and Direct investing
The rise of SMSFs and Direct investing Lonsec Equities Research William Keenan General Manager, Equities Research Important notice: This document is published by Lonsec Limited (ABN 56 061 751 102 AFSL
More informationChapter 2 Financial markets
Chapter Financial markets Hovedstyret desember,,,,,.a Exchange rates against USD Daily figures,,,,, JPY per USD (left-hand scale),, USD per euro (right-hand scale), jan jul jan jul jan jul, Source: EcoWin
More informationCENTERPOINT ENERGY TEXARKANA SERVICE AREA GAS SUPPLY RATE (GSR) JULY 2015. Small Commercial Service (SCS-1) GSR
JULY 2015 Area (RS-1) GSR GSR (LCS-1) Texarkana Incorporated July-15 $0.50690/Ccf $0.45450/Ccf $0.00000/Ccf $2.85090/MMBtu $17.52070/MMBtu Texarkana Unincorporated July-15 $0.56370/Ccf $0.26110/Ccf $1.66900/Ccf
More informationLegislative Brief: PAY OR PLAY PENALTIES LOOK BACK MEASUREMENT METHOD EXAMPLES. EmPowerHR
EmPowerHR Legislative Brief: PAY OR PLAY PENALTIES LOOK BACK MEASUREMENT METHOD EXAMPLES The Affordable Care Act (ACA) imposes a penalty on applicable large employers (ALEs) that do not offer health insurance
More informationThe Italian Asset Management market
key figures 23 April 2014 Research Department 1. Summary statistics Open-end funds Mandates The recent mkt recovery, some tentative explanations 2. The European Investment Fund Industry Net assets & sales
More informationA!Team!Cymru!EIS!Report:!Growing!Exploitation!of!Small! OfCice!Routers!Creating!Serious!Risks!
ATeamCymruEISReport:GrowingExploitationofSmall OfCiceRoutersCreatingSeriousRisks PoweredbyTeamCymru sthreatintelligencegroup Page 1of 14www.team-cymru.com www.team-cymru.com Threat'Intelligence'Group EXECUTIVE
More informationAshley Institute of Training Schedule of VET Tuition Fees 2015
Ashley Institute of Training Schedule of VET Fees Year of Study Group ID:DECE15G1 Total Course Fees $ 12,000 29-Aug- 17-Oct- 50 14-Sep- 0.167 blended various $2,000 CHC02 Best practice 24-Oct- 12-Dec-
More informationShort Selling Bans around the World: Evidence from the 2007-09 Crisis
Short Selling Bans around the World: Evidence from the 2007-09 Crisis Alessandro Beber Cass Business School and CEPR Marco Pagano University of Naples Federico II, CSEF, EIEF and CEPR February, 2011 Motivation
More informationECONOMIC ACTIVITY AND EMPLOYMENT FOREIGN TRADE AND COMPETITIVENESS INFLATION CREDIT THE PUBLIC FINANCES
NUMBER 99 JULY 21 ECONOMIC ACTIVITY AND EMPLOYMENT FOREIGN TRADE AND COMPETITIVENESS INFLATION CREDIT THE PUBLIC FINANCES MACROECONOMIC PROJECTIONS 1 7 8 11 12 Directorate general for economics, statistics
More informationRisk and return (1) Class 9 Financial Management, 15.414
Risk and return (1) Class 9 Financial Management, 15.414 Today Risk and return Statistics review Introduction to stock price behavior Reading Brealey and Myers, Chapter 7, p. 153 165 Road map Part 1. Valuation
More informationThe ECB s operations amid the financial turmoil: experience and policy lessons
The ECB s operations amid the financial turmoil: experience and policy lessons Francisco Ramon-Ballester Advisor, European Central Bank Office at the International Monetary Fund Mexico DF, 24 April 2008
More informationThe Italian Asset Management market
key figures Research Department 1. Summary statistics Open-end funds Mandates The recent mkt recovery, some tentative explanations 2. The European Investment Fund Industry Net assets & sales by fund /
More informationNewEuroMTS Overview. October 2005
NewEuroMTS Overview October 2005 1 NewEuroMTS Rationale Driven by accession to the EU by 10 new countries in 2004 in compliance with Maastricht Criteria Expected convergence with Euro-Zone interest rates
More informationSchool of Property, Construction and Project Management. Debt Financing and Commercial Property Performance: Do the Risks Justify the Reward?
School of Property, Construction and Project Management Debt Financing and Commercial Property Performance: Do the Risks Justify the Reward? By David M. Higgins American Real Estate Society Conference
More informationA Comparative Study on the Performance of ULIPs Offered by the Selected Insurance Companies-A Study in Indian Capital Markets
A Comparative Study on the Performance of ULIPs Offered by the Selected Insurance Companies-A Study in Indian Capital Markets 1 Mr Kantesha Sanningammanavara Research Scholar, BMS College of Engineering,Bangalore.
More informationHigh Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution and Patterns in Returns
High Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution and Patterns in Returns David Bowen a Centre for Investment Research, UCC Mark C. Hutchinson b Department of Accounting, Finance
More informationChapter 10 Capital Markets and the Pricing of Risk
Chapter 10 Capital Markets and the Pricing of Risk 10-1. The figure below shows the one-year return distribution for RCS stock. Calculate a. The expected return. b. The standard deviation of the return.
More informationInflation. Credit. Coincident indicator (Ita-coin) and Italian GDP (1) (percentage changes)
NUMBER 16 FEBRUARY 216 Economic activity and employment Foreign trade and competitiveness Inflation Credit The Public Finances Macroeconomic projections 1 7 8 11 12 Directorate general for economics, statistics
More information1. 2015 Gross Borrowing Requirements and Funding Plan
1 1. 2015 Gross Borrowing Requirements and Funding Plan 1.1 Gross Borrowing requirements The Treasury expects its 2015 gross borrowing requirements to amount to EUR 39.90 billion. This represents an increase
More informationAustralia-Mexico Infrastructure Finance Forum 2016
RECENT REFORMS GOVERNING AFORES INVESTMENTS Australia-Mexico Infrastructure Finance Forum 2016 Carlos Ramírez Fuentes TW: @CarlosRamirezF contents I. Introduction II. Why should pension funds invest in
More informationA Guide to the Insider Buying Investment Strategy
Mar-03 Aug-03 Jan-04 Jun-04 Nov-04 Apr-05 Sep-05 Feb-06 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Mar-03 Jul-03 Nov-03 Mar-04 Jul-04 Nov-04 Mar-05 Jul-05 Nov-05 Mar-06
More informationEvolution of GTAA Investment Styles. In This Issue: June 2012
June 2012 ALPHA GROUP TOPIC The Alpha Group researches investment managers. In This Issue: n Evolution of GTAA Investment Styles n Risk-Parity vs. GTAA Managers n Implementation n Investing in a GTAA Strategy
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 informationNatural Gas Wholesale Prices at PG&E Citygate as of November 7, 2006
QUARTERLY GAS ISSUES UPDATE December 26 I. Supply Issues Wholesale Natural Gas Prices Above normal temperatures and a lack of hurricane activity caused market prices to decrease in October. By November,
More informationManaging Cattle Price Risk With Futures and Options Contracts
Managing Cattle Price Risk with Futures and Options Contracts Dr. John Lawrence, Extension Livestock Economist and Associate Professor, Iowa State University Department of Economics Alexander H. Smith,
More informationSEMINAR ON CREDIT RISK MANAGEMENT AND SME BUSINESS RENATO MAINO. Turin, June 12, 2003. Agenda
SEMINAR ON CREDIT RISK MANAGEMENT AND SME BUSINESS RENATO MAINO Head of Risk assessment and management Turin, June 12, 2003 2 Agenda Italian market: the peculiarity of Italian SMEs in rating models estimation
More informationComparing share-price performance of a stock
Comparing share-price performance of a stock A How-to write-up by Pamela Peterson Drake Analysis of relative stock performance is challenging because stocks trade at different prices, indices are calculated
More informationInvest in Direct Energy
Invest in Direct Energy (Forthcoming Journal of Investing) Peng Chen Joseph Pinsky February 2002 225 North Michigan Avenue, Suite 700, Chicago, IL 6060-7676! (32) 66-620 Peng Chen is Vice President, Direct
More informationUsing Microsoft Excel to build Efficient Frontiers via the Mean Variance Optimization Method
Using Microsoft Excel to build Efficient Frontiers via the Mean Variance Optimization Method Submitted by John Alexander McNair ID #: 0061216 Date: April 14, 2003 The Optimal Portfolio Problem Consider
More informationOverview. October 2013. Investment Portfolios & Products. Approved for public distribution. Investment Advisory Services
Equity Risk Management Strategy Overview Approved for public distribution October 2013 Services Portfolios & Products Equity Risk Management Strategy* Tactical allocation strategy that seeks to adjust
More informationRegulatory Announcement
16:54 13-Aug-07 0153C RNS :0153C 13 August 2007 (Europe) Limited has purchased on 13 August 2007, on the 's behalf, 270,000 of its Ordinary Shares at a price of 14.4537 per share for 16:59 14-Aug-07 0998C
More informationBank of Ireland Asset Covered Securities
Bank of Ireland Asset Covered Securities Investor Presentation 24 September 2013 Forward-looking Statement The Governor and Company of the Bank of Ireland is regulated by the Central Bank of Ireland. In
More informationAustralian Stock Market Anomalies:
Journal of Investment Strategy 27 Australian Stock Market Anomalies: A Review and Re-examination of the January and Small Firm Effects By Philip Gray* and Irene Tutticci University of Queensland Business
More informationOctober 2013 - Bottled Water Exports and Imports continue to grow!
October 13 - Bottled Water Exports and Imports continue to grow! Annualised exports for the year to October 13 continue an upwards climb following their break through NZD1m last month. Leading markets
More informationCrabel Capital Management, LLC
Commodity Trading Advisors (CTAs) provide advice and services related to trading and investment strategies utilizing futures contracts and options on futures contracts on a wide variety of physical goods
More informationFinancial Statement Consolidation
Financial Statement Consolidation We will consolidate the previously completed worksheets in this financial plan. In order to complete this section of the plan, you must have already completed all of the
More informationDeveloping the Fixed Income Market in Nigeria. September 2010
Developing the Fixed Income Market in Nigeria September 2010 Contents 1. Evolution Where we are coming from 2. Status Quo Where we are 3. Constraints Challenges to be overcome 4. The Future How to develop
More informationProviding Trading Opportunities in a Sound Marketplace
Providing Trading Opportunities in a Sound Marketplace Dec/2013 Classification of the Information Public USD Billion Million Active Market with Liquid Products Equities Market Market Cap of USD 1 trillion
More informationDepartment of Public Welfare (DPW)
Department of Public Welfare (DPW) Office of Income Maintenance Electronic Benefits Transfer Card Risk Management Report Out-of-State Residency Review FISCAL YEAR 2012-2013 June 2013 (March, April and
More informationFixed Income 2015 Update. Kathy Jones, Senior Vice President Chief Fixed Income Strategist, Schwab Center for Financial Research
Fixed Income 2015 Update Kathy Jones, Senior Vice President Chief Fixed Income Strategist, Schwab Center for Financial Research 1 Fed: Slow and Low 2015 Fixed Income Outlook 2 Yield Curve Flattening 3
More informationSTATEMENT 7: DEBT MANAGEMENT
STATEMENT 7: DEBT MANAGEMENT This statement discusses debt management, including maintaining the Commonwealth Government Securities (CGS) market and the proposed investment of financial assets in the Future
More informationMaximising income through bonds Elizabeth Moran Director of Education and Fixed Income Research
Maximising income through bonds Elizabeth Moran Director of Education and Fixed Income Research What is your portfolio allocation? Do you have enough defensive assets? Key considerations Income, given
More informationSensex Realized Volatility Index
Sensex Realized Volatility Index Introduction: Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility. Realized
More informationDecember 2012. Emerging Markets Small Cap: The Undiscovered Frontier
December 212 Emerging Markets Small Cap: The Undiscovered Frontier 1 23481 The EM Small Cap Opportunity Set Global Small Cap Universe Number of Companies Emerging markets small cap comprises approximately
More informationA constant volatility framework for managing tail risk
A constant volatility framework for managing tail risk Alexandre Hocquard, Sunny Ng and Nicolas Papageorgiou 1 Brockhouse Cooper and HEC Montreal September 2010 1 Alexandre Hocquard is Portfolio Manager,
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 informationPensions Reform and Capital Markets A UK Perspective
Pensions Reform and Capital Markets A UK Perspective Adair Turner Capital Matters Conference 26 th April, 2006 Rate of return in PAYG system Retirement Income Working Life Contributions Function of % of
More informationVietnam. abc. *Employed by a non-us affiliate of HSBC Securities (USA) Inc, and is not registered/qualified pursuant to FINRA regulations
Herald van der Linde* Head of Equity Strategy, Asia-Pacific The Hongkong and Shanghai Banking Corporation Limited +82 2996 67 heraldvanderlinde@hsbc.com.hk Devendra Joshi* Equity Strategy The Hongkong
More informationAn Introduction to Risk Parity Hossein Kazemi
An Introduction to Risk Parity Hossein Kazemi In the aftermath of the financial crisis, investors and asset allocators have started the usual ritual of rethinking the way they aroached asset allocation
More informationINVESTMENT MANAGEMENT, LLC. Evaluating Financials In a State of Panic
P Z E N A INVESTMENT MANAGEMENT, LLC Evaluating Financials In a State of Panic Financial Stocks in Free Fall Lehman Brothers Holdings Inc. (LEH) 29-Dec-2006 to 27-Nov-2007 (Daily) High: 86.180 U.S. Dollar
More informationChanges to China s Renminbi Exchange Rate. Wednesday, August 12, 2015
Changes to China s Renminbi Exchange Rate Wednesday, August 12, 2015 WHAT HAVE CHINESE POLICY MAKERS DONE IN REGARD TO SETTING THEIR EXCHANGE RATE? Each day at 9.15am in Beijing the People s Bank of China
More informationSOLIDIFY YOUR ALTERNATIVE INVESTMENT
SOLIDIFY YOUR ALTERNATIVE INVESTMENT Investment diversification / ease of use / groundbreaking solutions 2/7 DYNATRADE Management Helping investors understand and participate in forex trading and investing.
More informationBig data in Finance. Finance Research Group, IGIDR. July 25, 2014
Big data in Finance Finance Research Group, IGIDR July 25, 2014 Introduction Who we are? A research group working in: Securities markets Corporate governance Household finance We try to answer policy questions
More informationScott Market Report. Weather Affects Winter Sales
Mar. Apr. 2014 Scott Market Report Weather Affects Winter Sales Sales of real estate through the Outer Banks Association of Realtors MLS system for the last few months has been similar to the last two
More informationSEO Presentation. Asenyo Inc.
SEO Presentation What is Search Engine Optimization? Search Engine Optimization (SEO) : PPC and Organic Results Pay Per Click Ads The means of achieving top search engine results without having to incur
More informationExchange Traded Funds Tactical Asset Allocation Tools
Exchange Traded Funds Tactical Asset Allocation Tools Eleanor De Freitas, Catherine Barker 1 Barclays Global Investors Exchange traded funds (ETFs), combine the advantages of both index funds and stocks.
More informationMarket Risk Management
Market Risk Management Hamish Treleaven, Executive General Manager, Market Risk Management 17 November 2010 The quantum of Market Risk at CBA Current Economic Capital attribution Current Market Risk Economic
More informationRisks and Rewards in High Yield Bonds
Risks and Rewards in High Yield Bonds Peter R. Duffy, CFA, Partner, Senior Portfolio Manager Navy Yard Corporate Center, Three Crescent Drive, Suite 400, Philadelphia, PA 19112 www.penncapital.com 1 What
More informationBBVA Colombia. Working for a better future for people
BBVA Colombia Working for a better future for people 2013 The IR Recognition granted by Bolsa de Valores de Colombia S.A. (the Colombian Stock Exchange) is not a certification of the registered securities
More informationStaying alive: Bond strategies for a normalising world
Staying alive: Bond strategies for a normalising world Dr Peter Westaway Chief Economist, Europe Vanguard Asset Management November 2013 This document is directed at investment professionals and should
More informationAdjusted Estimates of Texas Natural Gas Production
Adjusted Estimates of Texas Natural Gas Production Background The Energy Information Administration (EIA) is adjusting its estimates of natural gas production in Texas for 2004 and 2005 to correctly account
More informationa. mean b. interquartile range c. range d. median
3. Since 4. The HOMEWORK 3 Due: Feb.3 1. A set of data are put in numerical order, and a statistic is calculated that divides the data set into two equal parts with one part below it and the other part
More informationAccident & Emergency Department Clinical Quality Indicators
Overview This dashboard presents our performance in the new A&E clinical quality indicators. These 8 indicators will allow you to see the quality of care being delivered by our A&E department, and reflect
More informationUnconstrained Fixed Income: One Asset Manager s Perspective HIMCO Webinar
Unconstrained Fixed Income: One Asset Manager s Perspective HIMCO Webinar October 1, 2014 14-0408 Unconstrained Fixed Income: One Asset Manager s Perspective Presenters Christopher Zeppieri, CFA Vice President
More informationFinding income and managing risk in a near-zero interest-rate environment
Aging Workforce Series Finding income and managing risk in a near-zero interest-rate environment William Martin, Head of Fixed-Income Portfolio Management TIAA-CREF Executive Summary Yields in traditional
More informationDAXplus Family Construction and Analysis of a Family Firm Index
Technische Universität München DAXplus Family Construction and Analysis of a Family Firm Index 11 November 2009 Univ.-Prof. Dr. Christoph Kaserer Department of Financial Management and Capital Markets
More informationWeighting companies by their one-year forecast dividend yield as opposed to market capitalisation
Weighting companies by their one-year forecast dividend yield as opposed to market capitalisation MARKET DATA Indices Dividend Plus www.jse.co.za Johannesburg Stock Exchange Ingeniously slotted within
More informationQuantitative Methods for Finance
Quantitative Methods for Finance Module 1: The Time Value of Money 1 Learning how to interpret interest rates as required rates of return, discount rates, or opportunity costs. 2 Learning how to explain
More informationGuide to Risk and Investment
www.canaccord.com/uk Guide to Risk and Investment Any investment involves a degree of risk and some investments are more risky than others. Whether this is the first time you have considered investing,
More informationAnalysts and Investors conference call Q1 2014 results 15 May 2014
Analysts and Investors conference call Q1 2014 results 15 May 2014 DISCLAIMER This presentation has been prepared by Air Berlin PLC. No representation, warranty or undertaking, express or implied, is made
More informationBS2551 Money Banking and Finance. Institutional Investors
BS2551 Money Banking and Finance Institutional Investors Institutional investors pension funds, mutual funds and life insurance companies are the main players in securities markets in both the USA and
More informationREAL ESTATE INSTITUTE OF AUSTRALIA SMALL BUSINESS CREDIT RESOLUTION SERVICE DISCUSSION PAPER
Real Estate Institute of Australia 16 Thesiger Court I PO Box 234, Deakin ACT 2600 Phone (02) 6282 4277 I Fax (02) 6285 2444 REAL ESTATE INSTITUTE OF AUSTRALIA SMALL BUSINESS CREDIT RESOLUTION SERVICE
More informationGlobal Equity Portfolio Construction. Fall 2012
Global Equity Portfolio Construction Fall 2012 INTRODUCTION Investors should thoughtfully construct an equity portfolio by: Identifying the objective Taking a global approach Expanding away from long only
More information