...MSCI leading provider of investment decision support tools to investment institutions Products include indices, portfolio risk, and performance analytics - for use in managing equity, fixed income and multi-asset class portfolios - and governance tools. Our principal sales model in both of our business segments is to license annual, recurring subscriptions to our products and services for use at specified locations, often by a given number of users or for a certain volume of services, for an annual fee paid up front. Our Governance business is a leading provider of corporate governance and specialized financial research and analysis services to institutional investors and corporations around the world. In June 2004, we acquired Barra, Inc. (“Barra”), a provider of portfolio risk analytics tools that launched its first risk analytics products in 1975, broadening our product range beyond index products. In November 2007, we completed an initial public offering (“IPO”) of approximately 16.1 million shares of our class A common stock In June 2010, we acquired RiskMetrics, a leading provider of risk management and governance products and services, in a cash-and-stock transaction valued In July 2010, we acquired Measurisk, LLC (“Measurisk”), a provider of risk transparency and risk measurement tools for hedge fund investors, to aid us in developing a broad platform and setting the standard for analyzing and reporting hedge fund risk in response to our clients’...
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...(average over all equity MPFs). Note, that there is no RIGHT answer. Please consider that you are writing a short memo to your investment committee. a. In the absence of specific expectations about returns in Hong Kong or abroad, what would regret theory suggest as global asset allocation? b. Given all the information above, what will you choose as a percentage of asset allocation and why? c. You decide to forget about regret and simply try to obtain the best risk-adjusted return. Actually your own expectation is quite bullish about China and Hong Kong but you know that any forecast is uncertain. But you expect Hong Kong to outperform the rest of the world by some 2% (12% instead of 10%). Hong Kong sigma is 20% while that of the MSCI World index (excluding Hong Kong) is only 15% with a correlation of 0.5. You desire that the volatility (sigma) of your portfolio be no more than 15%. How would you determine the optimal allocation between HK and the rest of the...
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...year first in 2009, by a margin of 25 per cent. The research, run in partnership with Cass Business School, shows that Asia-Pacific dealmakers completed 183 deals in 2012 compared to 128 by their European counterparts, and similarly, completed more deals in every quarter of the year. The year-end figures, which contains data on all deals over $100 million completed in the year, show North American companies accounted for 422 deals, well over half of those completed worldwide this year. In terms of performance, Asia-Pacific companies that completed M&A deals performed in line with their MSCI index over the year. Despite an increase in activity by North American acquirers relative to their peers, year-to-date figures show post-deal performance of 1.3 pp below the North American MSCI index. In comparison, European acquirers continued to fare well with a positive performance 2.4 pp above the European MSCI index, even though the volume of deals completed was at its lowest level since 2009. Steve Allan, M&A Practice Leader for Europe at Towers Watson, said: “Asia-Pacific has steadily increased deal volumes throughout the year in contrast to Europe which has seen a steady decline in the number of deals taking place. Uncertainty and poor performance in the Eurozone have contributed to European acquirers having engaged in fewer deals since their peak in mid-2011. Yet those companies that have seen deals through to completion, continue to perform well compared to their peers and add value...
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...Q1 a) The competitive advantage of a firm is a quality that the organization has that is not duplicated by another organization. This quality is what gives the firm the lead or differentiates the firm from others within the market or industry. After reading “Russia’s Factories Gear up for Efficiency” the competitive advantage cane be identified as offering new products specifically new components for railways and the oil industry. This is Chelyabinsk Forge-and-Press’s competitive advantage as no other firm is ale to offer these new products to these emerging industries. Another competitive advantage can be identified as a large quantity of parts offered. The article states, “The most important thing is that we now make far, far more kinds of parts”. This statement identifies another competitive advantage, as they are able to work with more clients and customers than other competitors. Also noted is the fact that the workers proudly show off metal links and other products they produce illustrating a level of quality that it not matched. This could be another competitive advantage of Chelyabinsk Forge-and-Press. b) After consulting Kaizen Institute a number of changes were made. These changes are listed as follows: a. Factory wide goals are implemented rather than production targets for individual employees. Now the employees are focused on the whole organization rather than a specific task. b. Excess time used to step off the line to fetch parts. The change was to reorganize...
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... |Ifaz Khorshed Hassan |Student ID: 22104364 |27/05/2011 Executive Summary This report is based on the ‘Portfolio Management Simulation Project’. It provides an analysis and evaluation of the monthly holding period returns of both managed portfolio and market portfolio of MSCI index, along with the arithmetic average, standard deviation and geometric mean of both sets of date. Methods of analysis include Capital Asset Pricing Model, Sharpe ratio, M2 measure. It also includes regression analysis: coefficient of determination, beta variable and standard error. Some other relevant calculations can be found in the appendices. Results of data analyzed show that the managed portfolio is doing much better compared to the market index. In particular, the Sharpe ratio and capital market line shows the positive outcomes. This report finds that the ‘Managed Portfolio’ has performed quite well over...
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...1.27% and the standard deviation to be 9.38%. Stock | Mean | Standard Deviation | Complete Portfolio of Weighted S&P, Lehman, and MSCI | 0.67% | 2.75% | 2) The table above shows the mean and standard deviation of a portfolio with S&P 500, Lehman Brothers, and MSCI World Index when they are all equally weighted. An argument that can be made for the client to sell IBM stock and diversify is about the risk involved. The standard deviation of IBM’s stock is sitting at about 9.34%, which is much higher than the diversified stocks’ standard deviation of 2.75%. This tells us that only having IBM stock creates a much more volatile return compared to the diversified portfolio. However, it is worth noting that the return for only having IBM stock is 1.27%, which is much higher than the return for the diversified portfolio, 0.67%. This concept makes sense because a higher risk should have higher return. Stock | Weight | S&P 500 | 54.41% | MSCI World Index | 13.37% | Lehman Brothers | 32.02% | 3) The below table shows what the weight of each stock is when using the Excel solver to solve for a portfolio target standard deviation of 10%. 4) After running the solver to determine the weights for each stock with the specified target standard deviation, these are the results that came to be: S&P 500 | MSCI World Index (Excluding US) | Lehman Brothers Aggregate Bond Index | Target Standard Deviation | 1.74% | 6.46% | 91.80% | 2.00% | 29.63%...
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...think one may need to use the stock market index? Michael Wong needs to use the appropriate Chinese market index to evaluate the performance of his portfolio. And also he can use the index to understand the direction of the overall market and stay abreast of trends in the different segments. Moreover, Michael Wang can use the stock market index to hedge against his portfolio to minimize risk of investments or to develop derivative products such as index futures and index options. 2. What are the five major Chinese stock market indexes mentioned in the case? Briefly summarize how each index is constructed. The five major Chinese stock market indexes: SSE Composite Index, CSI 300 Index, S&P/CITIC 300 Index, FTSE Xinhua (A) 600 Index, MSCI China A Index. * SSE Composite – Simply includes all listed stocks (A shares and B shares) at Shanghai Stock Exchange. Composite indices are weighted by total number of shares and the base period is the total market capitalization of all stocks of that day. (Base date: Dec. 19, 1990 / Base value: 100) * CSI300 Index – Includes A shares listed at the two exchanges (Shanghai and Shenzhen) in China. Weighted by float-adjusted shares. Stocks that rank top 300 are selected as index constituents considering size and liquidity. (Base date: Dec. 31, 2004 / Base value: 1,000) * S&P/CITIC 300 Index – Includes A shares listed at the two exchanges (Shanghai and Shenzhen) in China. Calculated using a base-weighted aggregate methodology...
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...Vol.3 No.2 June 2007, Pp. 362 - 375 362 Stock Return Volatility in Emerging Equity Market (Kse): The Relative Effects of Country and Global Factors Mohammad Faisal Rizwan* and Safi Ullah Khan** This paper focuses on the role of macroeconomic variables and global factors on the volatility of the stock returns in an emerging market like Pakistan. The paper uses two multivariate models, multivariate EGARCH and Vector Auto Regressive (VAR) models to investigate the effect of exchange rate, interest rate, industrial production, money supply, Morgan Stanley Capital International (MSCI) World Index and 6-months LIBOR on stock prices in Pakistan’s equity market. The estimate shows that domestic macroeconomic variables have varying degrees of importance in explaining the relationship between stock returns and volatility in Karachi Stock Exchange. The empirical results also show that the two global factors, MSCI World Index and 6-months LIBOR, variables used in this paper explain the stock returns in KSE. An important conclusion drawn from the results is that macroeconomic variables exhibit asymmetric effects on returns volatility. Overall, the results show that Pakistan’s stock market is partially integrated as shown by the significant role of both country and global factors. Field of Research: Finance 1. Introduction Studies on the link between macroeconomic variables and stock returns are broadly divided into two groups based on the level of market integration. The first strand...
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...Building Global Portfolios Apollo D. Lupescu, PhD, Vice President This information is provided for registered investment advisors and institutional investors, and is not intended for public use. Dimensional Fund Advisors is an investment advisor registered with the Securities and Exchange Commission. Consider the investment objectives, risks, and charges and expenses of the Dimensional funds carefully before investing. For this and other information about the Dimensional funds, please read the prospectus carefully before investing. Prospectuses are available by calling Dimensional Fund Advisors collect at (512) 306-7400 or at www.dimensional.com. Dimensional funds are distributed by DFA Securities LLC. Dimensional Funds COMPONENT STRATEGIES US Large Company US Large Cap Equity Enhanced US Large Company International Large Cap Emerging Markets US Large Cap Value International Value Emerging Markets Value World ex US Value World ex US Targeted Value US Large Cap Growth International Large Cap Growth US Small Cap US Micro Cap International Small Company Emerging Markets Small Cap US Small Cap Value US Targeted Value International Small Cap Value US Small Cap Growth International Small Cap Growth As of August 31, 2013 CORE EQUITY STRATEGIES US Core Equity 1 US Core Equity 2 US Vector Equity International Core Equity International Vector Equity Emerging Markets Core Equity World ex US Core Equity SPECIALIZED CORE EQUITY STRATEGIES ...
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...Global Social Finance Research 02 May 2012 Volume Growth and Valuation Contraction Global Microfinance Equity Valuation Survey 2012 J.P. Morgan Global Research J.P. Morgan Social Finance Yasemin Saltuk Yasemin Saltuk AC (44-20) 7742-6426 (44-20) 7742-6426 yasemin.x.saltuk@jpmorgan.com yasemin.x.saltuk@jpmorgan.com J.P. Morgan Securities Ltd. J.P. Morgan Equity Research Frederic de Mariz (55-11) 4950-3398 frederic.de.mariz@jpmorgan.com Banco J.P. Morgan S.A. CGAP Jasmina Glisovic Henry González This report is the result of a collaborative effort between CGAP and J.P. Morgan. J.P. Morgan analysts are solely responsible for the investment opinions and recommendations, if any, in this report. See page 21 for analyst certification and important disclosures. J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that See page 21 for important disclosures. the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. www.morganmarkets.com Global Microfinance Equity Valuation Survey 2012 Global Social Finance Research 02 May 2012 Background & Acknowledgements Equity capital flows into microfinance have been increasing for many years, with both retail and institutional investors showing interest in this sector of financial services. Despite this growth...
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...many more. Equity comes mainly from British companies (UK), Japanese companies and Norwegian firms. The purpose of this fund is to seek long-term enhancement of capital, primarily through investments in common stocks of non-North American based companies. Beutel Goodman Int’l exhibits a relatively lower MER than the average international equity fund, standing at 1.48%, as opposed to the average of 2.54%. The funds top ten holdings represent 42.56% of the total portfolio and come from fairly varied sectors. None of these top ten holdings are from the same sector, and only three of them come from the same geographical area (Japan). Perhaps these varied holdings explain the perfect correlation that this fund has with its benchmark index: the MSCI EAFE (According to the Globe & Mail, 3 year beta is 1.00). The three biggest sectors that the fund is comprised of are Consumer Discretionary (21.93%), Financials (18.65%) and Materials (13.65%). Findings of the regression analysis are as follows: The 12-year beta (15 year performance of the benchmark was unavailable) is 0.8685, with a t-stat of 9.65 and an extremely low p-value, the beta could therefore not be zero. The found...
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...Company Profile Company profile REinVEnTinG A GREAT coMPAnY The year 2008 saw the definitive reinvention of a great company. Less than a decade ago, ACCIONA was one of Spain’s leading construction companies and was actively diversifying and seeking business opportunities worldwide. In the last year, and after divesting Endesa in 2009, ACCIONA has culminated the transformation into a company that is a pioneer in development and sustainability, and a global leader in the development, production and management of renewable energy, water and infrastructure with the minimum environmental impact. This achievement would not have been possible without ACCIONA’s pioneering background. It was created by the first merger in Spain’s construction industry and, in the 1990s, it was the first non-utility to move into renewable energy. ACCIONA is the construction company that has most successfully diversified followed by a process of concentration. Sustainability is a core axis of its strategy, and energy, infrastructure and water are the vectors of future growth. In 2004, José Manuel Entrecanales was appointed Chairman, and he spearheads the Company’s transition towards these three pillars of growth. In 2005, ACCIONA strengthened its position using an innovative strategy based on orienting those businesses towards sustainable development, with a strong international approach. This sweeping transformation was also possible thanks to the enormous investment effort and social commitment...
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...Emerging Market Mutual Fund Performance and the State of the Economy∗ Ayelen Banegas November 2010 Abstract Following the financial liberalization of many Asian, European, and Latin American countries emerging markets have become a central player in the global economy. As a result the universe of equity funds investing in these developing economies has been in continuous expansion. In this paper we propose a set of asset class specific predictive variables for emerging markets and exploit them in order to identify those funds that outperform the market in different phases of the economic cycle. We employ a comprehensive survivorship-bias free universe of global and regional emerging market funds and use a Bayesian framework that incorporates predictability in manager skills (stock selection and benchmark timing skills), fund risk loadings and benchmark returns by exploiting ex-ante business cycle related state variables. Our results provide empirical evidence of return predictability and the economic value of active management in emerging markets. ∗ I would like to thank Allan Timmermann for his guidance and support. I am also grateful to James Hamilton, Bruce N. Lehmann, Ross Valkanov and Debbie Watkins for their helpful comments. I also benefited from discussions with Ben Gillen. Finally, I want to thank Russ Wermers for providing me with the mutual fund dataset. 1 1 Introduction During the last decades the mutual fund industry has been continuously...
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...ECONOMICS & STRATEGY THE JSK STRATEGIST June 07, 2010 Federal Budget 2011: Affordability Vs. Sustainability!! A Blurry Hype Or A Leap Of Faith?? Executive Summary At the national front, government remained excessively occupied with budgetary measures to be adopted in the finance bill, that were announced on June 5th. Capital market participants and investors, in anticipation, distanced away from large exposures as federal budget closed in, with implementation of Capital Gains Tax (CGT) on stock market transactions. Nationwide implementation Value Added Tax (VAT) regime at 15% has been deferred by three months in order to develop a productive framework for enforcement and collection mechanisms. Addressing IMF’s concerns, the removal of subsidies and a raise in power tariff by 6%, in addition to the expansion of country’s tax base remained core issues in recent budget announcements. Economic Recovery: Exceeds Expectations! Federal government revised GDP growth levels to 4.5% from a low of 4.1% sighting better than expected economic recovery for FY2010. Expansion in large scale manufacturing and growth in services sector would be the key factors contributing to economic growth with 5.6% share of manufacturing, 4.6% for services and 3.8% for agriculture sector. Also, the crippling power sector with the introduction of costly rental power plants is expected to provide significant relief to the industrial sector. Additionally, government is making all out efforts to curtail...
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...that by mixing asset classes with low correlation to one another in the appropriate proportions, risk can be reduced at the portfolio level, despite the presence of volatile underlying securities. As a refresher, correlation coefficients range between -1 and +1. Anything less than perfect positive correlation (+1) is considered a good diversifier. The correlation matrix depicted below demonstrates the low correlation of foreign securities against domestic positions. Monthly Correlations 1988 to 2006 Security Type S&P 500 Index Russell 2000 Index Russell 2000 Value MSCI EAFE International Small Cap International Small Cap Value MSCI Emerging Markets S&P 500 1 - - - - - - Russell 2000 0.731 1 - - - - - Russell 2000 Value 0.694 0.927 1 - - - - MSCI EAFE 0.618 0.532 0.487 1 - - - International Small Cap 0.432 0.466 0.414 0.857 1 - - International Small Cap Value 0.41 0.411 0.414 0.831 0.97 1 - MSCI Emerging Markets 0.59 0.634 0.586 0.582 0.53 0.512 1 Source: Dimensional Fund Advisors Combining foreign and domestic assets together tends to...
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