MILLENNIUM GLOBAL INVESTMENT WHITE PAPER

Size: px
Start display at page:

Download "MILLENNIUM GLOBAL INVESTMENT WHITE PAPER"

Transcription

1 Partnership, Integrity, Experience MILLENNIUM GLOBAL INVESTMENT WHITE PAPER The Yield Shield : An Approach to Managing Emerging Market Currency Risks URN:

2 1 Important Disclosures This document has been prepared by Millennium Global Investments Limited ("Millennium Global") solely for the purposes of providing background information on certain investment strategies ( Strategies ). Millennium Global is authorised and regulated by the Financial Conduct Authority and registered as an investment adviser with the Securities and Exchange Commission. Registration with the SEC does not imply a certain level of skill or training. The Financial Conduct Authority can be contacted by telephone on or in writing to: Financial Conduct Authority, 25 The North Colonnade, London E14 5HS, United Kingdom. The information contained in this document is intended for Professional Clients or Elective Professional Clients only. Millennium Global does not target retail clients and our services are not suitable for nor will they be made available to retail clients. The information contained in this document is strictly confidential and is only for the use of the person to who it is sent and/or who attends any associated presentation. Distribution of this document or the information herein to any person, other than the person to whom this document was originally delivered and such person's advisors, is unauthorised. Any reproduction or publication of this document, in whole or in part, or the disclosure of any of its contents, without the prior consent of Millennium Global in each such instance is prohibited. Distribution of this document may be restricted in certain jurisdictions. This document is not intended for distribution to, or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation, and it is the responsibility of any person or persons in possession of this document to inform themselves of, and to observe, all applicable laws and regulations of any relevant jurisdiction. There can be no assurance that professionals currently employed by Millennium Global will continue to be employed by Millennium Global or that the past performance or success of any such professional is indicative of such professional s future performance or success. Accounting and reporting systems used by Millennium Global may apply distinct rules to rounding whole numbers or decimals and output between these systems may vary. Reasonable people may disagree with the assumptions used and expectations developed therefrom. The information shown herein may be reviewed, varied or amended at any time without notice or issuance of an update or follow-up document. Nothing in this document should be construed as an offer, solicitation, invitation, marketing of services or products, advertisement, inducement, or representation of any kind, or as an opinion on the merits or otherwise, of any particular investment, investment strategy or market in which to invest. Any examples of Strategies or trade ideas are intended for illustrative and/or educational purposes only, and are not indicative of the historical or future Strategy or performance or the chances of success of any particular Strategy. You should consult your investment, tax, legal, accounting or other advisors about the matters discussed herein. The views and opinions in this document are not guaranteed nor intended to be complete, and material aspects of the descriptions contained herein may change at any time. Millennium Global and its employees have no obligation to provide recipients hereof with updates or changes to the information contained in this document. While every care has been taken in the compilation of this document and every attempt has been made to present up-to-date and accurate information, we cannot guarantee that inaccuracies will not occur. Neither Millennium Global, nor its portfolio managers, nor any of its employees will be held responsible for any error or omission and/or any claim, loss, damage or inconvenience caused as a result of reliance on information contained in this document. Past performance of any strategy shown herein is not a guide, and should not be construed as a guarantee of future performance as the value of any Strategy or investments may fall as well as rise, and an investor may lose all or a substantial amount of their investment. Certain portions of the information contained in this document may constitute forward-looking statements, views or research opinions. Due to various uncertainties and actual events, the actual performance of the economy may differ materially from those reflected or contemplated in such forward-looking statements, views or opinions. As a result, investors should not rely on forward looking statements, views or opinions in making any investment decisions. Any models contained in this document have been provided for discussion purposes only. There can be no assurance that any investment opportunities described in such models will become available to any Strategy or to Millennium Global. Likewise, it should not be assumed that any investments described by these models

3 2 would be profitable if implemented. It should not be assumed that any trade or illustration contained in this document would be implemented by Millennium Global or that it would be profitable if implemented. Hypothetical Information This document includes information representing the performance of a portfolio of hypothetical investments selected by Millennium Global over various periods; it is provided for general information purposes only and does not reflect real investments actually made. This information is provided to you on the understanding that, as a sophisticated investor, you understand and accept the inherent limitations of such illustrations, will not rely on it in making any investment decision regarding Millennium Global, and will use it for the sole purpose of deciding whether to proceed with a further investigation of the product. Hypothetical results may not always be duplicated in reality; it should not be expected that the product s actual returns will replicate the returns of the hypothetical portfolio. These results are based on hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. Hypothetical performance is subject to inherent limitations such as the impact of concurrent economic or geo-political elements not addressed in the analysis and market factors such as lack of liquidity. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results. In particular, hypothetical results do not represent actual trading costs of managing a portfolio. Any reliance you place on this information is therefore strictly at your own risk. In no event will Millennium Global be liable for any loss or damage including without limitation, indirect or consequential loss or damage, arising out of or in connection with the use of this information.

4 3 INTRODUCTION Global investors typically allocate to emerging markets with the aim of benefiting from the growth of developing economies and to improve the diversification of their portfolios. Typically, emerging market fixed income provides attractive yields and emerging market equities can offer cheaper valuations and superior growth than those of developed markets. However, from a foreign exchange perspective, there is a widespread view that when investing in emerging market assets there is no point hedging the currency exposure. This belief is based broadly on the following perceptions: 1) Emerging market currencies tend to appreciate in the long term and therefore investors should not hedge the currency risk. 2) The cost of hedging emerging market currencies is punitively high due to the interest rate differentials and therefore movements do not offset the cost of hedging. 3) It is unrealistic to try to actively manage emerging market currency risks because of market illiquidity and the lack of useful information to help make hedging decisions. We believe that these perceptions are no longer as valid as they were. Our analysis shows that in reality, emerging market currencies have not appreciated on average against the US dollar for the last decade and, in fact, hedging would have been beneficial for much of this period. Today, the majority of the actual emerging market currency exposure of the MSCI Emerging Market Index (MSCI EM Index) can be hedged using fairly liquid instruments. In addition, the increasing liquidity of these currencies means that they can be analysed in a similar manner to developed market currencies. In our view, emerging market investors should become familiar with the impact of currency exposure on their investments and consider the effectiveness of actively hedging this exposure. In this note we explore emerging market currency trends and their impact on emerging market equity investments using MSCI Emerging Market Index data, before examining the efficacy of hedging and discussing the Millennium Global EM currency solution The Yield Shield, which is applicable to a more liquid subset of the emerging market currency universe.

5 4 EMERGING MARKET FX BEHAVIOUR Contrary to common perception, over time emerging market currencies have not experienced a steady appreciation against the US dollar but rather have: a) Exhibited long and large cycles; b) Experienced extended periods of substantial depreciation; and c) Fallen not only during times of financial crisis. Chart 1 FX contribution to EM equities returns MSCI EM Index FX vs. USD Source: Bloomberg, January 2003 to December 2017, based on the monthly returns of the currency exposure in the MSCI Emerging Market Index. This has been calculated by taking the difference between the MSCI Emerging Market Local Currency Index Returns and the MSCI Emerging Market USD Index Returns. Between 2003 and 2010, the average absolute annual return for the benchmark MSCI Emerging Market Equities Index (in USD) was 29%. In every one of those 8 years, EM currencies and EM equities moved in the same direction.

6 5 However, in the period since 2010, the return characteristics of emerging market currencies and their relationship with emerging equity markets has changed. Notably, annual equity returns have been compressed and the contribution of currency to returns has been more significant. Chart 2 - Equity and Currency Contribution to MSCI EM Index (2003 to 2017) 80% 60% 40% 20% 0% -20% -40% -60% -80% Currency Return Equity Return Source: Millennium Global and MSCI, January 2003 to December Currency Return calculated by taking the difference between the MSCI Emerging Market Local Currency Index Returns and the MSCI Emerging Market USD Index Returns. This highlights the increased impact of emerging market currencies on total EM returns and consequently the importance of addressing EM currency and equity exposure separately.

7 Currency Hedging Impact 6 EMERGING MARKET FX: THE EFFECTS OF HEDGING Cyclicality and volatility in emerging market currency performance in the period from the global financial crisis (January 2008 to December 2017) is reflected in Chart 3. While there is a cost to hedging Emerging Market currencies given the negative interest rate differential - the difference in the returns of hedged versus unhedged MSCI EM Index portfolios shows that there have been many years when, even accounting for the hedging costs (included in these figures), hedging the Emerging Market currency exposure would have benefitted investors. Chart 3 Currency Hedging Impact: MSCI EM Index Hedged minus Unhedged USD Returns (2008 to 2017) 10% 5% 0% -5% -10% -15% -20% Note: Hedging is beneficial (detrimental) in periods when the currency hedging impact is positive (negative). Source: Millennium Global and MSCI, January 2008 to December Currency Return calculated by subtracting MSCI Emerging Market USD Index Returns from the MSCI Emerging Market USD Hedged Index Returns. Our analysis shows that leaving emerging market currency exposure unhedged on a continuous basis is not optimal even over multi-year periods. In five of the past ten years (2008, 2011, 2013, 2014 and 2015) it would have been beneficial to hedge MSCI EM FX exposures 1. Indeed the average benefit in these years was 5.2%. This illustrates how the decision to hedge or not to hedge has had an impact on overall portfolio returns. 1 Based on the difference in performance between the unhedged MSCI EM USD Index and the hedged MSCI EM USD Index. Note that it may not always be practical to hedge all the currencies included in the Index and that costs and bid/ask spreads may be significant.

8 7 THE EMERGING MARKET FOREIGN EXCHANGE MARKET The Korean Won, Taiwan Dollar, Indian Rupee, Brazilian Real, South African Rand, Mexican Peso, Russian Ruble and Indonesian Rupiah are the major local currencies represented in the MSCI EM index. The Bank for International Settlements Triennial Survey of foreign exchange turnover (April 2016) points to significant liquidity in these currencies, with a daily traded volume of over USD 400 billion. Daily turnover in the largest EM currencies Mexican Peso (USD 97 billion) and Korean Won (USD 84 billion), for example, is comparable with that of the New Zealand Dollar (USD 104 billion), Norwegian Kroner (USD 85 billion) and Swedish Krona (USD 112 billion). Bid/offer spreads in USD vs EM pairs have compressed in a period of increased EM currency liquidity and this has created market conditions that support the effective implementation of emerging market hedging policies. THE BENEFITS OF ADOPTING A FLEXIBLE HEDGING POLICY The table below shows the hypothetical difference in outcomes between leaving the currency exposure of a portfolio of emerging market equities hedged at all times, versus leaving it unhedged in the calendar years when EM currencies went up and hedging in years when they went down. While the figures understate the performance of a perfect hedge that would switch on and off at the best possible moments, they illustrate the potential return improvements from adopting a flexible hedging policy. MSCI EM Equities Index Total Cumulative Return in USD No Currency Hedge Calendar Year Currency Hedge 2 Difference 5 Years to 31 Dec % 44% 14% 10 Years to 31 Dec % 68% 44% Source: Millennium Global and MSCI, January 2008 to December According to this analysis, it would therefore be very desirable to have a mechanism to trigger currency hedging when the emerging market currencies depreciate but switch it off when the emerging market currencies move sideways or appreciate, because the potential impact and value-added is so substantial. This begs the question whether is it possible to vary a currency hedge ratio over time to capture some of this potential gain? 2 The calculation considers that hedging is in place only in calendar years when hedging would have given a positive result.

9 8 THE YIELD SHIELD: MILLENNIUM GLOBAL S APPROACH TO EM CURRENCY HEDGING Millennium Global has over 20 years of experience in forecasting currency market trends and has conducted research into the behaviour of emerging market currencies. In particular, we have applied recent academic insights into how currency options pricing in particular contains useful information in forecasting FX behaviour. Based on this analysis, we believe that it is possible to implement a dynamic currency hedge ratio that delivers superior results compared with both remaining permanently unhedged or maintaining a static passive hedge. Taking a dynamic hedging approach seeks to deliver positive results by acting as a "Yield Shield" i.e. maintaining exposure to the high yield typically available in emerging market currencies when they are stable or appreciating and employing a hedging strategy or shield when they are depreciating. The Yield Shield strategy seeks to reduce emerging market currency exposure in periods of emerging market currency weakness in order to improve investors currency return profile and reduce drawdowns and volatility. It seeks to improve on momentum-based hedging approaches, principally by interpreting option market volatility and skew in addition to FX price movements. The model is applied to individual EM currency exposures to generate a hedging signal for each EM exposure. Rather than employing a binary approach where the hedge ratio is either 0% or 100% hedged, the strategy uses a quantitative model to move between 0% - 100% hedged for each EM currency exposure, based upon the signal output of the model. As an example, we have analysed a hypothetical portfolio of the more liquid major EM currency exposures (namely BRL, INR, KRW, MXN, ZAR, hereafter the EM Currency Portfolio ), weighted in proportion to their size in the MSCI EM Index. Note that this basket is not identical to the full MSCI EM Index referenced in the previous sections. The calculations hereafter refer to exchange rates against the US dollar, but the same conclusions would apply against Sterling or Euros.

10 Hedge Ratio EM-FX Basket vs. USD 9 For the period 2008 to 2017, Chart 4 shows i) the aggregate hedge ratio (0% to 100%) across the basket of currencies covered by the Yield Shield and ii) the performance of the hypothetical EM Currency Portfolio versus the US dollar. Chart 4 Yield Shield: Hypothetical Dynamic Hedging of EM Currency Portfolio (2008 to 2017) 2 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Hedge Ratio (LHS) EM-FX Basket per USD (RHS) The results of the Yield Shield strategy applied to the hypothetical EM Currency Portfolio can be quantified in comparison with a do-nothing approach where emerging market currencies remain unhedged at all times. The table below shows that the dynamic hedging strategy would have materially reduced currency drawdowns and volatility and improved returns. Yield Shield: Hypothetical Returns of an EM Currency Portfolio (2008 to 2017) DO NOTHING Unhedged EM-FX Exposure YIELD SHIELD Dynamic Hedged EM-FX Exposure YIELD SHIELD Improvement Max. Drawdown -48.6% -32.4% 16.2% Total Return -31.5% -11.4% 20.1% Annual Volatility 10.1% 7.6% 2.5% Avg Annual Return -3.1% -1.1% 2.0% Source: Millennium Global and Bloomberg, 1 January 2008 to 29 December Results shown are net of indicative management fees of 0.20% and do not reflect commissions, custodial fees and other fees and expenses involved in the operation and management of client accounts. Information is hypothetical and based on back-tested data. This information is based on hypothetical performance results that can have inherent limitations. See full disclosures on pages 2 and 3. Past performance is not a guide to future returns and the value of investments may fall as well as rise. No representation is made that any account will or is likely to achieve returns similar to those shown.

11 -11.00% -10.0% -9.0% -8.0% -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% 11.0% Frequency % -10.0% -9.0% -8.0% -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% 11.0% Frequency 10 The distribution of monthly returns is also transformed with left tail negative returns (cash flows) reduced and the distribution skewed to the right-hand side (see charts 5 & 6). Chart 5 Unhedged EM Currency Benchmark Gross Monthly Returns Distribution (2008 to 2017) Unhedged Benchmark Gross Monthly Returns Chart 6 Unhedged EM Currency Benchmark Gross Monthly Returns Distribution (2008 to 2016) Dynamically Hedged Portfolio Gross Monthly Returns Source: Millennium Global and Bloomberg, 1 January 2008 to 29 December Results shown are gross of fees and do not reflect management fees, performance fees, commissions, custodial fees and other fees and expenses involved in the operation and management of client accounts. Information is hypothetical and based on back-tested data. This information is based on hypothetical performance results that can have inherent limitations. Past performance is not a guide to future returns and the value of investments may fall as well as rise. No representation is made that any account will or is likely to achieve returns similar to those shown.

12 11 In summary, our analysis shows that over the entire period from 2008 to 2017, investors in emerging market equities would have benefited from: EM currency losses reduced by 70% Maximum peak-to-trough drawdown reduced by 35% Annual currency volatility reduced by 25% Extreme monthly currency losses eliminated CONCLUSION Based on our analysis, emerging market currency exposure within EM portfolios contributes a substantial and varying impact on the risk and return of the underlying investment. There are long periods when it is preferable to hedge emerging market currency exposure and also times when an unhedged position is appropriate. The difference between hedged and unhedged returns can be very material. By employing a Yield Shield strategy to dynamically hedge Emerging Market currency exposure, we believe it is possible to achieve better results than remaining unhedged or maintaining a static hedging policy.

Hedging Currency Risk for Australian Dollar Based Investors. Insight Investment

Hedging Currency Risk for Australian Dollar Based Investors. Insight Investment Hedging Currency Risk for Australian Dollar Based Investors Insight Investment Adam Kibble +612 9260 6657 adam.kibble@insightinvestment.com 12/92 12/93 12/94 12/95 12/96 12/97 12/98 12/99 12/00 12/01 12/02

More information

Big Currency Depreciations: What Happens Next?

Big Currency Depreciations: What Happens Next? JUNE 2018 INTERNATIONAL EQUITY WHITEPAPER Big Currency Depreciations: What Happens Next? Leila Heckman, Ph.D., Founder John Mullin, Ph.D., Chief Strategist For More Information (917) 386-6261 www.heckmanglobal.com

More information

Emerging Markets Currencies Strategy (EMCS)

Emerging Markets Currencies Strategy (EMCS) Emerging Markets Currencies Strategy (EMCS) In the late 1980s we postulated the concept of baby markets and that such infant markets lend themselves better to systematic trading than mature markets. In

More information

Commentary by Victor Sperandeo April 15, 2013

Commentary by Victor Sperandeo April 15, 2013 TVI and CPI Commentary by Victor Sperandeo April 15, 2013 In this commentary, Victor Sperandeo briefly examines the relationship between the Trader Vic Index (the TVI ) and the non seasonally adjusted

More information

Franklin Global Absolute Return Fixed Income Composite (AUD Hedged)

Franklin Global Absolute Return Fixed Income Composite (AUD Hedged) Franklin Global Absolute Return Fixed Income Composite (AUD Hedged) Absolute Return Fixed Income Product Profile Product Details Strategy Assets $482,005,922.94 Inception Date 31/10/2007 Number of Securities

More information

Exchange rates and aviation: examining the links

Exchange rates and aviation: examining the links -50%+ -48% to -50% -44% to -46% -40% to -42% -36% to -38% -32% to -34% -28% to -30% -24% to -26% -20% to -22% -16% to -18% -12% to -14% -8% to -10% -4% to -6% 0% to -2% 0% to 2% 4% to 6% 8% to 10% 12%

More information

An All-Cap Core Investment Approach

An All-Cap Core Investment Approach An All-Cap Core Investment Approach A White Paper by Manning & Napier www.manning-napier.com Unless otherwise noted, all figures are based in USD. 1 What is an All-Cap Core Approach An All-Cap Core investment

More information

Quantitative Easing and the Dollar-Yen Carry Trade

Quantitative Easing and the Dollar-Yen Carry Trade MARCH 2018 INTERNATIONAL EQUITY WHITEPAPER Quantitative Easing and the Dollar-Yen Carry Trade Leila Heckman, Ph.D., Founder John Mullin, Ph.D., Chief Strategist For More Information (917) 386-6261 www.heckmanglobal.com

More information

FOREIGN CURRENCY HEDGING: PASSIVE, ACTIVE OR DO NOTHING?

FOREIGN CURRENCY HEDGING: PASSIVE, ACTIVE OR DO NOTHING? FOREIGN CURRENCY HEDGING: PASSIVE, ACTIVE OR DO NOTHING? FOR PROFESSIONAL INVESTORS April 2017 Overview In this commentary, we take a look at the following topics: Investors have a variety of options and

More information

A Performance Analysis of Risk Parity

A Performance Analysis of Risk Parity Investment Research A Performance Analysis of Do Asset Allocations Outperform and What Are the Return Sources of Portfolios? Stephen Marra, CFA, Director, Portfolio Manager/Analyst¹ A risk parity model

More information

An Extract from NIFD and CLS Joint Forum Publication: Foreign Exchange Market Infrastructure to Support Stability of RMB Internationally.

An Extract from NIFD and CLS Joint Forum Publication: Foreign Exchange Market Infrastructure to Support Stability of RMB Internationally. An Extract from NIFD and CLS Joint Forum Publication: Foreign Exchange Market Infrastructure to Support Stability of RMB Internationally. 1. Introduction As China moves toward a more market driven financial

More information

Citi Dynamic Asset Selector 5 Excess Return Index

Citi Dynamic Asset Selector 5 Excess Return Index Multi-Asset Index Factsheet & Performance Update - 31 st August 2016 FOR U.S. USE ONLY Citi Dynamic Asset Selector 5 Excess Return Index Navigating U.S. equity market regimes. Index Overview The Citi Dynamic

More information

BLOOMBERG DOLLAR INDEX 2018 REBALANCE

BLOOMBERG DOLLAR INDEX 2018 REBALANCE BLOOMBERG DOLLAR INDEX 2018 REBALANCE 2018 REBALANCE HIGHLIGHTS Euro maintains largest weight 2018 BBDXY WEIGHTS Euro Canadian dollar largest percentage weight decrease Swiss franc has largest percentage

More information

Investment Insights. Market Periods For Active Investment Management

Investment Insights. Market Periods For Active Investment Management Market Periods For Active Investment Management Anticipated market trends lead us to currently favor active management styles over passive indexing approaches. Executive Summary Since the turn of the millennium

More information

Lazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst

Lazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several

More information

BROAD COMMODITY INDEX

BROAD COMMODITY INDEX BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JANUARY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER

More information

A Framework for Understanding Defensive Equity Investing

A Framework for Understanding Defensive Equity Investing A Framework for Understanding Defensive Equity Investing Nick Alonso, CFA and Mark Barnes, Ph.D. December 2017 At a basketball game, you always hear the home crowd chanting 'DEFENSE! DEFENSE!' when the

More information

EMERGING MARKETS HARNESSING CURRENCY RETURNS

EMERGING MARKETS HARNESSING CURRENCY RETURNS FOR WHOLESALE CLIENTS ONLY. NOT TO BE DISTRIBUTED TO RETAIL CLIENTS. NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL. PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT. EMERGING MARKETS

More information

Managed Risk Alternatives for V-Shaped Markets. Chris Onken, FSA, MAAA

Managed Risk Alternatives for V-Shaped Markets. Chris Onken, FSA, MAAA Managed Risk Alternatives for V-Shaped Markets Chris Onken, FSA, MAAA Managed Risk Alternatives for V-Shaped Markets CHRIS ONKEN, FSA, MAAA Consulting Actuary, Milliman November 15, 2016 (1030 1200 hours)

More information

Building Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments

Building Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments Building Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments Presented to: October 20, 2011 Paul Lucek SSARIS Advisors, LLC SSARIS Advisors, LLC Wilton Corporate

More information

3Q18. The cost of not hedging foreign currency. July Executive summary

3Q18. The cost of not hedging foreign currency. July Executive summary 3Q18 TOPICS OF INTEREST The cost of not hedging foreign currency July 2018 ANDREW AKERS Senior Strategic Research Analyst Executive summary Investors have often overlooked the fact that investing in unhedged

More information

TREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS

TREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS TREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS April June 2013 During the second quarter, the U.S. dollar s nominal trade-weighted exchange value increased 1.7 percent as measured by the Federal

More information

FX BRIEFLY. 12 December Helaba Research. Performance on a month-over-month basis

FX BRIEFLY. 12 December Helaba Research. Performance on a month-over-month basis Helaba Research FX BRIEFLY 12 December 2018 AUTHOR Christian Apelt, CFA phone: +49 69/91 32-47 26 research@helaba.de EDITOR Claudia Windt PUBLISHER: Dr. Gertrud R. Traud Chief Economist/ Head of Research

More information

RUSSELL CLARK S SHORT SELLING STRATEGY

RUSSELL CLARK S SHORT SELLING STRATEGY November 217 RUSSELL CLARK S SHORT SELLING STRATEGY Presentation to: Client or Company name From: Name Surname.. Disclaimer This document has been created on a general topic for informational purposes

More information

Description of the Fund TMLS Multi-Asset 70 Fund (the Fund ) is an investment-linked policy sub-fund offered by Tokio

Description of the Fund TMLS Multi-Asset 70 Fund (the Fund ) is an investment-linked policy sub-fund offered by Tokio TMLS MULTI-ASSET 70 FUND SUMMARY (SUPPLEMENT TO PRODUCT SUMMARY) This supplement forms part of the product summary. You should read this together with the relevant Product Summary. Description of the Fund

More information

Emerging markets FX and capital flows FX analyst Camilla Viland September 7th 2016

Emerging markets FX and capital flows FX analyst Camilla Viland September 7th 2016 Emerging markets FX and capital flows FX analyst Camilla Viland September 7th 216 Stronger commodity currencies in 216 Argentine peso hammered EME trade weighted currencies JPMorgan indices, % change since

More information

Man AHL Diversified (Guernsey)

Man AHL Diversified (Guernsey) Man AHL Diversified (Guernsey) January 2011 AHL a market leading quantitative investment manager Strength through size, capital position, independence and global presence One of the world s largest, independent

More information

Technical Guide. Issue: forecasting a successful outcome with cash flow modelling. To us there are no foreign markets. TM

Technical Guide. Issue: forecasting a successful outcome with cash flow modelling. To us there are no foreign markets. TM Technical Guide To us there are no foreign markets. TM The are a unique investment solution, providing a powerful tool for managing volatility and risk that can complement any wealth strategy. Our volatility-led

More information

Turbulence, Systemic Risk, and Dynamic Portfolio Construction

Turbulence, Systemic Risk, and Dynamic Portfolio Construction Turbulence, Systemic Risk, and Dynamic Portfolio Construction Will Kinlaw, CFA Head of Portfolio and Risk Management Research State Street Associates 1 Outline Measuring market turbulence Principal components

More information

Get active with Vanguard factor ETFs

Get active with Vanguard factor ETFs Get active with Vanguard factor ETFs Factor investing has gained attention in recent years, in part because of the rise of alternatively weighted indexes and smart-beta products. Yet factor investing has

More information

Quarterly Market Review

Quarterly Market Review Quarterly Market Review THEMES FOR THE QUARTER Emerging Markets the Standout in Mixed Q1 Global Equity Returns Developed Markets Positive; Australia and NZ Negative Value Premium Positive in Emerging Markets;

More information

Global Tactical Asset Allocation

Global Tactical Asset Allocation Global Tactical Asset Allocation This material is solely for informational purposes to be viewed in conjunction with this presentation. The information presented should not be construed as representative

More information

Morgan Stanley Target Equity Balanced Index

Morgan Stanley Target Equity Balanced Index Morgan Stanley Target Equity Balanced Index Targeting Equity and Bond Allocation in a Balanced Way The Target Equity Balanced Index (the TEBI Index ) invests dynamically between Equities and Bonds in order

More information

Official Journal C 313

Official Journal C 313 Official Journal C 313 of the European Union Volume 61 English edition Information and Notices 5 September 2018 Contents IV Notices NOTICES FROM EUROPEAN UNION INSTITUTIONS, BODIES, OFFICES AND AGENCIES

More information

INSIGHT ON MULTI-ASSET

INSIGHT ON MULTI-ASSET FOR WHOLESALE CLIENTS ONLY. NOT TO BE DISTRIBUTED TO RETAIL CLIENTS. NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL. PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT. INSIGHT ON MULTI-ASSET

More information

European Real Estate Society Conference Istanbul June Alex Moss, Consilia Capital Kieran Farrelly, The Townsend Group

European Real Estate Society Conference Istanbul June Alex Moss, Consilia Capital Kieran Farrelly, The Townsend Group SMART BETA STRATEGIES FOR REIT MUTUAL FUNDS European Real Estate Society Conference Istanbul June 2015 Alex Moss, Consilia Capital Kieran Farrelly, The Townsend Group CONTENTS 2 Background Purpose of the

More information

Understanding Investments in Collateralized Loan Obligations ( CLOs )

Understanding Investments in Collateralized Loan Obligations ( CLOs ) Understanding Investments in Collateralized Loan Obligations ( CLOs ) Disclaimer This document contains the current, good faith opinions of Ares Management Corporation ( Ares ). The document is meant for

More information

Solvency II Risk Management Forecasting. Presenter(s): Peter M. Phillips

Solvency II Risk Management Forecasting. Presenter(s): Peter M. Phillips Sponsored by and Solvency II Risk Management Forecasting Presenter(s): Peter M. Phillips Solvency II Risk Management Forecasting Peter M Phillips Equity Based Insurance Guarantees 2015 Nov 17, 2015 8:30

More information

C2 Financial Technology Alternative Products. August 2016

C2 Financial Technology Alternative Products. August 2016 C2 Financial Technology Alternative Products August 2016 Important Disclosures The information in this Presentation relates solely to the ScoutAlpha Index Trading Program and the ScoutAlpha Electorate

More information

Multi-Strategy Linear Investments Limited

Multi-Strategy Linear Investments Limited Multi-Strategy Linear Investments Limited June 2017 Linear Investments Limited Regulated by FCA. Registered in England and Wales No. 07330725 Linear Core Services Established in 2010 and authorised and

More information

Product Profile. Performance Data. Average Annual Total Returns (USD %) 2,

Product Profile. Performance Data. Average Annual Total Returns (USD %) 2, Unconstrained Fixed Income Product Profile Product Details Composite Assets $612,308,518.31 Inception Date 30/11/2005 Base Currency USD Investment Style Unconstrained Overview 1 High alpha-seeking regional

More information

5 Reasons to Invest! » Pioneer Funds Multi-Strategy Growth. Pioneer Funds Absolute Return Multi-Strategy

5 Reasons to Invest! » Pioneer Funds Multi-Strategy Growth. Pioneer Funds Absolute Return Multi-Strategy 1 5 Reasons to Invest! Pioneer Funds Absolute Return Multi-Strategy» Pioneer Funds Multi-Strategy Growth 2 5 Reasons to Invest» Pioneer Funds Absolute Return Multi-Strategy» Pioneer Funds Multi-Strategy

More information

The Swan Defined Risk Strategy - A Full Market Solution

The Swan Defined Risk Strategy - A Full Market Solution The Swan Defined Risk Strategy - A Full Market Solution Absolute, Relative, and Risk-Adjusted Performance Metrics for Swan DRS and the Index (Summary) June 30, 2018 Manager Performance July 1997 - June

More information

res Key Ideas great or Over the

res Key Ideas great or Over the Investor Guide Managed Futur res Key Ideas Managed Futures seeks to take advantage of trends in global asset classes These strategies have historically performed best when markets went from good to great

More information

GEF-6 REPLENISHMENT: FINANCING FRAMEWORK (PREPARED BY THE TRUSTEE)

GEF-6 REPLENISHMENT: FINANCING FRAMEWORK (PREPARED BY THE TRUSTEE) Fourth Meeting for the Sixth Replenishment of the GEF Trust Fund April 16-17, 2014 Geneva, Switzerland GEF/R.6/Inf.11 March 28, 2014 GEF-6 REPLENISHMENT: FINANCING FRAMEWORK (PREPARED BY THE TRUSTEE) TABLE

More information

Mid Cap: A Sweet Spot for Performance

Mid Cap: A Sweet Spot for Performance EDUCATION Equity 101 CONTRIBUTORS Fei Mei Chan Director Index Investment Strategy feimei.chan@spglobal.com Craig Lazzara, CFA Managing Director Global Head of Index Investment Strategy craig.lazzara@spglobal.com

More information

Invesco Perpetual Global Targeted Returns Fund Investing in ideas

Invesco Perpetual Global Targeted Returns Fund Investing in ideas Invesco Perpetual Global Targeted Returns Fund Investing in ideas July 2018 This document is for Professional Clients only and is not for consumer use. The Invesco Perpetual Multi Asset team seeks diversification

More information

2015 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. 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 information

FEATURE ARTICLE: LISTED INFRASTRUCTURE VERSUS LISTED PROPERTY A DEFENSIVE EQUITY SHOWDOWN

FEATURE ARTICLE: LISTED INFRASTRUCTURE VERSUS LISTED PROPERTY A DEFENSIVE EQUITY SHOWDOWN JANUARY 2019 FEATURE ARTICLE: LISTED INFRASTRUCTURE VERSUS LISTED PROPERTY A DEFENSIVE EQUITY SHOWDOWN 1 Feature Article: Could Turkey s Economic Woes Cause Contagion? Introduction Listed property and

More information

Lazard Insights. Growth: An Underappreciated Factor. What Is an Investment Factor? Summary. Does the Growth Factor Matter?

Lazard Insights. Growth: An Underappreciated Factor. What Is an Investment Factor? Summary. Does the Growth Factor Matter? Lazard Insights : An Underappreciated Factor Jason Williams, CFA, Portfolio Manager/Analyst Summary Quantitative investment managers commonly employ value, sentiment, quality, and low risk factors to capture

More information

WisdomTree.com Currency Hedged Equities Q2 2018

WisdomTree.com Currency Hedged Equities Q2 2018 WisdomTree.com 866.909.9473 Q2 2018 Ratio of MSCI to S&P The Dollar s Impact on Equities: ACWX (Unhedged) Relative to the S&P 500 1.7 1.6 1.5 1.4 1.3 U.S. Dollar Depreciation Cumulative: -25.52% Annualized:

More information

STRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY

STRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY STRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY A COMPELLING OPPORTUNITY For many years, the favourable demographics and high economic growth in emerging markets (EM) have caught

More information

GROWTH FIXED INCOME APRIL 2013

GROWTH FIXED INCOME APRIL 2013 GROWTH FIXED INCOME APRIL 2013 BACKGROUND Most investors view fixed income investments as providing a liability-matching or defensive aspect to their total portfolio. The types of investments considered

More information

The outlook for UK savers: Markets, Politics and Policy

The outlook for UK savers: Markets, Politics and Policy The outlook for UK savers: Markets, Politics and Policy Rupert Harrison, Portfolio Manager Multi-Asset Strategies Tuesday 21 st November, 2017 Not a bad year so far for a UK investor Asset performance

More information

Man AHL Diversified (Guernsey) USD

Man AHL Diversified (Guernsey) USD Product fact sheet at 31 March 2014 NAV per unit USD 1.0849 Total NAV USD 243,448,833 Risk/return profile 1 The share class will aim to deliver target double-digit annualised return, for a target annualised

More information

THE LONG AND THE SHORT OF IT:

THE LONG AND THE SHORT OF IT: THE LONG AND THE SHORT OF IT: The Quant Shorting Advantage July 2016 AUTHORS Stacie Mintz Managing Director and Portfolio Manager Gavin Smith, PhD Vice President and Product Specialist QMA s Quantitative

More information

INSIGHT BROAD OPPORTUNITIES STRATEGY

INSIGHT BROAD OPPORTUNITIES STRATEGY FOR PROFESSIONAL CLIENTS ONLY. NOT TO BE DISTRIBUTED TO RETAIL CLIENTS. This strategy is offered by Insight North America LLC (INA) in the United States. INA is part of Insight Investment. Performance

More information

Presentation The role of fixed income today. Quentin Fitzsimmons. Senior Portfolio Manager, Fixed Income T. Rowe Price

Presentation The role of fixed income today. Quentin Fitzsimmons. Senior Portfolio Manager, Fixed Income T. Rowe Price Presentation The role of fixed income today Quentin Fitzsimmons Senior Portfolio Manager, Fixed Income T. Rowe Price THE ROLE OF FIXED INCOME TODAY Quentin Fitzsimmons Global Fixed Income Portfolio Manager

More information

INVESTMENT OBJECTIVE 14.05% Year to Date (YTD)

INVESTMENT OBJECTIVE 14.05% Year to Date (YTD) MIRAE ASSET ASIA PACIFIC EQUITY "A" ACC ISIN LU0336300859 Structure: Fund Group: Fund Mgmt. Co.: UCI: Classification Allfunds Category: Asia ex-japan General Eq. European Fund Classification: - Fund Benchmark:

More information

APPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES

APPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES QUARTERLY INVESTMENT STRATEGY Third Quarter 15 19 APPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES Purchasing Managers EMERGING ECONOMIES Purchasing Managers US Eurozone Japan Brazil Russia India China

More information

Defensive Short Duration High Yield Bonds An Overlooked and Underutilized Source of Durable Alpha

Defensive Short Duration High Yield Bonds An Overlooked and Underutilized Source of Durable Alpha Specialists in Complete Capital Structure Analysis Peter Duffy, CFA Senior Portfolio Manager, Senior Partner Matthew Bogdan Quantitative Research Analyst Defensive Short Duration High Yield Bonds An Overlooked

More information

Reducing Inflation Risk During Retirement: The Compelling Case for Stocks

Reducing Inflation Risk During Retirement: The Compelling Case for Stocks Reducing Inflation Risk During Retirement: The Compelling Case for Stocks May 20, 2015 by Joe Becker of Milliman Financial Risk Management INSIGHT Actionable perspectives on topics that impact wealth Reducing

More information

Franklin Global Absolute Return Bond (USD) Composite

Franklin Global Absolute Return Bond (USD) Composite Franklin Global Absolute Return Bond (USD) Composite Absolute Return Fixed Income Product Profile Product Details Strategy Assets $913,479,610.50 Inception Date 09/30/2015 Base Currency USD Investment

More information

FX BRIEFLY. 10 October Helaba Research. Performance on a month-over-month basis

FX BRIEFLY. 10 October Helaba Research. Performance on a month-over-month basis Helaba Research FX BRIEFLY 10 October 2018 AUTHOR Christian Apelt, CFA phone: +49 69/91 32-47 26 research@helaba.de EDITOR Claudia Windt PUBLISHER: Dr. Gertrud R. Traud Chief Economist/ Head of Research

More information

Invesco Perpetual Global Targeted Returns Fund Investing in ideas

Invesco Perpetual Global Targeted Returns Fund Investing in ideas Invesco Perpetual Global Targeted Returns Fund Investing in ideas April 2018 This document is for Professional Clients only and is not for consumer use. The Invesco Perpetual Multi Asset team seeks diversification

More information

TAIL RISK HEDGING FOR PENSION FUNDS

TAIL RISK HEDGING FOR PENSION FUNDS OCTOBER 2013 TAIL RISK HEDGING FOR PENSION FUNDS Dan Mikulskis Redington Karim Traore Societe Generale THIS DOCUMENT IS FOR THE EXCLUSIVE USE OF INVESTORS ACTING ON THEIR OWN ACCOUNT AND CATEGORISED EITHER

More information

Global Balancing Act February 2018

Global Balancing Act February 2018 Leila Charles Heckman, Waters Ph.D. lheckman@dcmadvisors.com 917-386-6261 John Mullin, Ph.D. jmullin@dcmadvisors.com 917-386-6262 Charles Waters cwaters@dcmadvisors.com 917-386-6264 Global Balancing Act

More information

First Quarter Review. G-10 currencies against US Dollar

First Quarter Review. G-10 currencies against US Dollar 44 CURRENCIES First Quarter Review The US dollar (USD) performance was broadly weaker in the first quarter of 2011 as several developed and developing nations central banks tightened monetary policy or

More information

Global liquidity: selected indicators 1

Global liquidity: selected indicators 1 8 October 14 Global liquidity: selected indicators 1 Highlights Indicators of global liquidity point to a continued strengthening of risk appetite and loosening of credit conditions in the spring and summer

More information

The New Neutral: The long-term case for currency hedging

The New Neutral: The long-term case for currency hedging Currency white paper April 2016 The New Neutral: The long-term case for currency hedging Currency risk can impact international equity return and risk, but full exposure is often assumed to be the neutral

More information

Income. Income Amounts. Income Segments. As part of the Core survey, GWI asks all respondents about their annual household income.

Income. Income Amounts. Income Segments. As part of the Core survey, GWI asks all respondents about their annual household income. Income Amounts Income Segments As part of the Core survey, GWI asks all respondents about their annual household income. We state that they should think about their household income, rather than their

More information

Welcome to DCC. An Introduction to Currency Select

Welcome to DCC. An Introduction to Currency Select Welcome to DCC An Introduction to Currency Select Currency Select PTY LTD Based in Sydney, Australia, Currency Select enables partners in 21 countries to perform Dynamic Currency Conversion and Multi-Currency

More information

EMERGING MARKETS HARNESSING CURRENCY RETURNS

EMERGING MARKETS HARNESSING CURRENCY RETURNS FOR WHOLESALE CLIENTS ONLY. NOT TO BE DISTRIBUTED TO RETAIL CLIENTS. EMERGING MARKETS HARNESSING CURRENCY RETURNS DON T MISS OUT ON THE RETURN POTENTIAL FROM EMERGING MARKET CURRENCY NOVEMBER 2017 > A

More information

Man AHL Diversified plc

Man AHL Diversified plc NAV per unit USD 88.19 Total NAV USD 988,635,806 No. units 11,209,426 Against a backdrop of the beginning of the end to QE, December proved to be a slightly volatile month for the fund, with gains in stocks,

More information

BROAD COMMODITY INDEX

BROAD COMMODITY INDEX BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS APRIL 2017 80.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% -80.00% ABCERI S&P GSCI ER BCOMM ER

More information

Tax-Managed SMAs: Better Than ETFs?

Tax-Managed SMAs: Better Than ETFs? June 2018 Tax-Managed SMAs: Better Than ETFs? Rey Santodomingo, CFA Managing Director of Investment Strategy Tim Atwill, PhD, CFA Head of Investment Strategy Exchange-traded funds, or ETFs, are popular

More information

No one asset class perform at all times

No one asset class perform at all times 1 No one asset class perform at all times 60 50 Bond years Equity years Gold years 40 30 20 10 0-10 -20 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 Equity Bonds Gold Triple Asset 2 Past performance

More information

Benchmarking & the Road to Unconstrained

Benchmarking & the Road to Unconstrained Benchmarking & the Road to Unconstrained 24 April 2012 PIA Hiten Savani Investment Director hiten.savani@fil.com +44 (0) 20 7074 5234 Agenda Two Important Trends Increasing polarisation of demand between

More information

Liquidity Management Overlay

Liquidity Management Overlay OVERVIEW PAPER Liquidity Management Overlay March 2017 FOR PROFESSIONAL CLIENTS ONLY 1 INVESTED. TOGETHER. Executive Summary Cash is a necessary evil in any portfolio. Portfolio liquidity is required to

More information

Factor Investing & Smart Beta

Factor Investing & Smart Beta Factor Investing & Smart Beta Raina Oberoi VP, Index Applied Research MSCI 1 Outline What is Factor Investing? Minimum Volatility Index Methodology Historical Performance and Index Characteristics Risk

More information

Please refer to For more information regarding the index. July 2017

Please refer to   For more information regarding the index. July 2017 BNP Paribas Momentum Multi Asset 5 Index Please refer to http://momentum5index.bnpparibas.com For more information regarding the index July 07 Introducing the BNP Paribas Momentum Multi Asset 5 Index Index

More information

The infrastructure equity cycle

The infrastructure equity cycle UBS Asset Management The infrastructure equity cycle Infrastructure white paper series Part 3 Institutional investor interest in the infrastructure sector is at record highs. This paper takes a closer

More information

ABSOLUTE INSIGHT CURRENCY FUND

ABSOLUTE INSIGHT CURRENCY FUND FOR PROFESSIONAL CLIENTS ONLY. NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL. PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT. ABSOLUTE INSIGHT CURRENCY FUND BENEFITS Diversification:

More information

Templeton International Bond Fund. Class C

Templeton International Bond Fund. Class C Templeton International Bond Fund Class A, C Unconstrained Fixed Income Product Profile Product Details 1 Fund Assets $360,795,665.52 Fund Inception Date 12/03/2007 Number of Securities 124 Including Cash

More information

Initiating Our Quantitative Stock Selection Models

Initiating Our Quantitative Stock Selection Models Turkey / Quantitative Research / Equities 27 April 2016 Initiating Our Quantitative Stock Selection Models Ayhan Yüksel, PhD, CFA Aykut Ahlatcıoğlu, CFA Can Özçelik Okan Ertem, FRM +90 (212) 334 94 95

More information

CITI 80% PROTECTED DYNAMIC ALLOCATION FUND. Dynamic Allocation Rules

CITI 80% PROTECTED DYNAMIC ALLOCATION FUND. Dynamic Allocation Rules FINAL VERSION CITI 80% PROTECTED DYNAMIC ALLOCATION FUND Dynamic Allocation Rules This document (the Dynamic Allocation Rules) describes the Dynamic Allocation Rules referenced in the Supplement (as defined

More information

A capital guaranteed fund with a history of performance, security and diversification

A capital guaranteed fund with a history of performance, security and diversification A capital guaranteed fund with a history of performance, security and diversification CAPITAL GUARANTEE BY: (Subject to the terms of the Westpac Guarantee as described in Section 4 and set out in Appendix

More information

How to Assess Real Exchange Rate Overvaluation

How to Assess Real Exchange Rate Overvaluation JANUARY 2018 INTERNATIONAL EQUITY WHITEPAPER How to Assess Real Exchange Rate Overvaluation Leila Heckman, Ph.D., Founder John Mullin, Ph.D., Chief Strategist For More Information (917) 386-6261 www.heckmanglobal.com

More information

Highlights from the 10-July CoT survey of IMM leveraged funds

Highlights from the 10-July CoT survey of IMM leveraged funds Highlights from the 1-July CoT survey of IMM leveraged funds Greg Anderson, CFA, PhD - Global head of FX strategy gregory.anderson@bmo.com +1 212 65 149 July 13, 218 Short-NZD the biggest side with short-eur

More information

INFORMATION FROM EUROPEAN UNION INSTITUTIONS, BODIES, OFFICES AND AGENCIES

INFORMATION FROM EUROPEAN UNION INSTITUTIONS, BODIES, OFFICES AND AGENCIES Official Journal C 1 of the European Union Volume 62 English edition Information and Notices 3 January 2019 Contents II Information INFORMATION FROM EUROPEAN UNION INSTITUTIONS, BODIES, OFFICES AND AGENCIES

More information

The Case for Growth. Investment Research

The Case for Growth. Investment Research Investment Research The Case for Growth Lazard Quantitative Equity Team Companies that generate meaningful earnings growth through their product mix and focus, business strategies, market opportunity,

More information

INSIGHT ON MULTI-ASSET

INSIGHT ON MULTI-ASSET FOR PROFESSIONAL CLIENTS ONLY. NOT TO BE DISTRIBUTED TO RETAIL CLIENTS. This strategy is offered by Insight North America LLC (INA) in the United States. INA is part of Insight Investment. Performance

More information

Introduction to Foreign Exchange. Andrew Wilkinson

Introduction to Foreign Exchange. Andrew Wilkinson Introduction to Foreign Exchange Andrew Wilkinson Risk Disclosure Options and Futures are not suitable for all investors. The amount you may lose may be greater than your initial investment. Before trading

More information

Revisiting Core Principles

Revisiting Core Principles FTSE RAFI Emerging Markets Index (USD) As of 12/31/2017 Revisiting Core Principles The FTSE RAFI Index series utilizes fundamental measures of company size (sales, cash flow, dividends, and book value)

More information

Revisiting Core Principles

Revisiting Core Principles FTSE RAFI All World 3000 - QSR Index (USD) As of 09/30/2017 Revisiting Core Principles The FTSE RAFI QSR Index series utilizes fundamental measures of company size (sales, cash flow, dividends, and book

More information

GLADIUS CAPITAL MANAGEMENT LP. Plan Rebalancing Utilizing Options

GLADIUS CAPITAL MANAGEMENT LP. Plan Rebalancing Utilizing Options GLADIUS CAPITAL MANAGEMENT LP Plan Rebalancing Utilizing Options CBOE Risk Management Conference Prepared for: CBOE Risk Management Conference Date: September 3, 2014 Disclaimer This document is only intended

More information

Revisiting Core Principles

Revisiting Core Principles Russell RAFI Global All Co Index (USD) As of 06/30/2017 Revisiting Core Principles The Russell RAFI Index series utilizes fundamental measures of company size (adjusted sales, retained cash flow, and dividends

More information

All-Country Equity Allocator February 2018

All-Country Equity Allocator February 2018 Leila Heckman, Ph.D. lheckman@dcmadvisors.com 917-386-6261 John Mullin, Ph.D. jmullin@dcmadvisors.com 917-386-6262 Charles Waters cwaters@dcmadvisors.com 917-386-6264 All-Country Equity Allocator February

More information

Morgan Stanley ETF-MAP 2 Index Information

Morgan Stanley ETF-MAP 2 Index Information Morgan Stanley ETF-MAP 2 Index Information Investing in instruments linked to the Morgan Stanley ETF-MAP 2 Index involves risks not associated with an investment in other instruments. See Risk Factors

More information