R-Squared Risk Management Limited
|
|
- Daniel French
- 5 years ago
- Views:
Transcription
1 Risk Management Limited Authorised and regulated by the Financial Conduct Authority RISK REPORT. R-Squared Europe Model in EUR Europe Equity Index v Cash 1 May 2013 Highlights Exposure to the Australian dollar dominates overall risk. This factor represents a number of effects, including imports of commodities by European firms, Australia s exposure to the emerging economies of Asia and an interest rate differential effect. The other significant contribution to risk is a large positive exposure to the Swiss franc, reflecting capital flows as well as the effect on competitiveness of relative weakness in the Euro. Also significant are exposures to large capitalisation effects in Germany, France and Spain. Sector risk contributions are driven mainly by export-oriented industries, reinforcing currency effects. Factor Risk (s.d.) Stock Risk (s.d.) 1.50 Total Risk (s.d.) Local Currency factor risks Global Currency factor risks 0.32 Style factor risks Country factor risks Industry factor risk Statistical factor risks 0.09 % Factor Risk (RSQ) % Stock Risk 0.62 % Total Risk Also in this report: Factor risk analysis Stock-level risk analysis Independent Bets analysis Currency exposure analysis Diversification Ratio 1.58 Number of Holdings 328 Total risk of 18.95% per annum is consistent with a well-diversified portfolio of equities. Its 328 stocks are weighted by current market capitalisation. The high percentage of risk (99.38%) explained by the model s risk factors confirms that this is a welldiversified index, as residual, stock-specific risk is largely diversified away. Return Enhancement through Risk Management
2 Factor Risk Analysis This section identifies the most important factor exposures, expressed as the portfolio beta to individual factors and as the impact each factor exposure has on the overall risk of the index. Note that the risk factors shown on the x-axes are identical in top and bottom for left and right hand charts respectively. The left hand factors are ordered in descending order of their contributions to portfolio risk, with the corresponding portfolio factor to beta underneath; while the right hand charts show the five highest and lowest factor betas, with their corresponding contribution to risk underneath. The Europe index is dominated by its negative exposure to the Australian dollar, which contributes 11.6% of the index s risk of 18.9%. This reflects demand for commodities by firms such as Nestlé, Siemens, Total and Daimler, as well as interest rate differential effects and an Asia effect, as discussed in the section on Independent Bets. The volatility of the Australian dollar against the euro is 11.5%. Its positive exposure to the Swiss franc represents 6.2% of overall risk, reflecting the importance of the European market to Swiss firms as well, of course, as capital flows. High portfolio exposures to Liquidity, Quality and Dividend Yield contribute relatively little to the overall risk of the index, as does the negative exposure to Growth stocks. In fact, smaller exposures to the Japanese yen and large cap effects are more important to the risk of the index. See the Currency Exposure Analysis for more commentary. Return Enhancement through Risk Management 2
3 Stock-level Risk Analysis This analysis examines the top ten stocks in descending order of their contribution to the risk of the index. It compares stocks weighting in the index with their contributions to risk. While it is clearly important to know what the biggest bets in a portfolio are, it is actually the more extreme bets that should generate the best performance. We identify extreme bets by looking at the ratio of a stock s risk contribution to its holding size. For the most concentrated exposures, the most significant factor betas are shown. Not coincidentally, they correspond to the factors that contribute most to overall risk. Company Name Country Contribution to Risk Holding Holding Rank Volatility Beta to Australian Dollar % % % NESTLE SA/AG Switzerland NOVARTIS AG Switzerland BASF SE Germany SIEMENS AG Germany ALLIANZ SE Germany BANCO SANTANDER Spain TOTAL SA France SANOFI France DAIMLER AG Germany While contributions to risk from Nestlé and Novartis are broadly in line with their weighting in the portfolio, Total and Sanofi contribute relatively little, given their weights. Daimler, by contrast, contributes well above its weight, primarily on account of its high volatility of 41%. Nestlé and Novartis have positive betas to the Swiss franc of 1.3 and 1.9, reflecting the fact that they benefit from a rise in the Swiss franc, which would cause their asset prices to rise in Euro terms. Return Enhancement through Risk Management 3
4 Independent Bets Recognising that even the best multi-factor risk models have correlations between the defined risk factors, this report identifies combinations of portfolio exposures that are statistically independent by applying Principal Components Analysis and adding economic interpretation to the resulting statistically independent eigenvectors. The chart below shows the contribution to risk, in descending order, of each of the first ten eigenvectors. In this case there are really only 3 or 4 truly independent bets in this portfolio. About three quarters of the overall portfolio risk is attributable to the first three independent bets. PC1 is dominated by the European index s positive exposure to the Australian dollar, large German, French and Spanish stocks and banks as well as negative exposure to the US dollar, Japanese yen and Swiss franc. PC2 can be interpreted, from its exposure to the Swiss franc, US dollar, Japanese yen and negative exposure to the Australian dollar and Price Momentum, as an interest rate differential effect, which benefits European competitiveness. PC3 is a currency effect given by negative betas to the Swiss franc and the Australian dollar. This analysis confirms the risk profile given by the risk model factors: specifically that the risk of the European index is dominated by its exposure to the Australian dollar and the Swiss franc, which in turn are driven by demand for commodities, capital flows with Switzerland and sensitivity to interest rate differentials, which drive relative competitiveness through the currency effect. Return Enhancement through Risk Management 4
5 Currency Exposure Analysis Currency exposures are usually important sources of risk for most portfolios, so a successful hedging strategy must start with currency exposures, given by the portfolio exposure to each currency factor. For example, a beta of 0.15 can be neutralised by hedging 15% of the portfolio s value. This report highlights the distinction between currency of exposure and currency of denomination. The chart shows weighting and exposure to each model currency. Most stocks in the index are denominated in Euro (which is not a risk factor, being the base currency). The large negative exposure to the Australian dollar reflects imports of commodities by Europe and, to some extent, European firms exposure to China. The difference between the exposure and weighting in the Swiss franc reflects the heavy representation in that currency of banks (which are highly leveraged) as well as capital flows between the Euro and the Swiss franc, which have been higher recently than normal. Positive exposures to the US dollar and the Japanese yen reflect trade in manufactured goods, which benefit from a weaker Euro versus other major currencies and commodities, which are usually priced in US dollars. Return Enhancement through Risk Management 5
6 . R-Squared Frances Cowell Director of Risk Consulting Frances direct investment management experience began in 1983, when she established an investment research function at Aetna Life & Casualty in Australia. From 1984 to 1991, she developed her derivatives skills to derive arbitrage rents by managing principal portfolios of exchange-traded and over-the-counter derivatives and physical assets in investment banking. From 1991 to 1997, she was a portfolio manager for domestic and global equities and balanced funds, using risk management technology combined with futures, swaps and options to match risk and expected return to stated investment objectives. In 1994 she became Head of Enhanced Passive Investments at NatWest Investment Management in Australia and subsequently headed the Quant team. Since coming to the UK she has specialised in risk management. From 1998 to 2002, Frances worked at QUANTEC, consulting to investment management clients on the application of portfolio risk analyses and risk management. In 2002 she served as Head of Portfolio Risk at Morley Fund Management (now Aviva Investors), managing a team of six risk management professionals, a role that included membership of a range of governance bodies, including the Aviva Derivatives Committee. From 2003 to 2007 she established and managed risk management for in-house hedge funds and derivatives at Morley. Prior to joining R-Squared she was Head of Investment Risk at CCLA Investment Management from 2007 to Frances is a founding member of the London Quant Group, an occasional contributor to investment management journals and a member of CFA UK. Frances experience and expertise in portfolio risk management spans the following areas: Fifteen years managing the investments of pension and institutional funds, including the third largest equity portfolio in Australia as well as balanced funds and hedge funds. Extensive cross-asset class and derivatives experience in all market conditions. The combination of a risk-based approach, tactical use of derivatives for risk control and frequent conversations with fund directors and fund investment committees. First-hand experience of serving on governance bodies and overseeing procedures and reporting. A sound understanding of the principles of various modelling techniques, and familiarity with all commercially-available risk measurement systems and techniques. Industry best practice: what works and what doesn t: For all investors For all asset mixes For all portfolio strategies In all market conditions Fund director The Nexus Building, Broadway, Letchworth Garden City, Hertfordshire SG6 3TA, United Kingdom UK France US Head Office enquiries@rsqrm.com
R-Squared Risk Management Limited
Risk Management Limited Authorised and regulated by the Financial Conduct Authority RISK REPORT. R-Squared Global Model in USD Global Equity Index v Cash 30 January 2014 Highlights Positive exposures to
More informationWisdomTree Europe CAD-Hedged Equity Index MSCI EMU Index (LCL) MSCI EMU Index (Local) 11.47% 12.51%
WisdomTree Europe Hedged Equity Strategy EHE/EHE.B The biggest challenge with Europe may not be the equity markets as much as the euro. In fact, many of the world's leading companies are in Europe. In
More informationThe Case for Not Currency Hedging Foreign Equity Investments: A U.S. Investor s Perspective
The Case for Not Currency Hedging Foreign Equity Investments: A U.S. Investor s Perspective April 14, 2015 by Catherine LeGraw of GMO EXECUTIVE SUMMARY Investors often ask about GMO s approach to currency
More informationMulti-asset capability Connecting a global network of expertise
Multi-asset capability Connecting a global network of expertise For Professional Clients only Solutions aligned with investors' needs We have over 25 years of experience designing multi-asset solutions
More informationBMO MSCI EAFE Index ETF (ZEA) (the ETF )
ANNUAL MANAGEMENT REPORT OF FUND PERFORMANCE BMO MSCI EAFE Index ETF (ZEA) (the ETF ) For the 12-month period ended December 31, 2016 (the Period ) Manager: BMO Asset Management Inc. (the Manager and portfolio
More informationFACTOR ALLOCATION MODELS
FACTOR ALLOCATION MODELS Improving Factor Portfolio Efficiency January 2018 Summary: Factor timing and factor risk management are related concepts, but have different objectives Factors have unique characteristics
More informationIs Quant Dead? Jason MacQueen. R-Squared Risk Management
Is Quant Dead? Jason MacQueen R-Squared Risk Management Leonard Cohen saw it coming.. Things are gonna slide, slide in all directions, Won t be nothing, nothing you can measure any more from The Future
More information2018 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE
MD Family of Funds 2018 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE DISCLOSURE This interim management report of fund performance contains financial highlights but does not contain the complete interim
More informationFranklin Templeton Investment Funds Franklin Templeton Global Allocation Fund
Franklin Templeton Investment Funds Franklin Templeton Global Allocation Fund Fund Details Inception Date 29 July 2011 Investment Style Benchmark(s) Asset Allocation 50% MSCI All Country World Index 35%
More informationPeriod End Date for Distribution:
Legal & General European Index Trust Interim Manager s Short Report for the period ended 31 January 2018 Investment Objective and Policy The investment objective of this Trust is to track the capital
More informationEMERGING 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 informationEMERGING 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 informationBank of Canada Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets
Bank of Canada Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets Turnover for, and Amounts Outstanding as at June 30, March, 2005 Turnover data for, Table
More informationTREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS
TREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS October December During the last quarter of, the dollar s trade-weighted exchange value declined 6.7 percent as measured by the Federal Reserve
More informationInternational Finance multiple-choice questions
International Finance multiple-choice questions 1. Spears Co. will receive SF1,000,000 in 30 days. Use the following information to determine the total dollar amount received (after accounting for the
More informationAVIVA IRELAND. High Yield Equity Fund Richard Saldanha Fund Manager, Global Equities. 28 February 2018
AVIVA IRELAND High Yield Equity Fund Richard Saldanha Fund Manager, Global Equities 28 February 2018 This document is for Professional Clients, institutional/qualified investors and Advisers only. It is
More informationFactsheet: Vermögensmanagement Rendite OP
Marketing Material Factsheet: Vermögensmanagement Rendite OP Balanced Funds - Flexible January 2018 As at 31/01/2018 Fund Data Investment Policy The objectives are solid earnings and growth opportunities.
More informationHow Hedging Can Substantially Reduce Foreign Stock Currency Risk
Possible losses from changes in currency exchange rates are a risk of investing unhedged in foreign stocks. While a stock may perform well on the London Stock Exchange, if the British pound declines against
More informationMANAGED FUTURES STRATEGY FUND
PERFORMANCE (Performance as of 12/31/2016) MANAGED FUTURES STRATEGY FUND Monthly Portfolio Update And Commentary December 2016 $ Assets as of December 31, 2016 465,303,475 HOW TO INVEST Visit longboardmutualfunds.com
More informationAMUNDI ETF NASDAQ-100 UCITS ETF
AMUNDI ETF NASDAQ-100 UCITS ETF Semi-Annual report December 2015 AMUNDI S ASSET MANAGEMENT UCITS Fund manager : AMUNDI ASSET MANAGEMENT Delegated fund accountant : CACEIS FUND ADMINISTRATION FRANCE Custodian
More informationTable 1: Foreign exchange turnover: Summary of surveys Billions of U.S. dollars. Number of business days
Table 1: Foreign exchange turnover: Summary of surveys Billions of U.S. dollars Total turnover Number of business days Average daily turnover change 1983 103.2 20 5.2 1986 191.2 20 9.6 84.6 1989 299.9
More informationISHARES MSCI GERMANY ETF (EWG)
ISHARES MSCI GERMANY ETF (EWG) $27.48 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index European Equity ETFs BLACKROCK MSCI GERMANY INDEX EWG Sector Weights Date of Inception 03/12/1996
More informationWhy Investors Might Want to Hedge the Euro
WisdomTree Research MARKET INSIGHTS [ August 2012 ] Why Investors Might Want to Hedge the Euro BY JEREMY SCHWARTZ, CFA, DIRECTOR OF RESEARCH, & CHRISTOPHER JABARA, RESEARCH ANALYST To resolve its debt
More informationVanguard research July 2014
The Understanding buck stops the here: hedge return : Vanguard The impact money of currency market hedging funds in foreign bonds Vanguard research July 214 Charles Thomas, CFA; Paul M. Bosse, CFA Hedging
More informationBMO MSCI EAFE Hedged to CAD Index ETF (ZDM) (the ETF )
ANNUAL MANAGEMENT REPORT OF FUND PERFORMANCE BMO MSCI EAFE Hedged to CAD Index ETF (ZDM) (the ETF ) For the 12-month period ended December 31, 2017 (the Period ) Manager: BMO Asset Management Inc. (the
More informationHEDJ WisdomTree Europe Hedged Equity Fund
WisdomTree Europe Hedged Equity Fund ETF.com segment: Equity: Developed Europe - Total Market Competing ETFs: DDEZ, HEZU, DBEU, RFEU, DBEZ Related ETF Channels: Smart-Beta ETFs, Europe, Currency Hedged
More informationVanguard FTSE Europe ETF
Vanguard Product Summary Seeks to track the performance of the Developed All Cap Index. Targets an common stocks. Diversified across developed markets. Employs a passively managed, full-replication strategy.
More informationBank of Canada Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets Turnover for April, 2010 and Amounts
Bank of Canada Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets Turnover for April, 2010 and Amounts Outstanding as at June 30, 2010 December 20, 2010 Table
More informationContinental European real estate
October 216 For professional investors only. This material is not suitable for retail clients 1 Schroders Insurance Asset Management Insurance Strategy Continental European real estate The right time to
More informationFactsheet: Albatros Fonds
Marketing Material Factsheet: Albatros Fonds Balanced Funds - Flexible December 2018 As at 28/12/2018 Fund Data Investment Policy Albatros Fonds invests in European equities and bonds from the Eurozone.
More informationGM European Equity Pension Fund Fund Factsheet September 2018
This factsheet has been produced to provide information for Trustees of Aviva's Group Managed Funds and their advisers only. It should not be distributed to, or relied upon by other retail clients. Investment
More informationWhite Paper. Hedging. Hedging Methods. Duration Hedge. Currency hedging methods
White Paper Hedging This white paper addresses the following openfunds fields: OFST010205 Has Duration Hedge OFST010410 Fund Currency OFST020540 Share Class Currency OFST010210 Portfolio Currency Hedge
More informationAMUNDI ETF MSCI EM ASIA UCITS ETF
AMUNDI ETF MSCI EM ASIA UCITS ETF Semi-Annual report September 2015 AMUNDI S UCITS Fund manager : AMUNDI Delegated fund accountant : CACEIS FUND ADMINISTRATION FRANCE Custodian : CACEIS BANK FRANCE Auditors
More informationHow Hedging Can Substantially Reduce Foreign Stock Currency Risk
Possible losses from changes in currency exchange rates are a risk of investing unhedged in foreign stocks. While a stock may perform well on the London Stock Exchange, if the British pound declines against
More informationFebruary The Fund Guide. Investing your money with confidence
February 2018 The Fund Guide Investing your money with confidence Allow us to introduce ourselves. We are Zurich. We are part of a global insurance group with Swiss roots. We are one of Ireland s most
More informationFactsheet: Albatros Fonds
Marketing Material Factsheet: Albatros Fonds Balanced Funds - Flexible May 2018 As at 31/05/2018 Fund Data Investment Policy Albatros Fonds invests in European equities and bonds from the Eurozone. A structured
More informationSelected Interest & Exchange Rates
(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts June 29, 1998 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM
More information3. Derivatives markets
BIS Quarterly Review, February 2 Serge Jeanneau (41 61) 28 8416 serge.jeanneau@bis.org 3. Derivatives markets The fourth quarter of 1999 witnessed a significant slowdown in derivatives activity through
More informationVANGUARD FTSE EUROPE ETF (VGK)
VANGUARD FTSE EUROPE ETF (VGK) $52.63 USD Risk: Med Zacks ETF Rank 3 - Hold Fund Type Issuer Benchmark Index European Equity ETFs VANGUARD FTSE DEVELOPED EUROPE ALL CAP INDEX VGK Sector Weights Date of
More informationCTAs: Which Trend is Your Friend?
Research Review CAIAMember MemberContribution Contribution CAIA What a CAIA Member Should Know CTAs: Which Trend is Your Friend? Fabian Dori Urs Schubiger Manuel Krieger Daniel Torgler, CAIA Head of Portfolio
More informationNew Debt Issue Investor Presentation. September 2007
Carrefour Group Representatives Eric Reiss Chief Financial Officer Jean-Brieuc Le Tinier Director of Corporate Treasury 2 Summary Group Overview Business Strategy Financial overview Key credit strengths
More informationFIDELITY EUROPEAN VALUES PLC 31 JULY 2018
Investment Objective To achieve longterm growth in both capital and income by predominantly investing in equities (and their related securities) of continental European companies. Investment Trust Facts
More informationFactsheet: DWS Qi Eurozone Equity
Marketing Material Factsheet: DWS Qi Eurozone Equity Equity Funds - Europe January 2019 As at 31/01/2019 Fund Data Investment Policy The aim is to generate attractive long-term capital appreciation by
More informationThe EDHEC European ETF Survey 2014
The EDHEC European ETF Survey 2014 Felix Goltz Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta This research has been carried out as part of the Amundi ETF& Indexing
More information373% 1 UK ASSET MANAGEMENT INDUSTRY: A GLOBAL CENTRE KEY FINDINGS
UK ASSET MANAGEMENT INDUSTRY: A GLOBAL CENTRE KEY FINDINGS THE SIZE OF THE ASSET MANAGEMENT INDUSTRY IN THE UK >> Total assets under management grew significantly during 206, ending the year at a record
More informationPortfolio Select Series. Portfolio Review Second Quarter 2012
Portfolio Select Series Portfolio Review Second Quarter 2012 Q2 Q2 3 Select Income Advantage Managed Portfolio 6 Select 80i20e Managed Portfolio 10 Select 70i30e Managed Portfolio 14 Select 60i40e Managed
More informationBank of Canada Triennial Central Bank Surveys of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets Turnover for April, 2007 and Amounts
Bank of Canada Triennial Central Bank Surveys of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets Turnover for April, 2007 and Amounts Outstanding as at June 30, 2007 January 4, 2008 Table
More informationTREASURY 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 informationAll Asset and All Asset All Authority PIMCO All Asset Strategy
All Asset and All Asset All Authority PIMCO All Asset Strategy A highly differentiated and diversified tactical asset allocation strategy that combines the strengths of PIMCO and Research Affiliates two
More informationSeeking diversification through efficient portfolio construction (using cash-based and derivative instruments)
The Actuarial Society of Hong Kong Seeking diversification through efficient portfolio construction (using cash-based and derivative instruments) Malcolm Jones FFA 31 st March 2014 My disclaimers A foreword
More informationTHE EROSION OF THE REAL ESTATE HOME BIAS
THE EROSION OF THE REAL ESTATE HOME BIAS The integration of real estate with other asset classes and greater scrutiny from risk managers are set to increase, not reduce, the moves for international exposure.
More informationGlobal Investment Strategy Report
Global Investment Strategy Global Investment Strategy Report June 5, 2017 Tracie McMillion, CFA Head of Global Asset Allocation Strategy Weekly market insights from the Global Investment Strategy team»
More informationAMUNDI ETF LEVERAGED MSCI USA DAILY UCITS ETF
AMUNDI ETF LEVERAGED MSCI USA Semi-Annual report December 2015 AMUNDI S ASSET MANAGEMENT UCITS Fund manager : AMUNDI ASSET MANAGEMENT Delegated fund accountant : CACEIS FUND ADMINISTRATION FRANCE Custodian
More informationDerivatives Revisions 3 Questions. Hedging Strategies Using Futures
Derivatives Revisions 3 Questions Hedging Strategies Using Futures 1. Under what circumstances are a. a short hedge and b. a long hedge appropriate? A short hedge is appropriate when a company owns an
More informationFIDELITY EUROPEAN VALUES PLC 31 OCTOBER 2018
Investment Objective To achieve longterm growth in both capital and income by predominantly investing in equities (and their related securities) of continental European companies. Investment Trust Facts
More informationMonetary and Economic Department Triennial and semiannual surveys on positions in global over-the-counter (OTC) derivatives markets at end-june 2007
Monetary and Economic Department Triennial and semiannual surveys on positions in global over-the-counter (OTC) derivatives markets at end-e 27 November 27 Queries concerning this release should be addressed
More informationISHARES INTERNATIONAL SELECT DIV ETF (IDV)
ISHARES INTERNATIONAL SELECT DIV ETF (IDV) Risk: Med Zacks ETF Rank NA $31.19 USD Fund Type Issuer Benchmark Index Broad Developed World ETFs BLACKROCK DOW JONES EPAC SELECT DIVIDEND INDEX IDV Sector Weights
More information4Q17 Global & International Equity GLOBAL EQUITY. 10+ Years of Providing High Income Through Global Dividends
4Q17 Global & International Equity GLOBAL EQUITY INCOME FUND 10+ Years of Providing High Income Through Global Dividends A: HFQAX C: HFQCX I: HFQIX N: HFQRX S: HFQSX T: HFQTX Overall Morningstar Rating
More informationHarbour Investment Funds Statement of Investment Policy & Objectives (SIPO)
Harbour Investment Funds Statement of Investment Policy & Objectives (SIPO) Issued by Harbour Asset Management Limited 19 June 2017 This document replaces the SIPO dated 21 st September 2016 1 HARBOUR
More informationBMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE) (the ETF )
ANNUAL MANAGEMENT REPORT OF FUND PERFORMANCE BMO Europe High Dividend Covered Call Hedged to CAD ETF (ZWE) (the ETF ) For the 12-month period ended December 31, 2017 (the Period ) Manager: BMO Asset Management
More informationEvolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
March 2012 Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets Kent Hargis Portfolio Manager Low Volatility Equities Director of Quantitative Research Equities This information
More informationCHAPTER 8 MANAGEMENT OF TRANSACTION EXPOSURE ANSWERS & SOLUTIONS TO END-OF-CHAPTER QUESTIONS AND PROBLEMS
CHAPTER 8 MANAGEMENT OF TRANSACTION EXPOSURE ANSWERS & SOLUTIONS TO END-OF-CHAPTER QUESTIONS AND PROBLEMS QUESTIONS 1. How would you define transaction exposure? How is it different from economic exposure?
More informationPerformance Comparison
Performance Comparison Hornet Infrastructure Water Fund (EUR) with various Global Bond Indices July 2018 Performance Comparison between the Hornet Infrastructure Water Fund (EUR) and various Global Bond
More informationProduct Profile. Performance Data. Average Annual Total Returns (EUR %) 2,
Unconstrained Fixed Income Product Profile Product Details Composite Assets 497,872,526.09 Inception Date 30/11/2005 Base Currency USD Investment Style Unconstrained Overview 1 High alpha-seeking regional
More informationSelected Interest & Exchange Rates
(51/517) Selected Interest & Exchange Rates W eekly Series o f Charts October 8, DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM SECTION Washington,
More informationBMO Global Asset Management Income Leaders ETFs
For professional investors only Exchange Traded Funds BMO Global Asset Management Income Leaders ETFs Contact us Client Services +44 () 711 4444 client.service@bmogam.com bmogam.com/etfs ZILS BMO MSCI
More informationInvesco 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 informationTREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS
EMBARGOED: FOR RELEASE AT 4:00 P.M., EDT, THURSDAY, AUGUST 3, 2006 TREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS April June 2006 During the second quarter of 2006, the dollar s trade-weighted
More informationTREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS
EMBARGOED: FOR RELEASE AT 4:00 P.M., EDT, THURSDAY, MAY 5, 2005 TREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS January March 2005 During the first quarter of 2005, the dollar s trade-weighted
More informationManaged Futures Strategy Fund
Visit longboardfunds.com Call us at 800.290.8319 ASSETS AS OF DECEMBER 31, 2018 $308,692,596 Managed Futures Strategy Fund Monthly Portfolio Update & Commentary December 2018 STOCK INDEXES INTEREST RATES
More informationAUGUST 31, ANNUAL REPORT
AUGUST 31, 2017 2017 ANNUAL REPORT ishares Trust ishares Adaptive Currency Hedged MSCI Eurozone ETF DEZU BATS ishares Currency Hedged MSCI Eurozone ETF HEZU NYSE Arca ishares Currency Hedged MSCI Germany
More information1. Global Money Market Fund
1. Global Money Market Fund Conservative investment approach Higher return than overseas bank account - minimal risk, lower entry levels Focus is on retention of capital Invests in short-term interest
More informationT. Rowe Price Funds SICAV A Luxembourg UCITS
PROSPECTUS T. Rowe Price Funds SICAV A Luxembourg UCITS Bond Funds Asia Credit Bond Fund Diversified Income Bond Fund Dynamic Global Bond Fund Dynamic Global Investment Grade Bond Fund Emerging Local Markets
More informationAn EDHEC Risk and Asset Management Research Centre Publication Hedge Fund Performance in 2006: A Vintage Year for Hedge Funds?
An EDHEC Risk and Asset Management Research Centre Publication Hedge Fund Performance in 2006: March 2007 Published in France, March 2007. Copyright EDHEC 2007 The ideas and opinions expressed in this
More informationLazard 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 informationAre you better off with commission-free ETFs?
Are you better off with commission-free ETFs? James DiLellio, PhD Pepperdine University Phil Goldfeder, PhD Northwestern University Introduction Competition amongst discount brokers continues to reduce
More informationLa Française LUX. A Luxembourg SICAV. Prospectus December la-francaise.com. December 2017 Prospectus. La Française LUX
VISA 2017/110640-2377-0-PC L'apposition du visa ne peut en aucun cas servir d'argument de publicité Luxembourg, le 2017-12-28 Commission de Surveillance du Secteur Financier A Luxembourg SICAV Prospectus
More informationInternational Portfolio Investments
International Portfolio Investments Chapter Objectives: Chapter Eleven 11 INTERNATIONAL FINANCIAL MANAGEMENT 1. Why investors diversify their portfolios internationally. 2. How much investors can gain
More informationMFS Investment Management 500 Boyleston Street Boston, Massachusetts 02116
Investment Management 500 Boyleston Street Boston, Massachusetts 02116 MANAGER'S INVESTMENT PROCESS RISK CONSIDERATIONS Bottom-up idea generation within a sector-neutral framework, managed by a team of
More informationUCITS ETFs BOOST ETPs
UCITS ETFs BOOST ETPs STRATEGIC AND TACTICAL SOLUTIONS WISDOMTREE HAS YOU COVERED INVEST STRATEGICALLY FOR THE LONG-TERM OR TRADE TACTICALLY FOR THE SHORT-TERM We are a specialised sponsor and issuer of
More informationTo hedge or not to hedge? Evaluating currency exposure in global equity portfolios
To hedge or not to hedge? Evaluating currency exposure in global equity portfolios Research brief January 2015 Falling home bias means that investors are increasing their allocations to foreign assets,
More informationEUROPEAN NON-LIFE INSURANCE GROUPS RANKING 2010
EUROPEAN NON-LIFE INSURANCE GROUPS RANKING 2010 June 2011 Table of contents: 1. Presentation 2. Methodology 3. General Comments 4. Comments by Group Annexes Partial reproduction of the information contained
More informationLEGAL & GENERAL LIFE FIDELITY MULTI ASSET STRATEGIC FUND.
AN EQUITY FUND 31 JULY 2017 01 LEGAL & GENERAL LIFE FIDELITY MULTI ASSET STRATEGIC FUND. FUND FACTS Product(s) Portfolio Bond (IPS) Launch date 6 April 2011 Legal & General life fund size 14.6 million
More informationAMUNDI ETF MSCI EUROPE CONSUMER STAPLES UCITS ETF
AMUNDI ETF MSCI EUROPE CONSUMER STAPLES UCITS ETF Semi-Annual report September 2016 AMUNDI S ASSET MANAGEMENT UCITS Fund manager : AMUNDI ASSET MANAGEMENT Delegated fund accountant : CACEIS FUND ADMINISTRATION
More informationCORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY
CORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY EXECUTIVE SUMMARY Smart beta investing has seen increased traction in the
More informationTREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS
EMBARGOED: FOR RELEASE AT 4:00 P.M. EDT, THURSDAY, AUGUST 7 TREASURY AND FEDERAL RESERVE FOREIGN EXCHANGE OPERATIONS April June 2014 During the second quarter, the U.S. dollar s nominal trade-weighted
More informationFactsheet: DWS Global Equity Focus Fund
Marketing Material Factsheet: DWS Global Equity Focus Fund Equity Funds - Global November 2017 As at 30/11/2017 Fund Data Investment Policy The objective of the investment policy is to seek a high degree
More informationFactsheet: Oppenheim Dynamic Europe Balance
Marketing Material Factsheet: Oppenheim Dynamic Europe Balance Balanced Funds - Flexible January 2018 As at 31/01/2018 Fund Data Investment Policy The investment objective is to participate in the opportunities
More informationAiming to deliver attractive absolute returns with style
For professional investors only Aiming to deliver attractive absolute returns with style BMO Global Equity Market Neutral (SICAV) 2 BMO Global Equity Market Neutral (SICAV) Leveraging our proven capabilities
More informationMANAGED FUTURES PROVE ADVANTAGEOUS IN A VOLATILE 2015
MANAGED FUTURES PROVE ADVANTAGEOUS IN A VOLATILE 2015 Long-term trend following may smooth out the new year In 2015, the financial markets challenged even the most seasoned investors with increased volatility
More informationInternational High Dividend ADR Equity Strategy Q Commentary. Market and Economic Review
S C H A F E R C U L L E N C A P I T A L M A N A G E M E N T International High Dividend ADR Equity Strategy Q2 2018 Commentary Market and Economic Review International equity markets continued to moderate
More informationUK Portfolio Barometer
NATIXIS PORTFOLIO CLARITY SM Q4 2015 Natixis Global Asset Management s quarterly Portfolio Barometer offers insights into UK financial advisers model portfolios and the allocation decisions they are making.
More informationAMUNDI ETF MSCI WORLD ENERGY UCITS ETF
AMUNDI ETF MSCI WORLD ENERGY Semi-Annual report June 2017 AMUNDI S ASSET MANAGEMENT UCITS Fund manager : AMUNDI ASSET MANAGEMENT Delegated fund accountant : CACEIS FUND ADMINISTRATION FRANCE Custodian
More informationVanguard Developed Markets Index Fund
Vanguard Product Summary Seeks to track FTSE All Cap ex. International equity diversified across growth and value styles. markets in Canada and the major markets of Europe and the Pacific region. Passively
More informationMPI Quantitative Analysis
MPI Quantitative Analysis Mario H. Aguilar, CFA Director, EMEA Client Services July 2011 Markov Processes International Tel +1 908 608 1558 www.markovprocesses.com ASSET CLASS ANALYSIS BOND EMERGING MARKETS
More informationVanguard International Stock Index Funds Prospectus
Vanguard International Stock Index Funds Prospectus February 23, 2018 Investor Shares & Admiral Shares Vanguard European Stock Index Fund Investor Shares (VEURX) Vanguard European Stock Index Fund Admiral
More informationThe EDHEC European ETF and Smart Beta Survey
The EDHEC European ETF and Smart Beta Survey Felix Goltz Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta This research has been carried out as part of the Amundi
More informationInvesco 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 informationUSE EVERY ASSET CLASS TO YOUR ADVANTAGE
FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY NOT FOR RETAIL USE OR DISTRIBUTION. USE EVERY ASSET CLASS TO YOUR ADVANTAGE J.P. Morgan Asset Management Multi-Asset Solutions Our multi-asset strategies
More informationReview of Pension Plans Performance (Period ending December 31 st, 2013)
Review of Pension Plans Performance (Period ending December 31 st, 2013) prepared for Investment Subcommittee (Note all returns and values are expressed in Canadian Dollars- CAD s) 1 Canadian Equity The
More information