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... smaller issues, they are forced to hold long-term strategic Liquidity is constrained, as very large portfolio positions ...
... smaller issues, they are forced to hold long-term strategic Liquidity is constrained, as very large portfolio positions ...
Stock Market Efficiency: An Autopsy
... 1930s. Others (for example, Schwert 1989) have reached the same conclusion using data going as far back as 1859. These observations suggest that investors do not face greater uncertainty about the returns on stocks than they have in the past, at least over periods of a month or longer. They also sug ...
... 1930s. Others (for example, Schwert 1989) have reached the same conclusion using data going as far back as 1859. These observations suggest that investors do not face greater uncertainty about the returns on stocks than they have in the past, at least over periods of a month or longer. They also sug ...
INVESTMENT PORTFOLIO OPTIMIZATION BY
... because this coefficient measures the additional risk caused by the inclusion of new security in the portfolio. Beta coefficient is also used to estimate the expected return of a security, as well as for performance analysis of the portfolio. Alpha coefficient is used for the assessment of expected ...
... because this coefficient measures the additional risk caused by the inclusion of new security in the portfolio. Beta coefficient is also used to estimate the expected return of a security, as well as for performance analysis of the portfolio. Alpha coefficient is used for the assessment of expected ...
Q1 Global Brief 2014
... Already in the infancy of 2014, market events have tested the resolve and resilience of investors with a sell-off in emerging market currencies, increased stock market volatility and a surprise rate hike here in SA. It is completely understandable that investors would question their investment strat ...
... Already in the infancy of 2014, market events have tested the resolve and resilience of investors with a sell-off in emerging market currencies, increased stock market volatility and a surprise rate hike here in SA. It is completely understandable that investors would question their investment strat ...
a comparison of basic and extended markowitz model on croatian
... efficient portfolio is defined as a portfolio with the greatest expected return among those portfolios that are equally risky, or the least risky portfolio among portfolios offering the same returns. Expected future returns are based on historical data and risk is measured by the variance of those h ...
... efficient portfolio is defined as a portfolio with the greatest expected return among those portfolios that are equally risky, or the least risky portfolio among portfolios offering the same returns. Expected future returns are based on historical data and risk is measured by the variance of those h ...
discount rates
... Location based CRP: The standard approach in valuation is to attach a country risk premium to a company based upon its country of incorporation. Thus, if you are an Indian company, you are assumed to be exposed to the Indian country risk premium. A developed market company is assumed to be unex ...
... Location based CRP: The standard approach in valuation is to attach a country risk premium to a company based upon its country of incorporation. Thus, if you are an Indian company, you are assumed to be exposed to the Indian country risk premium. A developed market company is assumed to be unex ...
risk - Development Studies
... Exchange rate/currency risk cont’d • Exchange-rate risk may be the single biggest risk for holders of bonds that make interest and principal payments in a foreign currency. – A Namibian company A pays interest and principal on a R1,000mn bond with a 5% coupon in N$. If the exchange rate at the time ...
... Exchange rate/currency risk cont’d • Exchange-rate risk may be the single biggest risk for holders of bonds that make interest and principal payments in a foreign currency. – A Namibian company A pays interest and principal on a R1,000mn bond with a 5% coupon in N$. If the exchange rate at the time ...
coronation global managed fund
... We will feature our investment thesis for Limited Brands at the end of this commentary. In the case of Tripadvisor, it was again a reminder about the importance of management and their ability to execute strategy that ultimately will be the largest determinant of success. At the time of investing in ...
... We will feature our investment thesis for Limited Brands at the end of this commentary. In the case of Tripadvisor, it was again a reminder about the importance of management and their ability to execute strategy that ultimately will be the largest determinant of success. At the time of investing in ...
Stage 2 - Jersey Funds Association
... including the risk that you may lose all the money that you have invested. Income can fluctuate and is not guaranteed and past performance is no guarantee of future performance. Where investment is made in currencies other than the investor’s base currency, movements in exchange rates may have an in ...
... including the risk that you may lose all the money that you have invested. Income can fluctuate and is not guaranteed and past performance is no guarantee of future performance. Where investment is made in currencies other than the investor’s base currency, movements in exchange rates may have an in ...
Tactical Asset Allocation with Macroeconomic Factors
... concerned about volatility, again multiple-asset-class strategies are dominant. … Again, we find multipleasset-class strategies delivering much higher rates of risk-adjusted returns than single-asset-class strategies.” In other words, each additional asset class provides additional return-risk benef ...
... concerned about volatility, again multiple-asset-class strategies are dominant. … Again, we find multipleasset-class strategies delivering much higher rates of risk-adjusted returns than single-asset-class strategies.” In other words, each additional asset class provides additional return-risk benef ...
Is Sell in May Still in Play?
... The leading indicator for this market unrest has been bond volatility, which bottomed May 8 and is showing no signs of stabilization. Bond volatility is critical to markets because interest rates are the chief pricing mechanism for other assets, which poses the question: If rates aren’t stable, how ...
... The leading indicator for this market unrest has been bond volatility, which bottomed May 8 and is showing no signs of stabilization. Bond volatility is critical to markets because interest rates are the chief pricing mechanism for other assets, which poses the question: If rates aren’t stable, how ...
have Higher Stock Returns? - IC
... the true impact of job satisfaction. On the one hand, studies are cross-sectional and positive correlation could result from reverse causality. For example, an increase in productivity may not be related to job satisfaction but by other external factors, like payments and work conditions. On the oth ...
... the true impact of job satisfaction. On the one hand, studies are cross-sectional and positive correlation could result from reverse causality. For example, an increase in productivity may not be related to job satisfaction but by other external factors, like payments and work conditions. On the oth ...
Prudential With
... on how much profit the fund makes and how we decide to distribute that profit. Policyholders receive a distribution of profits by means of bonuses, or other methods as specified in the relevant policy documentation. There are two types of bonus, regular (or reversionary) and final (or terminal) bonu ...
... on how much profit the fund makes and how we decide to distribute that profit. Policyholders receive a distribution of profits by means of bonuses, or other methods as specified in the relevant policy documentation. There are two types of bonus, regular (or reversionary) and final (or terminal) bonu ...
the enlightenment and the financial crisis of 2008: an
... predominates to an extent great enough such that pricing reflects rational decision-making. As discussed previously, the rationality assumption also survives if the market behaves “as if” rationality prevailed. One mechanism for this is arbitrage, where savvy investors invest in the market in such a ...
... predominates to an extent great enough such that pricing reflects rational decision-making. As discussed previously, the rationality assumption also survives if the market behaves “as if” rationality prevailed. One mechanism for this is arbitrage, where savvy investors invest in the market in such a ...
CFI-Letterhead Template
... comparison. For example, one would not compare a real estate’s rate of return to a CD rate or some other arbitrary measure given the level of risk taken in such a venture. Instead, the annual rate of return (ROR) percentage of the oldest global small-cap company mutual fund since inception will be t ...
... comparison. For example, one would not compare a real estate’s rate of return to a CD rate or some other arbitrary measure given the level of risk taken in such a venture. Instead, the annual rate of return (ROR) percentage of the oldest global small-cap company mutual fund since inception will be t ...
Market Know-How - Covenant Asset Management, LLC
... Views and opinions are current as of December 2015, and may be subject to change, they should not be construed as investment advice. Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do no ...
... Views and opinions are current as of December 2015, and may be subject to change, they should not be construed as investment advice. Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do no ...
Stock Market Game Workshop
... At the beginning of the game, teams have $200,000 of purchasing power, 50% of which is collateralized by your initial cash portfolio of ...
... At the beginning of the game, teams have $200,000 of purchasing power, 50% of which is collateralized by your initial cash portfolio of ...
CF Estimation and Risk Anaysis, PowerPoint Show
... do not provide a decision rule. They do not indicate whether a project’s expected return is sufficient to compensate for its risk. Sensitivity, scenario, and simulation analyses all ignore diversification. Thus they measure only stand-alone risk, which may not be the most relevant risk in capital bu ...
... do not provide a decision rule. They do not indicate whether a project’s expected return is sufficient to compensate for its risk. Sensitivity, scenario, and simulation analyses all ignore diversification. Thus they measure only stand-alone risk, which may not be the most relevant risk in capital bu ...
FAQ Structured Investment
... Structured Investment can only be offered to an “eligible investor” within the meaning of Schedule 6 item 13, Section 229 of the Capital Markets and Services Act 2007 (as amended from time to time), where to qualify as an “eligible investor”, at least one of the following below must be true as at th ...
... Structured Investment can only be offered to an “eligible investor” within the meaning of Schedule 6 item 13, Section 229 of the Capital Markets and Services Act 2007 (as amended from time to time), where to qualify as an “eligible investor”, at least one of the following below must be true as at th ...
Fama EF and French KR (1996) Multifactor explanations of asset
... in the controversy and provided an empirical assessment of the model in India. He used data relating to 96 stocks listed in the Bombay Stock Exchange over the period January 1990 – December 1996. It was inferred that Beta leaves returns unexplained in India during the study period. But the author co ...
... in the controversy and provided an empirical assessment of the model in India. He used data relating to 96 stocks listed in the Bombay Stock Exchange over the period January 1990 – December 1996. It was inferred that Beta leaves returns unexplained in India during the study period. But the author co ...
PPT - OptiRisk Systems
... Negative serial correlation due to short term reversal effects Positive serial correlation on illiquid instruments Asynchronous trading across time zones makes correlation ...
... Negative serial correlation due to short term reversal effects Positive serial correlation on illiquid instruments Asynchronous trading across time zones makes correlation ...
The Nasdaq Composite Index rose to a fresh 15
... close since March 27, 2000. However, it remains 3.1% short of its alltime high reached on March 10, 2000. The S&P, meanwhile, hit a new record, rising 8.51 points, or 0.4%, to 2096.99, as did the Russell 2000 index of small-company stocks. The Russell rose 6.86 points, or 0.6%, to 1223.13. The Dow J ...
... close since March 27, 2000. However, it remains 3.1% short of its alltime high reached on March 10, 2000. The S&P, meanwhile, hit a new record, rising 8.51 points, or 0.4%, to 2096.99, as did the Russell 2000 index of small-company stocks. The Russell rose 6.86 points, or 0.6%, to 1223.13. The Dow J ...
Smart Investing in an Environment of Low Expected Returns
... investing—for example, in racetrack betting—that boring assets provide better risk-adjusted returns than their speculative peers. One explanation is the lottery ticket story: We overpay for lottery tickets and underpay for the boring stuff. Another explanation is common leverage aversion: We basical ...
... investing—for example, in racetrack betting—that boring assets provide better risk-adjusted returns than their speculative peers. One explanation is the lottery ticket story: We overpay for lottery tickets and underpay for the boring stuff. Another explanation is common leverage aversion: We basical ...
10 things everyone should know about smart beta strategies
... Our research has shown that there is a great deal of variability within the strategic beta universe. Equal-weight is very different from low volatility, which in turn is very different from Fundamental Index strategies. Because there are significant differences in the weighting and construction meth ...
... Our research has shown that there is a great deal of variability within the strategic beta universe. Equal-weight is very different from low volatility, which in turn is very different from Fundamental Index strategies. Because there are significant differences in the weighting and construction meth ...
Over/Under-Reaction of Stock Markets
... For the three-year experiment illustrated in Figure 1, the relevant numbers are respectively, 1.369 and 1.026 (t-statistic on the difference: 3.09), thus: the loser portfolios not only outperform the winner portfolios; if the CAPM is correct, they are also significantly less risky. From a di ...
... For the three-year experiment illustrated in Figure 1, the relevant numbers are respectively, 1.369 and 1.026 (t-statistic on the difference: 3.09), thus: the loser portfolios not only outperform the winner portfolios; if the CAPM is correct, they are also significantly less risky. From a di ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.