DOCSLIB.ORG

Specialised Training for Traders & Investment Managers

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Specialised Training for Traders & Investment Managers TRAINING CALENDAR 2014 Specialised Training For Traders & Investment Managers Courses and Workshops on Trading and Investment Strategies Technical Analysis Derivatives Trading Hedge Fund Strategies Market Fundamentals High Quality Training Presented by World Class Market Experts Global Markets Media is proud to present its latest 2014 training calendar for trading and investment professionals. All of our courses are specifically designed for traders, hedge funds and fund managers across all asset classes, with a focus on trading and investment strategies. Our trainers are recognised experts in their fields as well as being highly experienced in teaching market professionals in seminar and workshop settings. Training takes place at the luxury Apex City of London Hotel, located in the heart of the City of London and just moments from Tower Hill underground station. We offer all our published training courses for delivery ‘in-house’ at our client’s premises. This can enable us to tailor the content towards a preferred asset class, market or strategy during the course. Our in-house training courses can also be bespoke, being designed and delivered to meet your specific needs across the full range of trading strategies and financial products. Global Markets Training Ltd 10 Quarry Street Guildford GU1 3UY United Kingdom +44 (0)1483 573150 CONTENTS Training courses and workshops Asset Allocation Workshop 4 Economics for Traders and Fund Managers 5 Fundamental Bond Strategies 6 Fundamental Data and the Markets 7 FX Exotic Options 8 Millisecond Frequency Trading (MFT) 9 Portfolio Optimisation for Investment Managers 10 Quantitative Momentum Strategies 11 Statistical Arbitrage 12 Statistics for Investment Managers 13 Technical Analysis: Introduction 14 Technical Analysis: Advanced 15 Technical Analysis: Short-term Trading Workshop 16 Trading Psychology Workshop 17 Volatility Trading 18 e-learning Pairs Trading Workshop 19 In-House Training 20 TESTIMONIALS “Absolutely great seminar, Trevor was “Really enjoyed the course, Steve Ward an excellent speaker.” and the other people involved.” Beat Kuendig, Head FX, Benno Honsdrecht, Senior Trader FI, St. Galler Kantonalbank AG SNS Bank “I enjoyed every aspect of the course. Since attending “All of the Global Markets Training workshops I have the course in 2012, the course has helped me stay attended have been outstanding. Stephen Aikin was no more relaxed and clear-minded, both in trading and exception. Very friendly and knowledgeable about the other things.” [Testimonial received January 2014 with options market.” reference to the long-term benefits of attending the Patric Tengelin, Trader, Trading Psychology Workshop] Modity Energy Trading Paul Mitchley, Assistant Head of Interest Rate Trading, DZ Bank “Excellent content and clarity of training.” Shaugn Wilkie, Portfolio Manager, “Very interesting course. Steve is an excellent teacher Macquarie Bank International and the ideas and techniques I have picked up will be very useful in the future.” Excellent course, a real eye-opener in places.” Andrew Beer, Equities Market Maker, Michael Coad, RBS Dealer - Rates and Credit, National Australia Bank “I would recommend everyone to attend this seminar, “Steve is an excellent presenter. He conducted a very advanced users as well as newbies. The indicators good course. Lots of take away points to ponder upon.” were taken to a whole new level.” Richard Fullarton, Trader, Lovisa Alvek, FX Sales, Shell Nordea Bank “An excellent course.” “The course was clearly thought out and Nick van Rensburg, Trader, well-planned. Andrew was precise and Investec informative. Highly recommended” “I was really absorbed into this workshop from the very Jeremy Baker, Portfolio manager, beginning until the end and beyond. Excellent.” Harcourt Investment Consulting Giorgio Rovito, Equity Portfolio Trader, “Excellent. It will be highly recommended to Banca IMI colleagues.” “Excellent content and quality of presentation.” Derivatives Trader, Adrian Codirlasu, Senior FX Options Dealer, Investec Bank ING Bank “I was very impressed by the content of the “An excellent course.” course and how Steve presented it. He was very Benny Stromberg, Dealer, engaging and willing to chat individually about our Nordea Bank personal experiences.” Ben Fraser, Trader, “Excellent course. 10 out of 10.” W & R Barnett Domen Dimc, Long-Term Trader, GEN-I, d.o.o “Excellent course” Ivan Jelcic, Head of Trading, “Excellent content and quality of presentation.” Korlea Investment Manager, GAM “The two days were very useful for me and perfectly fit my needs. The trainer has great “Trevor Neil is a great speaker and made the course knowledge and experience and didn’t informative and thoroughly enjoyable.” hesitate to share as much as possible.” Corporate FX Sales, Henning Prelle, FX Trader, Société Générale BayernLB Page 2 TESTIMONIALS “The course was very good, and very well presented by Trevor Neil. I would highly recommend it.” CIO, Banque Privee Edmond de Rothschild Excellent information about the technical indicators SA Hong Kong Branch that helped me understand the indicators in their proper context. I would recommend it at any time.” “Excellent quality of presentation and Lior Crucy, Quant Analyst, clarity of training.” Landesbank Baden Württemberg Research Analyst, Man Investments “Very interesting course with great content and applicable and tangible approaches.” “The techniques are powerful and I can definitely see Portfolio Manager, them improving my ways of dealing with the pressures ATP Alpha involved in trading.” Tomas Gustavsson, Senior Trader, “The teacher was well prepared, articulate and Vattenfall Energy Trading approachable in terms of questions.” Director of Marketing EMEA, “This was one of my top courses. The course was Pharo Management informative and well presented. The use of PCs with MATLAB was actually very productive. Thanks.” “Excellent courses” Senior Trader, Francois Laurent, Trader, Mizuho International Atlantic Trading “Stephen was very professional and his background “A fantastic trainer. The concepts were taught in allowed him to interact very well.” a concise manner and the course is very useful for Lee Partridge, Trader, directional traders as well as vol/Option traders alike.” Helaba Ani Banerjee, Global Multi Assets, Citigroup “An excellent, well presented course that covered all areas I had hoped for “The two days were very useful for me and perfectly fit and was delivered by a high quality professional.” my needs. The trainer has great knowledge and experi- Fund Manager, ence and didn’t hesitate to share as much as possible.” Chirin Capital Henning Prelle, FX Trader, BayernLB “Excellent course.” Holger Galuschke, Technical Analyst, “Very very helpful!” E.ON Energy Trading Oliver Baumann, Investment Analyst, Sloan Asset Management “It was great to be able to use real examples. The course was very useful and the trainer did a great job in “A tremendous amount of information provided through presenting and explaining various techniques accross thoughtful intruction tailored to meet the make-up of the a broad use of indicators. I am already trying to entire audience. I consider the materials covered to be implement some of these.” an important foundation for continued learning.” Iain Redmond, Research Associate, Colin Murray, Vice President, Fidelity International Pala Investments “Very informative and flexible to what each trader “Excellent.” wanted to take away from the workshop.” Tim Proctor, Director, Toby Donovan, Trader, Net Investors Armajaro Trading “I can recommend going on the course for anyone that “Excellent course content and presentation.” likes to use technical trading as a tool to increase Daniel Stephens, profitability.” Strategic Hedge Book Manager, Trafigura Beheer Bo Knudsholt, Chief Dealer, Nordea Markets Page 3 ASSET ALLOCATION WORKSHOP This practical two-day course will examine all aspects of asset allocation, portfolio optimisation and portfolio diversification. Delegates will also explore how to model risk & return, the use of options and other derivatives in asset allocation, and how to build a portfolio capable of handling extreme events. Each delegate will be equipped with a PC, relevant data and Excel. Asset Allocation Workshop Duration: 2 Days (9am to 5pm) Next Dates: 25 & 26 November 2014 Course Fee: £1990 + VAT Venue: Apex City of London Hotel, EC3 Course Outline Characteristics of Different Asset and Liability Types Case study: Marginal risk & implied alphas + Equities, bonds, real estate, cash, alternatives Including Options and Other Derivatives + Different types of liabilities + Different types of derivatives + Economic factors influencing cash flows + OTC versus exchange traded derivatives + Liquidity and reinvestment risk + Portfolio insurance + Asset and liability benchmarks + Structured products Asset Allocation Philosophies + Selecting between strategies + Valuing different assets and liabilities + Triggers and flight paths + Different types of valuation Handling Extreme Events + What constitutes ‘good’ value? + Causes of extreme events + Strategic versus tactical asset allocation + Impact on the asset allocation problem + The role of prior beliefs + Tools, techniques and challenges + Attitudes to risk Case study: Liability driven asset allocation Portfolio Optimisation + Risk versus return Coping with a World that is Constantly Changing + Mean variance optimisation and CAPM + Regime switching + Alpha / beta separation + Impact on the asset allocation problem + Implied alphas
Load more

Recommended publications
  • APFC Fund Managers
    Board of Trustees Annual Meeting September 26-27, 2018 TABLE OF CONTENTS Tab No. Title 1 Agenda 2 Approval of Minutes Memo a) May 23-24, 2018 b) July 24, 2018 3 CEO’s Reports a) Pending Board Matters b) Trustee Education c) Disclosure Report d) Travel e) Due Diligence Log f) Staff Education & Training 4 Communications 5 Financials 6 Cash Flow 7 Monthly Performance Report 8 Strategic and Tactical Moves 9 Investment Management Fee Report 10 FY19 Budget Report a) Capital Project Appropriations Report 11 Chief Investment Officer’s Report 12 Report of Annual Audit Memo a) Presentation: KPMG Annual Audit 13 Callan APFC Performance Review Memo a) Presentation: Callan APFC Performance 14 Risk Overview Memo a) Presentation: Risk Dashboard 15 Asset Class Updates: Public Equites Memo a) Presentation: Public Equities 16 Asset Class Updates: Fixed Income Memo a) Presentation: Fixed Income 1/462 17 Asset Class Updates: Private Equity & Special Opportunities Memo a) Presentation: Private Equity & Special Opportunities 18 Asset Class Updates: Asset Allocation Strategies Memo a) Presentation: Asset Allocation Strategies Review 19 Asset Class Updates: Real Assets Memo a) Presentation: Real Assets: Infrastructure, Special Income, Real Estate, Absolute Return 20 Strategic Plan Review Memo a) Strategic Plan Review 21 FY20 Budget Approval Memo a) Presentation: FY20 Proposed Budget b) FY20 Proposed Budget Request 22 Legislative Requests Memo 23 Investing in Global Real Estate Memo a) Presentation: RCLCO b) Presentation: CBRE c) Presentation: Brookfield 24 Investing
    [Show full text]
  • Inprs Cafr Fy20 Working Version
    COMPREHENSIVE ANNUAL FINANCIAL REPORREPORTT 2020 For the FiscalFiscal YearYear EndedEnded JuneJune 30,30, 20202019 INPRS is a component unit and a pension trust fund of the State of Indiana. The Indiana Public Retirement System is a component Prepared through the joint efforts of INPRS’s team members. unit and a pension trust fund of the State of Indiana. Available online at www.in.gov/inprs COMPREHENSIVE ANNUAL FINANCIAL REPORT 2020 For the Fiscal Year Ended June 30, 2020 INPRS is a component unit and a pension trust fund of the State of Indiana. INPRS is a trust and an independent body corporate and politic. The system is not a department or agency of the state, but is an independent instrumentality exercising essential governmental functions (IC 5-10.5-2-3). FUNDS MANAGED BY INPRS ABBREVIATIONS USED Defined Benefit DB Fund 1. Public Employees’ Defined Benefit Account PERF DB 2. Teachers’ Pre-1996 Defined Benefit Account TRF Pre-’96 DB 3. Teachers’ 1996 Defined Benefit Account TRF ’96 DB 4. 1977 Police Officers’ and Firefighters’ Retirement Fund ’77 Fund 5. Judges’ Retirement System JRS 6. Excise, Gaming and Conservation Officers’ Retirement Fund EG&C 7. Prosecuting Attorneys’ Retirement Fund PARF 8. Legislators’ Defined Benefit Fund LE DB Defined Contribution DC Fund 9. Public Employees’ Defined Contribution Account PERF DC 10. My Choice: Retirement Savings Plan for Public Employees PERF MC DC 11. Teachers’ Defined Contribution Account TRF DC 12. My Choice: Retirement Savings Plan for Teachers TRF MC DC 13. Legislators’ Defined Contribution Fund LE DC Other Postemployement Benefit OPEB Fund 14.
    [Show full text]
  • Can Pairs Trading Act Like Arbitrage to Enforce the Law of One Price?
    This thesis is presented for the degree of Doctor of Philosophy of The University of Western Australia Can pairs trading act like arbitrage to enforce the law of one price? Keith R L Godfrey BE(Hons) MFinMath December 2012 Financial Studies Business School The University of Western Australia Abstract This thesis confirms empirically that a pairs trading strategy can act to enforce a market price ratio between two closely-related securities, thereby behaving like arbitrage enforcing the law of one price. Any empirical study of arbitrage and pairs trading is difficult because security exchanges report trades anonymously. Trades in two securities cannot be identified as originating from the same trader, nor can the entry and exit trades of a strategy be matched. Much of this thesis is spent designing a methodology for detecting pairs trading through statistical techniques and testing its accuracy in situations where pairs trading can be anticipated. The approach works pleasingly despite being imprecise. It can isolate closely-related pairs in pseudo-random sets of similarly-traded pairs and locate fundamentally similar pairs among large sets formed by pairing index constituents. It can even detect pairs involved in merger arbitrage many months ahead of company mergers. The evidence then shows pairs trading in the twin depositary receipts of BHP Billiton (the world’s largest mining conglomerate with dual-listed company structure) act to push the prices apart when the difference falls below a recent measure, instead of reinforcing their trend towards equality. The detected pairs trades enforce the price difference: reducing it when it becomes too large and increasing it when too small.
    [Show full text]
  • Pairs Trading the Commodity Futures Curve
    1-0 FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION ANTTI NIKKANEN PAIRS TRADING THE COMMODITY FUTURES CURVE Master’s thesis Finance Department August 2012 1-1 UNIVERSITY OF OULU ABSTRACT OF THE MASTER'S THESIS Oulu Business School Unit Finance Author Supervisor Antti Nikkanen Hannu Kahra Title Pairs trading the commodity futures curve Subject Type of the degree Time of publication Number of pages Finance M.Sc October 2012 64 Abstract I create a pairs trade on the commodity futures curve, which captures the roll returns of commodity futures and minimizes the standard deviation of the returns. The end results is a strategy that has an annualized arithmetic return of 6,04% and an annualized standard deviation of 2,01%. Transaction costs and liquidity are also accounted for. The goal was to create and backtest a trading strategy that tries to capture the roll return component of commodity futures returns. In order to reduce the very high spot price volatility of commodity returns a market neutral systematic arbitrage was introduced through a pairs trade. The pairs trade involves taking a counter position relative to the position that is designed to capture the roll return, with as small of a negative expected return as possible. In practice capturing the roll return component means taking a long position into the largest dollar difference of a backwarded futures curve. And the pairs trade component is then a short position into the same curve, but with the smallest dollar difference. If the commodity futures curve was in contango, the procedure was reverts. It can be concluded, that both of the targets of this research were reach; capturing the roll returns of the commodity futures and minimizing volatility through a statistical arbitrage pairs trade.
    [Show full text]
  • PAIR TRADING STRATEGY in INDIAN CAPITAL MARKET: a COINTEGRATION APPROACH Prof
    International Journal of Accounting and Financial Management Vol.1, Issue.1 (2011) 10-37 © TJPRC Pvt. Ltd., PAIR TRADING STRATEGY IN INDIAN CAPITAL MARKET: A COINTEGRATION APPROACH Prof. Anirban Ghatak, Asst. Professor, Christ University Institute of Management, Bangalore Email I.D : [email protected] Ph No: +91 80 40109816 (Office) Mob No : +91 9886555253 ABSTRACT Pairs trading methodology was designed by a team of scientists from different areas to use statistical methods to develop computer based trading platforms, where the human subjectivity had no influence whatsoever in the process of making the decision of buy or sell a particular stock. Such systems were quite successful for a period of time, but the performance wasn’t consistent after a while. The objective of this study was to analyze the univariate and multivariate versions of the classical pairs trading strategy. Such framework is carefully exposed and tested for the Indian financial market by applying the trading algorithm over the researched data. The performance of the method regarding return and risk was assessed with the execution of the trading rules to daily observations of 26 assets of the Indian financial market using a database from the period of 2008 to 2010. The research shows that the return from the pair trading strategy is much higher than the return from naïve investment. Key Words: Pairs Trading, Multivariate, Bivariate, Hedgers INTRODUCTION The market efficiency theory has been tested by different types of research. Such concept assumes, on its weak form, that the past trading information of a 10 Anirban Ghatak, stock is reflected on its value, meaning that historical trading data has no potential for predicting future behavior of asset’s prices.
    [Show full text]
  • Statistical Arbitrage: a Study in Turkish Equity Market
    View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by Istanbul Bilgi University Library Open Access STATISTICAL ARBITRAGE: A STUDY IN TURKISH EQUITY MARKET ÖZKAN ÖZKAYNAK 103622017 ISTANBUL BILGI UNIVERSITY INSTITUTE OF SOCIAL SCIENCES MASTER OF SCIENCE IN ECONOMICS UNDER SUPERVISION OF DOÇ. DR. EGE YAZGAN 2007 STATISTICAL ARBITRAGE: A STUDY IN TURKISH EQUITY MARKET İstatistiksel Arbitraj: Türk Hisse Senedi Piyasasında Bir Çalışma ÖZKAN ÖZKAYNAK 103622017 Doç. Dr. Ege Yazgan : …………………………………….. Prof. Dr. Burak Saltoğlu : …………………………………….. Yrd. Doç. Dr. Koray Akay : …………………………………….. Tezin Onaylandığı Tarih : …………………………………….. Toplam Sayfa Sayısı : 55 Anahtar Kelimeler: Keywords: 1) İstatistiksel Arbitraj Statistical Arbitrage 2) İkili Alım-Satım Pairs Trading 3) Kantitatif Portföy Quantitative Portfolio 4) Nötr Piyasa Portföyü Market Neutral Portfolio 5) Kointegrasyon Cointegration 2 ABSTRACT Statistical Arbitrage is an attempt to profit from pricing inefficiencies that are identified through the use of mathematical models. One technique is Pairs Trading, which is a non-directional strategy that identifies two stocks with similar characteristics whose price relationship is outside of its historical range. The strategy simply buys one instrument and sells the other in hopes that relationship moves back toward normal. The idea is the price relationship between two related instruments tends to fluctuate around its average in the short term, while remaining stable over the long term. From the academic view of weak market efficiency theory, pairs trading shouldn't work since the actual price of a stock reflects its past trading data, including historical prices. This leaves us the question: Does a statistical arbitrage strategy, pairs trading, work for the Turkish stock market? The main objective of this research is to verify the performance and risks of pairs trading in the Turkish equity market.
    [Show full text]
  • The Right Trading Strategy for 2017 and Beyond
    1 THE RIGHT TRADING STRATEGY FOR 2017 AND BEYOND 2 Risk Disclosure • We Are Not Financial Advisors or a Broker/Dealer: Neither TheoTrade® nor any of its officers, employees, representaves, agents, or independent contractors are, in such capaciAes, licensed financial advisors, registered investment advisers, or registered broker-dealers. TheoTrade ® does not provide investment or financial advice or make investment recommendaons, nor is it in the business of transacAng trades, nor does it direct client commodity accounts or give commodity trading advice tailored to any parAcular client’s situaon. Nothing contained in this communicaon consAtutes a solicitaon, recommendaon, promoAon, endorsement, or offer by TheoTrade ® of any parAcular security, transacAon, or investment. • SecuriAes Used as Examples: The security used in this example is used for illustrave purposes only. TheoTrade ® is not recommending that you buy or sell this security. Past performance shown in examples may not be indicave of future performance. • Return on Investment “ROI” Examples: The security used in this example is for illustrave purposes only. The calculaon used to determine the return on investment “ROI” does not include the number of trades, commissions, or any other factors used to determine ROI. The ROI calculaon measures the profitability of investment and, as such, there are alternate methods to calculate/express it. All informaon provided are for educaonal purposes only and does not imply, express, or guarantee future returns. Past performance shown in examples may not be indicave of future performance. • InvesAng Risk: Trading securiAes can involve high risk and the loss of any funds invested. Investment informaon provided may not be appropriate for all investors and is provided without respect to individual investor financial sophisAcaon, financial situaon, invesAng Ame horizon, or risk tolerance.
    [Show full text]
  • Europe's Largest Single Managers Ranked by a Um
    2013 IN ASSOCIATION WITH IN ASSOCIATION 5O EUROPEEUROPE’S LARGEST SINGLE MANAGERS RANKED BY AUM EUROPE50 01 02 03 04 Brevan Howard Man BlueCrest Capital Blackrock Management 1 1 1 1 Total AUM (as at 30.06.13) Total AUM (as at 30.06.13) Total AUM (as at 01.04.13) Total AUM (as at 30.06.13) $40.0bn $35.6bn $34.22bn $28.7bn 2 2 2 2 2012 ranking 2012 ranking 2012 ranking 2012 ranking 2 1 3 6 3 3 3 3 Founded Founded Founded Founded 2002 1783 (as a cooperage) 2000 1988 4 4 4 4 Founders/principals Founders/principals Founders/principals Founders/principals Alan Howard Manny Roman (CEO), Luke Ellis (President), Mike Platt, Leda Braga Larry Fink Jonathan Sorrell (CFO) 5 5 5 Hedge fund(s) 5 Hedge fund(s) Hedge fund(s) Fund name: Brevan Howard Master Fund Hedge fund(s) Fund name: BlueCrest Capital International Fund name: UK Emerging Companies Hedge Limited Fund name: Man AHL Diversified plc Inception date: 12/2000 Fund Inception date: 04/2003 Inception date:03/1996 AUM: $13.5bn Inception date: Not disclosed AUM: $27.4bn AUM: $7.9bn Portfolio manager: Mike Platt AUM: Not disclosed Portfolio manager: Multiple portfolio Portfolio manager: Tim Wong, Matthew Strategy: Global macro Portfolio manager: Not disclosed managers Sargaison Asset classes: Not disclosed Strategy: Equity long/short Strategy: Global macro, relative value Strategy: Managed futures Domicile: Not disclosed Asset classes: Not disclosed Asset classes: Fixed income and FX Asset classes: Cross asset Domicile: Not disclosed Domicile: Cayman Islands Domicile: Ireland Fund name: BlueTrend
    [Show full text]
  • Bloomberg Briefs: Hedge Funds
    Tuesday March 7, 2017 March 7, 2017 Alaska's Wealth Fund Seeks 11 Funds for Investments Number of the Week By Hema Parmar Alaska’s $55.4 billion wealth fund is seeking up to 11 hedge funds for allocations, following its decision in May to redeem from its funds of hedge funds and invest in $1.06 Billion managers directly. The Alaska Permanent Fund Corp. prefers experienced managers that have a track Net inflows into macro hedge funds in record of producing returns of at least inflation plus 5 percent, according to public January, according to eVestment. documents from its quarterly board of trustees meeting. Alaska is seeking funds with low correlation to equity markets, "appropriate" risk controls as measured by historical drawdowns and volatility and that can show they have protected capital during down Inside markets, the documents from the Feb. 22-23 board meeting show. Equity-focused Viking Global saw a Marcus Frampton, Alaska’s director of private markets, declined to comment. slight loss in February, while Alaska currently has nine managers in its program that invests directly in hedge funds. Renaissance's equities fund gained It plans to invest a total 5 percent of the firm’s assets, or about $2.8 billion, in managers in the month: Returns in Brief via that program, the documents said. As of Dec. 31, Alaska had a 4.5 percent exposure to commingled funds, either directly Macro funds run by Prologue and or via the funds of hedge funds from which it is redeeming. The move to allocate to State Street are closing: Closures managers directly will save Alaska $15 million a year, according to the documents, as it allows the wealth fund to cut the layer of fees paid to funds of funds for making Ray Dalio jolts Bridgewater as Jon investments.
    [Show full text]
  • Pair Trading Educational Course – Part 1
    Pair Trading Educational Course – Part 1 Contrary to popular belief the market has logic to it. The market is efficient most of the time, which is stocks are priced accurately according to all the known and forecast information. The truest logic running through markets is that of relative value, all assets are worth something in relation to something else. Take gold for example; when you buy gold you are going short the dollar too. Stocks, when you buy stocks you are going short cash. Stocks, bonds, commodities & currencies are all inter-related markets with different themes running through them at any given time. The price of oil directly affects the profits of oil companies, hence a correlation between oil futures and oil stocks. Generally the stock market is a forecasting barometer for how the economy will perform over the next 6-12months. That’s why stocks markets always bottom before the economy does and vice versa for topping. Consider the market a big voting machine that represents the collective forecasts of every market participant. Then within the market are different industries, they are priced for their expected growth rates too, then finally within each industry stocks are priced for their individual growth prospects. Generally speaking stocks within the same industry have similar valuations; if one stock is expected to grow a lot more than another stock you will find however it has a higher valuation, a higher P/E. The stock market as a whole is affected by interest rates set by central banks, thats why they respond dramatically to changes in the expected interest rates.
    [Show full text]
  • Pairs Trading
    Pairs Trading Evaluation of profitability and risks on the Swedish stock market Master Thesis in Finance Marc Schurer Lund University, Sweden Pavel Lisev Lund University, Sweden Supervisor: Lu Liu Department of Economics Lund University, Sweden 27th May 2015 Abstract The turbulent market environment experienced over the last decades has attracted the broad interest of institutional and retail investors towards non-directional and absolute return investment strategies. The scope of this paper mainly concerns the investigation of whether a pairs trading strategy based on the cointegration approach generates excess returns on the Swedish equity market or fails to meet initial expectations. This is enhanced by an assessment of the volatility exposure relative to an investment in the corresponding benchmark. In this research, a comprehensive analysis of the pairs trading strategy is performed by (1) implementing a long-term rolling window backtest applied on the OMX, (2) a corresponding scenario analysis of the Swedish stock market including three different market environments, (3) an investigation of different in-sample pairs selection criteria and their respective impact, (4) an extended analysis of the strategy on the EUROSTOXX50 and DAX30 to support the robustness of the obtained outcomes. The empirical results suggest that the pairs trading technique is in fact profitable and superior in terms of return and risk relative to its benchmarks. KEYWORDS: cointegration, statistical arbitrage, pairs trading, market-neutrality, rolling window backtest, OMX, DAX30, EUROSTOXX50, mean reversion, risk management. i Acknowledgment We would like to take this opportunity to express the much-felt gratitude to our supervisor Lu Liu, PhD. Without her guidance and valuable insight this paper would not have been possible.
    [Show full text]
  • Capgemini Uk (2004) Pension Plan
    Implementation Statement CAPGEMINI UK (2004) PENSION PLAN Table of Contents 1. Introduction 3 2. Governance 4 3. Engagement 8 4. Voting Behaviour 13 2 JULY 2020 1. Introduction This statement provides information on how, and the extent to which, the Trustees of the Capgemini UK (2004) Pension Plan have followed the policies in the Plan’s Statement of Investment Principles (“SIP”) during the financial year to 31 March 2020. In addition, the statement provides a summary of the voting behaviour and most significant votes cast during the reporting year. The Trustees recognise their responsibilities as owners of capital, and believe that good stewardship practices, including monitoring and engaging with investee companies, and exercising voting rights attaching to investments, protect and enhance the long-term value of investments. The Trustees have delegated to their fiduciary manager and investment managers the exercise of rights attaching to investments, including voting rights, and engagement with issuers of debt and equity and other relevant persons about relevant matters such as performance, strategy, capital structure, management of actual or potential conflicts of interest, risks and Environmental, Social and Governance (“ESG”) considerations. The Trustees do not monitor or engage directly with issuers or other holders of debt or equity. For the defined benefit (“DB”) Sections, the Trustees expect the fiduciary manager, Kempen Capital Management (Kempen) to exercise ownership rights and undertake monitoring and engagement in line with its’ own corporate governance policies, and taking account of current best practice including the UK Corporate Governance Code 2018 and the UK Stewardship Code 2020. The fiduciary manager expects the underlying investment managers it selects, who are regulated in the UK, to comply with the UK Stewardship Code 2020, including public disclosure of compliance via an external website.
    [Show full text]