|
Media Release
Basel, 27 October 2008
Sarasin-Alpen & Partners Ltd., the newly created Asset Management Company of the Sarasin Group, is a joint venture between Bank Sarasin-Alpen (ME) Ltd of Dubai and Sarasin & Partners LLP of London, two of the international subsidiaries of Bank Sarasin & Co. Ltd of Basel, Switzerland. Sarasin-Alpen & Partners Ltd. will initially create investment solutions for institutional investors as well as for high net worth individuals in the GCC and MENA region.
The Sarasin Group through its local representation Bank Sarasin-Alpen (ME) Ltd is already among the leading international firms to provide GCC investment products in the region. The creation of Sarasin-Alpen & Partners Ltd. will further enhance the Group’s possibilities to leverage the professional international asset management framework provided by Sarasin & Partners LLP, the London based specialist investment management firm of the Group.
Sarasin-Alpen & Partners Limited:
The new company, Sarasin-Alpen & Partners Ltd. is regulated by the Dubai Financial Services Authority. At the outset its activities,will benefit from the existing dynamic performance of Bank Sarasin-Alpen (ME) Ltd. in the region. Bank Sarasin-Alpen’s remarkable success story, driven by natural progression and an overriding determination to support the needs of its increasingly sophisticated client base throughout the GCC and South Asia, has encouraged the Group to provide further specialized solutions, meeting investors’ demand for a complete financial platform and integrated product solutions.
Bank Sarasin-Alpen’s top level client service quality and the completeness of its solutions’ portfolio are well evidenced by the two consecutive “Banker Middle East” awards it has won as “Best Private Bank in the Middle East” both for last year and the current year.
The company will also look to introduce Sharia compliant versions of existing and new Sarasin funds as well as construct several structured products which will offer features such as capital protection. Sarasin-Alpen & Partners Ltd aims to deliver exceptional absolute and relative investment performance to its investors; to create and manage products designed to protect and build their wealth and to provide the highest level of support and service.
Asset Management Success Story:
“Over the past years the Sarasin Group has been driving our growth in the region with enormous dynamism and determination. I am convinced that this new specialist asset management company, will make us even more attractive to investors and clients in and beyond the region.” Says Fidelis M. Goetz, Head of the International Division of Bank Sarasin & Co. Ltd
“We are delighted to be able to deliver further asset management expertise to our clients. The joint venture for the Middle Eastern region with our London colleagues certifies to investors that all relevant skills are readily available inside the Sarasin Group.” Comments Rohit Walia, CEO & Executive Vice Chairman of Bank Sarasin-Alpen (ME) Ltd.
In the Pre-Budget Report (which we expect to be published next month), we think the Treasury will announce significant downward revisions to its growth forecasts for 2008 and 2009 to 1.0-1.5% and 0.0-0.5% respectively (from Budget projections of 1.75-2.25% and 2.25-2.75%). And while the Treasury has already added to its Budget projections for borrowing through its £2.7bn compensation scheme related to the abolition of the 10% tax band, the potential fast-tracking of government investment projects, the weakening property and equity markets, a shift in consumer demand to goods that do not incur VAT and the potential for above-target public sector pay awards are likely to add to the downgrade to the public finance outlook.
We expect the Treasury to forecast public borrowing of £63bn in the current fiscal year, £20bn higher than the Budget forecast and £74bn in 2009-10, an increase of £36bn. However, we think the risks to these projections are skewed to the upside. Should the economy contract by 1% in 2009 (closer to our own forecast for a decline of 1%) then borrowing could be an additional £3bn higher in 2009-10. Further out, we think the PBR will show a PSNB of £50bn in 2010-11, £35bn in 2011-12 and £32bn in 2012-13 (up £18bn, £8bn and £9bn from the Budget projections). Again, we view the risks to these projections as skewed to the upside.
Our revised forecasts for the public finances paint a bleak picture for the fiscal outlook. We expect gilt issuance for the current year to be revised up by £20bn in the Pre-Budget Report to £130bn. For FY2009/10, we expect issuance of £110bn with the medium sector likely to see the biggest increase in supply.
To access report: Pre-Budget Report Preview 27 Oct 08.pdf
The latest weekly research note from State Street Global Markets. Each week, the investment research and trading arm of State Street Corporation, develops unique quantitative research with insight into the behaviour of institutional investors.
Abstract: Stock markets are now cheap. Based on an analysis of P/Es corrected for leverage and earnings cyclicality, the US is trading 26% below its 147-year average. Valuations have only been this low during times of extraordinary dislocation, such as the Great Depression, World War II and the 1870s. Previous crashes wiped out individuals. What is different today is that 76% of the US equity market is owned by institutions. These long-term allocators of capital are unlikely to sit on their hands as markets fall to irrational levels.
Read the pdf here.
London 31.10.08
The Fed is to lend Mexico, Brazil, South Korea and Singapore $30bn each, via currency swaps, in response to the intense demand for dollars on the part of banks and companies outside the US. This marks the spread of the financial crisis to the emerging world and the increased global significance and maturity of these economies. The Fed wants to address these needs and promote global economic stability in partnership with the IMF.
Dr Jerome Booth, Head of Research at Ashmore, the specialist emerging markets asset manager, outlines his views on this 'bellwether' decision and argues that this is a logical step by the Fed to reduce the risk of sudden dollar weakness and helps to prepare the way for a gradual dollar decline:
- Dollar strength has been due to technicals (unwinding dollar referenced contracts and flight to liability) not being confident
in the dollar. This may yet continue to year end
- The stronger the dollar is in the short term, the more risk there is of a sudden move the other way.
- Contrary to popular opinion, there has been no significant increase in emerging market (EM) sovereign default risk outside
Europe as a result of the credit crunch. Some countries, banks and companies are over levered and have a lot of pain ahead, others are not. Most of the former are in developed countries, most of the latter in EM. Europe is different - some started to graduate to developed countries (e.g. Hungary) and so started to emulate lack of fiscal discipline and levered banks just like Western Europe. Ukraine has no government and Russia has much lower sovereign default risk than Italy. Its banks were a heritage from the former Soviet Union accounting and the liquidity squeeze there is very different to the economic impact of bank problems in the UK, which is much worse.
- The rest of the EM counties are facing a dollar liquidity squeeze, not a solvency problem. Providing dollar liquidity is the obvious response.
- Without these swaps, EM's would not have increased sovereign risk as central banks would have simply sold dollars to provide liquidation to their banks and companies (of which they far more than enough) thus risking a sharp dollar fall, which is in nobodies interest.
- This is a recognition of the US' self interest to have orderly dollar decline. The upcoming G20 meeting is also very important.
- It is very important in reversing EM confidence allowing EM's to re-inflate global economy, as the US and Europe experience recession.
- The new IMF measures are also very supportive.
where Jerome Booth and Ousmene Mandeng outline their views on the Fed's rescue package to Emerging Markets. They argue that it is a logical step by the Fed in order to reduce the risk of sudden dollar weakness and prepare the way for a gradual dollar decline:
The U.S. Federal Reserve's decision to extend the swap line to Brazil, Mexico, Singapore and South Korea represents a bellwether decision for emerging markets. While not entirely new, Mexico had access to the Fed in 1995 and Japan has established swap lines with other Asian central banks since 2001, it should be interpreted as recognition by the G7 that emerging markets matter deeply to overall economic conditions.
The critical mass of policy measures including earlier bank guarantees, large IMF packages for Hungary and Ukraine and the IMF's new facility are expected to provide support for a turn in sentiment. Policy makers have demonstrated that they are willing to act, throwing a lot of public money at the problem, to avert a further deterioration of the international economy. The Fed measure affirms that emerging markets form part of the core of the international economy. Explicit acceptance of emerging markets currencies by a key central bank is also expected to give rise to a more general diversification of central bank currency portfolios. The Fed has effectively accepted that holding emerging markets currencies is endogenous to relative emerging markets currency stability.
To read the whole research bulletin see pdf.
The Fed and the Bank of Japan lower policy rates.
GDP contracts in the US as consumer spending posts its largest decline in three decades.
Canada's GDP falls in August.
Housing and consumer spending remain weak in the UK.
Inflation falls in the eurozone. Confidence erodes in Germany and France.
Bank of Japan slashes its outlook for growth.
Australian private sector credit continues to slow.
Better tone this week as central banks ease, but investor confidence remains fragile.
Equities surge but volatility extremely high.
Sovereigns fall. Risks spreads narrow but remain high.
Commodities rise.
The dollar and particularly the yen fall.
The Bank of England, the European Central Bank, and the Reserve Bank of Australia are likely to cut administered rates 50 basis points next week.
US payroll employment is expected to post its 10th straight decline, dropping 198,000 in October. The unemployment rate should rise to 6.3%.
Innovative research out today from Cass Business School highlights that 57% of mutual funds that appear on first inspection to be star performers, actually are not that great.
Dr Dirk Nitzsche and Prof Keith Cuthbertson calculated the false discovery rate (FDR) for the UK mutual fund industry, a technique long employed by the medical profession in cancer and genetics research. FDR is a method that uncovers what at first appears to be a positive result as a negative result, so that in this context, almost three out of five funds that looked to be good performers were not.
The analysis of 675 UK equity funds reveals that 236 funds were found to be producing positive alpha of which only 21 are statistically significant at the conventionally used 95% significance level.
An increase in the level of significance of alpha (the selected performance measure) would reveal fewer funds an investor could choose from but in this research revealed that the false discovery rate falls to about 22% at the 99% level of significance. That means out of the 11 'star' funds only two or three should really not be selected in the first place.
The research also revealed that when looking at the supposed poorly performing funds, these had a very low FDR, indicating that if a fund looks like a dog, it most probably is.
Co-author of the paper, Dirk Nitzsche, said: "By applying a method not traditionally used in finance, we have been able to identify just how poorly many mutual funds perform, which against standard metrics, appear to be good bets.
"Overall this research supports the general belief that picking the right active managed mutual funds is hard and even if we identify a group of attractive funds using some quantitative methods the chances we pick a wrong one is high. Retail investors should invest in some sort of index tracker.
"Given the current climate, any information which will allow investment managers to pick out those fund styles which are more likely to provide a good return is invaluable. This research also adds further weight to the call for a cautious approach from private investors, who need to interrogate fully the funds in which they are looking to invest. Not many can do this."
Methodology: False Discoveries
In the paper 'False Discoveries - Winners and Losers in Mutual Fund Performance', 675 UK equity funds were looked at which had more than 36 monthly observations over the period April 1975 to December 2002. These were a homogenous groups of funds which cover a wide segment of the whole mutual fund industry in the UK. The fund performance in the paper has been measured using the alpha from a 3 factor Fama-French factor model, commonly used by practitioners and academics alike. Results are also reported for alternative factor models, but broadly the empirical findings are qualitative very similar.
The false discovery rate (FDR) is a statistic which indicated the proportion of funds which have been found to be significant erroneously. For a specific level of significance one can count the number of significant funds, but the author does not know the number of funds which have falsely been found to be statistically significant. This statistic needs to be estimated before one can calculate the FDR which is the ratio of those two numbers. It is obvious that the higher the level of significance the fewer funds are selected. So, there is a trade off between the level of significance and the number of funds which we would classify as winners (or losers, depending which side of the distribution one looks at).
Interpretation of the FDR: Amongst the positive alpha funds it is preferable to find a small FDR which would indicate that the significant funds are truly significant and one can consider investing in them. A high FDR suggests that many of those funds give me the wrong impression regarding their worthiness of investing in those funds. Many of the significant funds are in fact wrongly discovered as being significant.
In our research it was found that the FDR is very high when looking at the very 'few' winners, but low when reviewing the losers. Using a conventional level of significance of 5% the FDR for the positive alpha funds (i.e. winners) is almost 60% among the 22 significant funds. The FDR for the positive alpha funds drops a bit as we increase the level of significance, but that leaves very few funds to chose from. And even then the FDR never goes below 22%. Looking at the negative alpha funds, the FDR for a conventional 5% level of significance is only about 10%. That means only 11 or 12 of the 116 significant negative alpha funds have been found to be falsely significant. It is interesting, but not surprising, to see that the FDR for the negative alpha funds is much lower than for the 'winners'.
Cass Business School
Cass Business School, City University, delivers innovative, relevant and forward-looking education, training, consultancy and research. Located on the doorstep of one of the world's leading financial centres, Cass is perfectly positioned to be the intellectual hub of the City of London. Our dialogue with business shapes the structure and content of all our programmes of study, our executive education programmes and our research. Our MBA, Specialist Masters and Undergraduate Programmes have a reputation for excellence in professional education. Our Executive MBA is ranked 15th in the world by the Financial Times.
The school undertakes research of national and international significance and supports almost 100 PhD students. Cass has the largest Finance Faculty and the largest Actuarial Science & Insurance Faculty in Europe. Our finance research is ranked 2nd in Europe and 4th in the World outside the US by Financial Management Magazine and our insurance and risk research is ranked 2nd in the world by the Journal of Risk and Insurance. Within Cass, CassExec has been creating and delivering executive education to the world of business for more than 15 years. The disciplines we cover range from finance and insurance through to leadership, corporate governance and risk. At the heart of our success is the importance we place on working in partnership with our clients to construct bespoke programmes that truly meet their business needs.
Cass is a place where students, academics, industry experts, business leaders and policy makers can enrich each other's thinking. For further information visit: www.cass.city.ac.uk
Date issued: Monday 27th October 2008
- Algorithmics wins Innovation and Functionality
categories and ranks 3rd overall
Toronto, London - October 27th, 2008 - Algorithmics today announced that it has achieved a top ranking in the annual Chartis RiskTech100 ranking of the top 100 risk technology vendors worldwide. Algorithmics was recognized as the winner in the categories of Innovation and Functionality and ranked 3rd overall.
Commenting on the results, John Macdonald, Executive Vice President, Algorithmics, said: "We are delighted that the innovation and functionality of our risk solutions has been recognized by Chartis in its latest risk technology ranking. Algorithmics has a strong commitment to research and innovation in risk management technology and it is gratifying to have this recognized by a leading industry analyst."
Chartis Research selects and ranks the top risk technology firms on the basis of a comprehensive sweep of the marketplace and a detailed assessment methodology. This year Chartis has applied its detailed evaluation metrics to identify and announce winners in a number of key categories.
Algorithmics has been selected as the winner in two different categories: Functionality and Innovation. "Data collated from our end-user surveys and interviews coupled with product reviews showed Algorithmics as the best performer in terms of depth and breadth of functionality", comments Chartis, "Key highlights were the range of coverage of different risk classes including credit, market, operational, insurance, trading book and banking book risk. These capabilities were supported by a demonstrable stream of innovative features and value propositions and a healthy culture of co-development with existing clients."
Michael Zerbs, President and COO of Algorithmics added: "We are proud that Algorithmics has been recognized by Chartis in their most recent risk technology ranking. Through our ongoing commitment to innovation and functionality, we are able to provide clients around the world with solutions that help them make more informed, risk-aware business decisions."
The RiskTech 100 report can be obtained at www.chartis-research.com
CFA Institute Centre Launches Manual to Help Investors Evaluate ESG Factors
London, 27 October, 2008 - In recognition of the growing focus placed by long-term investors on environmental, social and governance (ESG) issues and the lack of a firm framework of analysis in this field, CFA Institute Centre for Financial Market Integrity today launched Environmental, Social, and Governance Factors at Listed Companies: A Manual for Investors in the EMEA region.
The Manual provides investors with guidance to arrive at a more thorough understanding of the ESG risks and opportunities that face the companies in which they invest. The manual indicates where to find information on the legislative and regulatory, legal, reputational and operational ESG risks and opportunities facing shareholders. It also highlights potential implications and ESG scenarios to help a variety of investors, such as pension fund trustees to incorporate sustainable investment into their schemes.
Commenting on the launch of the ESG Manual, Charles Cronin, Head of CFA Institute Centre, EMEA, said, "ESG factors have become an increasingly important element of the investment strategy, yet few investors have a comprehensive framework to capture the risks and opportunities across ESG. This guide serves as an independent educational tool to help the investor better understand and evaluate the particular social and environmental factors that have the potential to affect company valuations. We hope this guide will help investors make more informed decisions when developing their investment strategy."
Over the past few years, researchers, brokers and managers have worked to understand and evaluate these non-financial factors as they seek to incorporate and exploit ESG factors within the investment process. Despite this, there remains very little comparable data and objective information to help guide investors. The guide is designed to address this issue and is available as a free download at http://www.cfapubs.org/toc/ccb/2008/2008/2
News from Xtrakter.com
7 Limeharbour, London E14 9NQ
www.Xtrakter.com
Tuesday, October 28, 2008
Xtrakter/2008/14
Immediate Release
Firms shift execution venues during turbulent September
(LONDON, UK) Xtrakter, the fixed income market utility, announced
today the third edition of its league table of execution venues. This
edition tracks the movement of liquidity for both fixed income and
equities during Q3 08 and provides a detailed analysis of where
trading occurred during the turbulent month of September.
When reviewing equity transactions for the month of September, we note the following: Considerable swings occurred regarding which execution venues Xtrakter clients chose, with leading venues losing market share after week 36 (1 - 5 September 08); Chi-X Europe limited dropped from having 15.86% in week 36 to 10.03% by week 38 and then rising to 10.25% by week 39, LSE rose from 6.27% in week 36 to 7.58% by week 38 and then dropped to 6.04% by week 39, NYSE Euronext (Paris) dropped from 17.47% in week 36 to 14.64% by week 39 and Deutsche Kassenverein rose from 8.27% in week 36 to 9.19% by week 38. A breakdown of all venues for this period on a weekly basis is listed here: http://cts.vresp.com/c/?Xtrakter/4982051a7a/8b47969f58/acef68bc87
Kevin Milne, CEO, Xtrakter commented: "The dramatic incidents which
took place in September such as the demise of Lehman Brothers, the
nationalisation of Bradford and Bingley and the LSE connectivity
incident all impacted on the market and are reflected in our league of
execution venues"
The overall top 5 execution venues for equities for the Q3 08 as
processed by Xtrakter were as follows; in first place was NYSE
Euronext (Paris) with 17.44%, in second place was Chi-X Europe Limited with 12.21% and in third place was Deustche Kassenverein with 8.95%, in fourth place was the LSE with 6.91% and in fifth place was the Electronic Share Market with 6.26% of the total Xtrakter share.
However OTC remained the preferred method of execution for Xtrakter
clients during this period. A detailed breakdown of the top 40+ venues
and their % share are listed here:
http://cts.vresp.com/c/?Xtrakter/4982051a7a/8b47969f58/8b3cf9116e
When reviewing fixed income transactions for the month of September,
we note: Similar to the pattern observed with equity transactions,
leading fixed income venues lost market share after week 36 with
Tradeweb Europe decreasing from 2.24% in week 36 to 1.84% by week 38 and then increasing to 1.94% by week 39, NYSE Euronext (Amsterdam) rose from 0.51% in week 36 to 0.72% by week 38 and then dropped to 0.68% by week 39, MTS S.P.A dropped from 1.32% in week 36 to 0.86% by week 38 and Fonds Des Rentes / Rentenfonds rose from 0.18% in week 36 to 0.43%of the total Xtrakter share by week 38. Overall OTC increased as the preferred method of execution for Xtrakter clients during this period rising from 89.22% in week 36 to 90.52% by week 39. A complete breakdown of all venues for this period on a weekly basis and market charts are available here:
http://cts.vresp.com/c/?Xtrakter/4982051a7a/8b47969f58/620d4d04eb
The top 5 execution venues for fixed income for Q3 08 as processed by
Xtrakter were as follows: in first place was Tradeweb Europe Limited
with 1.95%, in second place was ICAP Electronic Broking (Europe) with
1.46%, in third place was MTS S.P.A with 1.42%, in fourth place was
Bondvision with 0.52% and in fifth place was the LSE with 0.51% of the
total Xtrakter share. Overall OTC remained the preferred method for
Xtrakter clients to execute fixed income trades during Q3 08
representing 89.75% of the total Xtrakter share. A detailed breakdown
of the top 40+ venues and their % share are listed here:
http://cts.vresp.com/c/?Xtrakter/4982051a7a/8b47969f58/356e40928b
Xtrakter is a unique market entity holding considerable data on live
bonds and equities, redeemed securities, fixed income pricing, bond
yields, new issuance, securities terms and conditions, coupon rates,
corporate actions and more for over 1.5m instruments, dating back as
far as 1981.
*League tables are based on the number of transactions processed by
Xtrakter and not nominal value. The tables do not include data
relating to systematic internalisers (SIs) or general data for trades
conducted on the LSE stock exchange trading system. The LSE trades
that are listed by Xtrakter require onward reporting to non UK
competent authorities. The venues of execution are defined by their
corresponding Market Indentifier Codes (MICs). Venue titles are
derived from the official MIC directory and therefore Xtrakter accepts
no responsibility for the titles given to venues of execution in the
aforementioned league.
Additional information, charts and a league description are available
here:
http://cts.vresp.com/c/?Xtrakter/4982051a7a/8b47969f58/35af558fcd
|
