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  • S&P/JPX JGB VIX update - November 2018

    Source: Applied Academics, S&P Dow Jones Indices
    Date Submitted: 16 Dec 2018
    Views: 1
    Downloads: 0
    Anxiety around global markets provided a boost to S&P/JPX JGB VIX levels heading into the end of the month.
  • WEBINAR: Practitioners' Insights: Asset Allocation

    Source: Peng Chen, CFA, Shreenivas Kunte, CFA, CIPM
    Date Submitted: 12 Dec 2018
    Views: 50
    Downloads: 0
    This webinar qualifies for 1 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

     
  • Can a decentralized custody infrastructure help stabilize the cryptocurrency market?

    Source: Federico cristina, CFA, Marco Cora, CFA, Filippo Fanin, CFA
    Date Submitted: 12 Dec 2018
    Views: 201
    Downloads: 0
    Centralized exchanges constitute a weak point in the cryptoassets ecosystem, as the are vulnerable to hacking and theft. Although more secure, decentralized exchanges have been created, they languish in obscurity. Are they a solution that can bring better security and price stability?
     
  • Temperature-based options for Vietnam: An option-pricing and policy insight

    Source: Tran Do Thinh Hoang, Dr. Otake Toshitsugu
    Date Submitted: 07 Dec 2018
    Views: 14
    Downloads: 2
    Temperature-based derivatives are powerful hedging devices for farmers. This paper proposes such instruments in Vietnam and discusses policies for establishing a successful weather-based derivatives market in Vietnam.
  • Receiving next month's news: Information spillover through collateralized loan obligations [UniSA 2018]

    Source: Abe de Jong
    Date Submitted: 21 Nov 2018
    Views: 226
    Downloads: 5
    By analyzing abnormal stock returns prior to public quarterly earnings announcements, the authors find that information from private monthly reports to managers of collateralized loan obligations slowly leaks to the public market. 

    This paper has been submitted to the conference Politics, Stock Markets and the Economy, held at the Centre of Applied Finance and Economics, University of South Australia Business School on 4-5 December 2018.
     
  • Market opportunities in the nascent digital asset paradigm  

    Source: Federico Cristina, CFA, Marco Cora, CFA, Filippo Fanin, CFA
    Date Submitted: 20 Nov 2018
    Views: 51
    Downloads: 0
    While a run-up in value of crypto-assets before the end of the year is unlikely, we present a brief analysis of short- and long-term market opportunities in crypto on which digital asset management protocols should be focusing.
  • The BOJ large-scale purchases of equity index ETFs: Float reduction and its impact on market frictions [UniSA 2018]

    Source: Zhuo Chen, Keeichi Ito, Bohui Zhang
    Date Submitted: 21 Nov 2018
    Views: 273
    Downloads: 9
    The paper investigates the direct impact of the BOJ’s large-scale asset purchase program on stock market liquidity and the spill over effects on markets and firms. The authors find an effect on stock liquidity and price inefficiency due to the biased capital allocation.

    This paper has been submitted to the conference Politics, Stock Markets and the Economy, held at the Centre of Applied Finance and Economics, University of South Australia Business School on 4-5 December 2018.
     
  • S&P/JPX JGB VIX update - October 2018

    Source: Applied Academics, S&P Dow Jones Indices
    Date Submitted: 15 Nov 2018
    Views: 38
    Downloads: 1
    Although the implied volatility of Japanese government bonds remained below the July and August highs, the JGB market was sensitive to rumors of possible changes to the Bank of Japan (BoJ) JGB purchases.
  • The growth of sidecar joint ventures in aviation

    Source: David Yu
    Date Submitted: 29 Oct 2018
    Views: 78
    Downloads: 3
    As new capital looks to enter the aircraft leasing business, sidecar arrangements allow investors to benefit from experience and expertise of established lessors, who in return gain access to more opportunities.
     
  • Drivers and policies affecting China's cross-border investment and financing in aviation

    Source: David Yu
    Date Submitted: 24 Oct 2018
    Views: 119
    Downloads: 11
    Chinese outbound M&A deals have grown exponentially over the past five years. 
    Aviation, including airports, leasing and technology, as well as tourism are favoured industries that are promoted because of policy considerations and strong underlying stability and economics. 
  • Changing geography of aviation finance funding

    Source: David Yu
    Date Submitted: 22 Oct 2018
    Views: 114
    Downloads: 12
    New players in the aircraft leasing business, such as commercial banks and insurance companies are adding to the geographic diversity of funding sources. This paper analyses new trends and the roles of the newcomers in the sector.
  • New Aviation Silk Road – trends, drivers, and lessons in cross-border investments and M&A in aviation

    Source: David Yu
    Date Submitted: 22 Oct 2018
    Views: 368
    Downloads: 15
    A review of cross-border investment and M&A activity in the aviation industry, highlighting a growing number of global outbound investments from Chinese investors. What are the drivers of their investment activity and lessons to be learned? 
  • Pengyuan International issues a request for comments on general structured finance rating criteria

    Source: Ke Chen
    Date Submitted: 19 Oct 2018
    Views: 37
    Downloads: 2

    Pengyuan International, a Hong Kong-based credit rating agency, publishes a call for public consultation on its general structured finance rating criteria. It invites investors and market participants to submit comments within 30 days. 


     

  • In the name of growth 

    Source: CAPER
    Date Submitted: 10 Oct 2018
    Views: 2199
    Downloads: 25
    Two recent, large fundraising developments in China, by HIllhouse Capital Group, a private equity investment management firm, and Ant Financial, a fintech company affiliated with Alibaba, underscore investors' confidence in China's growth. 
  • CFAM-FDU - Initial coin offerings and platform building

    Source: Jiasun Li, William Mann
    Date Submitted: 07 Oct 2018
    Views: 834
    Downloads: 42
    As initial coin offerings (ICOs) explode in popularity in the startup world, they are surrounded by controversy. The response of market practitioners and regulators has varied, from enthusiasm to outright bans. Li and Mann offer an economic analysis of the role of ICOs in development of platforms. They analyze economic efficiency to pinpoint when token sales create value. Their findings have implications for regulators and practitioners in the booming ICO market.
  • Tokenomics: Dynamic Adoption and Valuation

    Source: Lin William Cong, Ye Li, Neng Wang
    Date Submitted: 07 Nov 2018
    Views: 2547
    Downloads: 35
    We provide a dynamic asset-pricing model of cryptocurrencies/tokens on platforms and highlight their roles on endogenous user adoption. Tokens facilitate transactions among decentralized users and allows them to capitalize future growth of promising platforms. Tokens thus can accelerate adoption, reduce user-base volatility, and improve welfare. Token price increases non-linearly in platform productivity, users’ heterogeneous transaction needs, and endogenous network size. The growth of user base starts slow, becomes explosive and volatile, and eventually tapers off. Our model can be extended to discuss platform token supply, cryptocurrency competition, and pricing assets under network externality.
  • S&P/JPX JGB VIX Update - August 2018

    Source: Applied Academics, S&P Dow Jones Indices
    Date Submitted: 13 Sep 2018
    Views: 33
    Downloads: 2
    JGB VIX Drops as BoJ Tries to Regain Control
  • Private Equity in Asia & South Korea Successes & Scars

    Source: CAPER
    Date Submitted: 27 Jul 2018
    Views: 868
    Downloads: 34
     A luncheon presentation at CFA Korea Society in July 2018 on:

                Private Equity in Asia & South Korea: Successes & Scars
     
    Synopsis
    o   An overview of the private equity’s trends in Asia and in South Korea
    o   South Korea’s latest status in the Asian private equity market
    o   Private equity -
          - Promises: why institutions are making allocations to private equity?
          - Challenges: what are the factors behind Asian private equity’s increasingly rugged investment landscape
    o   What are the winning and the risky investment formulas
    o   What have been the lessons learnt
    o   Case studies: successes and failures
     
     
  • S&P/JPX JGB VIX Update - June 2018

    Source: Applied Academics, S&P Dow Jones Indices
    Date Submitted: 10 Jul 2018
    Views: 82
    Downloads: 4
    JGB VIX Finishes Month at Historic Lows
  • Roofs in Demand 

    Source: CAPER
    Date Submitted: 09 Jul 2018
    Views: 182
    Downloads: 3
    Key Points 
    ˖ President Xi Jinping’s advocacy of both housing purchase and rental in October last year has led to an investment boom in this sector –
    ˚ US$1.4 bn committed to 10 property rental platforms since May 2017
    ˚ capital deployments have been focused on China’s affluent cities – Tier 1 and New Tier 1 cities
    ˖ Soaring property prices and millennials’ quest for improved lifestyle have led to increased demand for rental apartments
    ˚ in 2016: the Rmb25,896 commanded per square metre in Tier 1 cities was six times that for 2002
  • Liquidity Effect and Asset Pricing Tests in Karachi Stock Exchange 

    Source: Farhan Ahmed, Muhammad Kashif
    Date Submitted: 07 Jul 2018
    Views: 96
    Downloads: 6
    Individual or institutional investors are always interested in devising the profitable portfolios to maximize the wealth. In the highly volatile market like Pakistan, liquidity needs to be considered as a crucial factor to price the returns. This study aims to test the basic liquidity measures known as a turnover ratio and trading volume. Using daily data from all shares listed on Karachi Stock Exchange over the period January 2005 – December 2015, equally weighted and value weighted decile portfolios are constructed. We found that the investors should take a short position in P10 with low turnover ratio and take a long position in P1 with the high turnover ratio. On the basis of trading volume, investors should take a long position in P10 with high trading volume and take a short position in P1 with low trading volume. The study is resulted in contradiction with mean-variance framework because the said portfolios fail to generate abnormal returns constructed on the basis of turnover ratio and trading volume. The results of the study are beneficial for brokerage houses in explaining the variations on portfolio performance in times and the investors to devise the optimal investment strategies in their portfolio choice decisions either investment portfolio based on liquidity turnover ratio or trading volume yields higher or lower returns.
  • The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs

    Source: Boonlert Jitmaneeroj
    Date Submitted: 04 Jul 2018
    Views: 145
    Downloads: 12
    This paper examines the impact of the rebalancing horizon on the transaction costs per hedging effectiveness (TC/HE ratio) for dynamic hedging of the S&P 500 index with 21 commodity indices. This paper produces new evidence that as the rebalancing horizon lengthens, the TC/HE ratio exhibits a monotonically decreasing relationship with positive convexity. This asymmetric effect suggests that hedgers pay more attention to reductions rather than increases in the rebalancing horizons and hedging strategies at short rather than long rebalancing horizons. Although commodities can be used to hedge equity portfolios, they should be used with caution given their low hedging effectiveness.
  • Bitcoin as a safe haven: Is it even worth considering?

    Source: Lee A Smales, Dirk G Baur
    Date Submitted: 29 Jun 2018
    Views: 2262
    Downloads: 157

    Research in cryptofinance has continued to consider whether Bitcoin possesses a safe haven property as traditionally defined by its correlation with other assets during times of market stress. However, this neglects other attributes of assets that are important to investors during periods of crisis. Bitcoin is more volatile, less liquid, and costlier to transact (in terms of time and fees) than other assets (including the traditional safe haven of gold) even in normal market conditions. Until the market matures, it is therefore unlikely to be worth considering Bitcoin as a safe haven.

  • Does Financial Market Development Explain (or at Least Predict) the Demand for Wealth Management and Private Banking Services in Developing Markets?

    Source: Bryane Michael,
    Date Submitted: 04 Jul 2018
    Views: 925
    Downloads: 47
    Does Financial Market Development Explain (or at Least Predict)
    the Demand for Wealth Management and Private Banking Services
    in Developing Markets?
  • The Next Gold Medal 

    Source: CAPER
    Date Submitted: 09 Apr 2018
    Views: 918
    Downloads: 20
    Key Points 

    The 2018 Winter Olympics sheds light on the changes taking place in South Korea where geopolitical forces have been unpredictable

    South Korea, as an export nation, is searching for its next export, with its shipbuilding industry having gone through a period of brutal consolidation 

    Private equity investment trends, especially by non-domestic investors, are hinting that those in Non-Heavy Industries could be South Korea’s next winning industry, based on their commitments and performance results of deals in this sector
  • S&P/JPX JGB VIX® Update March 2018

    Source: Applied Academics, S&P Dow Jones Indices
    Date Submitted: 10 Apr 2018
    Views: 91
    Downloads: 1
    JGB VIX Spikes After BoJ Comments.
  • AsianFA Economic Depreciation in the Property Value: Cross-Sectional Variations and Their Implications on Investments

    Source: Jiro Yoshida,
    Date Submitted: 02 Apr 2018
    Views: 191
    Downloads: 9
    CFA Institute Asia-Pacific Research Exchange Best Paper Award:
    I would like my accepted AsianFA paper considered for the CFA Institute Asia-Pacific Research Exchange Award, 
  • AsianFA - Testing Market Efficiency in Betting Markets: Does It Get Around the Joint Hypothesis Problem?

    Source: Toru Yamada
    Date Submitted: 28 Mar 2018
    Views: 70
    Downloads: 3
    Asian FA
  • Commodities Are Like a Box of Chocolates, if You Only Factor in Interest Rates and the U.S. Dollar

    Source: Marya Alsati
    Date Submitted: 16 Mar 2018
    Views: 280
    Downloads: 0
    The Dow Jones Commodity Index (DJCI) was down 1.9% for the month and up 0.7% YTD, and the S&P GSCI was down 3.3% and flat YTD.
  • S&P/JPX JGB VIX® Update January 2018

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 23 Feb 2018
    Views: 1
    Downloads: 1
    JGB VIX Gets a Boost From the BoJ
  • Demystifying commodity futures in China

    Source: John Hua Fan, Tingxi Zhang
    Date Submitted: 22 Feb 2018
    Views: 270
    Downloads: 16
    This paper presents the most comprehensive study to date on commodity futures in China. We find that passive long-only investments deliver poor economic returns. Among 12 long-short strategies examined, momentum and term structure strategies generate statistically significant economic profits in nearby and distant contracts, illiquid markets and randomly selected commodity sectors. Our results cannot be attributed to aggregate market risks, none-tradable macroeconomic risks, commodity specific risks, market sentiment, transactions costs and data-snooping. We show that liquidity, anchoring bias and regulation induced limits-to-arbitrage provide at least a partial explanation. Furthermore, our findings suggest that long-short strategies that exploit past returns and hedging pressure make excellent candidates for hedging against movements in traditional assets in China. This paper also highlights the urgency to establish a CFTC-type repository for positions data that distinguish hedgers and speculators. Such data are essential to assess the effectiveness of risk transfers in these markets.
  • The "Vynn-ing" Play

    Source:
    Date Submitted: 19 Feb 2018
    Views: 633
    Downloads: 4
    Vynn Capital's view on venture capital investment strategy.
  • Green Bond: A Socially Responsible Investment (SRI) Instrument 

    Source: Pradiptarathi Panda
    Date Submitted: 17 Feb 2018
    Views: 229
    Downloads: 16
    Green Bond attracts a specific group of investors and helps issuers as well as to the economy at large. This innovative financial instrument was issued in the year 2008 by World Bank with the request of investors. Now this instrument is gaining popularity world-wide. So far World Bank has made 130 issues in 18 currencies in totaling of US$5.7 billion.  Followed by World Bank, there are several institutions, which are issuing this instrument. The present study aims to state the genesis of Green Bond, its inception and the road ahead so far with current statistics
  • Sex, drugs, and bitcoin: How much illegal activity is financed through cryptocurrencies?  

    Source: Sean Foley, Jonathan R. Karlsen, Talis J. Putnins
    Date Submitted: 02 Feb 2018
    Views: 400
    Downloads: 0
    Cryptocurrencies have grown rapidly in price, popularity, and mainstream adoption. The total market capitalization of bitcoin alone exceeds $250 billion as at January 2018, with a further $400 billion in over 1,000 other cryptocurrencies. Over 170 “cryptofunds” have emerged, attracting around $2.3 billion in assets under management. What was once a fringe asset is quickly maturing.
     
    The rapid growth in cryptocurrencies and the anonymity that they provide users has created considerable regulatory challenges, including the use of cryptocurrencies in illegal trade (drugs, hacks and thefts, illegal pornography, even murder-for-hire), potential to fund terrorism, launder money, and avoid capital controls. There is little doubt that by providing a digital and anonymous payment mechanism, cryptocurrencies have facilitated the growth of “darknet” marketplaces that trade illegal goods and services.
     
    In a recent research paper, we quantify the amount of illegal activity that involves the largest cryptocurrency, bitcoin. As a starting point, we exploit several recent seizures of bitcoin by law enforcement agencies to construct a sample of known illegal activity. We also identify the bitcoin addresses of major illegal darknet marketplaces. The public nature of the blockchain allows us to work backwards from the law enforcement agency bitcoin seizures and the darknet marketplaces through the network of transactions to identify those bitcoin users that were involved in buying and selling illegal goods and services online. We then apply two econometric methods to the sample of known illegal activity to estimate the full scale of illegal activity.
     
    We find that illegal activity accounts for a substantial proportion of the users and trading activity in bitcoin. For example, approximately one-quarter of all users (25%) and close to one-half of bitcoin transactions (44%) are associated with illegal activity. The estimated 24 million bitcoin market participants that use bitcoin primarily for illegal purposes (as at April 2017) annually conduct around 36 million transactions, with a value of around $72 billion, and collectively hold around $8 billion worth of bitcoin.
     
    To give these numbers some context, the total market for illegal drugs in the US and Europe is estimated to be around $100 billion and €24 billion annually. Such comparisons provide a sense that the scale of the illegal activity involving bitcoin is not only meaningful as a proportion of bitcoin activity, but also in absolute dollar terms. The scale of illegal activity suggests that cryptocurrencies are transforming the way black markets operate by enabling “black market e-commerce”. In effect, cryptocurrencies are transforming the black market much like PayPal and other online payment mechanisms revolutionized the retail industry through online shopping.
     
    In recent years (since 2015), the proportion of bitcoin activity associated with illegal trade has declined. There are two reasons for this trend. The first is an increase in mainstream and speculative interest in bitcoin (growth in the number of legal users), causing the proportion of illegal bitcoin activity to decline, despite the fact that the absolute amount of such activity has continued to increase. The second factor is the emergence of alternative cryptocurrencies that are better at concealing a user’s activity (e.g., Dash, Monero, and ZCash). Despite these factors and numerous darknet marketplace seizures by law enforcement agencies, the amount of illegal activity involving bitcoin remains close to its all-time high.
     
    In shedding light on the dark side of cryptocurrencies, we hope this research will reduce some of the regulatory uncertainty about the negative consequences of cryptocurrencies. Hopefully, more informed policy decisions that assess the costs and benefits will contribute to these technologies reaching their potential. Our paper also helps understand the intrinsic value of bitcoin, highlighting that a significant component of its value as a payment system comes from its use in illegal trade. This has ethical implications for bitcoin as an investment. Third, the techniques developed in this paper can be used in cryptocurrency surveillance in a number of ways, including monitoring trends in illegal activity, its response to regulatory interventions, how its characteristics change through time, and identifying key bitcoin users, such as “hubs” in the illegal trade network.
     
    For more information, download the paper at https://ssrn.com/abstract=3102645.
  • S&P/JPX JGB VIX® Update December 2017

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 17 Jan 2018
    Views: 72
    Downloads: 3
    JGB VIX Faced Year-End Downward Pressure
  • Healthcare 2017 Update for the period 2012 to 2017

    Source: CAPER
    Date Submitted: 17 Jan 2018
    Views: 4583
    Downloads: 49
    Investing in healthcare is now a consummating topic among private equity investors. Following our earlier APER Healthcare Report (2011 - Jun 2016), this 2017 Update (2012-2017) is a comprehensive and incisive summation of the latest healthcare investment dynamics in the Asian private equity market. 
  • A Dragon In Mekong 

    Source: CAPER
    Date Submitted: 21 Dec 2017
    Views: 590
    Downloads: 21
    Key Points 
    The listings of two real estate assets, one in Vietnam and another in Singapore, are sharply different –
    in Vietnam: the debut of Vincom, which raised US$740 m, was the largest of a privately-held company in the country
    in Singapore: the S$64.7m (US$47.9 m) raised by the Singapore-based APAC, was subdued
    Warburg Pincus, an investor in Vincom, records US$348.3 m in distribution
    The Northstar Group, an investor in APAC, records US$21.4 m in distribution
    The share acquisitions of Vinamilk by two trade buyers also highlight the value surge of Vietnam-based assets –
    in Aug 2014: investors paid 85,648 Vietnamese dong, or US$4 for each of Vinamilk’s shares
    in Nov 2017: investors paid 179,805 Vietnamese dong per share 
  • S&P/JPX JGB VIX® 指数アップデート 2017 年 10 月

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 16 Nov 2017
    Views: 214
    Downloads: 2
    選挙結果を受けてJGB VIX 指数は下落
  • S&P/JPX JGB VIX® Update October 2017

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 16 Nov 2017
    Views: 102
    Downloads: 1
    JGB VIX Drops After Election Results
  • How much of your alpha do you pay away to your hedge fund manager?

    Source: Tanuj Khosla, CFA, CAIA, MBA
    Date Submitted: 09 Nov 2017
    Views: 1544
    Downloads: 61
    The construction of hedge fund portfolios by institutional investors around the world has been a combination of both science and art over the years. While some use a strict quantitative methodology like Risk Budgeting and/or Sharpe Parity along with a correlation matrix among different hedge fund strategies to create a portfolio, others use more ambiguous, discretionary and qualitative factors like the in-house view on an asset class or geography (or both) to do so.

    Either way a vast majority of institutional investors have been overpaying for beta that has been masked as alpha by the hedge fund manager or worse, paying for non-performance.

    In this paper, we attempt to come up with a metric that helps investors keep track of how much alpha they are giving away to the hedge fund manager, both for an individual hedge fund as well as for their entire portfolio.
  • A股选股模型从2.0到3.0的实践

    Source: Stanley Ouyang,CFA
    Date Submitted: 02 Nov 2017
    Views: 265
    Downloads: 9
    在2017年10月18日由CFA中国上海主办的量化金融分会中,来自国金证券资产管理分公司联席投资总监Stanley Ouyang,CFA 与现场观众分享了“A股选股模型从2.0到3.0的实践”的主题演讲。

    Stanley Ouyang,CFA结合2017年当下的投资风格和策略,认为A股的选股模型正从 2.0 走到3.0 ,他预计到2018年,将会增加更丰富的数据模型与技术,“新数据将会有200+因子库,会增加聪明一致预期因子、新数据源构造的因子;而新模型中会增加预期收益方法增加随机森林,CART等非线性模型;新技术中可能会诞生新的机器学习方法选择因子、构造权重的技术”。
  • 全球对冲基金发展的新趋势

    Source: 郭涛, CFA,CFA中国上海首席代表
    Date Submitted: 02 Nov 2017
    Views: 599
    Downloads: 28
    由CFA中国上海参与协办的资本市场交流盛会 “2017第四届中国北外滩对冲基金峰会”于10月27日在上海北外滩隆重举行。CFA中国上海首席代表郭涛,CFA在分论坛四“港股与量化市场的投资与发展机会”中,就“全球对冲基金发展的新趋势”发表了自己的见解。

    郭涛,CFA表示,全球对冲基金总资产规模近3.1万亿美元,从数量来讲的话,实际上是出现萎缩的,但是包括量化ETF和量化对冲基金,他们加起来管1.5万亿美金。未来金融科技在资产管理领域里的应用会以量化为主,量化smart beta策略的ETF将会有大的发展。

    在该主题演讲中,郭涛,CFA分别就以下几点做了分享:
    全球对冲基金行业概览
    对冲基金还能收2-20么?
    一个千亿美金对冲基金的终极思考
    Smart Beta崛起
    量化VS基本面?
    明星基金经理模式还有未来么?
    Long short VS Long cash ?
  • 回顾经典:对冲基金投资实践

    Source: Marc L. Ross, CFA
    Date Submitted: 24 Oct 2017
    Views: 398
    Downloads: 9
            本书既是对冲基金的入门介绍,也是金融史的建设性著作。书中讨论了对冲基金与其他资产的联系,并详细描述了对冲基金的具体策略,而且就对冲基金运营的本质也做了深入的钻研。本书涵盖了经过验证的实例,实践性强,不拘泥于理论。随书的网络资源也提供了练习题和指导答案。
  • Private Equity in Asia: Successes & Scars

    Source: CAPER
    Date Submitted: 18 Oct 2017
    Views: 2029
    Downloads: 87

    Kathleen Ng, Managing Director at Centre for Asia Private Equity Research Ltd. conducted a workshop on "Private Equity in Asia - Successes & Scars" to CFA Society Beijing on October 12, 2017. Workshop covers.

    Part I - Latest Landscape of Private Equity in Asia


    Part II - Private Equity in Asia - Promises, Opportunities & Challenges

    Part III - Private Equity in Asia - Successes & Scars


    Beijing CFA Presentation
  • September Splits Commodities, Led by Strong Energy

    Source: Jodie Gunzberg, CFA
    Date Submitted: 03 Oct 2017
    Views: 518
    Downloads: 0
    The energy fundamentals, helped by Hurricane Harvey, are now in place for solid rebalancing and for potentially continued strong performance. Metals have reflected bullish sentiment but have recently been hindered by Chinese growth and credit concerns. Agriculture has been well oversupplied on better than expected weather and from improving farming technologies.
  • The Anatomy of the Gold Crash of April 12-15, 2013 from a Liquidity Perspective – An Application of Donier and Bouchaud’s Measure of Illiquidity

    Source: Daniel Ceferino D. Camagay
    Date Submitted: 26 Sep 2017
    Views: 1053
    Downloads: 11
    Gold crash of April 12-15, 2013 as seen from a liquidity perspective using Donier and Bouchard's measure of illiquidity
  • Chinese Growth Concerns Weigh Heavy on Metals

    Source: Jodie Gunzberg, CFA
    Date Submitted: 18 Sep 2017
    Views: 187
    Downloads: 0
    Industrial metals hit multi-year highs last month with the S&P GSCI Industrial Metals Index up off its bottom nearly 60%.  This was mainly due to strong Chinese demand growth and a falling US dollar.  While the dollar has continued its fall in September, there is some concern over slowing growth in China. 
  • APER-Next Horizon for HoChiMinh

    Source: CAPER
    Date Submitted: 12 Sep 2017
    Views: 1348
    Downloads: 23
    Key Points 
     • Vietnam’s GDP grows at 5.7% during 1H 2017 while real retail sales growth jumped by 8.4% in the same period
     • Since the beginning of the year, HOSE has hosted the debuts of 3 billion-dollar companies, highlighting Vietnam’s buoyant stock market
     • Vietnam recorded its single largest round of investment from private equity investors in 2016 when Warburg Pincus and VinaCapital committed an aggregate US$300 m to a hospitality platform
     • EQT Partners is the latest foreign private equity firm to make its footprints in Vietnam
  • Cinematic Journey of Southeast Asia's Venture Ecosystem

    Source: Victor Chua Kok Hoe (https://www.linkedin.com/in/victor4chua/)
    Date Submitted: 07 Sep 2017
    Views: 1536
    Downloads: 40
    Southeast Asia's venture investing scene is booming, but not without its long history and influence by other regions in Asia. We are seeing a rush of investors from North Asia coming down to Southeast Asia, pushing the ecosystem to a more mature state and enhancing exit opportunities.
  • Metals Never Had An August This Hot

    Source: Jodie Gunzberg, CFA
    Date Submitted: 05 Sep 2017
    Views: 459
    Downloads: 0
    In August, the Dow Jones Commodity Index Total Return gained 0.7%, reducing its year-to-date loss to -1.4%, and the S&P GSCI Total Return lost 0.8%, increasing its year-to-date loss to -6.9%.  Industrial metals and precious metals were the only positive sectors, up 8.6% and 4.0%, respectively, while agriculture was the worst performing sector, losing 7.4%, posting its worst month since July 2015.  
  • The Role of Real Assets in Portfolio Construction

    Source: Jodie Gunzberg
    Date Submitted: 03 Sep 2017
    Views: 1266
    Downloads: 0
    How can real asset combinations contribute to inflation protection, diversification, and volatility reduction when used as portfolio building blocks? S&P DJI’s Jodie Gunzberg takes a closer look at the characteristics influencing the growing global appetite for real assets.

    Video interview with Jodie Gunzberg, CFA at the link below:
    http://www.spdji.com/multimedia-center/the-role-of-real-assets-in-portfolio-construction
  • Banking Bad: The China and India Episode

    Source: Jonathan Rochford
    Date Submitted: 31 Aug 2017
    Views: 327
    Downloads: 18
    China and India are both getting excited about creating bad banks. Yet neither has an answer to the key question “who is going to take the loss”?
  • Mergers and acquisitions: how do you view their underlying substance?

    Source: Hong Kong Institute of Certified Public Accountants
    Date Submitted: 30 Aug 2017
    Views: 3014
    Downloads: 78
    Are you a shareholder or analyst with an interest in mergers and acquisitions? 
    The accounting standard-setters need your expertise. 

    We are aware that M&As are common and can take the form of group restructurings or third party acquisitions. There is usually no question that there is underlying substance to acquisitions with third parties - the transaction price typically represents the fair market value of the acquired business. But M&As within a group might arguably be different.

    The findings of this M&A survey will be published and will help us consider whether all M&As should be accounted and reported in the same way. 

    To participate, click on this link: http://survey.hkicpa.org.hk/index.php?sid=57118&lang=en, or download and email us the attached survey: outreachhk@hkicpa.org.hk
  • AAM-CAMRI-CFA Institute Prize - What Are the Actual Effects of Cash Holdings? Evidence from the Mutual Fund Industry      

    Source: Vikas Agarwal, Haibei Zhao
    Date Submitted: 29 Aug 2017
    Views: 120
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds      

    Source: Vikas Agarwal, George O. Aragon, Zhen Shi
    Date Submitted: 29 Aug 2017
    Views: 232
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - How Auctions Amplify House-Price Fluctuations      

    Source: Alina Arefeva
    Date Submitted: 29 Aug 2017
    Views: 239
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • AAM-CAMRI-CFA Institute Prize - Sensation-Seeking Hedge Funds    

    Source: Stephen Brown, Yan Lu, Sugata Ray, Melvyn Teo
    Date Submitted: 29 Aug 2017
    Views: 231
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • Chinese Demand Growth Lifts Every Commodity

    Source: Jodie Gunzberg, CFA
    Date Submitted: 21 Aug 2017
    Views: 1467
    Downloads: 0
    In this article, the impact of Chinese demand growth changes on overall commodities, sectors and individual commodities is examined, using year-over-year data from 1970.
  • Australia's Venture Capital Limited Partnership program: Has it met its objectives?

    Source: Winnie Wong
    Date Submitted: 26 Jul 2017
    Views: 385
    Downloads: 15
    The aim of the paper is to critically analyse the Venture Capital Limited Partnership program in Australia, and make suggestions as to how the program could be reformed to better meet its aims and objectives.
  • Investment Opportunity in Cash Rich Japanese Equity: Rising Opportunities in the Land of the Rising Sun

    Source: Masashi Murata, Kei Yamaguchi
    Date Submitted: 13 Jul 2017
    Views: 459
    Downloads: 33
    As a result of the “Abenomics” reform, listed Japanese corporations are steadily
    accumulating wealth in the form of cash and other liquid assets since 2013.

    The share price of these cash rich corporations remains undervalued. Nearly half
    of the listed companies in Japan have a PBR of less than 1.0. These undervalued
    corporations have a large potential for a hike in share price.

    In June 2017, the PBR of JASDAQ Japan listed Solekia (9867) soared from 0.3 to
    1.2 in less than six months. The new “Stewardship Code” introduced in 2014 forces
    stronger corporate governance in Japan. Since 2014, there have been significantly
    stronger shareholder dialogues thus expanding investment opportunities.
  • APER - Under Deployed

    Source: CAPER
    Date Submitted: 04 Jul 2017
    Views: 220
    Downloads: 2
    Key Points
    • Private equity capital is under deployed in Asia. The US$127.2 bn in transaction volume in 2016 represents only 0.48% of Asia’s GDP; whereas in the US, it was more than 1%

    • Asia has room to absorb over US$130 bn of capital deployment from private equity

    • In the 10 years from 2007 to 2016, China’s GDP has nearly tripled, but private equity investment, as a percentage of its GDP, on average, accounted for 0.3% of the country’s economic output

    • Australia/New Zealand enjoys the highest percentage of private equity capital deployment, at 2.5% of its GDP in 2016, suggesting that a market with a mature private equity infrastructure is a magnet for capital 
  • Valuation Insights - India Edition, May 2017

    Source: Varun Gupta
    Date Submitted: 09 May 2017
    Views: 2539
    Downloads: 0

    Valuation Insights is a quarterly e-newsletter that provides you with the latest news from Duff & Phelps and the trends and changes in valuation and accounting that could affect your business transactions in Asia.

    In this edition, our top stories cover the Financial Accounting Standards Board issuing an Accounting Standards Update, robust fair value measurement, the International Valuation Standards Council releasing the 2017 edition of its International Valuation Standards, and a recent Duff & Phelps study about fairness opinions.

    We will also look at important Duff & Phelps reports and articles, including a recorded forum presentation by Professor Damodaran and the Duff & Phelps Global Regulatory Outlook 2017.

  • Myanmar – One Year After

    Source: CAPER
    Date Submitted: 04 May 2017
    Views: 560
    Downloads: 14
    Key Points 
    Interest from Australia, Switzerland and UK governments to assess commercial feasibility of wind energy in Myanmar is the latest that evidences keen interest from foreign countries in Myanmar 
    Since August 2016, two Myanmar-focused funds have been launched, each with US$100 m as the target size 
    Myanmar has been able to attract a broad spectrum of investors –
    Global firms: TPG and 500 Startups 
    Development financing institutions and impact investors, including –
    Accion International, IFC, Norfund, and FMO 
  • A League of Their Own: Batting for Returns in the REIT Industry – Part 1

    Source: Temi Oyeniyi, CFA, David Pope, CFA, Paul Fruin, CFA, Vivian Ning, CFA, Richard Tortoriello
    Date Submitted: 25 Mar 2017
    Views: 1210
    Downloads: 28
    This is a Quantamental Research published by S&P Global Market Intelligence in September 2016.
  • Preparing for a Slide in Oil Prices History May Be Your Guide

    Source: Temi Oyeniyi, CFA, David Pope, CFA
    Date Submitted: 25 Mar 2017
    Views: 375
    Downloads: 6
    This is a Quantamental Research published by S&P Global Market Intelligence in July 2016.
  • An IQ Test for the “Smart Money” – Is the Reputation of Institutional Investors Warranted?

    Source: Vivian Ning, CFA, Dave Pope, CFA, Li Ma, CFA
    Date Submitted: 25 Mar 2017
    Views: 143
    Downloads: 2
    This is a Quantamental Research published by S&P Global Market Intelligence in April 2016.
  • Global Pension Plans: Are Fully Funded Plans a Relic of the Past?

    Source: Richard Tortoriello, Abhishek Das
    Date Submitted: 25 Mar 2017
    Views: 187
    Downloads: 2
    This is a Quantamental Research published by S&P Global Market Intelligence in January 2015.
  • APEI LBO Case Competition 2017 - LBO of AmorePacific Corporation

    Source: Charles Phan Zhong Wei, Chua Kian Chong, Chan Jun Hao, Sylvester Yeo Kai Ren
    Date Submitted: 20 Mar 2017
    Views: 761
    Downloads: 76
    Advisory for the AmorePacific Group's leveraged buyout of AmorePacific Corporation (target). The following key points are addressed: - Executive summary - Recent financial / operating performance of AmorePacific Group - Industry overview - Strategic alternatives to an LBO - Recommendations to restruture the combined firm - Deal structure and financing - Valuation summary - Returns Analysis - Risk(s) related to the deal
  • PLAYING WITH A STRAIGHT BAT - A Concise Report on brand values in the Indian Premier League

    Source: Varun Gupta
    Date Submitted: 16 Mar 2017
    Views: 1186
    Downloads: 26
    Duff & Phelps has published the third edition of our annual* study of Brand Values in the Indian Premier League (IPL). The report ranks the franchise brand values for six teams in the IPL based upon a relief from royalty analysis coupled with an assessment of six other factors; including management strength and on-field performance, marketing strategy, celebrity influence and marquee players, geographical location, governance and transparency and social media engagement. Key findings include: Total value of the IPL has grown by 19% over the last five quarters to reach US$ 4.2 billion. Mumbai Indians had the highest brand value in the IPL Royal Challengers Bangalore were the biggest gainers with brand value increasing by 31%, while Kings XI Punjab were the biggest losers.
  • APER Dataroom - Food & Beverage report (Part I)

    Source: Asia Private Equity Review (APER)
    Date Submitted: 12 Mar 2017
    Views: 2101
    Downloads: 22
    Asia is now home to 4.5 billion people, or 60% of the world’s population. Its food and beverage (‘F&B’) industry, according to Asia Pacific Food Industry, a trade publication, would have reached US$3.23 trillion in 2016. The sheer population size in this region, along with improved living standards, has propelled the F&B sector to be a main investment theme for private equity investors.
  • Drilling for Alpha in the Oil & Gas Industry

    Source: Temi Oyeniyi, CFA, Richard Tortoriello
    Date Submitted: 10 Mar 2017
    Views: 964
    Downloads: 18
    This is a Quantamental Research published by S&P Global Market Intelligence in April 2015.
  • The Home Affordability Challenge: Suite of Policy Reforms Needed in New Zealand

    Source: Eaquab, Shamubeel
    Date Submitted: 16 Feb 2017
    Views: 105
    Downloads: 1
    Eaquab, Shamubeel | July 2014
  • A League of Their Own: Batting for Returns in the REIT Industry – Part 2

    Source: Temi Oyeniyi, CFA, David Pope, CFA, Paul Fruin, CFA, Vivian Ning, CFA, Richard Tortoriello
    Date Submitted: 16 Feb 2017
    Views: 486
    Downloads: 14
    This is a Quantamental Research published by S&P Global Market Intelligence in October 2016. Part 1: https://www.arx.cfa/post/A-League-of-Their-Own-Batting-for-Returns-in-the-REIT-Industry-Part-1-3282.html
  • A League of Their Own: Batting for Returns in the REIT Industry – Part 1

    Source: Temi Oyeniyi, CFA, David Pope, CFA, Paul Fruin, CFA, Vivian Ning, CFA, Richard Tortoriello
    Date Submitted: 16 Feb 2017
    Views: 2667
    Downloads: 64
    This is a Quantamental Research published by S&P Global Market Intelligence in September 2016.
  • APER - Japan Reboots

    Source: CAPER
    Date Submitted: 07 Feb 2017
    Views: 535
    Downloads: 5
    Key Points • Prime Minister Shinzo Abe’s “Kakehashi” initiative announced in 2015 is an impetus for the prevailing technology investment fever • 2016: ◦ US$835 m deployed to technology companies is a 325% increase to that for 2015 ◦ The 112 deals recorded is an all-time high ◦ Deals between US$10.1 m and US$50 m register the biggest increase, suggesting investors are directing capital to mature technology companies ◦ Domestic investors are asserting their profile, accounting for 52.4% of the transaction sum for the year, whereas that for 2014 was 26.6%
  • Why people think REITs are a bad investment

    Source: Kyith Ng
    Date Submitted: 04 Jan 2017
    Views: 585
    Downloads: 0
    I’ve always disliked the REIT (real estate investment trust) structure in the belief that it forces a company to operate in a highly unnatural way. Mandatory cash distributions forces most REITs to constantly access capital markets. They seem to be in a constant search for cash. In any case, REITs frequently end up over-leveraged, at least to my liking. The REIT structure is an arbitrary construction of the tax code that provides favorable dividend treatment in exchange for meeting certain obligations. Chief among these is that a company must distribute at least 90% of taxable income to shareholders. These constraints cause me to be a REIT skeptic at best. So weigh the following thoughts accordingly. Nonetheless, it’s amazing how quickly a hefty dividend warms my cold, dead capitalist heart. The trouble is, I am (just) old enough to remember when yields of 12 to 15 percent were easy to find in the REIT universe. Such yields are NOT ancient history. Think Internet Bubble days, without "Flip That House" shows on HGTV. Real estate wasn’t virtual and, therefore, nobody cared. Not coincidentally, it was a great time to buy REITs.
  • The Oil Shock and Monetary Policy

    Source: QIC
    Date Submitted: 28 Dec 2016
    Views: 852
    Downloads: 0
    The impact of the oil price decline on OECD economies is clouded by how central banks are responding to the fall. Usually, the prescription for oil-importing advanced economies is to focus on underlying inflation (core inflation) and look through the temporary impact of lower energy prices on headline inflation.
  • APER - The Breakthrough

    Source: CAPER
    Date Submitted: 27 Dec 2016
    Views: 330
    Downloads: 3
    Key Points • Launch of the US$1 bn Breakthrough Energy Ventures highlights the growing profile of individual investors • Individual investors have been actively participating in Asia deals, with surging numbers in recent years – ◦ 2011 – 2013: 64 deals ◦ 2014 – 2016: 207 deals
  • Property Prices Set to Plateau, Not Crash

    Source: Philip Miall
    Date Submitted: 27 Dec 2016
    Views: 690
    Downloads: 0
    Reporting by journalists and financial analysts alike has been dominated by housing bubble talk this month and its gone hand-in-hand with debate about the strength of the big Australian banks.
  • Banks Raise Mortgage Rates: There's Got to be an Upside Somewhere

    Source: Dr Matthew Pete, Jimmy Louca CFA, Phil Miall
    Date Submitted: 27 Dec 2016
    Views: 247
    Downloads: 0
    Since the mining boom’s peak in 2012, the Australian economy has experienced below trend growth and rising unemployment, as non-mining activity has failed to offset the fall in mining investment.
  • The Growing Importance of Infrastructure as a Core Asset Class

    Source: QIC, Asian Investor
    Date Submitted: 27 Dec 2016
    Views: 772
    Downloads: 0
    QIC recently partnered with Asian Investor magazine to conduct a survey to gauge the attitudes of Asian investors towards infrastructure as an asset class. Questions revolved around; allocation strategies, likely exposure trajectories, factors effecting manager choices as well as what challenges they face. The results have been illuminating, and on the whole they show a growing interest in infrastructure as an asset class that is well suited to current market conditions
  • Options that Deliver are the Ones that Matter Most

    Source: QIC, Investment Magazine
    Date Submitted: 27 Dec 2016
    Views: 683
    Downloads: 0
    QIC recently partnered with Investment Magazine to host a roundtable discussion looking at option strategies and the practical issues around portfolio insurance. Ten participants, including Neil Williams and Robert Swan from QIC, debated the malleability of options to both profit from and insure portfolios, the anxiety of upfront costs as well as getting boards on board.
  • AFM -- Market Transparency and Pricing Efficiency: Evidence from Corporate Bond Market

    Source: Jia Chen, Ruichang Lu
    Date Submitted: 08 Dec 2016
    Views: 483
    Downloads: 10
    This paper investigates how mandatory post-trade market transparency affects pricing efficiency in the corporate bond market. Using the phase implementation of TRACE and a differences-in-differences research design, we find that when market transparency is greater, bond prices incorporate information quicker but contain less amount of bond-specific information. Specifically, greater market transparency leads to a shorter return drift and a lower price delay. These effects are similar for different liquidity, trading activity, and maturity subgroups. In contrast, greater market transparency leads to fewer bond analyst reports and higher co-movement between individual bond returns and market returns. These results highlight that market transparency has opposite impact on two dimensions of pricing efficiency, speed of information incorporation and amount of information incorporated in prices.
  • 【China Market Strategy】Outlook 2017: High-Wire Act

    Source: Hao Hong, CFA
    Date Submitted: 07 Dec 2016
    Views: 2264
    Downloads: 12
    This research appears on WenXin's blog "Hong Hao China Strategy" on 4 December 2016.
  • 【中国市场策略】2017年展望:微妙的平衡

    Source: Hao Hong, CFA
    Date Submitted: 07 Dec 2016
    Views: 867
    Downloads: 12
    This research appears on WenXin's blog "洪灝的中国市场策略" on 4 December 2016.
  • CFA China Conference - Global Asset Allocation Trends

    Source: Aaron Low
    Date Submitted: 04 Dec 2016
    Views: 489
    Downloads: 8
    This is one of the presentation powerpoint in CFA China Conference on 20 August 2016.
  • Global Asset Allocation Trends

    Source: Aaron Low, CFA
    Date Submitted: 14 Nov 2016
    Views: 706
    Downloads: 16
    2016 CFA China Conference
  • AFBC-Days to Cover and Stock Returns

    Source: Harrison Hong, Frank Weikai Li, Sophie Ni, Jose Scheinkman, Philip Yan
    Date Submitted: 10 Nov 2016
    Views: 391
    Downloads: 2
    Days to cover, short interest ratio divided by average daily share turnover, and not short interest ratio measures the rewards to entering crowded trades.
  • AFBC-Decoding Leveraged Trading

    Source: Pengfei Li, Zhuo Chen, Zhengwei Wang, Bohui Zhang
    Date Submitted: 10 Nov 2016
    Views: 423
    Downloads: 6
    We examine the informational role of leveraged trading. Using a unique Chinese sample of stock-level margin buying and short selling over the period from July 2010 to June 2015, we document that short selling predicts cross-sectional stock returns while margin buying has no cross-sectional prediction power . The time-series return prediction of margin buying is mechanically driven by the future increase in margin buying, which is not sustainable during the June 2015 Chinese stock market crash. Further evidence shows that margin buying activities are more likely to co-move across stocks, the intensity of margin buying is positively associated with contemporaneous investor sentiment, and the return predictability of margin buying is stronger during high-sentiment periods. Overall, the findings suggest that leverage is not a sufficient condition for informed trading.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 8

    Source: Wong Yuen Man, Wong Cheuk Fun
    Date Submitted: 07 Nov 2016
    Views: 440
    Downloads: 0
    Humans always learn from history and our students should also learn from the past. This is the first time a case study is used as the main topic in the RMBI Newsletter series.London Whale Risk in 2012 is chosen as the topic of this chapter. This issue mainly focuses on the risks involved, including operational risks, analysis of VAR modeling aswell asthe influence of the Basel regulatory stan­ dard.
  • In-House Investment Management: Making and Implementing the Decision

    Source: Geoff Warren, David Gallagher, Tim Gapes
    Date Submitted: 07 Nov 2016
    Views: 522
    Downloads: 2
    This paper reports on interviews with executives from the Australian superannuation industry around in-sourcing of asset management. A framework is proposed that asset owners can use for making and implementing decisions to manage in-house.
  • Data on Q3/2016 Asia PE Movements

    Source: CAPER
    Date Submitted: 24 Oct 2016
    Views: 458
    Downloads: 8
    The third quarter of the year recorded robust investment activities, with five deals, each at US$3.6 billion and above; a barometer of investors’ confidence to commit to such sizeable deals. Yet in the technology sector, investors continued to adopt caution, as there has been no increase of transaction volume. The worrying development is the 32% decline of distribution, at US$5 billion. It is the smallest quarterly sum since the last three months in 2012.
  • Green Bonds: New Product, Great Enthusiasm!

    Source: K. Sanghmitra, Jainendra Shandilya
    Date Submitted: 07 Oct 2016
    Views: 737
    Downloads: 10
    Green Bonds are no longer in their infancy, they have come off at their own. Ever since the first green bond was launched by European Investment Bank, there has not been any let up in the issuance of green bank. One after the other, institutions, government, corporations, etc are queuing up for this hitherto not so known instrument. What is remarkable, especially in India, ever junk issuers are able to float green bonds and investors are lapping it up!
  • APER - An IPO of Two Enterprises

    Source: CAPER
    Date Submitted: 05 Oct 2016
    Views: 741
    Downloads: 8
    Key Points: o IPO of Postal Savings Bank of China (‘PSBC’) is the largest since Alibaba was listed in 2014; o The two IPOs are sharply different: a. US$7.4 bn raised by PSBC is a third of the US$25 bn raised by Alibaba; b. 77% of the amount raised by PSBC has been subscribed by cornerstone investors, whereas such commitments were not necessary in Alibaba’s IPO; c. PSBC has to settle for the lower IPO price while that for Alibaba was top of the range; o Institutional investors that subscribed to PSBC’s shares last year recorded a 5% gain on their books, but will not sell for 36 months from 17th Dec 2015 (An article from October 2016 Issue of Asia Private Equity Review)
  • 对冲基金回报率中的隐性生存

    Source: Rajesh K. Aggarwal, Philippe Jorion
    Date Submitted: 13 Jul 2016
    Views: 629
    Downloads: 7
    此项研究确定了 TASS 数据库中一项未曾报告过的偏差。由于和崔盟 (Tremont) 数据库合并,1999 年 4 月至 2001 年 11 月期间添加到 TASS 数据库的基金中,60% 可能得以幸存(例如,仅从截至 1999 年 3 月 31 日时存在的基金中选取的基金)。由此产生了巨大的生存偏差,平均每年超过 5%。通常被界定为回填期间的词语实际上代表了隐性生存。于是提出排序算法,来排除这些基金的历史。
  • 对冲基金回报是否可以 被廉价的复制?

    Source: Lars Jaeger, CFA
    Date Submitted: 13 Jul 2016
    Views: 547
    Downloads: 16
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • GIPS标准下 对冲基金经理的解决方案

    Source: Coleman C.J. McKinstry, CIPM
    Date Submitted: 13 Jul 2016
    Views: 256
    Downloads: 0
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 对冲基金的母基金的流动性 风险与规模经济摘要

    Source: Hany A. Shawky, Ying Wang
    Date Submitted: 13 Jul 2016
    Views: 230
    Downloads: 0
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 剧变即将登场?

    Source: Leonora Walet
    Date Submitted: 13 Jul 2016
    Views: 389
    Downloads: 12
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 超越比特币:加密货币初露锋芒

    Source: Sviatoslav Rosov
    Date Submitted: 13 Jul 2016
    Views: 552
    Downloads: 8
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 太阳能之赋

    Source: John Rubino
    Date Submitted: 12 Jul 2016
    Views: 355
    Downloads: 9
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 如何建立中国对冲基金指数体系

    Source: 郭涛
    Date Submitted: 12 Jul 2016
    Views: 445
    Downloads: 5
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • A Start of Something Big? New Reforms Aim to Boost China’s Hedge Fund Sector

    Source: Leonora Walet
    Date Submitted: 29 Jun 2016
    Views: 609
    Downloads: 4
    This article appear on CFA Institute Magazine Nov/Dec 2014.
  • India and the Road Ahead

    Source: Mark Harrison, CFA
    Date Submitted: 29 Jun 2016
    Views: 519
    Downloads: 5
    This is a blog posted on CFA Institute's website on 14 January 2014.
  • Japan Enters Recession: Should We Be Surprised?

    Source: Ron Rimkus, CFA
    Date Submitted: 29 Jun 2016
    Views: 267
    Downloads: 0
    This is a blog posted on CFA Institute's website on 17 November 2014.
  • Impact Investing and Social Finance: Relevance for Property & Casualty Insurance

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 369
    Downloads: 1
    Relevance of impact investments to Property & Casualty Insurance
  • ILS Impact on Capital Markets and their Risk Management

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 275
    Downloads: 3
    How ILS impact the capital markets and core points for risk management when using ILS.
  • 除了房子,还有诗和远方

    Source: 黄凡, CFA
    Date Submitted: 21 Jun 2016
    Views: 588
    Downloads: 6
    This article is published on 16 June 2016.
  • 当投资者不再接受常识之后

    Source: 黄凡, CFA
    Date Submitted: 21 Jun 2016
    Views: 417
    Downloads: 0
    This article is published on 22 June 2016.
  • 环境市场的崛起

    Source: Nathan Jaye, CFA
    Date Submitted: 16 Jun 2016
    Views: 269
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 对冲基金类阿尔法性业绩特征

    Source: Bill Fung
    Date Submitted: 16 Jun 2016
    Views: 263
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 对冲基金投资者的“风格跟踪”情结

    Source: Jenke ter Horst, Galla Salganik
    Date Submitted: 16 Jun 2016
    Views: 264
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 大型对冲基金公司的业绩特征

    Source: William Fung
    Date Submitted: 15 Jun 2016
    Views: 407
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 退休期的投资和退出策略: “安稳退休”水桶法

    Source: Lauren Foster
    Date Submitted: 15 Jun 2016
    Views: 263
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://annual.cfainstitute.org/2013/05/22/investing-and-withdrawalstrategies-during-retirement-the-retire-well-bucket-approach/
  • 对冲基金受益于透明度提升

    Source: 梁慧芝, CFA
    Date Submitted: 15 Jun 2016
    Views: 263
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • 泛资产管理的展望

    Source: 王峰, 万云
    Date Submitted: 14 Jun 2016
    Views: 593
    Downloads: 3
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • 王冠东: 迎接对冲时代

    Source: 王冠东
    Date Submitted: 14 Jun 2016
    Views: 232
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • 罗伯特·莫顿: 引进衍生品才能享受它的好处

    Source: 杨斯媛, CFA
    Date Submitted: 14 Jun 2016
    Views: 326
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • 对冲基金市场奇才: 成功的交易者是如何获胜的

    Source: Mark S. Rzepczynski
    Date Submitted: 14 Jun 2016
    Views: 273
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 走出黑暗: 对冲基金报告偏差与商业数据库

    Source: Adam L. Aiken, CFA, Christopher P. Clifford, Jesse Ellis
    Date Submitted: 14 Jun 2016
    Views: 255
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • Model Request for Proposal—Real Estate: A Template for Small Institutional Investors

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 685
    Downloads: 7
    This paper appeared on CFA Institute's website in September 2008.
  • 评估对冲基金的操作风险:ω得分

    Source: Stephen Brown, William Goetzmann, Bing Liang, Christopher Schwarz
    Date Submitted: 07 Jun 2016
    Views: 315
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on Financial Analysts Journal, January/February 2009, Vol. 65, No. 1
  • 解密对冲基金策略配置

    Source: Ted Seides, CFA
    Date Submitted: 07 Jun 2016
    Views: 503
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on Investment Risk and Performance Feature Articles, July 2012, Vol. 2012, No. 1: 1–5
  • 解密对冲基金指数偏差

    Source: Deborah Kidd, CFA
    Date Submitted: 07 Jun 2016
    Views: 448
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on Investment Risk and Performance Feature Articles.
  • 对冲基金的崛起

    Source: 郭涛,CFA
    Date Submitted: 07 Jun 2016
    Views: 516
    Downloads: 7
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • REIT Governance: from Father to Son but at What Price?

    Source: Lee Kha Loon
    Date Submitted: 06 Jun 2016
    Views: 658
    Downloads: 3
    This is a blog posted on CFA Institute's website on 29 November 2011.
  • Peering Through the Labyrinth: Asian ETFs Need More Transparency

    Source: Lee Kha Loon
    Date Submitted: 06 Jun 2016
    Views: 497
    Downloads: 0
    This is a blog posted on CFA Institute's website on 15 March 2012.
  • Bumi PLC: Corporate Governance Concerns Give Investors “Coal” Feet

    Source: Lee Kha Loon
    Date Submitted: 06 Jun 2016
    Views: 390
    Downloads: 3
    This is a blog posted on CFA Institute's website on 25 October 2012.
  • Through the Lens of CitySpring, SGX Business Trusts Examined

    Source: Alan Lok
    Date Submitted: 06 Jun 2016
    Views: 395
    Downloads: 1
    This is a blog posted on CFA Institute's website on 9 December 2014.
  • Chinese Shadow Banking: Risks and Rewards

    Source: Alan Lok
    Date Submitted: 05 Jun 2016
    Views: 765
    Downloads: 5
    This is a blog posted on CFA Institute's website on 23 December 2014.
  • How Service Sector Needs and Shadow Banking Are Reshaping Chinese Capital Markets

    Source: Alan Lok
    Date Submitted: 05 Jun 2016
    Views: 661
    Downloads: 2
    This is a blog posted on CFA Institute's website on 6 February 2015.
  • Chinese Shadow Banking: Solution or Problem?

    Source: Alan Lok
    Date Submitted: 05 Jun 2016
    Views: 283
    Downloads: 3
    This is a blog posted on CFA Institute's website on 2 June 2015.
  • Property Fund valuation in Thailand

    Source: Pongtum Thavaramara
    Date Submitted: 29 May 2016
    Views: 674
    Downloads: 19
    Thailand's market in Property funds (REITs) is characterized by a large number of externally managed small funds, most of which are traded at a discount from their Net Asset Values (NAV). This paper will analyze the relationship between the REIT structure and deviations from NAV. Using panel data from 36 different Thai property funds from 2008 to 2014, a random effects model is applied to explain the variations from NAV. Empirical results show that factors that managers can control have significant positive effect on premia, and that the effect is observed in the very short run. This provides evidence that investors are willing to pay a premium for REITs with better fundamentals.
  • Key driving factors behind investment success in REITs (Asia pacific excluding Japan context)

    Source: Alan Lok
    Date Submitted: 20 May 2016
    Views: 2069
    Downloads: 78
    This dissertation attempted to examine the relationship between investment return variability and Real Estate Investment Trust (REIT) characteristics. A multifactor model based on a set of broader environment and firm-specific factors were developed to test out the explanatory power of each variable. The geographical scope of this study spanned across Australia, Hong Kong and Singapore. The quantitative analysis method utilized is linear regression and the length of data started from June 2007 and ended in June 2012 which covered the entire period of global financial crisis (GFC).
  • Integration between the Asian REIT markets and macroeconomic variables

    Source:
    Date Submitted: 27 Apr 2016
    Views: 564
    Downloads: 0
    Purpose – The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables. Design/methodology/approach – The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test. Findings – The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets. Practical implications – The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers. Originality/value – The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.
  • The dynamic linkage among the Asian REITS market

    Source:
    Date Submitted: 27 Apr 2016
    Views: 653
    Downloads: 0
    This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversification opportunities remain even though the markets were cointegrated since the global financial crisis. Short-run causality tests show that the number of causality relationships decrease over the time. Overall, the results suggest that domestic REIT investors can achieve diversification benefits by incorporating certain international REITs into the domestic portfolio, but they need to review their portfolios periodically as the linkages among markets could change from time-to-time.
  • Banking is necessary, banks are not

    Source: Aditya Jadhav CFA
    Date Submitted: 07 Mar 2016
    Views: 1014
    Downloads: 0
    There will always be a need for financial services. However, the developed world is waking up to a new idea that traditional i.e. high cost banking, which has not evolved for more than century, might not be the best way to carry out financial transactions. Bill Gates sees this as a big opportunity for technological innovation. No wonder he has said: “Banking is Necessary. Banks are Not.”
  • Efficiency of Hedging Against Fluctuating Prices of Dairy Products

    Source: Jan Koeman, Jędrzej Białkowski
    Date Submitted: 22 Feb 2016
    Views: 844
    Downloads: 16
    This article has been published in Applied Finance Letters, Volume 4(1&2), 2015, pp. 6-11.
  • UNDERSTANDING HOUSING DECISIONS IN THE NEW ZEALAND RESIDENTIAL PROPERTY MARKET

    Source: Susan Flint-Hartle, Jeffrey Stangl
    Date Submitted: 22 Feb 2016
    Views: 607
    Downloads: 8
    This is a working paper published by the WESTPAC - MASSEY UNIVERSITY FIN-ED CENTRE in December 2014.