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144 BIBLIOGRAPHY
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INTERVIEWS 153
Interviews
De Bleecker, Berg. PGGM, Investment Manager. Telephone interview. Amsterdam: June 30, 2009.
Huber, Patrik. responsAbility Social Investments AG, Member of the Board. Per-sonal interview. Zurich: April 28, 2009 and several more discussions during and after the scenario process.
Krauss, Annette. University of Zurich, Head of Centre for Microfinance. Personal interview. Zurich: April 2, 2009 and several more discussions during the scenario process.
Knöpfel, Ivo. onValues, CEO. Personal interview. Zurich: June 26, 2009.
Mammertz, Rochus. responsAbility Social Investments AG, equity and regulation specialist. Telephone interview. Zurich: June 30, 2009.
von Stauffenberg, Damian. Microrate, CEO. Personal interview. London: October 31, 2008 and several more discussions during the scenario process.
P. M. Becker, Investing in Microfinance, DOI 10.1007/978-3-8349-8926-0 © Gabler Verlag | Springer Fachmedien Wiesbaden GmbH 2010
154 APPENDIX
Appendix Appendix– 1: Descriptor essay no. 12 – market structure in MFI segment
P. M. Becker, Investing in Microfinance, DOI 10.1007/978-3-8349-8926-0 © Gabler Verlag | Springer Fachmedien Wiesbaden GmbH 2010
156 APPENDIX
Appendix– 2: Questionnaire regarding attractiveness of asset classes
Scenario analysis microfinance Workshop II
Questionnaire: RETURN EXPECTATIONS Name: ___________________________
Task: Please indicate for the following asset classes in every scenario a risk-adjusted attractivity. In which asset class do you want to invest your money?
Skale: 1 (very unattractive) 4 (rather attractive) Joker: - (no answer) 2 (unattractive) 5 (attractive) 3 (rather unattractive) 6 (very attractive)
Asset class A2 A3 A4 B1 Wildcard
• MF Equity
• MF Debt
• EM Corporate Debt
• EM Sovereign Debt
• EM Equity
• Money Market USD
• Global Equity
• Global Bonds
• High-Yield Bonds
• Investment Grade Bonds
Task 2: Please indicate a probability for every scenarioRemark: The probabilities of all five scenarios should add to 100%.
A2 A3 A4 B1 Wildcard
Probability
Scenario
Scenario
APPENDIX 157
Appendix– 3: Questionnaire regarding correlation measures
Scenario analysis microfinance Workshop II
Questionnarie: CORRELATION Name: ___________________________Idea: Measure correlations of macroeconomic and market factors with different asset classes
Factor Asset class 1 0.5 0 -0.5 -1 no answer
• Increasing EM growth EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Increasing EM inflation EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Increasing EM FX volatility EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Increasing global liquidity EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Increasing political stability (in countries) EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• High debt level EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Negative primary budget EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Increasing commodity prices EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Increasing global political stability EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Increasing acceptance of market economy in EM EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
• Globalisation EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �
158 APPENDIX
Appendix– 4: Covariance and correlation matrices excluding microfinance
MM
USD
EQ W
orld
EQ
EM
FI W
orld
FI IL
FI E
MFI
CR
EFI
HY
FI C
BFI
CA
TH
FPE
RE
ITs
CO
M
Mon
ey M
arke
t USD
0.00
000.
0000
0.00
00-0
.000
10.
0000
0.00
000.
0000
0.00
000.
0000
0.00
000.
0001
0.00
020.
0000
0.00
01E
quiti
es W
orld
0.00
000.
0323
0.03
980.
0020
0.00
630.
0115
0.00
780.
0149
0.01
950.
0012
0.00
730.
0384
0.03
100.
0181
Equ
ities
EM
0.00
000.
0398
0.06
590.
0016
0.00
800.
0176
0.01
070.
0218
0.02
690.
0017
0.01
170.
0542
0.03
950.
0299
Gov
Bon
ds W
orld
0.00
000.
0020
0.00
160.
0049
0.00
430.
0022
0.00
370.
0013
0.00
250.
0003
0.00
05-0
.002
40.
0040
0.00
23G
ov B
onds
Infla
tion
Lin
ked
-0.0
001
0.00
630.
0080
0.00
430.
0076
0.00
440.
0057
0.00
470.
0056
0.00
070.
0020
0.00
380.
0098
0.00
89G
ov B
onds
EM
0.00
000.
0115
0.01
760.
0022
0.00
440.
0121
0.00
550.
0096
0.00
930.
0008
0.00
370.
0156
0.01
370.
0076
Cre
dit B
onds
0.00
000.
0078
0.01
070.
0037
0.00
570.
0055
0.00
820.
0069
0.00
720.
0008
0.00
260.
0078
0.01
180.
0085
Hig
h Y
ield
Bon
ds0.
0000
0.01
490.
0218
0.00
130.
0047
0.00
960.
0069
0.01
660.
0115
0.00
130.
0047
0.02
080.
0183
0.01
10C
onve
rtib
le B
onds
0.00
000.
0195
0.02
690.
0025
0.00
560.
0093
0.00
720.
0115
0.02
130.
0013
0.00
700.
0250
0.01
780.
0148
Cat
Bon
ds0.
0000
0.00
120.
0017
0.00
030.
0007
0.00
080.
0008
0.00
130.
0013
0.01
510.
0007
0.00
190.
0018
0.00
18H
edge
Fun
ds0.
0000
0.00
730.
0117
0.00
050.
0020
0.00
370.
0026
0.00
470.
0070
0.00
070.
0200
0.01
210.
0065
0.00
82Pr
ivat
e E
quity
0.00
010.
0384
0.05
42-0
.002
40.
0038
0.01
560.
0078
0.02
080.
0250
0.00
190.
0121
0.13
070.
0408
0.02
75R
EIT
s0.
0002
0.03
100.
0395
0.00
400.
0098
0.01
370.
0118
0.01
830.
0178
0.00
180.
0065
0.04
080.
0500
0.02
07C
omm
oditi
es0.
0000
0.01
810.
0299
0.00
230.
0089
0.00
760.
0085
0.01
100.
0148
0.00
180.
0082
0.02
750.
0207
0.07
08
Ris
k0.
5%18
.0%
25.7
%7.
0%8.
7%11
.0%
9.1%
12.9
%14
.6%
12.3
%14
.1%
36.2
%22
.4%
26.6
%
MM
USD
EQ W
orld
EQ
EM
FI W
orld
FI IL
FI E
MFI
CR
EFI
HY
FI C
BFI
CA
TH
FPE
RE
ITs
CO
M
Mon
ey M
arke
t USD
1.00
0.01
-0.0
1-0
.08
-0.0
40.
00-0
.04
-0.0
40.
000.
010.
040.
060.
020.
05E
quiti
es W
orld
0.01
1.00
0.86
0.16
0.40
0.58
0.48
0.64
0.75
0.06
0.29
0.59
0.77
0.38
Equ
ities
EM
0.01
0.86
1.00
0.09
0.36
0.62
0.46
0.66
0.72
0.05
0.32
0.58
0.69
0.44
Gov
Bon
ds W
orld
-0.0
30.
160.
091.
000.
710.
290.
580.
140.
250.
030.
05-0
.09
0.25
0.12
Gov
Bon
ds In
flatio
n L
inke
d-0
.07
0.40
0.36
0.71
1.00
0.46
0.72
0.41
0.44
0.07
0.16
0.12
0.51
0.39
Gov
Bon
ds E
M-0
.03
0.58
0.62
0.29
0.46
1.00
0.55
0.68
0.58
0.06
0.24
0.39
0.56
0.26
Cre
dit B
onds
0.00
0.48
0.46
0.58
0.72
0.55
1.00
0.59
0.55
0.07
0.20
0.24
0.58
0.35
Hig
h Y
ield
Bon
ds-0
.03
0.64
0.66
0.14
0.41
0.68
0.59
1.00
0.61
0.08
0.26
0.45
0.64
0.32
Con
vert
ible
Bon
ds-0
.03
0.75
0.72
0.25
0.44
0.58
0.55
0.61
1.00
0.07
0.34
0.47
0.55
0.38
Cat
Bon
ds0.
000.
060.
050.
030.
070.
060.
070.
080.
071.
000.
040.
040.
060.
06H
edge
Fun
ds0.
010.
290.
320.
050.
160.
240.
200.
260.
340.
041.
000.
240.
210.
22Pr
ivat
e E
quity
0.01
0.59
0.58
-0.0
90.
120.
390.
240.
450.
470.
040.
241.
000.
500.
29R
EIT
s0.
100.
770.
690.
250.
510.
560.
580.
640.
550.
060.
210.
501.
000.
35C
omm
oditi
es0.
010.
380.
440.
120.
390.
260.
350.
320.
380.
060.
220.
290.
351.
00
APPENDIX 159
Appendix– 5: Covariance and correlation matrices including microfinance (quan-titative approach)
MM
USD
EQ
Wor
ldEQ
EM
FI W
orld
FI IL
FI E
MFI
CR
EFI
HY
FI C
BFI
CA
TH
FPE
RE
ITs
CO
MFI
MF
Mon
ey M
arke
t USD
0.00
000.
0000
0.00
00-0
.000
10.
0000
0.00
000.
0000
0.00
000.
0000
0.00
000.
0001
0.00
020.
0000
0.00
010.
0000
Equi
ties W
orld
0.00
000.
0323
0.03
980.
0020
0.00
630.
0115
0.00
780.
0149
0.01
950.
0012
0.00
730.
0384
0.03
100.
0181
-0.0
001
Equi
ties E
M0.
0000
0.03
980.
0659
0.00
160.
0080
0.01
760.
0107
0.02
180.
0269
0.00
170.
0117
0.05
420.
0395
0.02
99-0
.000
2G
ov B
onds
Wor
ld0.
0000
0.00
200.
0016
0.00
490.
0043
0.00
220.
0037
0.00
130.
0025
0.00
030.
0005
-0.0
024
0.00
400.
0023
0.00
00G
ov B
onds
Infla
tion
Link
ed-0
.000
10.
0063
0.00
800.
0043
0.00
760.
0044
0.00
570.
0047
0.00
560.
0007
0.00
200.
0038
0.00
980.
0089
0.00
00G
ov B
onds
EM
0.00
000.
0115
0.01
760.
0022
0.00
440.
0121
0.00
550.
0096
0.00
930.
0008
0.00
370.
0156
0.01
370.
0076
0.00
00C
redi
t Bon
ds0.
0000
0.00
780.
0107
0.00
370.
0057
0.00
550.
0082
0.00
690.
0072
0.00
080.
0026
0.00
780.
0118
0.00
850.
0000
Hig
h Y
ield
Bon
ds0.
0000
0.01
490.
0218
0.00
130.
0047
0.00
960.
0069
0.01
660.
0115
0.00
130.
0047
0.02
080.
0183
0.01
100.
0000
Con
vert
ible
Bon
ds0.
0000
0.01
950.
0269
0.00
250.
0056
0.00
930.
0072
0.01
150.
0213
0.00
130.
0070
0.02
500.
0178
0.01
48-0
.000
1C
at B
onds
0.00
000.
0012
0.00
170.
0003
0.00
070.
0008
0.00
080.
0013
0.00
130.
0151
0.00
070.
0019
0.00
180.
0018
0.00
00H
edge
Fun
ds0.
0000
0.00
730.
0117
0.00
050.
0020
0.00
370.
0026
0.00
470.
0070
0.00
070.
0200
0.01
210.
0065
0.00
82-0
.000
1Pr
ivat
e Eq
uity
0.00
010.
0384
0.05
42-0
.002
40.
0038
0.01
560.
0078
0.02
080.
0250
0.00
190.
0121
0.13
070.
0408
0.02
75-0
.000
3R
EIT
s0.
0002
0.03
100.
0395
0.00
400.
0098
0.01
370.
0118
0.01
830.
0178
0.00
180.
0065
0.04
080.
0500
0.02
070.
0001
Com
mod
ities
0.00
000.
0181
0.02
990.
0023
0.00
890.
0076
0.00
850.
0110
0.01
480.
0018
0.00
820.
0275
0.02
070.
0708
-0.0
005
Cre
dit -
Mic
rofin
ance
0.00
00-0
.000
1-0
.000
20.
0000
0.00
000.
0000
0.00
000.
0000
-0.0
001
0.00
00-0
.000
1-0
.000
30.
0001
-0.0
005
0.00
73
Ris
k0.
5%18
.0%
25.7
%7.
0%8.
7%11
.0%
9.1%
12.9
%14
.6%
12.3
%14
.1%
36.2
%22
.4%
26.6
%8.
5%
MM
USD
EQ
Wor
ldEQ
EM
FI W
orld
FI IL
FI E
MFI
CR
EFI
HY
FI C
BFI
CA
TH
FPE
RE
ITs
CO
MFI
MF
Mon
ey M
arke
t USD
1.00
0.01
-0.0
1-0
.08
-0.0
40.
00-0
.04
-0.0
40.
000.
010.
040.
060.
020.
050.
02Eq
uitie
s Wor
ld0.
011.
000.
860.
160.
400.
580.
480.
640.
750.
060.
290.
590.
770.
380.
00Eq
uitie
s EM
0.01
0.86
1.00
0.09
0.36
0.62
0.46
0.66
0.72
0.05
0.32
0.58
0.69
0.44
-0.0
1G
ov B
onds
Wor
ld-0
.03
0.16
0.09
1.00
0.71
0.29
0.58
0.14
0.25
0.03
0.05
-0.0
90.
250.
120.
00G
ov B
onds
Infla
tion
Link
ed-0
.07
0.40
0.36
0.71
1.00
0.46
0.72
0.41
0.44
0.07
0.16
0.12
0.51
0.39
0.01
Gov
Bon
ds E
M-0
.03
0.58
0.62
0.29
0.46
1.00
0.55
0.68
0.58
0.06
0.24
0.39
0.56
0.26
0.00
Cre
dit B
onds
0.00
0.48
0.46
0.58
0.72
0.55
1.00
0.59
0.55
0.07
0.20
0.24
0.58
0.35
0.00
Hig
h Y
ield
Bon
ds-0
.03
0.64
0.66
0.14
0.41
0.68
0.59
1.00
0.61
0.08
0.26
0.45
0.64
0.32
0.00
Con
vert
ible
Bon
ds-0
.03
0.75
0.72
0.25
0.44
0.58
0.55
0.61
1.00
0.07
0.34
0.47
0.55
0.38
-0.0
1C
at B
onds
0.00
0.06
0.05
0.03
0.07
0.06
0.07
0.08
0.07
1.00
0.04
0.04
0.06
0.06
0.00
Hed
ge F
unds
0.01
0.29
0.32
0.05
0.16
0.24
0.20
0.26
0.34
0.04
1.00
0.24
0.21
0.22
0.00
Priv
ate
Equi
ty0.
010.
590.
58-0
.09
0.12
0.39
0.24
0.45
0.47
0.04
0.24
1.00
0.50
0.29
-0.0
1R
EIT
s0.
100.
770.
690.
250.
510.
560.
580.
640.
550.
060.
210.
501.
000.
350.
01C
omm
oditi
es0.
010.
380.
440.
120.
390.
260.
350.
320.
380.
060.
220.
290.
351.
00-0
.02
Cre
dit -
Mic
rofin
ance
0.00
0.00
-0.0
10.
000.
010.
000.
000.
00-0
.01
0.00
0.00
-0.0
10.
01-0
.02
1.00
160 APPENDIX
Appendix– 6: Covariance and correlation matrices including microfinance (quali-tative approach)
MM
USD
EQ
Wor
ldEQ
EM
FI W
orld
FI IL
FI E
MFI
CR
EFI
HY
FI C
BFI
CA
TH
FPE
RE
ITs
CO
MFI
MF
Mon
ey M
arke
t USD
0.00
000.
0000
0.00
00-0
.000
10.
0000
0.00
000.
0000
0.00
000.
0000
0.00
000.
0001
0.00
020.
0000
0.00
010.
0001
Equi
ties W
orld
0.00
000.
0323
0.03
980.
0020
0.00
630.
0115
0.00
780.
0149
0.01
950.
0012
0.00
730.
0384
0.03
100.
0181
0.00
24Eq
uitie
s EM
0.00
000.
0398
0.06
590.
0016
0.00
800.
0176
0.01
070.
0218
0.02
690.
0017
0.01
170.
0542
0.03
950.
0299
0.01
04G
ov B
onds
Wor
ld0.
0000
0.00
200.
0016
0.00
490.
0043
0.00
220.
0037
0.00
130.
0025
0.00
030.
0005
-0.0
024
0.00
400.
0023
0.00
19G
ov B
onds
Infla
tion
Link
ed-0
.000
10.
0063
0.00
800.
0043
0.00
760.
0044
0.00
570.
0047
0.00
560.
0007
0.00
200.
0038
0.00
980.
0089
0.00
47G
ov B
onds
EM
0.00
000.
0115
0.01
760.
0022
0.00
440.
0121
0.00
550.
0096
0.00
930.
0008
0.00
370.
0156
0.01
370.
0076
0.00
74C
redi
t Bon
ds0.
0000
0.00
780.
0107
0.00
370.
0057
0.00
550.
0082
0.00
690.
0072
0.00
080.
0026
0.00
780.
0118
0.00
850.
0037
Hig
h Y
ield
Bon
ds0.
0000
0.01
490.
0218
0.00
130.
0047
0.00
960.
0069
0.01
660.
0115
0.00
130.
0047
0.02
080.
0183
0.01
100.
0035
Con
vert
ible
Bon
ds0.
0000
0.01
950.
0269
0.00
250.
0056
0.00
930.
0072
0.01
150.
0213
0.00
130.
0070
0.02
500.
0178
0.01
480.
0020
Cat
Bon
ds0.
0000
0.00
120.
0017
0.00
030.
0007
0.00
080.
0008
0.00
130.
0013
0.01
510.
0007
0.00
190.
0018
0.00
180.
0033
Hed
ge F
unds
0.00
000.
0073
0.01
170.
0005
0.00
200.
0037
0.00
260.
0047
0.00
700.
0007
0.02
000.
0121
0.00
650.
0082
0.00
19Pr
ivat
e Eq
uity
0.00
010.
0384
0.05
42-0
.002
40.
0038
0.01
560.
0078
0.02
080.
0250
0.00
190.
0121
0.13
070.
0408
0.02
750.
0049
RE
ITs
0.00
020.
0310
0.03
950.
0040
0.00
980.
0137
0.01
180.
0183
0.01
780.
0018
0.00
650.
0408
0.05
000.
0207
0.00
30C
omm
oditi
es0.
0000
0.01
810.
0299
0.00
230.
0089
0.00
760.
0085
0.01
100.
0148
0.00
180.
0082
0.02
750.
0207
0.07
080.
0000
Cre
dit -
Mic
rofin
ance
0.00
000.
0024
0.01
040.
0019
0.00
470.
0074
0.00
370.
0035
0.00
200.
0033
0.00
190.
0049
0.00
300.
0000
0.01
82
Ris
k0.
5%18
.0%
25.7
%7.
0%8.
7%11
.0%
9.1%
12.9
%14
.6%
12.3
%14
.1%
36.2
%22
.4%
26.6
%13
.5%
MM
USD
EQ
Wor
ldEQ
EM
FI W
orld
FI IL
FI E
MFI
CR
EFI
HY
FI C
BFI
CA
TH
FPE
RE
ITs
CO
MFI
MF
Mon
ey M
arke
t USD
1.00
0.01
-0.0
1-0
.08
-0.0
40.
00-0
.04
-0.0
40.
000.
010.
040.
060.
020.
050.
40Eq
uitie
s Wor
ld0.
011.
000.
860.
160.
400.
580.
480.
640.
750.
060.
290.
590.
770.
380.
20Eq
uitie
s EM
0.01
0.86
1.00
0.09
0.36
0.62
0.46
0.66
0.72
0.05
0.32
0.58
0.69
0.44
0.40
Gov
Bon
ds W
orld
-0.0
30.
160.
091.
000.
710.
290.
580.
140.
250.
030.
05-0
.09
0.25
0.12
0.40
Gov
Bon
ds In
flatio
n Li
nked
-0.0
70.
400.
360.
711.
000.
460.
720.
410.
440.
070.
160.
120.
510.
390.
60G
ov B
onds
EM
-0.0
30.
580.
620.
290.
461.
000.
550.
680.
580.
060.
240.
390.
560.
260.
60C
redi
t Bon
ds0.
000.
480.
460.
580.
720.
551.
000.
590.
550.
070.
200.
240.
580.
350.
50H
igh
Yie
ld B
onds
-0.0
30.
640.
660.
140.
410.
680.
591.
000.
610.
080.
260.
450.
640.
320.
40C
onve
rtib
le B
onds
-0.0
30.
750.
720.
250.
440.
580.
550.
611.
000.
070.
340.
470.
550.
380.
30C
at B
onds
0.00
0.06
0.05
0.03
0.07
0.06
0.07
0.08
0.07
1.00
0.04
0.04
0.06
0.06
0.40
Hed
ge F
unds
0.01
0.29
0.32
0.05
0.16
0.24
0.20
0.26
0.34
0.04
1.00
0.24
0.21
0.22
0.30
Priv
ate
Equi
ty0.
010.
590.
58-0
.09
0.12
0.39
0.24
0.45
0.47
0.04
0.24
1.00
0.50
0.29
0.20
RE
ITs
0.10
0.77
0.69
0.25
0.51
0.56
0.58
0.64
0.55
0.06
0.21
0.50
1.00
0.35
0.30
Com
mod
ities
0.01
0.38
0.44
0.12
0.39
0.26
0.35
0.32
0.38
0.06
0.22
0.29
0.35
1.00
0.10
Cre
dit -
Mic
rofin
ance
0.40
0.20
0.40
0.40
0.60
0.60
0.50
0.40
0.30
0.40
0.30
0.20
0.30
0.10
1.00
APPENDIX 161
Appendix– 7: Optimized portfolio weights excluding microfinance
0.5
0.75
11.
251.
52
2.5
3.25
45
710
Mon
ey M
arke
t USD
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
20.0
%20
.0%
20.0
%20
.0%
20.0
%E
quiti
es W
orld
0.0%
0.0%
3.4%
6.7%
8.2%
7.7%
7.1%
5.5%
5.1%
4.7%
4.0%
3.1%
Equ
ities
EM
81.1
%64
.3%
44.5
%31
.9%
24.5
%16
.5%
12.1
%9.
2%6.
7%4.
5%1.
7%0.
0%G
ov B
onds
Wor
ld0.
0%0.
0%0.
0%0.
0%0.
0%11
.1%
20.7
%17
.9%
23.4
%28
.3%
34.2
%38
.9%
Gov
Bon
ds In
flatio
n L
inke
d0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%G
ov B
onds
EM
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Cre
dit B
onds
0.0%
0.0%
0.0%
0.1%
9.2%
11.5
%10
.6%
8.3%
7.8%
6.8%
4.2%
2.2%
Hig
h Y
ield
Bon
ds0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
0%0.
8%3.
9%6.
2%C
onve
rtib
le B
onds
0.0%
1.7%
8.4%
11.7
%10
.2%
7.8%
6.2%
4.9%
3.9%
3.1%
1.8%
0.8%
Cat
Bon
ds0.
0%5.
3%15
.0%
20.6
%21
.8%
21.7
%21
.2%
16.8
%16
.6%
16.2
%15
.7%
15.3
%H
edge
Fun
ds0.
0%14
.5%
18.0
%20
.1%
19.7
%18
.4%
17.3
%13
.7%
13.1
%12
.5%
11.7
%11
.1%
Priv
ate
Equi
ty18
.9%
14.1
%10
.2%
7.7%
6.5%
5.3%
4.8%
3.7%
3.4%
3.1%
2.7%
2.4%
RE
ITs
0.0%
0.0%
0.5%
1.2%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Com
mod
ities
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Ret
urn
p.a.
11.5
9%10
.22%
8.85
%8.
02%
7.37
%6.
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k p.
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l in
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s13
.00
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39.
598.
537.
726.
646.
005.
014.
634.
364.
164.
16
lam
bda
162 APPENDIX
Appendix– 8: Optimized portfolio weights including microfinance (quantitative approach) – risk factor set to 8.5%
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251.
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ield
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tfal
l in
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s13
.00
10.3
88.
447.
226.
345.
284.
694.
133.
783.
292.
862.
73
lam
bda
APPENDIX 163
Appendix– 9: Optimized portfolio weights including microfinance (qualitative approach) – risk factor set to 13.5%
0.5
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251.
52
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icro
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ce d
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.00
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39.
598.
537.
726.
645.
985.
004.
594.
314.
114.
10
lam
bda
164 APPENDIX
Appendix– 10: Optimized portfolio weights including microfinance with risk fac-tor set to 10%
0.5
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11.
251.
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3.25
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ey M
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s13
.00
11.3
39.
598.
517.
756.
766.
145.
324.
764.
514.
334.
31
lam
bda
APPENDIX 165
Appendix– 11: Optimized portfolio weights including microfinance with risk fac-tor set to 12%
0.5
0.75
11.
251.
52
2.5
3.25
45
710
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ey M
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orld
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l in
year
s13
.00
11.3
39.
598.
537.
726.
635.
995.
044.
604.
334.
134.
12
lam
bda
166 APPENDIX
Appendix– 12: Optimized portfolio weights including microfinance with risk fac-tor set to 15%
0.5
0.75
11.
251.
52
2.5
3.25
45
710
Mon
ey M
arke
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icro
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.7%
1.6%
2.6%
2.5%
Ret
urn
p.a.
11.6
%10
.2%
8.8%
8.0%
7.4%
6.5%
5.9%
5.1%
4.7%
4.4%
4.1%
3.8%
Ris
k p.
a.25
.4%
20.9
%16
.7%
14.2
%12
.4%
10.1
%8.
8%6.
9%6.
2%5.
6%5.
0%4.
7%
Shor
tfal
l in
year
s13
.00
11.3
39.
598.
537.
726.
646.
005.
014.
624.
334.
124.
12
lam
bda