Download - My Resume Ppt
An unconventional tour of My Resume ‘Talib Garba
“ I have developed these from MS Excel based models and collated data to demonstrate value from my experience through this presentation”
Market Conditions, Portfolio/Trading Strategy & Equity Risk Management
Nigerian All Share Index
10D EWMA Volatility
I created an auto-updating model using historical NSEASi index levels to express volatility in the equities market to support portfolio asset allocation decisions. For forecast EWMA
levels I use the GARCH (1,1) Model with simplistic assumptions that future index volatility is strongly correlated with implied volatilities of peer emerging markets indices where
equity derivatives trade
Sector trends
I created this model to help rank sector volume trends through 60-trading days and better our otherwise “snapshot
view” of sector dominance
Appraising Market Conditions for Mandate Execution…
These charts help describe (with average trading positions and trading frequencies) the challenges of execution given trading liquidity
issues per stock. The supporting model optimises allocation based on these factors
modelled over a historic timeframe…
Modeling & Back-testing Trading Arbitrage Portfolio strategies…
Index vs. portfolio trends
Portfolio vs. index trading bull & bear pay-offs
Back-tested Portfolio allocation weights based on either
minimising VaR, downside risk, liquidity or co-integration
Portfolio VaR and expected shortfall based on 95% Confidence level
Active Risk Squared, information ratio and Tracking Error Volatility reported hereSample portfolio tested against sample market momentum variables, beta and unexplained factors in OLS regression
Stock market Trade Dynamics and Technical Analysis…
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BANKING
Credit Analysis of Money Market Counterparties/Debt instruments &
Risk Management
Counterpart credit appraisal and money market allocation….
Z-Scores above 3.00 offers comfort over
the projected horizon (1 year)
SURVIVORSHIP AND CREDIT LOSS ESTIMATION FOR RATED BONDS/ COUNTERPARTIES
95% CONFIDENCE LEVEL FOR LARGELY A RATED CREDITS
95% CONFIDENCE LEVEL FOR LARGELY CCC RATED CREDITS
DEFAULT CORRELATIONS, RATINGS EXPECTATIONS /PROJECTIONS & CREDIT VAR
Term Credit Ratings Expectations /Projections
A 7 Aa A Aa Aa Aa Aa Aa Aa
B 2 Ba Ba
C 10 Baa A Baa Aa Aa Aa Aa Aa Aa Aa Aa
Notional Expected/Projected Default Rate (S&P based)
A 45 1.60% 1.67% 0.85% 0.54% 0.36% 0.22% 0.07% 0.00%
B 175 3.43% 1.42%
C 5 7.99% 2.93% 6.25% 1.60% 1.21% 0.85% 0.54% 0.36% 0.22% 0.07% 0.00%
A B C
A 1.000
B 0.067 1.000
C -0.775 -0.258 1.000
CREDIT LOSS PROJECTIONS AND CREDIT EXPOSURES USING CREDIT TRANSITION MATRICES AND FORECAST
Year 0 1 2 3 4 5 6 7 8 9 10
Expected Credit Loss
(N’m) on position
None 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00A 0.64 0.85 0.41 0.26 0.17 0.10 0.03 0.00 0.00 0.00 0.00B 5.43 2.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00C 0.38 0.07 0.17 0.05 0.04 0.03 0.02 0.02 0.01 0.00 0.00
A,B 0.11 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00A,C 0.06 0.03 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00B,C 0.49 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A,B,C 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00E[CL] 7.12 3.42 0.61 0.32 0.22 0.14 0.05 0.02 0.01 0.00 0.00
Naira (N’m) Value Credit
VaR
None 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000A 44.360 52.439 50.957 49.437 48.088 46.910 45.902 0.000 0.000 0.000 0.00B 169.565 170.837 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00C 0.000 0.000 2.645 3.196 3.575 3.906 4.194 4.441 4.654 4.841 0.00
A,B 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00A,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00B,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00
A,B,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00N’CVaR 213.93 223.28 53.60 52.63 51.66 50.82 50.10 17.81 18.65 19.37 0.00
OPTION ADJUSTED SPREAD FOR CORPORATE BOND PRICING (TREASURY BENCHMARK REFERENCE) 14.50% COUPON, CALLABLE ISSUE
Yield Curve Shift
Z-Spread OAS Option Cost
OAS/Option Cost
-500.0 1398.7-
158.3 1557.0 0.10
-400.0 1298.7 -58.3 1357.0 0.04
-300.0 1198.7 41.7 1157.0 0.04
-200.0 1098.7 141.7 957.0 0.15
-100.0 998.7 241.7 757.0 0.32
0.0 898.7 341.7 557.0 0.61
100.0 798.7841.7 -43.0 19.59
200.0 698.7741.7 -43.0 17.27
300.0 598.7641.7 -43.0 14.94
400.0 498.7541.7 -43.0 12.61
500.0 398.7441.7 -43.0 10.28
1000.0 -101.3-
658.3 557.0 1.18
ALLOCATION OF MONEY MARKET PLACEMENTS BY COUNTERPARTY CREDIT SCORE…RATIONALISED BY INTERNAL, EXTERNAL RATING AGENT AND
PREDICTED DEFAULT RISK FROM THE ALTMAN Z-SCORE STRUCTURAL MODEL
MODELING MARKET CONDITIONS OF FI MARKET DEFAULT RISK
Security/Fund Selection, Performance presentation,
Portfolio Risk & Return Attribution & Portfolio Optimisation
PREDICTED FUNDAMENTAL FACTORS AND CONFIRMATION THROUGH OLS REGRESSIONS
Class Stock
Income (% Contributed By Stock To
Total)
Growth In Income (% Contributed By
Stock To Total)
Value In (Audited Value To Market
Price (% Contributed By
Earnings To Price (% Contributed By Stock To Total)
Size (% Contributed By Stock To
Total)
Past Period Returns
MOBIL 9.4% 3.4%ASHAKACEM 9.3% 3.4%FCMB 9.2% 3.5%UACN 9.1% 3.4%PZ 8.9% 3.4%NB 8.7% 3.6%GUARANTY 8.4% 12.7% 3.5% 27.19%UBA 8.2% 3.5%PRESCO 8.0% 2.9%DIAMONDBNK 7.6% 3.2%ACCESS 7.4% 3.2%UNILEVER 5.9% 2.9%
ETI 57.3% 10.1% 3.4% 66.43%DNMEYER 26.0% 8.6% 2.7%CAP 4.0% 12.2% 3.0% 6.38%NIG-GERMAN 0.0%CCNN 13.7% 3.4%FIDELITYBK 13.1% 3.5%7UP 12.8% 3.2%FIRSTBANK 12.5% 3.7%JBERGER 12.5% 3.3%ECOBANK 12.4% 3.4%GUINNESS 10.8% 3.3%DANGSUGAR 10.8% 3.6%OANDO 10.8% 3.5%TOTAL 10.7% 3.4%AP 10.5% 3.3%NESTLE 10.4% 3.5%ZENITHBANK 10.3% 3.6%WAPCO 9.7% 3.3%SKYEBANK 8.0% 3.0%
Unclassifed OKOMUOIL
Large Capitalisation, Market Related Value
Large Capitalisation, Income
Large Capitalisation, Growth
Large Capitalisation, Book Value
Performance presentation
Returns and Risk Performance Attribution
MM 0.00%
Equity 100.00%
Recommended Actual
(%) Return explained by NSE Movements 12.86% 29.43%Correlation with NSE Returns 35.9% 54.2%
Beta 0.35 0.90 Total risk - Portfolio 0.92% 1.54%Total risk NSE Index 0.93% 0.93%
Return (Portfolio) 11.51% 22.62%Return (NSE Index) 19.67% 19.67%
Risk free rate 5.00% 5.00%Risk Adjusted Return (Portfolio) 7.11 11.46
Risk Adjusted Return (NSE Index) 15.83 15.83
Portfolio Index Differences in Weights Port Risk Actual (X >
Recommended)Actual vs (X >
NSE) Recommended
(X> NSE)
4.52 4.68 0.59 BANKING 73.68% 28.87% 44.81% FOOD/BEV. & TOBACCO 11.91% 11.34% 0.57% BREWERIES 5.26% 13.61% -8.35% BUILDING 8.94% 31.67% -22.73% AUTOMOBILE & TYRE 0.02% 0.01% 0.01% INSURANCE 0.14% 1.43% -1.30% MARITIME 0.03% 0.06% -0.03% CONGLOMERATES 0.02% 4.30% -4.28% PACKAGING 0.00% 0.36% -0.36% OTHER FINANCIAL INSTITUTIONS 0.01% 0.13% -0.12%
100.0% 91.3% 8.7% Contributions Returns Risk
Fund PositionIndex
PositionSector Allocation
ReturnSecurity Selection
Allocation / Selection
Interaction
Total Contribution
% Risk Contribution
BANKING -8.51% -5.52% -7.72% 2.18% 3.39% -2.15% 30.18%FOOD/BEV. & TOBACCO 3.34% 0.25% 0.02% 2.93% 0.15% 3.10% 46.38%BREWERIES 1.46% 2.49% -0.16% 1.29% -0.79% 0.34% 6.91%BUILDING 1.42% 1.27% -1.34% 3.75% -2.69% -0.28% 3.43%AUTOMOBILE & TYRE 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.02%INSURANCE 0.00% 0.02% -0.04% -0.05% 0.04% -0.04% 0.17%MARITIME -0.01% -0.02% 0.01% 0.00% 0.00% 0.01% 0.00%CONGLOMERATES 0.02% 0.53% -0.61% 4.03% -4.01% -0.59% 12.85%PACKAGING 0.00% 0.00% 0.00% 0.05% -0.05% 0.00% 0.06%OTHER FINANCIAL INSTITUTIONS 0.00% 0.00% 0.00% -0.01% 0.01% 0.00% 0.00%
Portfolio Total -2.29% -0.98% -9.84% 14.18% -3.96% 0.38% 2.11%
Portfolio NSE Difference True return -2.29% -1.88% -0.40%
SECTOR PERFORMANCES (REBASED: UN-WEIGHTED) IDENTIFIED WITHIN A SINGLE PORTFOLIO
31-Dec-09 16-Feb-10 6-Apr-10 24-May-10 8-Jul-10 23-Aug-10 11-Oct-10 26-Nov-10 14-Jan-11 2-Mar-11 15-Apr-11 7-Jun-11
-50.0%
0.0%
50.0%
100.0%
150.0%
200.0%
250.0%
300.0%
BANKINGFOOD/BEV. & TOBACCOBREWERIESBUILDINGAUTOMOBILE & TYREINSURANCEMARITIMECONGLOMERATESPACKAGING
31-Dec-09 16-Feb-10 6-Apr-10 24-May-10 8-Jul-10 23-Aug-10 11-Oct-10 26-Nov-10 14-Jan-11 2-Mar-11 15-Apr-11 7-Jun-11
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%BANKINGFOOD/BEV. & TOBACCOBREWERIESBUILDINGAUTOMOBILE & TYREINSURANCEMARITIMECONGLOMERATESPACKAGINGOTHER FINANCIAL INSTITUTIONS
SECTOR PERFORMANCES (REBASED AND WEIGHTED) IDENTIFIED WITHIN A SINGLE PORTFOLIO FOR PERFORMANCE PRESENTATION
Equity (OLS) Beta Reversion modeling
Optimisation for Asset Allocation via Monte Carlo
Multifactor Pricing confirmation
Modeling Principal Component Analysis for Nigerian Treasuries with Singular Value Decomposition in VBA Algorithm
PC1 = Yield Curve Level
PC2 = Yield Curve Slope
PC2 = Yield Curve Maturity
Fundamentals screen in “quick” sheets….Company Based on Prices for 17-Feb-11 ZENITHBANK FIRSTBANK GUARANTY UBA NB OKOMUOIL Average
Latest price (N) Latest price (N) 15.66 16.00 19.60 0.53 77.00 14.60 17.09Share performance YTD (%) Share performance YTD (%) 4.3% 16.5% 10.4% 15.1% -0.1% -3.9% 10.4%
Market Capitalisation Mkt cap (N’bn) 616.95 522.11 457.02 272.39 582.32 6.96 532.03Trailing Price to Earnings P/E (x) 12.33 12.49 13.29 79.54 n/a 5.76 12.70
Trailing Dividend Yield DY (%) 2.87 0.65 5.15 0.97 3.44 2.06 2.89Trailing Price to Book P/BV (x) 13.96 12.35 10.62 8.66 6.78 10.31 12.31
Forward Price to Earnings FWD P/E (x) 7.66 7.62 10.09 15.67 15.48 21.96 8.45Forward Price to Book FWD P/BV (x) 2.47 1.52 2.24 0.63 35.24 1.97 2.08
Forward Dividend Yield FWD DY (%) 7.84 7.87 5.98 3.89 6.51 4.55 7.23Latest Earnings E (x) 0.66 0.10 1.02 0.09 3.69 2.53 0.59
Forward Earnings E FWD (x) 0.02 0.02 0.02 0.01 0.05 0.01 0.02Latest Dividend D (Y) 0.45 0.10 1.00 0.10 2.65 0.30 0.52
Forward Dividend D FWD 1.23 1.21 1.16 0.40 5.02 0.66 1.20Market Implied One Period Div Growth Market Implied One Period Div Growth 172.8% 1109.0% 16.0% 301.8% 89.3% 121.1% 432.6%
Market Implied Cost of Equity Market Implied Cost of Equity 14.97% 14.15% 15.63% 16.44% 15.23% 7.17% 14.9%Book Value Per Share BVPS (N) 1.12 1.24 1.83 1.19 11.36 1.41 1.402009 Dividend Payout 2009 Dividend Payout 0.0% 102.3% 98.4% 108.9% 71.8% 11.9% 66.9%
2010E Dividend Payout 2010E Dividend Payout 60.0% 60.0% 60.3% 60.9% 100.9% 100.0% 60.1%2009 Return on Equity [ROE] 2009 Return on Equity [ROE] 15.0% 3.6% 17.7% 21.1% 79.7% 17.2% 12.1%
2010E Return on Equity [ROE] 2010E Return on Equity [ROE] 10.2% 14.1% 22.7% 10.5% 60.2% 16.6% 15.7%Volatility of ROE Volatility of ROE 31.8% 287.0% 28.4% 50.3% 24.5% 3.5% 115.7%
Loss Correlations Downside Correlation with NSEASI 0.09 0.34 0.42 0.40 0.31 N/A 0.28Total Risk Total Risk 2.03% 2.23% 2.28% 2.77% 2.47% 1.84% 2.18%
Sharpe Ratio (Risk Adjusted Return) 2.13 7.41 4.55 5.45 (0.05) (2.14) 4.69Risk Adjusted Return - rank Risk Adjusted Return - rank 4 1 3 2 5 6 3
Actual 2010 Growth 14.99% -0.08% 0.28% -1.89% 22.48% 15.19% 5.06%Estimate 2011E Growth 4.1% 5.6% 9.0% 4.1% -0.5% 0.0% 6.25%Estimate Compound Growth Rate (2Yr) 10.4%
Last Trade Deals 295 642 414 199 108 10Last Traded Volume 4,417,780 23,234,760 12,122,850 19,960,460 360,271 40,140Last Average Traded Value 234,516.73 579,059.44 573,932.03 1,056,199.22 256,859.88 58,604.40This week's position -1.88% Loss 3.69% Gain 0.72% Gain 1.25% Gain 0% Flat -4.76% Loss
Mutual Fund/ Investment Advisory Aids…
RETURNS BASED STYLE ANALYSIS OF NIGERIAN MUTUAL FUNDS
Asset Class Selection / Comparative Performance
Asset Class Selection /Comparative Performance
The risk adjusted performance of the
portfolio in slide 14 is less than these assets
Asset Class Selection /Comparative Performance
Asset Class Selection /Comparative Performance
Select Portfolio with 25% bonds is superior on risk adjusted basis
Mutual Funds/Individual Securities PortfoliosMutual Fund Ratings
ARM ETHICAL ARM AGRESSIVEARM
GROWTH NSE All ShareCost 2.50% 3.13% 3.42% 1.94%
Return -10.61% -12.32% -5.94% -25.01%Standard Deviation 6.52% 4.00% 4.51% 9.28%
Sharpe - 2.394 - 4.329 - 2.427 - 3.236 Sortino - 0.416 - 0.483 - 0.429 -
Treynor Ratio - 0.168 - 0.207 - 0.093 - Information Ratio - 1.537 - 1.784 - 0.861 -
Beta 0.633 0.596 0.636 - True Return -13.11% -15.45% -9.37% -26.95%
Value (Based on True Return) - 2.777 - 5.111 - 3.187 - 3.445
3 1 6 0
Variable Explanatory Power
Classes 9: out of 17
Risk Free Rate 85.00% Begin Value 250,000,000.00 Inflation 57.50% End Value 268,113,951.39 Target No.Years 7
Interest Rates 27.50% Income 16,244,444.44 Gross Monthly Income 1,353,703.70GDP Growth 10.00% Expected Growth% 0.75% Excess Available for Liquidation/ Reinvestment 2,504,532.99
Income% 6.50% Barrier/ Potential Annuity 3,858,236.69Residuals Explained 71.260% Standard Deviation (±) 9.31% 9.31% Target Annual Income 25,000,000.00
Residuals Unexplained 28.740% Portfolio Variance 0.009 PV at current inflation rate (11.75% p.a ) 16,655,926.55Portfolio Sharpe 0.2413
Summary of roles I can assume…
• Front Office/ Sales support• Market & Credit Risk Reporting• Fundamental, Technical & Quantitative Analysis • Quantitative and Technical Trading Strategies • Equity/Fixed Income Portfolio Optimisation• Product development• Performance Presentation
It’s the End of the Slideshow…
Thanks for Viewing it!
Email: [email protected]; [email protected]
Mobile: +234 (0)803 284 8496Skype: Muttalib8
