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  • 1. An unconventional tour of My ResumeTalib Garba

2. I have developed these from MS Excel based models and collated data to demonstrate value from my experience through this presentation 3. Market Conditions, Portfolio/TradingStrategy & Equity Risk Management 4. I created an auto-updating model using historical NSEASi index levels to express volatilityin 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 volatilityis strongly correlated with implied volatilities of peer emerging markets indices where equity derivatives trade10D EWMA VolatilityNigerian AllShare Index 5. Sector trends I created this model to help rank sector volume trendsthrough 60-trading days and better our otherwise snapshotview of sector dominance 6. Appraising Market Conditions for Mandate ExecutionThese charts help describe (with averagetrading positions and trading frequencies) thechallenges of execution given trading liquidity issues per stock. The supporting model optimises allocation based on these factors modelled over a historic timeframe 7. Modeling & Back-testing Trading Arbitrage Portfolio strategies Portfolio vs. indextrading bull & bear pay-offs Index vs. portfolio trends Back-tested Portfolio allocation weights based on eitherminimising VaR, downsiderisk, liquidity or co-integrationPortfolio VaR and expected shortfall based on 95% Confidence levelSample portfolio tested against sample market momentumActive Risk Squared, information ratio and Tracking Error Volatility reported herevariables, beta and unexplained factors in OLS regression 8. Stock market Trade Dynamics and Technical Analysis 7,000700.00 Millions 6,000600.00 5,000500.00 4,000400.00 3,000300.00 2,000200.00 1,000100.00- -BANKING 9. Credit Analysis of Money MarketCounterparties/Debt instruments & Risk Management 10. Counterpart credit appraisal and money market allocation. 11. Z-Scores above 3.00offers comfort over the projected horizon (1 year) 12. SURVIVORSHIP AND CREDIT LOSS ESTIMATION FOR RATED BONDS/ COUNTERPARTIES95% CONFIDENCE LEVEL FOR LARGELY 95% CONFIDENCE LEVEL FOR LARGELYA RATED CREDITSCCC RATED CREDITS 13. DEFAULT CORRELATIONS, RATINGS EXPECTATIONS /PROJECTIONS & CREDIT VAR AB C A 1.000 B 0.067 1.000 C -0.775 -0.2581.000 TermCredit Ratings Expectations /ProjectionsA7AaA AaAaAa Aa Aa AaB2BaBaC 10 BaaABaaAaAa Aa Aa Aa Aa Aa AaNotional 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 1753.43% 1.42%C5 7.99% 2.93% 6.25%1.60% 1.21%0.85%0.54% 0.36% 0.22% 0.07%0.00% 14. CREDIT LOSS PROJECTIONS AND CREDIT EXPOSURES USING CREDIT TRANSITION MATRICES AND FORECASTYear 01 2 3456 7 8 9 10Expected Credit Loss (Nm) onNone0.00 0.00 0.00 0.00 0.00 0.00 0.000.000.000.000.00A 0.64 0.85 0.41 0.26 0.17 0.10 0.030.000.000.000.00B 5.43 2.35 0.00 0.00 0.00 0.00 0.000.000.000.000.00C 0.38 0.07 0.17 0.05 0.04 0.03 0.020.020.010.000.00position A,B0.11 0.05 0.00 0.00 0.00 0.00 0.000.000.000.000.00 A,C0.06 0.03 0.03 0.00 0.00 0.00 0.000.000.000.000.00 B,C0.49 0.07 0.00 0.00 0.00 0.00 0.000.000.000.000.00A,B,C 0.01 0.00 0.00 0.00 0.00 0.00 0.000.000.000.000.00E[CL] 7.12 3.42 0.61 0.32 0.22 0.14 0.050.020.010.000.00None 0.000 0.0000.0000.0000.0000.0000.000 0.000 0.000 0.000 0.000 Naira (Nm) Value Credit VaRA 44.360 52.439 50.95749.437 48.088 46.910 45.902 0.000 0.000 0.000 0.00B 169.565 170.837 0.0000.0000.0000.0000.000 0.000 0.000 0.000 0.00C0.000 0.0002.6453.1963.5753.9064.194 4.441 4.654 4.841 0.00 A,B 0.000 0.0000.0000.0000.0000.0000.000 0.000 0.000 0.000 0.00 A,C 0.000 0.0000.0000.0000.0000.0000.000 4.457 4.665 4.844 0.00 B,C 0.000 0.0000.0000.0000.0000.0000.000 4.457 4.665 4.844 0.00A,B,C0.000 0.0000.0000.0000.0000.0000.000 4.457 4.665 4.844 0.00 NCVaR 213.93 223.28 53.60 52.6351.6650.8250.1017.81 18.65 19.37 0.00 15. OPTION ADJUSTED SPREAD FOR CORPORATE BOND PRICING (TREASURY BENCHMARK REFERENCE) 14.50% COUPON, CALLABLE ISSUE YieldOption OAS/Option Curve Z-Spread OASCostCost Shift -500.0 1398.7 -158.3 1557.00.10 -400.0 1298.7 -58.31357.00.04 -300.0 1198.7 41.7 1157.00.04 -200.0 1098.7 141.7957.0 0.15 -100.0 998.7241.7757.0 0.320.0 898.7341.7557.0 0.61 100.0798.7841.7-43.019.59 200.0698.7741.7-43.017.27 300.0598.7641.7-43.014.94 400.0498.7541.7-43.012.61 500.0398.7441.7-43.010.28 1000.0 -101.3 -658.3 557.0 1.18 16. ALLOCATION OF MONEY MARKET PLACEMENTS BY COUNTERPARTY CREDITSCORERATIONALISED BY INTERNAL, EXTERNAL RATING AGENT AND PREDICTED DEFAULT RISK FROM THE ALTMAN Z-SCORE STRUCTURAL MODEL 17. MODELING MARKET CONDITIONS OF FI MARKET DEFAULT RISK 18. Security/Fund Selection, Performance presentation,Portfolio Risk & Return Attribution &Portfolio Optimisation 19. PREDICTED FUNDAMENTAL FACTORS AND CONFIRMATION THROUGH OLS REGRESSIONSIncome (%Value In (AuditedSize (% Growth In IncomeEarnings To Price (% Contributed Value To MarketContributed Past Period Class Stock (% Contributed By Contributed By By Stock To Price (% By Stock ToReturns Stock To Total)Stock To Total)Total)Contributed By Total)MOBIL 9.4% 3.4%ASHAKACEM 9.3% 3.4%FCMB9.2% 3.5%UACN9.1% 3.4%PZ8.9% 3.4%NB8.7% 3.6%Large Capitalisation, IncomeGUARANTY8.4%12.7%3.5% 27.19%UBA 8.2% 3.5%PRESCO8.0% 2.9%DIAMONDBNK7.6% 3.2%ACCESS7.4% 3.2%UNILEVER5.9% 2.9% ETI57.3%10.1% 3.4% 66.43% DNMEYER26.0%8.6%2.7%Large Capitalisation, Growth CAP4.0%12.2%3.0% 6.38% NIG-GERMAN 0.0% CCNN 13.7%3.4% FIDELITYBK 13.1%3.5% 7UP12.8%3.2% Large Capitalisation, Book FIRSTBANK12.5%3.7% Value JBERGER12.5%3.3% ECOBANK12.4%3.4% GUINNESS 10.8%3.3% DANGSUGAR 10.8% 3.6% OANDO 10.8% 3.5% TOTAL 10.7% 3.4%Large Capitalisation, Market AP10.5% 3.3% Related Value NESTLE10.4% 3.5% ZENITHBANK10.3% 3.6% WAPCO 9.7%3.3% SKYEBANK8.0%3.0%UnclassifedOKOMUOIL 20. Performance presentation 21. Returns and Risk Performance Attribution MM 0.00%Equity 100.00%RecommendedActual(%) Return explained by NSE Movements 12.86% 29.43%Correlation with NSE Returns 35.9% 54.2%Beta0.350.90 Total risk - Portfolio0.92% 1.54% Total risk NSE Index0.93% 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) 7.1111.46Risk Adjusted Return (NSE Index) 15.8315.83 Port RiskActual (X > Actual vs (X > Recommended PortfolioIndex Differences in WeightsRecommended)NSE) (X> NSE) 4.524.680.59BANKING 73.68%28.87% 44.81%FOOD/BEV. & TOBACCO 11.91%11.34%0.57%BREWERIES5.26%13.61% -8.35%BUILDING 8.94%31.67%-22.73%AUTOMOBILE & TYRE0.02% 0.01%0.01%INSURANCE0.14% 1.43% -1.30%MARITIME 0.03% 0.06% -0.03%CONGLOMERATES0.02% 4.30% -4.28%PACKAGING0.00% 0.36% -0.36%OTHER FINANCIAL INSTITUTIONS 0.01% 0.13% -0.12%100.0%91.3% 8.7%ContributionsReturns Risk Allocation /Index Sector AllocationTotal% Risk Fund Position Security Selection Selection PositionReturn ContributionContribution InteractionBANKING -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%BUILDING1.42% 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 INSTITUTIONS0.00% 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 NSEDifferenceTrue return -2.29%-1.88% -0.40% 22. SECTOR PERFORMANCES (REBASED: UN-WEIGHTED) IDENTIFIED WITHIN A SINGLEPORTFOLIO31-Dec-09 28-Jun-10 20-Dec-10 17-Jun-11300.0% BANKING FOOD/BEV. & TOBACCO250.0% BREWERIES BUILDING AUTOMOBILE & TYRE INSURANCE200.0% MARITIME CONGLOMERATES PACKAGING150.0%100.0%50.0%0.0%-50.0% 23. SECTOR PERFORMANCES (REBASED AND WEIGHTED) IDENTIFIED WITHIN A SINGLEPORTFOLIO FOR PERFORMANCE PRESENTATION31-Dec-09 28-Jun-1020-Dec-10 17-Jun-11BANKING 40.0%FOOD/BEV. & TOBACCOBREWERIESBUILDINGAUTOMOBILE & TYREINSURANCE30.0%MARITIMECONGLOMERATESPACKAGINGOTHER FINANCIAL INSTITUTIONS 20.0% 10.0% 0.0% -10.0% -20.0% 24. Equity (OLS) Beta Reversion modeling 25. Optimisation for Asset Allocation via Monte Carlo 26. Multifactor Pricing confirmation 27. Modeling Principal Component Analysis for Nigerian Treasuries with Singular Value Decomposition in VBA Algorithm PC1 = Yield Curve Level PC2 = Yield Curve SlopePC2 = Yield Curve Maturity 28. Fundamentals screen in quick sheets. Company Based on Prices for 17-Feb-11 ZENITHBANK FIRSTBANKGUARANTY UBANBOKOMUOILAverageLatest price (N)Latest price (N) 15.66 16.0019.60 0.5377.00 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 (Nbn) 616.95 522.11457.02 272.39 582.32 6.96532.03 Trailing Price to Earnings P/E (x) 12.33 12.49 13.2979.54 n/a5.7612.70Trailing Dividend Yield DY (%) 2.870.655.15 0.973.442.06 2.89 Trailing Price to Book P/BV (x)13.96 12.35 10.62 8.666.78 10.3112.31Forward Price to Earnings FWD P/E (x)7.667.62 10.0915.67 15.48 21.96 8.45Forward Price to Book FWD P/BV (x) 2.471.522.24 0.63 35.241.97 2.08 Forward Dividend Yield FWD DY (%) 7.847.875.98 3.896.514.55 7.23Latest Earnings E (x)0.660.101.02 0.093.692.53 0.59Forward EarningsE FWD (x)0.020.020.02 0.010.050.01 0.02Latest Dividend D (Y)0.450.101.00 0.102.650.30 0.52Forward DividendD FWD1.231.211.16 0.405.020.66 1.20Market Implied One Period Div GrowthMarket 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 Equity14.97% 14.15% 15.63% 16.44%15.23% 7.17%14.9% Book Value Per Share BVPS (N) 1.121.241.83 1.19 11.361.41 1.40 2009 Dividend Payout 2009 Dividend Payout0.0%102.3%98.4% 108.9% 71.8% 11.9%66.9% 2010E Dividend Payout2010E Dividend Payout 60.0% 60.0% 60.3% 60.9% 100.9%