Transcript Slide 1

EpiCosmos™
Global Strategy Folios
Διεθνή Χαρτοφυλάκια βάσει Επενδυτικών Στρατηγικών
Epic ΑΕΠΕΥ
Institutional-Quality Investment Portfolios
Επενδυτικά Χ/Φ για Θεσμικούς & Επαγγελματίες Επενδυτές*
Expressly brought to you from a Certified Investment Advisor
Διάθεση μόνο μέσω Πιστοποιημένων Συμβούλων Επενδύσεων
EpiCosmos ™ Investment Folios are based on DFA Funds
Με βάση τα Θεσμικά Αμοιβαία Κεφάλαια της DFA Funds
ΑΝΟΙΞΗ 2012
New EpiCosmos ™ Global Strategy Folios
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What kind of investing is it
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Τι είδους επένδυση είναι τα EpiCosmos ™
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Where does it invest
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Που επενδύουν τα EpiCosmos ™
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Who is the investment manager
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Ποιός είναι ο Διαχειριστής Επενδύσεων
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When is it reviewed for change
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Πόσο συχνά αναδιαρθρώνονται
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How much does it cost
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Πόσο κοστίζουν οι συμβουλές
Πόσο κοστίζει η διαχείριση
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Our Investment Advisory Pledge
Η δήλωση/δέσμευση της Epic ΑΕΠΕΥ
Scientific (risk factor, asset class) Investing
Επιστημονικά τεκμηριωμένη διαχείριση Χ/Φ βάσει των διαχρονικών
αποδόσεων των κινδύνων από τις επενδυτικές κλάσεις παγκοσμίως
Our Investment Philosophy, Principles and Process
Επενδυτική Φιλοσοφία, Αρχές, Διαδικασία Διαχείρισης Επενδύσεων
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Strategy-based Portfolio Investments
Διεθνής Επενδυτική Στρατηγική
Regional/International/Global
Περιφερειακά, Διεθνώς, Παγκοσμίως
Institutional – type, low cost funds
Θεσμικός με Α/Κ χαμηλού κόστους
Rebalancing at least once a year
Τριμηνιαία ή τουλάχιστον ετησίως
0.50% advice, up to 0.50% TER funds
0.50% ετησίως επί της ΚΑ του Χ/Φ
0.25% έως 0.75% επί του ΚΕ του Α/Κ
New EpiCosmos ™ Global Strategy Folios
Investment Advisory Pledge
Δήλωση Συμβολής Επενδυτικού Συμβούλου
An advisor can help you understand investment concepts
Ο Σύμβουλος
μπορεί να εξηγήσει επενδυτικές ιδέες
diversify investments globally
διαρθρώσει το Χ/Φ παγκοσμίως
maintain investment discipline
διατηρήσει επενδυτική πειθαρχία
keep investment costs low
διακρατήσει κόστη πολύ χαμηλά
preserve your wealth in capital
διαφυλάξει επενδυτικά κεφάλαια
Charge you
Χρεώνει
a fee rather than a commission
βάσει αξίας και όχι συναλλαγών
Provide you
Παρέχει
independent investment solutions
ανεξάρτητες επενδυτικές λύσεις
Allow you
Επιτρέπει
access to asset class investing
πρόσβαση στην επαγγελματική διαχείριση
χαρτοφυλακίων βάσει επενδυτικών κλάσεων
New EpiCosmos ™ Global Strategy Folios
Scientific Investment Concepts
Έννοιες Επιστημονικής Διαχείρισης Επενδύσεων
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Markets work by allocating risks το to factors that earn returns over various horizons
Οι Κεφαλαιαγορές επιτρέπουν τη διασπορά σε κινδύνους με διαφορετικό ορίζοντα
Returns run from low levels (cash) to high levels (equities)
Κέρδη κειμένονται από χαμηλά (ρευστά - κοντινά) έως υψηλά (μετοχές - μακρινά)
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Risks rewarded are identified as follows: Κίνδυνοι που εξηγούν τις αποδόσεις είναι
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–
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capitalization Κεφαλαιοποίηση
= small to large size companies
price/valuation Αποτίμηση
= low (value) to high (growth)
BONDEBTS duration Διάρκεια
= short ( up to 3yrs) to long
credit quality Πιστοληπτική θέση = high (good) to low (junk)
COMMON liquidity, volatility, momentum
= all 3 range from low to high
Ρευστότητα, Διακύμανση/Μεταβλητότητα, Δυναμική Αποδόσεων
EQUITIES
Loss suffering worse than missing returns for investors
Απώλεια κεφαλαίων χειρότερη από την απώλεια αποδόσεων για τον επενδυτή
Portfolio Allocation = Diversification = Investment Policy
Διασπορά Χ/Φ = Διάρθρωση = Επενδυτική Πολιτική (η πιο σημαντική απόφαση)
Portfolio Selection = Structure = Investment Strategy
Επιλογές Χ/Φ = Δομή = Επενδυτική Στρατηγική (όλες οι πιο σημαντικές επιλογές)
Trade Timing = Risk Rebalancing = Investment Tactics
Χρονισμός Χ/Φ = Αναδιάρθρωση Κινδύνου = Επενδυτική Τακτική (αναδιάρθρωση)
Cost Control = can increase investment returns over time
Έλεγχος εξόδων διαχείρισης Χ/Φ = αυξάνει συστηματικά τις αποδόσεις διαχρονικά
New EpiCosmos ™ Global Strategy Folios
INVESTMENT PRINCIPLES Επενδυτικές Αρχές
Diversification Διασπορά
Market Efficiencies Αποτελεσματικότητα των Αγορών
Risk/Return relationship Σχέση Απόδοσης / Κινδύνου
Long term investment principle Μακροπρόθεσμοι Ορίζοντες
Investment expense/cost considerations Χαμηλά Κόστη Διαχείρισης
Investment Theory & Practice = MPT, CAPM, OT Θεωρία & Πρακτική
abc Active-Benchmark-Class = Investment Management Επενδυτικές Φιλοσοφίες
Ενεργή, Παθητική (Δείκτη), Κλασική (Κατηγοριοποιημένη βάσει κλάσεων)
Investment Principles = Investment Philosophy = Investment Process
Επενδυτικές Αρχές = Επενδυτική Φιλοσοφία = Επενδυτική Διαδικασία
New EpiCosmos ™ Global Strategy Folios
INVESTMENT PHILOSOPHY ΕΠΕΝΔΥΤΙΚΗ ΦΙΛΟΣΟΦΙΑ
5
long (time, diversification, small, value, liquidity)
Θέσεις μακροπρόθεσμες, με διασπορά σε μικρές, φθηνές, εύκολα ρευστοποιήσιμες αξίες
4
even
(Policy = Asset Allocation) ΠΟΛΙΤΙΚΗ
(Strategy = Security Selection) ΣΤΡΑΤΗΓΙΚΗ
(Tactics = Trade Timing) ΤΑΚΤΙΚΗ
(Optimization = Risk vs. Return) ΒΕΛΤΙΣΤΟΠΟΙΗΣΗ
3
short (volatility, momentum, irrational behavior)
Μακριά από διακυμάνσεις (μεταβλητότητα), δυναμική, μη ορθολογική συμπεριφορά
2
Investing = flexible but disciplined process
Επένδυση = ευέλικτη αλλά πειθαρχειμένη διαδικασία
1
You and the market = must be one
Ταύτιση Επενδυτή & Αγορών
New EpiCosmos ™ Global Strategy Folios
Investment Process Επενδυτική Διαδικασία
1. Markets work the way they do for your Asset (Allocation) Class (Investing) always
Οι Αγορές συμπεριφέρονται με τον τρόπο τους που επιβάλλει τη διασπορά Χ/Φ
2. Investing is not like speculative trading and must limit non-systematic risks
Επένδυση, χωρίς κερδοσκοπία και χαμηλό ειδικό, μη συστηματικό κίνδυνο
3. Rational behavior is required to control Fear and get Clarity, Power, Wisdom
Ορθολογική συμπεριφορά απαιτείται για τον καλύτερο έλεγχο του όποιου φόβου
με σκοπό την καλύτερη σαφήνεια, εξουσία και σοφία επί επενδυτικών θεμάτων
4. Some investment risks are worth taking and can be assumed in the portfolio
Κάποιοι επενδυτικοί κίνδυνοι αξίζουν όταν προσφέρουν ‘λογικές’ αποδόσεις
5. Investment strategy and folio structure
Στρατηγική & Δομή πάντοτε
6. Smart trading can offer return rewards
‘Εξυπνες’ συναλλαγές και μόνο
7. Cost discipline pays off ceteris paribus
Η φθηνή διαχείριση προτιμάται
8. Long term horizons required for returns
Μακρο-ορίζοντες απαιτούνται
EpiCosmos™ folios: global strategy (risk model) based investments
Εpic Επενδυτικές Υπηρεσίες ΑΕΠΕΥ
Εσπέρου 96, 14564 Κηφισιά
Τηλ: 210 7798510 Φαξ: 210 7777621 email:[email protected] Δικτυακός τόπος:www.epic.gr
Disclaimers
Copyright DFA 2011. Unpublished. All rights reserved. This information may only be used for internal use, may not
be reproduced or re-disseminated in any form and may not be used to create any financial instruments or products
or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire
risk of any use it may make or permit to be made of this information. Without limiting any of the foregoing, in no
event shall DFA, any of its affiliates or any other person involved in or related to compiling, computing, or creating
this information have any liability for any direct, indirect, special, incidental, punitive, consequential, or any other
damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the
possibility of such damages.
Copyright MSCI 2011. Unpublished. All rights reserved. This information may only be used for internal use, may not
be reproduced or re-disseminated in any form and may not be used to create any financial instruments or products
or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire
risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates, nor any other
person involved in or related to compiling, computing or creating this information makes any express or implied
warranties or representations with respect to such information or the results to be obtained by the use thereof, and
MSCI, its affiliates, and each such other person hereby expressly disclaims all warranties (including, without
limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and
fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event
shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing, or creating this
information have any liability for any direct, indirect, special, incidental, punitive, consequential, or any other
damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the
possibility of such damages.
US Large Cap Returns
1996-2010
Annualized Compound Return (%)
16
14
S&P 500 Index
6.76
CRSP 1-10 Index
7.18
Morningstar Fund Average
6.63
Annualized Compound Returns (%)
12
10
CRSP 1-10 Index
S&P 500 Index
8
Morningstar Fund Average
6
4
2
0
0
25
50
75
100
125
150
175
200
225
250
275
300
325
350
375
400
425
450
Number of Funds
Source: Morningstar data provided by Morningstar Inc. Includes all Morningstar US large cap funds with fifteen-year returns, distinct portfolios only, as of
December 31, 2010. The S&P data are provided by Standard & Poor’s Index Services Group. CRSP data provided by the Center for Research in Security Prices,
University of Chicago.
Indexes are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio.
Past performance is not a guarantee of future results. Values change frequently and past performance may not be repeated. There is always the risk that an
investor may lose money.
475
The Capital Asset Pricing Model … provides the paramount reason to diversify
William Sharpe: Nobel Prize in Economics, 1990
Total Equity Risk
Unsystematic Risk is:
• Specific to firm or industry (lawsuit, fraud, etc.).
• Diversifiable by investors.
Company
Risk
• Not compensated to investors.
• Targeted by speculators
Unsystematic
Industry
Risk
Systematic Risk is:
• Market-wide, affects all firms (war, recession, inflation, etc.).
Market Risk
Systematic
• Non-diversifiable by investors.
• Compensated to investors.
• Measured by the beta factor.
Beta measures volatility relative to the total market. A beta higher than the market’s beta of 1 implies more volatility, and a beta lower than the market’s implies less volatility.
Portfolio Strategy = Portfolio Structure determines Performance
96% Structured
Exposure to Factors.
• Market.
• Size.
• Value/Growth.
• Over 96% of the variation in returns is
due to risk factor exposure.
• After fees, traditional management
typically reduces returns.
4% Unexplained Variation
THE MODEL TELLS THE DIFFERENCE BETWEEN INVESTING AND SPECULATING
average
expected
return
[minus T-bills]
=
average
excess
return
+
sensitivity
to market
[market return
minus T-bills]
+
sensitivity
to size
[small stocks
minus big stocks]
+
sensitivity
to BtM
+
[value stocks
minus growth]
random
error
e(t)
Priced Risk
Un-priced Risk
• Positive expected return.
• Noise.
• Systematic.
• Random.
• Economic.
• Short-term.
• Long-term.
• Speculating.
• Investing.
Source: Dimensional Fund Advisors study (2002) of 44 institutional equity pension plans with $452 billion total assets.
Factor analysis run over various time periods, averaging nine years. Total assets based on total plan dollar amounts as of year end 2001.
Average explanatory power (R2) is for the Fama/French equity benchmark universe.
Five Factors Help Determine Expected Return
Annual Average Returns
1927–2010
8.04%
4.90%
3.75%
2.11%
0.30%
Market
Factor
Size
Factor
BtM
Factor
Maturity
Factor
Default
Factor
All Equity
Universe
minus T-Bills
Small Stocks
minus
Large Stocks
High BtM
minus
Low BtM
LT Govt.
minus
T-Bills
LT Corp.
minus
LT Govt.
Equity factors provided by Fama/French. Fixed factors provided by Ibbotson Associates.
Indices are not available for direct investment. Their performance does not reflect the
expenses associated with the management of an actual portfolio.
The Risk Dimensions Delivered
July1926–December 2010
US Value vs. US Growth
US Small vs. US Large
Value beat growth 100% of the time.
Small beat large 96%
97% of the time.
Value beat growth 100% of the time.
Small beat large 83%
88% of the time.
Value beat growth 99%
95% of the time.
Small beat large 78%
82% of the time.
Value beat growth 96%
91% of the time.
Small beat large 68%
75% of the time.
Value beat growth 86%
82% of the time.
Small
thethe
time.
Smallbeat
beatlarge
large60%
59%ofof
time.
OVERLAPPING PERIODS
Periods based on rolling annualized returns. 715 total 25-year periods. 775 total 20-year periods.
835 total 15-year periods. 895 total 10-year periods. 955 total 5-year periods.
Performance based on Fama/French Research Factors. Securities of small companies are often less liquid than those of large companies.
As a result, small company stocks may fluctuate relatively more in price. Mutual funds distributed by DFA Securities LLC.
The Risk Dimensions Delivered
January 1975–December 2010
January 1970–December 2010
International Value vs. International Growth
International Small vs. International Large
OVERLAPPING PERIODS
Value beat growth 100% of the time.
Small
Smallbeat
beatlarge
large100%
100%of
ofthe
thetime.
time.
Value beat growth 100% of the time.
Small
Smallbeat
beatlarge
large100%
97% of
of the
the time.
time.
Value beat growth 100% of the time.
Smallbeat
beatlarge
large84%
82%of
ofthe
thetime.
time.
Small
Value beat growth 100% of the time.
Small
Smallbeat
beatlarge
large76%
78%of
ofthe
thetime.
time.
Value beat growth 98% of the time.
Small
Smallbeat
beatlarge
large75%
78%of
ofthe
thetime.
time.
Based on rolling annualized returns. Rolling multi-year periods overlap and are not independent. This statistical dependence must be considered when
assessing the reliability of long-horizon return differences.
International Value vs. International Growth data: 133 overlapping 25-year periods. 193 overlapping 20-year periods. 253 overlapping 15-year periods. 313
overlapping 10-year periods. 373 overlapping 5-year periods. International Small vs. International Large data: 193 overlapping 25-year periods. 253
overlapping 20-year periods. 313 overlapping 15-year periods. 373 overlapping 10-year periods. 433 overlapping 5-year periods. International Value and
Growth data provided by Fama/French from Bloomberg and MSCI securities data. International Small data compiled by Dimensional from Bloomberg,
StyleResearch, London Business School, and Nomura Securities data. International Large is MSCI World ex USA Index gross of foreign withholding taxes
on dividends; copyright MSCI 2011, all rights reserved.
The Importance of Long-Term Discipline
Annualized Compound Returns (%)
1926-2010
1965-1981
1982-2010
S&P 500 Index
9.87
6.33
11.30
One-Month US Treasury Bills
3.62
6.66
4.81
The S&P data are provided by Standard & Poor’s Index Services Group. One-Month US Treasury Bills data © Stocks, Bonds, Bills, and Inflation
Yearbook™, Ibbotson Associates, Chicago (annually updated work by Roger G. Ibbotson and Rex A. Sinquefield).
For illustrative purposes only. Indexes are not available for direct investment. Their performance does not reflect the expenses associated with the
management of an actual portfolio. Past performance is not a guarantee of future results. Values change frequently and past performance may not be
repeated. There is always the risk that an investor may lose money.
Value Added: Efficient Market Investing
Active Management
•Attempts to beat the market through
security selection and market timing.
•Undermines asset class exposure to
keep up with the most “promising”
securities.
Asset Class Management
•Grounded in the efficiency of capital markets.
•Captures specific dimensions of risk identified
by academic research.
•Generates higher fees, trading
costs, and tax consequences due to
increased turnover.
•Minimizes transaction costs and enhances
returns through trading and engineering.
Index Management
•Accepts asset class returns.
• Allows commercial benchmarks to
define strategy.
•Sacrifices transaction costs and
turnover in favor of tracking.