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A SQUARE

A SQUARE 20 Jun 2007

Wednesday, June 20, 2007
Expertise on volatility
  Mean reversion is driven by pain and pleasure rather than greed and fear
  Losses are often the result of “bad luck” - and suggest that the strategy being followed is one that is based on luck a.

A SQUARE :: 20Jun07 A SQUARE 20 Jun 2007
Category Full A SQUARE issue of the week
Author Sona Blessing
Expertise on volatility
  Mean reversion is driven by pain and pleasure rather than greed and fear
  Losses are often the result of “bad luck” - and suggest that the strategy being followed is one that is based on luck as opposed to skill. This is cause for concern. Hence it is important to determine and understand what caused the drawdown rather than fret over the fact that it exists. The nice thing about volatility is that keeping relative prices at unreasonable levels is very expensive. Mean reversion for closely related products therefore tends to be exceptionally reliable.

DWS Forex Strategy
  • Fund exploits exchange-rate volatility around the world via transactions in currency forwards and options combined with long and short positions in more than 30 currencies that are balanced in size
  Fund offers:
•daily liquidity
•low correlation to traditional asset classes
•annualised volatility < 3%
Fund’s major risk:
•shrinking risk premia owing to low volatility

"Manna"
  Would you say “traditional” investments trade in increasingly efficient markets (diminishing risk premia) vs. alternatives (majority are still inefficient – and offer risk premia).
  An asset class should not be limited to securities alone. For example, derivative financial instruments, collectibles, and horses are not securities but are asset classes. Asset classes may exhibit low correlation to other asset classes, but it is not a requirement. For example, say German bonds and Korean equities were highly correlated, I doubt that anyone would consider them part of the same asset class.

Dexia Micro Credit Fund (BlueOrchard)
  • A commercial investment fund designed to refinance microfinance institutions specialised in financial services to small companies in emerging markets; targets returns of US 6 month LIBOR +/- 1-2%
  •According to research many microfinance institutions (MFIs) report historical repayment levels on loans of 97% or more
• BlueOrchard specialises in the selection of the microfinance institutions via its well established network of contacts in socio- economic, developmental and promoting organisations
• BlueOrchard's evaluation serves as a basis for the investment decisions taken by Dexia’s financing committee
It is active in 25 developing countries in Latin America, Asia and Eastern Europe, and finances 60 institutions, which serve over one million micro-entrepreneurs

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