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4/5/2013
Effective
Back-test generates significant risk-adjusted
historical returns from 2000-2013, with limited drawdowns during credit crisis
Jan-03
Jan-06
Jan-09
Jan-12
4/5/2013
Transparent
Intuitive scorecard approach
Global Bond Scorecard for April 2013 AUD CAD CHF DEM ESP FRF GBP ITL JPY MXN NOK PLN SEK SGD USD CLI level 0 0 0 0 -2 0 -2 2 0 0 0 0 2 2 -2 CLI momentum 1 1 0 -1 0 0 0 0 0 0 0 -1 1 -1 0 Carry/risk 0 0 -1 -1 1 0 0 1 -1 1 0 0 0 -1 0 EER -1 1 1 1 0 1 1 -1 1 Total Score 0 2 0 -2 -1 0 -1 3 -1 1 1 0 2 1 -2 Summary -- Long/overweight: CAD, ITL, SEK, ZAR; Short/underweight: DEM, USD
NA = Leading economic indicator value not yet available
ZAR NA NA 1 1 2
4/5/2013
Effective
Framework generates significant riskadjusted returns from 2000-2013, with limited drawdowns during credit crisis Results since 2007 suggest even greater effectiveness recently Inclusion of EM bonds raises returns relative to additional risk
Historical returns analysis 2000-2013 DM+EM DM only Ann. avg returns 32.1% 18.8% IR 1.65 1.24 Hit rate 68.4% 62.7% 2007-2013 DM+EM DM only Ann. avg returns 39.4% 24.8% IR 1.95 1.50 Hit rate 73.0% 68.9%
Jan-03
Jan-06
Jan-09
Jan-12
Historical returns Year DM+EM DM only 2000 48.6% 22.4% 2001 22.5% 0.8% 2002 11.1% 11.3% 2003 17.6% 15.8% 2004 38.5% 25.8% 2005 3.9% -8.9% 2006 27.7% 24.8% 2007 23.4% 18.1% 2008 36.0% 14.7% 2009 35.6% 27.5% 2010 2.9% -16.5% 2011 68.9% 65.8% 2012 30.6% 20.7% Avg. ann. 32.1% 18.8%
4/5/2013
Thorough understanding of international economics, policy & data releases; Substantial background in real-time market analysis; and Ability to combine both discretionary and quantitative investment solutions
Journal of Finance and Economics; Taught graduate students at Columbia University, Sun Yat-sen University (China)
4/5/2013
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