Ossiam latest to enter smart-beta corporate bond fray
“Credit risk, by contrast, is all about what happens in the tail of return distributions: looking at historical variability in bond markets offers no clue to the level of credit risk in a bond, and no insight into future variability. We took our minimum variance strategy from equities and applied to it to bonds, and it really didn’t work at all.”Not surprisingly, credit analysis is critical for managing the risk of a corporate bond portfolio.Whereas the Citi RAFI index considers issuers’ long-term assets and cash flow when weighting their bonds, Ossiam relies on Moody’s Analytics Expected Default Frequency (EDF) measure, one of many commoditised, model-based risk products available in the fixed income world.Rulik characterises this as a way to combine the analytical expertise of the credit-risk product manufacturers with the portfolio construction expertise of an asset manager.Ossiam’s process begins by selecting, from the more liquid bonds, those with the lowest EDF – a model of publicly listed companies ‘distance to default’ derived from Moody’s Analyitics’ proprietary database of historical defaults and credit-strength trends.Applied to the broad market, the measure has tended to predict realised default rate increases with a lead of about one year.Following this step, the process then selects again based on estimates of the bonds’ fair value spread (FVS), calculated by combining their EDFs with a variety of risk factors.Comparing this FVS with the option-adjusted spread (OAS) observable in the market offers an indication of which bonds are undervalued or overvalued.Finally, individual bonds and issuers are capped in the portfolio, and duration is adjusted to match that of the broad market.Using EDF alone to construct a portfolio that ran between 2007 and 2013 improved returns marginally relative to the broad market, but the biggest impact was reduced drawdowns and volatility.Using the difference between OAS and FVS alone dramatically improved returns – 71.3% versus 43.7% – but made the drawdowns slightly worse and did not improve volatility.Combining the two appears to select the best portfolio to protect against downside credit risk, before selecting from within that portfolio the most under-valued bonds that present the highest expected return.A representative portfolio for the strategy saw 125 basis points of annualised outperformance of the broad universe between 2007 and 2013, with similar volatility and a maximum drawdown 175bps smaller.Turnover is 14.89% versus 4.54% for the investment benchmark.At the moment, Ossiam is offering this as a systematic active strategy, but head of business development Isabelle Bourcier told IPE its entirely rules-based nature made it possible to adapt it for index construction.While recent years have seen the launch of a host of smart-beta equity products, the indexing and asset management industry has so far been less inclined to develop fixed income equivalents, despite interest from institutional investors. Paris-based asset manager Ossiam has entered the rarefied market for smart beta in corporate bonds with a new strategy drawing on Moody’s Analytics credit-risk measures.The affiliate of Natixis Global Asset Management, best-known for its minimum variance ETF products, joins the likes of index provider Research Affiliates, which recently launched the Citi RAFI World Corporate Investment-Grade Bond index, and Frankfurt’s Quoniam Asset Management, with its ‘MinRisk Credit’ products.Portfolio manager Ksenya Rulik told IPE the move from minimum-variance equities to smart-beta bonds was not a natural one.“In equities, the risk is mostly about price variability, and this is something you can estimate quite reliably,” she said.
The motive in the incident was not immediatelyestablished. BACOLOD City – A man was stabbed to death in Barangay LopezJaena, Murcia, Negros Occidental. According to police investigators, Arca was riding amotorcycle when Ilon stabbed him using a bladed weapon around 3:30 p.m. onFriday. Police identified the suspect as 65-year-old Renato Ilon ofBarangay Sta. Rosa. Arca was rushed to the Murcia Municipal Health Office where hewas declared “dead on arrival.” The 47-year-old Michael Arca of Barangay Sta. Rosa, Murciadied of stab wounds on the body, a police report showed. Ilon was detained in the Murcia municipal police station’slockup facility./PN
President Rodrigo Duterte. PCOO “I don’t know about the Senate andCongress, they have not entered my jurisdiction but ‘yung mga Cabinet member ko,I will ask them to not to go to the United States in the meantime. Parang boycott,” he added. Duterte said in a media interview onWednesday evening that his directive is like a “boycott” to the United Statesafter some of its senators tried to interfere with the country’s internalmatters. Presidential spokesperson SalvadorPanelo said on Thursday that members of Duterte cabinet easily accepted thePresident’s order not to travel to the United States. Since assuming the presidency in June2016, Duterte’s foreign policy has so far been marked with increasedengagements with Russia and China, two nations with economic and militaryrivalries with the US./PN Several US senators have filed aresolution banning the entry of Philippine officials who were involved in thedetention of opposition senator Leila de Lima due to illegal drug trade charges.The resolution was contained in the 2020 US budget signed by Trump. MANILA – President Rodrigo Duterte hasordered his Cabinet members not to travel to the United States indefinitelywith the country “slowly toning down” its relations with traditional ally. “I will not allow any Cabinet member togo there at this time. No Cabinet member should be allowed to go to the UnitedStates. Indefinitely. So that we limit our contact in whatever aspect ofinternational relations would be discussed or subject to laws,” Duterte said. “Tinanggapnaming ng maluwalhati. Dapat lang naman huwag pumunta doon. Kina-kanselanga nila ‘yung visa ng atingsenador. Kumbaga sabi niya nga,boycott tayo,” Panelo said.
Riding high in the midst of a successful season, the Wisconsin women’s tennis team found itself in State College, Pa., one year ago this weekend.Between the time that a closely-contested doubles point had begun and the time that players had taken to the singles court, dusk had beset the Penn State campus, the temperature had dropped rapidly, and creeping shadows claimed the six courts. The then-No. 35 Badgers fought the elements, eking out a 4-3 victory over the unranked Nittany Lions.Two days later, things took a turn for the worse when Wisconsin took to Bloomington, Ind., and dropped a 5-2 match to the Hoosiers on the heels of a marathon doubles point.This weekend, the Badgers will have an opportunity to avenge that tumultuous road trip of a year ago, as they play host to the same two teams at the Nielsen Tennis Stadium with 11:00 AM matches Saturday and Sunday.”We just didn’t perform our best [at Indiana last year]. I definitely remember it,” sophomore Chelsea Nusslock said. “I think that our team can do well against them [this year]. We have the skills.”Ironically, it was this duo of matches last April that gave Caitlin Burke her first exposure as the Badgers’ top flight singles player, when she briefly eclipsed Katie McGaffigan on the roster before settling back into her traditional second slot following a pair of tough losses in Penn State and Indiana.This year, Burke is the team’s undisputed ace, but will be forced to spend this weekend on the sidelines as she continues to fight a rib injury sustained during the Badgers’ Feb. 26 dual in South Bend, Ind.However, The Badger Herald has learned from sources familiar with the situation that Burke is expected to return to play next week when Wisconsin hits the road to take on Iowa and Minnesota.Meanwhile, the Badgers will see a tough Penn State squad Saturday, as the Nittany Lions look to redeem themselves after a 7-0 loss at the hands of Purdue last weekend. The Boilermakers’ victory snapped a three-game win streak for the Penn State team.Sunday, Wisconsin will face one of the Big Ten’s toughest teams in the No. 26 Hoosiers who, most recently, claimed a series of 5-2 victories over both Illinois and Purdue the weekend of Mar. 26.”I know that [Indiana] is a very strong and deep team,” sophomore Morgan Tuttle said. “They’re strong competitors both mentally and physically.”The Badgers, meanwhile, return to Madison for a brief homestand after a duo of losses at the hands of Michigan and Michigan State last weekend. The Wolverines claimed a 7-0 shutout of Wisconsin and the Spartans won 5-2 with only Nusslock and Tuttle emerging victorious in their singles matches.”That gives me the confidence and momentum just to know that I can get a Big Ten win,” Tuttle said. “So hopefully I can build on last weekend and get another win or two.”
Source: Footy-Ghana The Black Satellites of Ghana have been drawn in what can be termed the ‘group of death’ with Burundi, Senegal and Mali for the 2019 African Games men’s football tournament.The Ghana U-20s will be competing in Group B of the 8-team competition scheduled to be staged in Morocco from August 16 to 30.Satellites open their campaign against Burundi on August 17. The match is scheduled for Stade Municipal in Kenitra.They then take on U-20 World Cup campaigners, Senegal and Mali, (reigning African champions) on August 21 and 24 to complete the group stage.Hosts Morocco, Nigeria, Burkina Faso and South Africa make up Group A.In this year’s edition of the African Games, the Confederation of African Football (CAF) decided that the seven teams which qualified for the final tournament of the 2019 U-20 Africa Cup of Nations in Niger should join hosts Morocco in the competition which is normally played by U-23 teams.
By Timothy Schafer, The Nelson Daily The harmonized sales tax has hurt tourism across the province, but the city’s largest tourism operator has passed under the governmental blight relatively unscathed, says the hill’s general manager. Brian Cusack said Whitewater Ski Resort managed to minimize and nullify the larcenous effect of the HST on local skiers, absorbing much of the acidic effect of the tax increase last year, and raising annual season pass prices by only $10 this year. But given the fact Whitewater had purchased and has now nearly installed the Glory Ridge chair lift, any increase in season passes is reflected in that capital cost, not the HST, said Cusack. “We felt that we wanted to support the community and the HST was enough of an impact already so we kept that (season pass price) down,” he said. The day pass ($57) remains the same as last season, with the season pass going from $700 to $710 ($580 to $590 for early bird passes). Last year tourism at the hill was expected to dip but Whitewater didn’t see that at all, said Cusack. This year they have forecasted for a 10 per cent increase in skier visits. “But it is my feeling that we are going to see more and we don’t know whether they will come on specific days, or they will be spread out over the year,” said Cusack. B.C. Liberal Tourism Minister, Kevin Krueger, said the HST has hurt the tourism industry in BC. Krueger told media last week he would like to see an HST rebate for international tourists, saying “it just seems a very unnecessary barrier to be charging our visitors sales tax when we’re trying so hard to attract them here.” This is a clear backtrack by the Liberals, said Bruce Ralston, New Democrat finance critic. “The B.C. Liberal government has been saying that the HST will be good for British Columbia and good for tourism,” he said. “Now he’s saying an exemption is required, which just goes to show that the B.C. Liberals should have consulted with business and consumers before … pushing through a significant tax change.” editor@thenelsondaily.com
RETURN ON INVESTMENT Executives from FLOW, exclusive telecommunications partner for the ISSA-GraceKennedy Boys and Girls’ Championships (Champs) are once again revelling in the value the association brings to its brand from a consumer perspective. Head of retail marketing and television at FLOW, Kim Lee, said that the meet – which is now the largest and most prestigious of its kind in the hemisphere – gives the company a great opportunity to connect with a large segment of its key consumer base. “As far as evaluating our return on investment over the past 13 years, Champs has over-delivered on its promised value. The massive crowds which have attended year after year, along with the high-profile and highly publicised nature of the annual activity gives us great fodder to land our consumer messages and bring attention to special products or initiatives,” Lee said. This year, Champs goers will have the unique opportunity to capitalise on yet another exciting phone offer from the telecommunications company. “From Tuesday to Friday, patrons switching to the FLOW network will be able to trade in voice feature phones or “bangers” as they are commonly referred to, in exchange for a brand new Android phone for only $1,400 + GCT,” Lee revealed. “As major sponsors, we are always looking for new and exciting ways to engage patrons as well as our customers directly and this year is no different. Everyone is now riding the mobile data wave and persons want to be able to get on social media, use video calling, and, of course, capture special moments like Champs. As such, this is the perfect opportunity to unleash this special offer,” she added. During the press launch held two weeks ago for the 2017 Championships, Lee said that beyond its commercial objectives, the activity also allows the company to meet its philanthropic mandate. “Over the past five years, we have invested approximately $10 million outside of our sponsorship fees directly into the sports programmes at several schools to support their participation at Champs,” she highlighted. This year, Calabar High School, Kingston College, Edwin Allen High School and Wolmer’s Boys School, were the beneficiaries of close to $800,000 in cash and other supplies through FLOW’s ‘Journey to Champs’ programme.
P16.5-M worth of aid provided for Taal Volcano eruption victims — NDRRMC “I’m just grateful [for] the opportunity that boss Ronald Mascariñas gave to me. I’m always happy to represent my country,” he said Monday during a homecoming brunch.Paras is part of the Gilas cadets team which will compete in the upcoming 2018 Filoil Flying V Preseason Cup together with his fellow “23-for-2023” players in what would be his first taste of hardcourt action since helping the Philippines win the gold medal in the 2017 Southeast Asian Games.FEATURED STORIESSPORTSGinebra beats Meralco again to capture PBA Governors’ Cup titleSPORTSAfter winning title, time for LA Tenorio to give back to Batangas folkSPORTSTim Cone, Ginebra set their sights on elusive All-Filipino crownAnd just like how he performed in Kuala Lumpur, the popular swingman promises to bring the same intensity to the squad.“Just like last year, I’m just gonna bring energy. That’s what I bring to the team,” he said. “I love to play with the young guys because we can run a lot and we don’t get tired. I’m excited for the fast-paced game. You can expect more transition and the fast-paced game. If I get the ball, I can bring it down and run.” Paras is also excited to play, especially with Ricci Rivero, whom he was teammates with back in their high school as part La Salle Greenhills.“I’m excited because when we were in La Salle, we weren’t able to play as much. At least this time, we have a chance to play together, not just for any school or anything else, but for Chooks-to-Go,” he said. “I see my teammates as brothers and I can’t wait to practice with them, build a bond, and hopefully win in the Flying V.”Sports Related Videospowered by AdSparcRead Next View comments Lights inside SMX hall flicker as Duterte rants vs Ayala, Pangilinan anew Volcano watch: Island fissures steaming, lake water receding Green group flags ‘overkill’ use of plastic banderitas in Manila Sto. Niño feast Scientists seek rare species survivors amid Australia flames In fight vs corruption, Duterte now points to Ayala, MVP companies as ‘big fish’ Jo Koy draws ire for cutting through Cebu City traffic with ‘wang-wang’
Truck driver killed in Davao del Sur road accident Carpio hits red carpet treatment for China Coast Guard PLAY LIST 02:14Carpio hits red carpet treatment for China Coast Guard02:56NCRPO pledges to donate P3.5 million to victims of Taal eruption00:56Heavy rain brings some relief in Australia02:37Calm moments allow Taal folks some respite03:23Negosyo sa Tagaytay City, bagsak sa pag-aalboroto ng Bulkang Taal01:13Christian Standhardinger wins PBA Best Player award Kobe Paras. Photo by Tristan Tamayo/INQUIRER.netKobe Paras is ready to put his past behind and move on to his new chapter with Gilas Pilipinas.Abruptly ending his collegiate career in the United States, the 20-year-old is ready to don the national team colors while looking forward to his next endeavor.ADVERTISEMENT LATEST STORIES ‘Stop romanticizing Pinoy resilience’ Don’t miss out on the latest news and information. MOST READ Lady Spikers plan ‘grandest of exits’ for graduating stars
She noted that employers are generally tasked with updating the NIS on its employee’s data. It is only, however when a contributor makes a query that the required information reaches the agency.“The only time sometimes that we are able to capture them apart from getting back to the employer to say hey there’s a query we want this person to come in, is actually until they make a claim,” she clarified.The PRO added that a mere address mistake can slow down the process and urged persons who have moved to go into their office to have the changes made to their records.Another bump in the process may be if an employee gets married or has a name change and did not notify the NIS.“Contributions have been paid in the past under an employee’s maiden name, although the name would have been changed. In the same way, contributions have been made under employees’ martial name, without the Scheme being informed.”According to the PRO, the NIS has been pushing for the employers’ data to be synced to the NIS records so as to avoid such discrepancies.Persons have complained in the past and have vented their frustration on social media over the lengthy process that is usually associated with making a financial claim at the NIS.Meanwhile, Region Three (Essequibo Islands-West Demerara) was well-represented as they sought the opportunity to magnify Guyana’s natural trademark with the banner “Continue to shine with a green economy in mind”.Their float featured the globe with doves to symbolize world peace and the aspects of the Caribbean Community to demonstrate Guyana’s relationship with other nations on the international stage.One of the revellers, Caprice explained, “Mash is about celebration after hard work and this is so fun. I’m having the best time in my entire life.”The Chinese Association of Guyana introduced aspects of their culture, dressed as dragons and playing a selection of cultural music.Spectators lined the roadway as they awaited the entrance of each band, one after the next that journeyed along the route. Some children even grew impatient as they waited during the intervals.This year, there was also a sprinkle of tourists who were absorbing the vibes of this unified festival.“It was really, really good. I liked the costumes. I’m out here every year and I don’t ever miss Mash,” said Lisa.Meanwhile, Beveny stood at the beginning of Vlissengen Road and shaded her body with a large umbrella, which allowed her to enjoy the march. For her, this celebration means “culture and unity”.“Wonderful! It’s a bit slow but it will improve later on. People are coming out. My favourite so far has to be the Social Cohesion Ministry one. Mash means everything, the culture and unity, everything,” she saidThe bands proceeded along Vlissengen road where the number of persons intensified and then headed for D’Uurban Park for the first session of the annual event. By then, the revellers were drenched as they prepared to be greeted once more by another mob of onlookers.The 2019 celebrations were welcomed under the theme “Celebrating 49 with victory in mind; rediscovering El Dorado”. Guyana became a Republic on February 23, 1970, from which the Amerindian word ‘Mashramani’ was birthed, meaning “celebration after a hard and cooperative work”.
Bartica massacre trialTwo weeks after pleading guilty to the lesser count of manslaughter, one of the accused in the Bartica massacre was on Friday sentenced to 420 years imprisonment by trial Judge, Justice Roxanne George at the Demerara High Court.The convict, Celbert “Chi-Chi” Reece, was indicted along with four others for executing an attack where 12 persons, including three Policemen were brutally murdered in Bartica, Region Seven (Cuyuni-Mazaruni), in February 2008.Celbert Reece was sentenced to 420 years imprisonmentHowever, Reece along with another co-accused, Michael Caesar, pleaded guilty to the lesser count of manslaughter earlier this month and the trial judge ordered probation reports to be presented on December 16, when sentencing would have been imposed for both men.But Reece’s report was completed and submitted to the High Court early, hence the ruling was handed down on Friday. The trial judge began the sentence with 65 years on each count but deducted 10 years for the guilty plea, another 12 years for mitigating factors and eight years for the time he spent incarcerated awaiting trial.This brought the sentence down to 35 years on each charge; however, the sentences will run concurrently. Reece will be eligible for parole only after serving 30 years of jail time.State Prosecutor Diana Kaulesar had detailed the involvement of the killings, telling the court that he transported a group of men to an island in the Essequibo River just before Bartica and then the following night, he took them to Bartica where the heavily armed men disembarked. She related that after a while, the group of men returned carrying high-powered weapons and two safes.The Prosecutor added that the men then travelled to Sherima, where they ditched the boat and Reece was awarded with six ounces of gold.Meanwhile, the trial into the Bartica massacre with three other accused continues in the Demerara High Court before Justice George.