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Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by tkb417(m): 6:13pm On Apr 08, 2010 |
delcfa:done level 2 was part of the guys who took the CFA chaps round the country sometimes last year. The guys were looking at incorporating CFA curriculum into our finance programs in our universities. Met with LBS and some others. They also met with some captains of the industry especially the finance houses, investment banks, kpmg, and others on the need to support willing staff in increasing the charter holders in the country. we had a nite at lagoon restaurant with the guys answering a whole load of questions from candidates and charter holders on how to move the practice forward in Nigeria. The CFA are looking at bringing back a center to Lagos or Abuja but the issue of security and other issues remain paramount in their minds. We now have a local society in Lagos and we shd have a full fledged one as soon as we have 35 charter holders and about 15 members. The practice is moving and i expect 9ja to be better for it in little time. I shd be a charter holder by his grace next year cos this year, i no dey read book o. i wan rest as per making a diff, when ure knowledgeable, then the desired changes will just come handy. as it is now, we dont have up to 30 charter holders in the country compared to over 50,000 we have in the UK |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 1:07pm On Apr 09, 2010 |
tkb417: You are a don with the level 2! I doff my hat o! Does anyone know where i can obtain historical data on the NSE? I tried the Reuters, couldn't find any I will like to use it for a portfolio optimization process. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by tkb417(m): 1:29pm On Apr 09, 2010 |
violent:if you try the NSE website and register, you might be able to get the data you need it comes with subscription packages. Didnt renew mine a couple of months ago cos of the illiquid market ( subscribed to follow the daily trading activites on the floor to make informed buy and sell decisions) |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 1:48pm On Apr 09, 2010 |
@tbk when you subscribed was it possible to get historical data going back to say the 60's or 70's . @violent are u trying to do some kind of regression analysis on the data. since you are trying to solve an optimization problem |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 1:57pm On Apr 09, 2010 |
candylips: I'm not doing regression analysis. I want to construct an excel template on certain sectors in NSE to determine optimal portfolio weights of each stock that will give me the maximum portfolio returns with minimum risk. I am hoping to drop the attachment here once completed. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 2:04pm On Apr 09, 2010 |
ok that will be a very useful exercise actually. i might give it a shot myself but how will you get the expected return of the stock ( i.e beta) you will still need to regress the historical data of the stock with the historical data of the market index for you to get this isn't it. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 2:19pm On Apr 09, 2010 |
candylips: I will perform regression of the stock returns against its lag values to check for autocorrelation. The stock beta isn't really necessary in this case. With my adjusted return, i can calculate my sharpe ratio, and all i need do is some Monte Carlo simulations and the leave the rest of the optimization for Excel Solver. I'm just a lil bored at the moment, needed to find something to do for kicks. Moreover, it will really be useful for folks {like my dad} who are into stock investment for long term purpose. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 2:22pm On Apr 09, 2010 |
violent: you can only do this with options. unfortunately options is non existent in the stock market. i think the time is ripe for an OTC options market. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 2:30pm On Apr 09, 2010 |
@violent hmm . . . idealy you need to be regressing against the market index. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 2:36pm On Apr 09, 2010 |
candylips: Yessssir! you a damn right! The NSE gives little or no chance for efficient portfolio management I honestly doubt if we are ripe enough for them though. My fear is rooted in the possibility of a liquid market for certain exotic instruments, i doubt if we have the infrastructure and technical know how as well as enough knowledgeable finance professionals in place to ensure liquidity in such markets. I might be wrong though, i certainly hope to be. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by tkb417(m): 2:39pm On Apr 09, 2010 |
Violent check the stock market thread but u have a lot of work to do o i think Pumping777 an old time Nlder dropped an excel template which u can work with (thats if i understand what ure trying to do) but im afraid the thread is about 700 pages and you might need to go through each of them to know exactly where he dropped it ill check my email tho if he ever sent it to me Candylips 60-70s ke? u dey kolo |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 2:48pm On Apr 09, 2010 |
@violent well i think the stock market crash and the new risk managment regime could actually be a blessing in disguise. Options are fantastic when used as a tool for risk managment and even sometimes to boost porfolio performance. They are evil when used for speculation though What is needed is just a couple of guys who know what they are doing to structure/write options for the big players probably intially as a risk management tool and this market might be able to kick off seriously |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 2:52pm On Apr 09, 2010 |
@tbk at least nse should have something dating back to the 80's . . . at least . . |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 2:53pm On Apr 09, 2010 |
candylips: You really don't need to regress on the market index, because that will only mean that you are only looking to explain the effect of the market variability on the stock prices, which is applicable in CAPM models which defines relationship between risk and expected returns that is used for security pricing. In the case of optimization, the market index is only used as a benchmark index along with a tracking error However, in the case of optimization, what you are concerned about is calculating and maximizing your sharpe ratio given the risk free rate of return. The efficient portfolio will be the best portfolio for any rational investor under any given circumstance. The regression part of it helps define the diversification which is the root of the MPT, and to achieve that, you must be sure that your portfolio asset holdings are not positively autocorrelated. Autocorrelation is achieved by regressing the stock return data against its own lags |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 2:58pm On Apr 09, 2010 |
@violent Ok i get it now. basically you are just going to plug in returns and risk for different stocks and then optimize to see the most efficient. But you will still have to worry about covariances. i thought the returns used for the optimization problem is the expected return got from CAPM nice one |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 3:37pm On Apr 09, 2010 |
candylips: Yes boss!, the returns are adjusted returns and the risk is from the average standard deviation of the historical data!. . . . i will be happy if i can lay my hands on the quaterly figures for a 10 year data. We worry about covariances when we are worried about the problem of auto covariance and auto correlation, which if present will defeat the purpose of diversification in the first place. So we check for autocorrelation by regressing the stock returns against its lag values, if autocorrelation is present and the p value from your regression is less than 5 percent, we either drop the variable or de-autocorrelate {using some sílly and disturbing mathematics of course}. Simulation of another 2000 dataset is done using VBA or @Risk, and if you are the psycho type that love to incorporate personal opinions, you can make use of the black littermann model. nice one boss |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 3:47pm On Apr 09, 2010 |
i thought the returns used for the optimization problem is the expected return got from CAPM No not really All we are trying to achieve is the best portfolio weights based on historical returns and risk! Besides, the process of simulation brings flavor to the whole context. Look at it this way, even if you are working with 50 years monthly returns, that will only mean 600 data sets which will never be enough. But once you simulate another 4000 data sets, with you current one, you will be able to achieve almost any form of return and risk. With 4000 data set at your disposal, all you need is to instruct the Execel solver to give you portfolio weights that will provide the maximum returns and minimum risk. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 4:05pm On Apr 09, 2010 |
violent you are right. You can also use daily data or even tick data to get more data points when you simulate more datasets i presume u do it via bootstrapping right |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 4:06pm On Apr 09, 2010 |
candylips: Yessssssssiiirr! Personally, i wouldn't recommend daily or tick data though, there is a lot of noise in such data |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 4:21pm On Apr 09, 2010 |
violent: yea right. not good for retail investors but can be quite attractive for institutional investors invovled in heavy daily trading However, when we start dealing with options that noise is very fundamental (i.e volatility in the black-scholes model) |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 4:40pm On Apr 09, 2010 |
candylips: Yep! If am going to pursue a passive management strategy like a buy and hold as well as frequent re-balancing, then i'd exclude noise and other disturbances from my portfolio composition, however, if am an active daily trader like Sir tkb417 , who depend on trading volatilities or perhaps institutional investors who need to constantly manage the delta and gamma of their holdings, then noise as you put it is very fundamental. I'm actually looking to go into full time commodities trading, and perhaps own a big and well capitalized prop desk someday. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 5:23pm On Apr 09, 2010 |
violent: In Nigeria ?? |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 5:27pm On Apr 09, 2010 |
^^ nope! Buh if i can get sufficient experience in the commodities and Asset Management industry, and sufficient funds, i can have commodity trading prop desk in Nigeria with deal executed on the Brazilian Mercantile and Futures Exchange, trading Biofuels, and Precious Metals, i really don't have to take physical delivery, and if i have to do, i might just manage that using forward freight contracts Who knows what might happen in the nearest future, there might just be a good and well developed exchange for such stuffs in Nigeria. I guess the country needs our prayers!. . . . a lot of it |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by tkb417(m): 6:44pm On Apr 09, 2010 |
***ahem*** i have ur YIM when ure about jump starting ur projects, involve me o I'm actually looking to go into full time commodities trading, and perhaps own a big and well capitalized prop desk someday.This , we can talk about with my friends in UK nyways, it seems we'll talk more sha. Do you know Jaybee? @candylips na SE u dey? |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 7:51pm On Apr 09, 2010 |
violent: yes this is a very good idea. i guess u can even just trade the options or futures on the exchange Oil trading might also be attractive from a nigerian perspective i think ( . . . looking at all these guys that ship oil out of nigeria . . ) There is a commodities exchange in Nigeria http://www.abujacomex.com/ but i think they only deal in food tkb417: tbaba yes o i dey hole up somewhere around SE . |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 9:48pm On Apr 09, 2010 |
***ahem*** Yes Boss! candylips: I tried the link and my laptop screams "Malware detected" |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by Votukpa(m): 10:52pm On Apr 09, 2010 |
Salutations all, Love the thread, really interesting, especially coming from peeps with exposure to core finance fundamentals. Love it. An observation though - Talking about CAPM in Nigeria is kinda annoying, primarily because financial markets in Nigeria are far from perfect - not even to the extent that the model implicitly attempts to reflect developed markets. (an assumption which the CAPM is solidly grounded on). With the volume of insider trading going on in the NSE along with the preponderance of asymmetric information delivery, I am fully convinced that financial market equilibrium will remain elusive in these parts. All the excel models can be run, all the Sharpe ratios calculated, all the optimal portfolios got, all the alphas observed and the the risk contributions defined. All can be done but will amount to nothing because the system we have will hardly give them any meaning. Therefore, I think its even dumb to teach CAPM and several other financial models (plus traditional portfolio theory) in Nigerian business schools. Moreover adjusting the model to fit the Nigerian model would be useless. All we need it time. Time with institutional development. These models have been developed with underpinnings that strictly apply to developed markets. But of course you all knew these already. Me P.S WE don't need Black-Scholes either. Greeks are useless. All of them. No core derivatives markets in Nigeria. |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 11:36pm On Apr 09, 2010 |
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Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 11:42pm On Apr 09, 2010 |
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Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by violent(m): 11:43pm On Apr 09, 2010 |
Votukpa: Well said! NSE is a joke! |
Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 11:43pm On Apr 09, 2010 |
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Re: Corporate Finance/Investment Bankers/Stockbrokers Forum by candylips(m): 11:54pm On Apr 09, 2010 |
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