November 2013

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Copycat Investment Strategies: Example Tweedy Browne Value Portfolio Switzerland

Copycat Investment Strategies have been shown to be cheaper than investing in the real thing while at the same time capturing most if not all of the performance in the underlying holdings. You don’t pay the marketing expenses and expensive offices and analysts. As you know from the Aldi and Lidl concept, copying an original and selling it cheaper is good business for all those involved, as long as rules…


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Cost (Issuer Margin) of Derivative Products according to the German Derivatives Association

Issuer margin by product: [table] product, highest margin in % per year, average Options,4.14,1.96 Capital Protection,1.35,0.73 Express-Certificates,2.02,0.66 Convertible Bonds,3.50,0.65 Bonus-Certificates,2.84,0.52 Discount-Certificates,1.23,0.50 Structured Bonds,0.39,0.14 [/table] source: Deutscher Derivate Verband (DDV) Study was commissioned by the DDV and presented by Lutz Johanning from the WHU-Otto-Beisheim School of Manangement in Valendar. He is chairholder of the Finance and Accounting Group, Empirical Market Research there. Here are the main findings in condensed form:



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IPO Strategies: Example US IPO Market January to November 2013

This data was compiled from 193 US IPOs in 2013. This graph shows how the risk of losses rises for a strategy of buying IPOs on the close of the first day of trading and holding them (green, let’s call it ‘Strategy B’). It also shows how being allocated shares in new issues prior to trading and selling on market close of the first trading day is a much lower…


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US IPO Market 2013 – Performance & Deals (Size) YTD

The following two charts show the performance of the newly issued/listed US shares in 2013 YTD aswell as the size of issues being placed. Note the performance is calculated on the assumption you were allocated shares at issue price and sold on close of the first day of trading. A total of 193 issuers placed shares. Left to right = November to January (2013). So the latest action is on…



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SNB FX Holdings in EUR Including & Excluding Derivatives

From data published by the SNB I compiled the following charts, which show how the EUR holdings as a percentage of total FX reserves have seen massive fluctuations. Also interesting to note how the holdings including and excluding derivatives diverged substantially from mid/end 2011 to mid 2012. Light Blue (above): Currency breakdown of foreign currency investments, excluding foreign exchange derivatives (quarterly) Dark Blue (above): Currency breakdown of foreign currency investments,…




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PPP Model – Swiss Franc (CHF) overvalued vs EUR, EUR undervalued vs CHF

This chart was published today by BofA ML, showing the Swiss Franc (CHF) overvalued by approx. 5% vs EUR. From wikipedia: PPP exchange rates can be useful for making comparisons between countries because they stay fairly constant from day to day or week to week and only change modestly, if at all,from year to year.  Second, over a period of years, exchange rates do tend to move in the general…