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 The Sharenet Daily 
Tuesday, 04 June 2013 - 20:00
Top News
SA Business
Company News
Company Results
World Markets (Spot Prices)
JSE Today
JSE Trading Statistics
Major Moves
Index Summary
Latest Consensus Changes / Results Expected
Recent Dividends / Ex Div
Upcoming AGMs
Stock Exchange News Service (SENS)

A Closer look at Risk Measurements

From a fund of fund perspective it is always useful to conduct a proper analysis on a wide spectrum of managers. One way to do this is by conducting quantitative analysis, which enables you to screen and compare managers with different characteristics. The quants allow one to gain a better understanding of the fund and its strategy and can be easily interpreted. Depending on the ratio investigated, the investor either prefers a high or a low number.

One way to use quant analysis is to calculate different risk/return measures. As there are numerous measures, the question one needs to ask then is what do you define as risk?

In laymen’s terms, portfolio risk would usually refer to the volatility of returns. The statistical measure for this is called the standard deviation (also known as volatility risk). Essentially it measures the movement of returns around the average return of the fund.

Unfortunately with finance, statistics and maths aren’t always that straight forward. Apart from a list of statistical assumptions one needs to accept, one major flaw of using standard deviation as a measure of risk is that it penalises upside (good) and downside (bad) movements, even though upside movements are sought after. Although standard deviation may be misleading, it is a highly popular measurement and is used in the calculation of the Sharpe ratio.

The Sharpe ratio measures the return above the risk free rate (usually assumed to be cash) relative to standard deviation, where a higher Sharpe ratio is preferred. Below is a comparison of the Sharpe ratios between the ALSI, ALBI and ASISA Multi Asset Medium and High Equity Funds.

Based purely on the Sharpe ratio, the ASISA South African Multi Asset Medium Equity class had the best risk adjusted returns over all periods. Moderate funds have a maximum equity exposure of 60%, and for this reason their standard deviation tends to be lower since returns are not as volatile as with the ALSI. This does not mean that it would have provided the best return but rather that this asset class would have provided you with the least volatile risk adjusted return above cash.

At Seed, we try and form an objective opinion about every asset that we invest into. While historic returns aren’t a reflection of the future, when conducting quantitative analysis the past forms an observable character of a fund and this is then used as a proxy for certain characteristics which can be expected going forward.

Since the Sharpe ratio has many flaws we at Seed place more credibility on the Omega ratio. The Omega ratio is relatively new and not so well known to the investment public, but is especially useful for comparing managers when one is benchmark cognisant. This is especially useful for comparing funds that aim to track a certain benchmark.
For the Omega ratio, the benchmark will essentially form an integral part in the outcome of the ratio. As seen below, the Omega ratio can be seen by dividing the area above the benchmark by the area below the benchmark.

The Omega ratio measures the probability of outperforming a set benchmark over the probability of underperforming that same benchmark. The ratio thus defines any returns below the benchmark as a loss, which can also be seen as its interpretation of risk. Apart from its statistical superiority, it is also easy to interpret - the higher the Omega, the better.

The calculations behind the Omega ratio are a bit daunting and should you require any further information or would like to know more about the ratio and its uses, feel free to contact us and we can send you a research study we have conducted on quantitative measurements.

Warm regards,

Lourens Rabe

021 914 4966

Tue, 04 Jun 2013
Top News
South Africa's rand gained 1.5 percent against the dollar on Tuesday, clawing back more ground after slumping to what some traders said were oversold levels week.  Full story

Business confidence in South Africa dropped to 90.4 points in May from 92.3 in April as labour unrest in the mining sector hit business sentiment, a survey showed on Tuesday.  Full story
Relatives of workers killed when fire engulfed a chicken processing plant in rural northeast China blocked traffic and scuffled with police on Tuesday, demanding answers to one of China's worst industrial disasters in recent years. At least 120 people died, and more than 70 were injured.  Full story
An Egyptian court gave jail terms to 43 Americans, Europeans, Egyptians and other Arabs on Tuesday in a case against democracy promotion groups that plunged U.S.-Egyptian ties into their worst crisis in decades.  Full story
Turkey's deputy prime minister apologised on Tuesday for "excessive violence" by police in an effort to defuse days of unrest, comments which contrasted sharply with Prime Minister Tayyip Erdogan's defiant dismissal of the protesters.  Full story
U.S. stocks extend losses on Tuesday with major indexes hitting session lows by afternoon trade in a broad market decline.. . .  Full story
Stocks on world markets and the dollar gained on Tuesday, though Wall Street fell, as expectations remained intact that the Federal Reserve will maintain. . .  Full story
U.S. stocks dipped on Tuesday as investors paused after two choppy sessions before a flurry of data and Federal Reserve speakers that may. . .  Full story
European shares rose on Tuesday as chip-makers gained on a confident growth outlook from STMicroelectronics, while investors also took a recent pullback as an. . .  Full story

Britain's top share index recovered from a four-week low on Tuesday, bouncing up from technical support levels and cheered by expectations that Federal Reserve. . .  Full story
European shares rose on Tuesday, as a confident growth outlook from STMicroelectronics lifted chip-makers and investors took a recent pullback as a cautious. . .  Full story
Gold fell below $1,400 an ounce on Tuesday, extending losses on worries over demand in the world's largest consumer, India, after the government. . .  Full story
Wall Street edged higher at the open on Tuesday as data showed the trade deficit widened in April and several Federal Reserve officials. . .  Full story

A global network of private companies were blacklisted by the United States on Tuesday for providing revenue to the Iranian government's leadership and helping. . .  Full story
Goldplat Plc said on Tuesday it had suspended its Kenyan operations to focus on cash generating activities in South Africa and. . .  Full story
South Africa's rand rose by as much as 1.5 percent against the dollar on Tuesday to reach its strongest level in. . .  Full story
Workers downed tools in an illegal strike on Tuesday at one of Impala Platinum's South African mines, a company spokesman said,. . .  Full story

South Africa's Richards Bay Coal Terminal (RBCT) exported 4.35 million tonnes of coal in May, down from 6.24 million tonnes the. . .  Full story
South Africa's Treasury sold a total 2.35 billion rand of its 2031, 2036 and 2048 government bonds on Tuesday.. . .  Full story
South Africa's second-largest drug firm, Adcock Ingram, reported a 5 percent decline in first-half profit on Tuesday, hit by the weaker. . .  Full story
BMW AG's South Korean sales have tripled since 2009 as it takes advantage of a free trade deal that gets even sweeter. . .  Full story
Company News
AFGRI continues to support the South African government's BEE initiatives and over the years has been successful in introducing black partners. . .  Full story
Afgri Operations Ltd., a wholly owned subsidiary of the Company ("Afgri Operations") and various international subsidiaries of Afgri Operations ("Afgri International"). . .  Full story
Shareholders are referred to the announcement released on SENS on 29 April 2013, relating to Rainbow's acquisition of an effective 64.2%. . .  Full story
The company's reviewed results for the year ended 31 March 2013 are expected to be published on or about 12 June. . .  Full story

Ububele advised that Mr. Leonardo Altini has resigned as non-executive director of Ububele with immediate effect.. . .  Full story
The JSE advised that the auditor's report on Stratcorp's Reviewed Condensed Provisional Consolidated Financial Results for the year ended 28 February. . .  Full story
Absa Group remains capitalised above the minimum regulatory requirements and board approved target capital ranges. As at 31 March 2013 Absa. . .  Full story
SA Corporate unitholders are advised that Mr Gerhard van Zyl has resigned as director of SA Corporate Real Estate Fund Managers. . .  Full story
Company Results
Sales revenue was down slightly to R751.3 million (R754.5 million). Gross profit was lower at R146.1 million (R191.3 million) and mining. . .  Full story
Revenue for the year fell to R42.7 million (2012: R55.3 million). Gross profit dropped to R30.8 million (2012: R41.6 million), operating. . .  Full story
Revenue for the year lowered to R13.2 million (2012: R15.5 million). Gross profit decreased to R7.3 million (2012: R8.6 million), operating. . .  Full story
Revenue was up 9% to R2.5 billion (R2.3 billion). Gross profit was 1% lower at R1 billion (R1.1 billion) and operating. . .  Full story
World Markets (Spot Prices)
NameTimeRPMove% Move
JSE Overall17:0040897.68-59.93-0.15%
JSE Top 4017:0036387.96-173.39-0.47%
JSE Gold17:001477.31-49.50-3.24%
JSE Financial17:0030539.71398.771.32%
JSE Industrial17:0052999.3384.490.16%
JSE Indust 2517:0046268.9127.810.06%
JSE Resource17:0046952.67-859.36-1.80%
DJ Futures19:5215155.0055.000.36%
DJ Ind20:0015138.7723.200.15%
SP 50020:001628.34-2.40-0.15%
FTSE 10017:356558.5833.460.51%
All Ords08:434886.7013.000.27%
NZSE 5007:484473.78-37.57-0.83%
NameTimeRPMove% Move
Gold $19:581398.11-13.35-0.95%
Gold R20:0013764.11-86.49-0.62%
Gold R/kg20:00442516-8071-1.79%
Silver $19:5922.4390-.2720-1.20%
Platinum $19:571484.75-10.25-0.69%
Palladium $19:59748.00-4.10-0.55%
Brent Crude20:00103.443.053.04%
Rand / Dollar19:599.84480.03170.32%
Rand / Pound19:5515.04650.04420.29%
Rand / Euro19:5512.88480.05740.45%
Rand / NZD19:587.8575-0.0928-1.17%
Rand / AUD19:559.4866-0.1037-1.08%
Yen / Dollar19:59100.04300.57300.58%
Euro / Dollar19:550.76500.00020.03%
Dollar / Euro19:591.30690.00010.01%
Pound / Dollar19:550.65370.00110.17%

Click here for the Sharenet Spot Price page
The JSE Today

Trading Statistics
* Includes all listed instruments on the JSE
Major Moves Up
SharenameSaleMove% MoveVolume
1 OCTODEC  248946422.91.%98208
2 ARCMITTAL  32112919.97.%1515659
3 SA-CORP  415307.79.%1384591
4 EFFICIENT  140107.69.%3619990
5 FORTRESSA  15171077.59.%205285
6 PREMIUM  19401307.18.%256782
7 GROWPNT  25801656.83.%9606493
8 ACUCAP  47492525.60.%885092
9 RESILIENT  54332855.54.%353001
10 AVENG  30601555.34.%4365022
11 NETCARE  24161215.27.%3487395
12 ABIL  1683845.25.%14073104
13 INVPROP  1620805.19.%412997
14 EMIRA  1475704.98.%615044
15 CAPITAL  1060454.43.%3487565
16 BASREAD  939394.33.%299355
17 CASHBIL  121904904.19.%201529
18 INVICTA  99993994.16.%40234
19 BLACKSTAR  1145454.09.%11604
20 PHUMELELA  1300504.00.%4825

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Major Moves Down
SharenameSaleMove% MoveVolume
1 ATLATSA  170-20-10.53.%2830
2 COMAIR  270-20-6.90.%69386
3 HULAMIN  440-25-5.38.%118147
4 BUILDMX  185-10-5.13.%12368
5 JUBILEE  105-5-4.55.%84775
6 SEPHAKU  555-25-4.31.%27744
7 TORRE  135-6-4.26.%35617
8 ANGGOLD  17392-767-4.22.%842468
9 MIXTEL  321-14-4.18.%45030
10 COMPCLEAR  350-15-4.11.%1050
11 HARMONY  3985-169-4.07.%2206721
12 TASTE  385-14-3.51.%21700
13 ASCEN B  255-9-3.41.%156000
14 KEATON   146-5-3.31.%187805
15 GOLDONE  181-6-3.21.%35437
16 FINBOND  126-4-3.08.%58953
17 ANGLO  22519-663-2.86.%3488068
18 FONEWORX  200-5-2.44.%8050
19 SIBANYE  831-20-2.35.%1280814
20 TIMES  1760-40-2.22.%24841

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New Highs
SharenameSaleHighMove% MoveVolume
1 OCEANA  890089403003.49.%90424
2 FAMBRANDS  976098352502.63.%746820
3 BEE-SASOL  31625316251250.40.%132

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New Lows
SharenameSaleLowMove% MoveVolume

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Index Summary
Index NameRPMove% Move
Top 4036,387.00-173.00-0.47%
Mid Cap55,573.00835.001.53%
Small Cap44,823.00512.001.16%
Resource 2046,952.00-859.00-1.80%
Industrial 2546,268.0027.000.06%
Financial 1511,461.0095.000.84%
Financial & Ind. 3049,232.0074.000.15%
All Share40,897.00-59.00-0.14%
Oil & Gas 33,
Mining 28,610.00-613.00-2.10%
Gold Mining1,477.00-48.00-3.19%
Platinum Mining39.00.00-0.65%
GENERAL MINING8,127.00-175.00-2.11%
Oil & Gas Producers 17,866.002.000.01%
Basic Materials 25,147.00-486.00-1.90%
Chemicals 21,077.0052.000.25%
Forestry & Paper 21,543.00-44.00-0.20%
Industrial Metals 24,901.00-81.00-0.33%
Industrials 41,402.00102.000.25%
General Industrials 124.00.00-0.23%
Consumer Goods 50,248.00-150.00-0.30%
Automobiles & Parts 7,721.00-117.00-1.50%
Household Goods171.0053.35%
Health Care 65,926.001351.002.09%
Index NameRPMove% Move
Food Producers 69,541.00-313.00-0.45%
Personal Goods 858.00-4.00-0.56%
Consumer Services 89,120.00813.000.92%
General Retailers 62,151.00453.000.73%
Travel & Leisure 5,602.0091.001.66%
Support Services 2,431.00-6.00-0.27%
Telecommunications 83,240.00-595.00-0.71%
Financials 30,539.00399.001.33%
Banks 49,209.00410.000.84%
Non-life Insurance 45,723.00268.000.59%
Life Insurance 29,857.00160.000.54%
General Financial 2,824.0039.001.43%
Technology 39,714.00315.000.80%
SHARIAH TOP40 3,379.00-39-1.16%
FTSE/JSE SHARIAH ALL3,510.00-30-0.87%
COAL MINING19,493.00460.24%
FTSE JSE Fledgling 5,692.00-47-0.82%
FTSE/JSE Alt X 989.0030.34%
RESOURCE 25,648.00-457-1.75%
DIVIDEND PLUS207.0010.76%
FTSE/JSE RAFI 408,103.00-29-0.37%
Capped Top 4019,206.00-77-0.40%
Capped All Share20,707.00-22-0.11%
JSE TABACO 6,895.00-75-1.08%

Click here for the Sharenet Index Summary page
Latest Consensus Changes**
CodeCompany NameStatusUpdated
Results Expected**
ExpectedCompany NameFin. Date
05/06/2013BRAITMarch 2013 (Final)
05/06/2013BRAIT PREFMarch 2013 (Final)
06/06/2013AFEAGLEDecember 2012 (Final)
07/06/2013ACUCAPMarch 2013 (Final)
07/06/2013KEATONMarch 2013 (Final)

Recent Dividends**
Share NameDec-DateLDTPay-DateAmount
TFG PREF30/05/201313/09/201323/09/2013R 0.0650
AFPREFINV30/05/201313/06/201324/06/2013R 0.1231
TRADEH30/05/201313/06/201324/06/2013R 0.0500
AF-OVR 6%PP30/05/201313/06/201324/06/2013R 0.0600
REX TRUE6%30/05/201313/06/201324/06/2013R 0.0600
Ex Div**
Share NameDec-DateLDTPay-DateAmount
TFG30/05/201328/05/201308/07/2013R 2.7000
SPAR15/05/201331/05/201310/06/2013R 1.7900
CORONAT14/05/201331/05/201310/06/2013R 1.6300
HOLDSPORT15/05/201331/05/201310/06/2013R 1.3000
LIFEHC14/05/201331/05/201310/06/2013R 0.5400

Upcoming AGMs**
CodeCompany NameDateStatus
SLMBSanlam Ltd.05/06/2013Confirmed
SLMASanlam Ltd.05/06/2013Confirmed
SLMSanlam Ltd.05/06/2013Confirmed
SLMP1Sanlam Ltd.05/06/2013Confirmed
BSRBasil Read Holdings Ltd.06/06/2013Confirmed

Stock Exchange News Service
04/06/201317:47VUKILE PROPERTY FUND LIMITED - Dealing in securities by a director and the compa...
04/06/201317:40SHERBOURNE CAPITAL LIMITED - Renewal of Cautionary
04/06/201317:35RCS INVESTMENT HOLDINGS (PTY) LTD - Full Capital Redemption - RCSC09 and RCSC10
04/06/201317:32EQSTRA HOLDINGS LIMITED - Dealings in securities by director of a major subsidia...
04/06/201317:31AFGRI LIMITED - The Unwinding of and Extension to the Broad Based BEE transactio...
04/06/201317:29AFGRI LIMITED - The Restructuring of AFGRIs International Businesses and a Small...
04/06/201317:23AH-VEST LIMITED - Renewal of Cautionary
04/06/201317:03STEINHOFF INTERNATIONAL HOLDINGS LD - Dealing in securities by a director
04/06/201317:00CITY OF TSHWANE METRO MUNICIPALITY - New Instrument Listing
04/06/201316:55ASCENSION PROPERTIES LIMITED - TRP121: Notification of an acquisition of benefic...
04/06/201316:50TONGAAT HULETT LIMITED - Director's Dealings
04/06/201316:28CONVERGENET HOLDINGS LIMITED - Change in directors interest announcement
04/06/201316:02SABMILLER PLC - Notification of transactions of directors
04/06/201316:01SABMILLER PLC - EBT Release Notification of Transactions of Directors
04/06/201316:00SABMILLER PLC - Notification of transactions of directors,
04/06/201315:45IVUZI INVESTMENTS LIMITED - Full Capital Redemption - IVA323
04/06/201315:25FIRSTRAND BANK LIMITED - Early Full Capital Redemption - FRS43
04/06/201315:09AFROCENTRIC INVESTMENT CORP LIMITED - Appointment of Company Secretary
04/06/201315:06RAINBOW CHICKEN LIMITED - Voluntary announcement relating to the disposal by Foo...
04/06/201315:05OCEANA GROUP LIMITED - Voluntary announcement and withdrawal of cautionary annou...
04/06/201315:00WITWATERSRAND CONS GOLD RESOURCES - Dealings in securities by a Director
04/06/201314:57GOLD FIELDS LIMITED - Dealing in securities by the company secretary and a direc...
04/06/201314:26KEATON ENERGY HOLDINGS LIMITED - Trading update
04/06/201313:48AFRICAN BANK INVESTMENTS LIMITED - Disclosure of significant holding of ABIL ord...
04/06/201312:39Stanlib Collective Investments Ltd - Distribution Announcement - Salient Dates
04/06/201312:05UBUBELE HOLDINGS LIMITED - Change To The Board Of Directors
04/06/201312:00CLOVER INDUSTRIES LIMITED - Dealings in share appreciation rights (SARs) by dire...
04/06/201311:45JSE LIMITED - Stratcorp Limited - Emphasis of matter
04/06/201311:00THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB- CLN116,138
04/06/201310:57THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB- CLN289
04/06/201310:50THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB- CLN244,245,277
04/06/201310:44THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB
04/06/201310:43THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB - CLN135,136,27...
04/06/201310:41THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB - CLN126,130,13...
04/06/201310:40ABSA BANK LIMITED - Basel III Pillar 3 Disclosure as at 31 March 2013
04/06/201310:39THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB- CLN264
04/06/201310:27THE STANDARD BANK OF SA LTD - Interest rate announcement/ BISTDB -SBS21
04/06/201310:20W G WEARNE LIMITED - Reviewed Provisional financial results for the year ended 2...
04/06/201310:00PHUMELELA GAMING & LEISURE LIMITED - Director's Dealings
04/06/201309:55SA CORPORATE REAL ESTATE FUND - Resignation from the board of directors
04/06/201309:30FIRSTRAND BANK LIMITED - Full Capital Redemption - FRS70
04/06/201309:29SIBANYE GOLD LIMITED - Dealing in securities by a director
04/06/201308:50PREMIUM PROPERTIES LIMITED - Dealing in securities by an associate of a director
04/06/201308:50OCTODEC INVESTMENTS LIMITED - Dealing in securities by an associate of a directo...
04/06/201308:35EDCON LIMITED - Release of Financial Results
04/06/201308:13ARCELORMITTAL SOUTH AFRICA LIMITED - Notification in terms of section 122(3) of ...
04/06/201308:07RESOURCE GENERATION LIMITED - Resource Generation signs domestic offtake contrac...
04/06/201308:00SATRIX COLLECTIVE INVESTMENT SCHEME - Listing of additional Satrix 40 securities
04/06/201308:00PETMIN LIMITED - Investor Presentation
04/06/201307:48BRITISH AMERICAN TOBACCO PLC - Transaction in own shares
04/06/201307:10TRUSTCO GROUP HOLDINGS LIMITED - Trading statement
04/06/201307:07ADCOCK INGRAM HOLDINGS LIMITED - Investor presentation on Adcock's unaudited gro...
04/06/201307:05ADCOCK INGRAM HOLDINGS LIMITED - Unaudited Financial Results for the six-month p...

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