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| The Sharenet Daily Equity Report |
Issue: 16 July 2009 11:24 |
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More on the Yale Endowment |
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Last
week we took a look at how the Yale fund has done post the release of
the results to 30 June 2008, and at the asset allocation of the
endowment and how it has changed over the past 5 years. Today we’ll
have a closer look at the specific asset classes that make up the
endowment fund.
Superior performance has been achieved over time through allocating
capital to cheap assets and selling assets that become overpriced. By
looking at asset class expected returns, covariance’s of the various
asset classes (a measure of the extent to which the returns on the
various asset classes move together), and other techniques the
committee come up with an ideal asset allocation, the will both protect
capital to a certain extent but also grow in real terms over time.
Over the last few days Ian has been looking at the pricing of
various asset classes, in attempt to find where the value lies. Yale
will employ a similar process across a broad spread of asset classes.
While the committee’s asset allocation abilities are well known they
also have been able to consistently beat their respective asset class
benchmarks (i.e. their stock portfolio outperforming the benchmark
index). In the management of the portfolio both qualitative and
quantitative methods are used in an attempt to produce enhanced
returns. Some techniques used for the various asset classes include.
Absolute Return Funds
Aligning interests between managers and Yale through implementing
performance fees, with hurdles and claw-back provisions. They also
ensure that the manager invests significantly alongside Yale.
US Equity
The University favours managers with strong bottom up fundamental
research capabilities, and prefer those managers that follow a value
approach to investing. Integrity, stable corporate environments, and
sound philosophies are some of the qualitative aspects that are
required.
Fixed Income
This is an asset class that Yale isn’t very attracted to due to its low
expected real return (2%pa). Owing to the highly efficient nature of
the bond market, Yale manages this asset class in house.
Foreign Equity
Here managers with similar traits to US equity managers are selected.
Yale actively manages the allocation between developed and emerging
markets, and also between the various countries, sectors, and styles.
Private Equity
Yale has been able to grow a stable of managers that are able to
exploit market inefficiencies. Key traits of these managers are that
they work closely with the companies in their portfolios in order to
create fundamentally more value. Of secondary importance is financial
engineering to enhance returns.
Real Assets
High transaction costs and the illiquid nature of real assets enable
astute managers the opportunity to add significant value to the
portfolios that they manage. Yale has created strong long term
relationships with these managers to enhance value further.
The result of these methods can be seen in the graphic below:
At Seed we take notice of the methods used by successful managers.
These methods are adapted to suit our clients’ needs. The process
constantly evolves and is refined as improved techniques become
recognised.
Take care,
Mike Browne
info@seedinvestments.co.za
www.seedinvestments.co.za
021 9144 966
Wed, 15 Jul 2009- 18:36 |
| Top Trading Statistics |
^ TOP |
|
| Date |
Adv. |
Decl. |
Unch. |
Actives |
Volume |
Value |
Trades |
Orders |
| 16/07/2009 |
111 |
116 |
75 |
302 |
65,652,570 |
R2,355,497,035 |
23425 |
409643 |
| 15/07/2009 |
247 |
73 |
61 |
381 |
203,989,830 |
R8,422,213,639 |
63781 |
1009938 |
| 14/07/2009 |
303 |
83 |
64 |
450 |
289,670,202 |
R9,765,286,788 |
83098 |
1474131 |
|
|
|

|
| Major Moves (Specialist Securities and shares less than R1 excluded) |
^ TOP |
|
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| Major Moves Down |
| Sharename |
Sale |
Move |
% Move |
Volume |
| 1 |
MOBILE |
140 |
-15 |
-9.68% |
3000 |
| 2 |
KAP |
125 |
-10 |
-7.41% |
4300 |
| 3 |
ALTECH |
5700 |
-300 |
-5.00% |
10004 |
| 4 |
HCI |
4680 |
-220 |
-4.49% |
16 |
| 5 |
FREEWORLD |
655 |
-25 |
-3.68% |
1200 |
| 6 |
SAPPI |
2400 |
-85 |
-3.42% |
49137 |
| 7 |
EQSTRA |
600 |
-20 |
-3.23% |
350 |
| 8 |
M-F |
1550 |
-50 |
-3.13% |
1500 |
| 9 |
SANTAM |
9110 |
-290 |
-3.09% |
5 |
| 10 |
ARB |
160 |
-5 |
-3.03% |
15400 |
| 11 |
PALLINGHT |
375 |
-10 |
-2.60% |
5000 |
| 12 |
MRPRICE |
3036 |
-64 |
-2.06% |
223251 |
| 13 |
AFRIMAT |
250 |
-5 |
-1.96% |
6549 |
| 14 |
ADCORP |
2402 |
-48 |
-1.96% |
19650 |
| 15 |
CBH |
275 |
-5 |
-1.79% |
1000 |
| 16 |
GFIELDS |
9597 |
-172 |
-1.76% |
356018 |
| 17 |
MASSMART |
8160 |
-140 |
-1.69% |
926273 |
| 18 |
ANGLO |
23400 |
-399 |
-1.68% |
821808 |
| 19 |
GOLDONE |
177 |
-3 |
-1.67% |
1500 |
| 20 |
IMPLATS |
17312 |
-288 |
-1.64% |
320741 |
|
| |
| New Highs |
| Sharename |
Sale |
High |
Move |
% Move |
Volume |
| 1 |
FAMBRANDS |
1890 |
1890 |
90 |
5.00% |
1522 |
| 2 |
CAXTON-P |
11200 |
11200 |
100 |
0.90% |
667 |
| 3 |
WOOLIES |
1446 |
1474 |
10 |
0.70% |
1209938 |
| 4 |
REMGRO |
7848 |
7969 |
23 |
0.29% |
376023 |
| 5 |
SANLAM |
1854 |
1890 |
-12 |
-0.64% |
1523520 |
| 6 |
SHOPRIT |
5905 |
5985 |
-45 |
-0.76% |
323109 |
| 7 |
MRPRICE |
3036 |
3115 |
-64 |
-2.06% |
223251 |
|
| New Lows |
| Sharename |
Sale |
Low |
Move |
% Move |
Volume |
|
Click here for more Major Moves information... |
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| Index Name |
RP |
Move |
% Move |
| Top 40 |
21,191.09 |
-86.39 |
-0.41 % |
| Industrial |
22,392.24 |
-17.18 |
-0.08 % |
| Mid Cap |
29,678.50 |
-66.08 |
-0.22 % |
| Small Cap |
23,652.33 |
23.47 |
0.10 % |
| FINANCIALS AND INDUSTRIALS |
24,923.51 |
-7.79 |
-0.03 % |
| Resource 20 |
41,696.50 |
-362.57 |
-0.86 % |
| Industrial 25 |
18,676.08 |
-17.35 |
-0.09 % |
| Financial 15 |
6,657.09 |
7.66 |
0.12 % |
| Financial & Ind. 30 |
22,213.62 |
9.16 |
0.04 % |
| All Share |
23,474.04 |
-95.15 |
-0.40 % |
| Oil & Gas Index |
21,554.04 |
357.86 |
1.69 % |
| Mining Index |
27,128.40 |
-361.55 |
-1.32 % |
| Gold Mining |
2,369.21 |
-23.01 |
-0.96 % |
| Diamonds Mining |
410.37 |
.00 |
0.00 % |
| Platinum Mining |
62.30 |
-1.06 |
-1.67 % |
| Other Mineral Extractors |
6,402.40 |
-84.36 |
-1.30 % |
| Oil & Gas Producers Index |
11,589.21 |
192.41 |
1.69 % |
| Basic Materials Index |
22,690.76 |
-298.46 |
-1.30 % |
| Chemicals Index |
9,162.26 |
-53.75 |
-0.58 % |
| Construction & Materials Index |
49.34 |
-.06 |
-0.12 % |
| Forestry & Paper Index |
8,469.42 |
-274.95 |
-3.14 % |
| Industrial Metals Index |
22,882.30 |
78.09 |
0.34 % |
| Industrials Index |
21,683.60 |
-53.24 |
-0.24 % |
| General Industrials Index |
52,319.30 |
155.87 |
0.30 % |
| Electronic & Electrical Equipment Index |
16,267.60 |
76.54 |
0.47 % |
| Industrial Engineering Index |
31,040.01 |
81.68 |
0.26 % |
| Consumer Goods Index |
16,390.49 |
57.05 |
0.35 % |
| Automobiles & Parts Index |
838.34 |
.00 |
0.00 % |
| Household Goods |
84.24 |
-0 |
-0.21 % |
| Leisure Goods Index |
1,342.67 |
.00 |
0.00 % |
| Health Care Index |
22,615.89 |
144.61 |
0.64 % |
| Beverages Index |
59,476.19 |
85.43 |
0.14 % |
| Food Producers Index |
36,427.35 |
45.36 |
0.12 % |
| Health Care Equipment & Services Index |
28,092.69 |
367.37 |
1.33 % |
| Personal Goods Index |
180.58 |
1.90 |
1.06 % |
| Pharmaceuticals & Biotechnology Index |
7,559.26 |
12.68 |
0.17 % |
| Consumer Services Index |
32,219.98 |
18.87 |
0.06 % |
|
| Index Name |
RP |
Move |
% Move |
| General Retailers Index |
23,772.02 |
-152.49 |
-0.64 % |
| Travel & Leisure Index |
3,174.90 |
31.94 |
1.02 % |
| Media Index |
50,800.74 |
418.17 |
0.83 % |
| Support Services Index |
1,709.07 |
-24.06 |
-1.39 % |
| Industrial Transportation Index |
66.33 |
-.33 |
-0.50 % |
| Telecommunications Index |
60,995.42 |
-373.68 |
-0.61 % |
| Food & Drug Retailers Index |
33,904.46 |
-171.53 |
-0.50 % |
| Fixed Line Telecommunications Index |
1,236.11 |
2.74 |
0.22 % |
| Mobile Telecommunications |
203.24 |
-1 |
-0.64 % |
| Financials Index |
17,315.46 |
9.67 |
0.06 % |
| Banks Index |
33,029.59 |
-8.48 |
-0.03 % |
| Non-life Insurance Index |
21,167.78 |
-673.83 |
-3.09 % |
| Life Insurance Index |
11,943.66 |
27.23 |
0.23 % |
| Equity Investment Instruments Index |
1,581.19 |
14.15 |
0.90 % |
| Real Estate Index |
550.56 |
1.25 |
0.23 % |
| General Financial Index |
1,821.08 |
-5.33 |
-0.29 % |
| Technology Index |
12,039.69 |
-5.42 |
-0.04 % |
| Technology Hardware & Equipment Index |
504.10 |
|
0.00 % |
| Software & Computer Services Index |
254.95 |
-.12 |
-0.05 % |
| Development Capital |
345.21 |
.00 |
0.00 % |
| Venture Capital |
53.71 |
-.33 |
-0.61 % |
| Property Unit Trust |
331.58 |
.59 |
0.18 % |
| Property Loan Stock |
1,093.88 |
3.33 |
0.31 % |
| JSE SOCIAL RESPONSIBILITY INDEX |
11,527.79 |
.00 |
0.00 % |
| SHARIAH TOP40 INDEX |
2,437.98 |
-889 |
-26.72 % |
| FTSE/JSE SHARIAH ALL |
2,467.39 |
418 |
20.39 % |
| COAL MINING |
34,294.74 |
0 |
0.00 % |
| FTSE JSE Fledgling Index |
3,294.45 |
10 |
0.32 % |
| FTSE/JSE Alt X Index |
1,502.68 |
3 |
0.19 % |
| FTSE/JSE AFRICA ALTX 15 |
569.29 |
1 |
0.12 % |
| SA LISTED PROPERTY INDEX |
292.95 |
|
0.27 % |
| CAPPED PROPERTY INDEX |
248.57 |
|
0.22 % |
| RESOURCE INDEX |
22,935.30 |
-213 |
-0.92 % |
| DIVIDEND PLUS |
123.91 |
-0 |
-0.28 % |
| FTSE/JSE RAFI 40 |
4,842.26 |
176 |
3.77 % |
| FTSE/JSE RAFI ALLSHARE INDEX |
4,651.82 |
-1189 |
-20.36 % |
| Capped Top 40 |
11,041.79 |
-38 |
-0.34 % |
| Capped All Share |
11,777.57 |
-46 |
-0.39 % |
| All Share Style Value Index |
210.93 |
0 |
0.00 % |
| All Share Style Growth Index |
231.61 |
0 |
0.00 % |
| TOBACCO INDEX |
4,996.29 |
0 |
0.00 % |
| Shareholder Weighted Top 40 |
4,555.04 |
-13 |
-0.28 % |
| Shareholder Weighted All Share |
4,962.06 |
-14 |
-0.27 % |
| FTSE/JSE All Africa 40 Index with US$ values |
62.93 |
-15 |
-18.84 % |
| FTSE/JSE All Africa 40 Index with S A Rand values |
66.72 |
-20 |
-23.40 % |
| FTSE/JSE All Africa ex SA 30 with US$ values |
57.86 |
-27 |
-32.20 % |
| FTSE/JSE All Africa ex SA 30 with S A Rand values |
61.34 |
-35 |
-36.21 % |
|
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|
| Name |
Time |
RP |
Move |
% Move |
| JSE Overall |
11:25 |
23488.79 |
-80.40 |
-0.34 % |
| JSE Top 40 |
11:25 |
21194.89 |
-82.59 |
-0.39 % |
| JSE Gold |
11:25 |
2368.73 |
-23.49 |
-0.98 % |
| JSE Financial |
11:25 |
17323.33 |
17.54 |
0.10 % |
| JSE Industrial |
11:25 |
22397.16 |
-12.26 |
-0.05 % |
| JSE Indust 25 |
11:25 |
18677.86 |
-15.57 |
-0.08 % |
| DJ Futures |
11:10 |
8521.00 |
-23.00 |
-0.27 % |
| DJ Ind |
15/07 |
8616.21 |
256.72 |
3.07 % |
| SP 500 |
15/07 |
932.68 |
26.84 |
2.96 % |
| Nasdaq |
15/07 |
1862.90 |
63.17 |
3.51 % |
| FTSE 100 |
11:20 |
4344.96 |
-1.50 |
-0.03 % |
| DAX |
11:20 |
4932.19 |
3.75 |
0.08 % |
| CAC40 |
11:20 |
3169.80 |
-1.47 |
-0.05 % |
| Nikkei |
08:25 |
9344.16 |
74.91 |
0.81 % |
| Shanghai |
09:20 |
3183.74 |
-4.81 |
-0.15 % |
| Hang-Seng |
10:20 |
18361.87 |
103.21 |
0.57 % |
| All Ords |
08:35 |
3987.80 |
129.00 |
3.34 % |
| NZSE 50 |
07:35 |
2801.52 |
37.43 |
1.35 % |
|
| Name |
Time |
RP |
Move |
% Move |
| Gold |
11:24 |
935.60 |
-3.87 |
-0.41 % |
| Gold/Rand |
11:20 |
7632.04 |
37.71 |
0.50 % |
| Gold/R kg |
11:20 |
245370 |
1212 |
0.50 % |
| Silver |
11:24 |
13.2120 |
-.0680 |
-0.51 % |
| Platinum |
11:24 |
1149.50 |
-6.50 |
-0.56 % |
| Palladium |
11:24 |
242.50 |
-1.50 |
-0.61 % |
| R153 |
10/07 |
7.36 |
.05 |
0.00 % |
| R157 |
10/07 |
8.69 |
.05 |
0.00 % |
| R204 |
10/07 |
9.27 |
.05 |
0.00 % |
| Brent Crude |
11:15 |
62.25 |
-.76 |
-1.21 % |
| Rand / Dollar |
11:24 |
8.1517 |
.0482 |
0.59 % |
| Rand / Pound |
11:20 |
13.3625 |
0.0311 |
0.23 % |
| Rand / Euro |
11:20 |
11.4832 |
.0307 |
0.27 % |
| Rand / NZD |
11:10 |
5.2300 |
-.0400 |
-0.76 % |
| Rand / AUD |
11:20 |
6.5117 |
-.0046 |
-0.07 % |
| Yen / Dollar |
11:24 |
93.70 |
-0.53 |
-0.56 % |
| Euro / Dollar |
11:20 |
0.7103 |
0.0015 |
0.21 % |
| Dollar / Euro |
11:24 |
1.4076 |
-0.0025 |
-0.18 % |
| Pound / Dollar |
11:20 |
.6104 |
.0015 |
0.25 % |
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| Stock Exchange News Service (SENS) |
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