Weekly Report Dec 9th 14th
Weekly Report Dec 9th 14th
Weekly Report Dec 9th 14th
Markets Research
SPOTLIGHT Dec 10th Dec 14th
Indices Performance
Dec 10
PSI 20 CAC 40 DAX 30 FTSE 100 NIKKEI 225 S&P 500 NASDAQ 5.401,36 3.612,10 7.530,92 5.921,63 9.533,75 1.418,55 2.986,96
Dec 11
5.511,83 3.646,15 7.589,75 5.924,97 9.525,32 1.427,84 3.022,30
Dec 12
5.561,47 3.646,66 7.614,79 5.945,85 9.581,46 1.428,48 3.013,81
Dec 13
5.615,41 3.643,13 7.581,98 5.929,61 9.742,73 1.419,45 2.992,16
Dec 14
5.625,31 3.643,28 7.596,47 5.921,76 9.737,56 1.413,58 2.971,33
Reference Rates
Dec 10
Euribor 1M Euribor 3M Euribor 6M Euribor 12M Eonia 0.110% 0.183% 0.322% 0.547% 0.069%
Dec 11
0.110% 0.181% 0.316% 0.540% 0.067%
Dec 12
0.110% 0.183% 0.318% 0.540% 0.066%
Dec 13
0.110% 0.183% 0.317% 0.539% 0.071%
Dec 14
0.110% 0.184% 0.316% 0.537% 0.071%
Currencies
Dec 10
EUR/USD EUR/JPY EUR/GBP EUR/YUAN 1,294 106,560 0,805 8,060
Dec 11
1,301 107,390 0,807 8,128
Dec 12
1,307 108,740 0,810 8,172
Dec 13
1,308 109,420 0,812 8,149
Dec 14
1,316 109,900 0,814 8,214
Wkly Chg %
1,83% 3,04% 1,04% 1,96%
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WEEKLY REPORT
Portfolio Management
Portfolio Markowitz vs S&P 500
Markowitz S&P 500 99%
97%
The higher risk in European markets driven by poor economic data and especially by the announcement of Monti resignation from the Italian government made the German sovereign yields rise, thus increasing our short position return. On the other hand, high yield bonds performed very well as a result of a decrease in global volatility. Our short position on the African assets was the major responsible for the negative contribution to Markowitz. We have a big exposure to AFK and prices rose 2% this week. Our portfolio also suffered from the drop on the precious metals.
1,1%
0,4%
0,4%
Value
Markowitz
S&P 500
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