Chile Saulo Mendes [Sólo lectura] - LarrainVial · 2011. 12. 6. · SMAL11 AEDU3 The Long & Short...
Transcript of Chile Saulo Mendes [Sólo lectura] - LarrainVial · 2011. 12. 6. · SMAL11 AEDU3 The Long & Short...
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March, 2011
FOR INSTITUTIONAL USE ONLY
Brazilian iShares for Institutional Investors
Saulo MendesDirector
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AGENDA
Local Products- General Overview- Sector Breakdown- Performance in 2010
Product Overview- BOVA11- SMAL11- CSMO11- MOBI11
Structured Products- Buy Writes- Collar- Dispersion - Long & Short
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Local Products (General Overview)
ETFs ISHARES MANAGEMENT FEE EXCHANGE TICKER CHARACTERISTICS OF THE UNDERLYING
INDEX
iShares Ibovespa Fundo de Índice 0.54% BOVA11 Stocks comprising the Bovespa Index
iShares BM&FBOVESPA Small Cap Fundo de Índice 0.69% SMAL11 Stocks comprising the Small Cap Index
iShares BM&FBovespa de Consumo Fundo de Índice 0.69% CSMO11 Stocks comprising the Consumption Index
iShares BM&FBovespa Imobiliário Fundo de Índice 0.69% MOBI11 Stocks comprising the Real Estate Index
Source: www.iShares.com.br
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Source: BM&FBovespa in 10/28/2010
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
Basic
Mate
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Finan
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Oil and
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Consu
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es
Telec
om an
d IT
Consu
mer Cycl
ical
Indus
trials
BOVA11 SMAL11 CSMO11 MOBI11
Local Products (Sector Breakdown)
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Local Products (Performance in 2010)
Source: Bloomberg (jan 2010 – dec 2010)
ConsumptionSmall Caps
Real Estate
Ibovespa
Index Performance (2010)
Consumption Index 25.5%
Small Caps Index 22.7%
Real Estate Index 10.5%
Ibovespa Index 1.1%
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AGENDA
Local Products- General Overview- Sector Breakdown- Performance in 2010
Product Overview- BOVA11- SMAL11- CSMO11- MOBI11
Structured Products- Buy Writes- Collar- Dispersion - Long & Short
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BOVA11 (Intraday Trading)
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BOVA11
Domicile: BrazilBenchmark: Ibovespa IndexAUM1: USD 491 MMNumber of Holdings: 71Inception Date : 28 November 2008Base Currency: BRLTicker: BOVA11Basket Liquidity2: USD 130 MMSpread2: 7 bps
1 as of 12/31/20102 as of 01/17/2011
3 January/2011Source: www.iShares.com.br
Securities Lending
(A) Management Fee
(B) Sec Lending Revenue (Fund
Manager)3(A) – (B) Sec Lending
Yield (iShares)3
0.54% 0.29% 0.25% 3.65%
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SMAL11
Domicile: BrazilBenchmark: Small Cap IndexAUM1: USD 54 MMNumber of Holdings: 60Inception Date : 28 November 2008Base Currency: BRLTicker: SMAL11Basket Liquidity2: USD 11.1 MMSpread2: 22 bps
1 as of 12/31/20102 as of 01/17/2011
3 January/2011Source: www.iShares.com.br
Securities Lending
(A) Management
Fee
(B) Sec Lending Revenue (Fund
Manager)3(A) – (B) Sec Lending
Yield (iShares)3
0.69% 0.40% 0.29% 4.90%
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CSMO11
Domicile: BrazilBenchmark: Consumption IndexAUM1: USD 10 MMNumber of Holdings: 24Inception Date : 22 February 2010Base Currency: BRLTicker: CSMO11Basket Liquidity2: USD 25.2 MMSpread2: 21 bps
1 as of 12/31/20102 as of 01/17/2011
3 January/2011Source: www.iShares.com.br
Securities Lending
(A) Management Fee
(B) Sec Lending Revenue (Fund
Manager)3(A) – (B) Sec Lending
Yield (iShares)3
0.69% 0.63% 0.06% n.a.
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MOBI11
Domicile: BrazilBenchmark: Real Estate IndexAUM1: USD 8.5 MMNumber of Holdings: 15Inception Date : 22 February 2010Base Currency: BRLTicker: MOBI11Basket Liquidity2: USD 31.6 MM Spread2: 21 bps
1 as of 12/31/20102 as of 01/17/2011
Source: www.iShares.com.br
Securities Lending
(A) Management Fee
(B) Sec Lending Revenue (Fund
Manager)3(A) – (B) Sec Lending
Yield (iShares)3
0.69% 0.48% 0.21% 2.95%
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AGENDA
Local Products- General Overview- Sector Breakdown- Performance in 2010
Product Overview- BOVA11- SMAL11- CSMO11- MOBI11
Structured Products- Buy Writes- Collar- Dispersion - Long & Short
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Brazilian interest rates are historically higher than the Tasa Política Monetária (TPM), and are among the highest real interest rates in the world.
Options structures are a great way to take advantage of this huge difference.
Interest rates (Brazil vs. Chile)
Source: Bloomberg
Brazilian Interest Rates x Tasa Política Monetária (TPM)
11.7%
4.0%
0%2%4%6%8%
10%12%14%16%18%20%
Dec-05Apr-06
Aug-06
Dec-06Apr-07
Aug-07
Dec-07Apr-08
Aug-08
Dec-08Apr-09
Aug-09
Dec-09Apr-10
Aug-10
Dec-10
SELIC TPM
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(i) Put-Call Parity defines a relationship between the price of a call option and a put option – both with identical strike prices and maturity.
(ii) The assumption for this parity is that the options are not exercised before the expiration day, which necessarily applies to European options.
Put-Call Parity
SpKec rT +=+
C = Call PremiumK = Strike Pricer = Interest Rate T = MaturityS = Spot Price
Source: www.wikipedia.org
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The Parity and the relations: Interest Rate, Volatility and Dividends
Interest Rate:
High -> Call ( ), Put ( )
Low -> Call ( ), Put ( )
Volatility:
High -> Call ( ), Put ( )
Low -> Call ( ), Put ( )
Dividends:
The Spot (S) is adjusted based on the declared dividend. The Call will be more out of the money (ie, far from (S)) and the Put will be closer to the money (ie, closer to (S)). It’s worth mentioning that the stocks listed in BM&FBovespa are “dividend adjusted”, ie, the strikes are adjusted according with the declared value of the dividends.
Put-Call Parity
SpKec rT +=+
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Depending on the Investor’s expectations regarding the future Spot Price and Volatility, he is able to adopt the following strategies:
Establishing an option’s strategy
Buy CallBuy Call or PutBuy PutVolatility
Buy:
a-) stock
b-) futures
Sell:
a-) stock
b-) futures
Volatility
Sell PutSell Call or PutSell CallVolatility
SpotSpotSpot
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Leverage (Buy Write)
Structure Description: The buy write consists of writing call options to generate income (premium). Since the options position is covered by the underlying position (BOVA11 in this case), the downside risk of writing the options is minimized.
Tenor: 4 monthsUnderlying: BOVA11Currency: BRLPrice Provider: TBDPrincipal: Not ProtectedPremium: +- 3.8% each period
Strategy:• Consists in writing call options every 4 months in order to generate a constant income and create a buffer on the downside.
1st rollover2nd rollover
3rd rollover
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Collar
Structure Description: The leverage call spread is often used in bullish market environments and involves purchasing the underlying (CSMO11), purchasing put options and selling the same number of OTM calls, both on CSMO11 with the same expiration date.
Tenor: 1 yearUnderlying: CSMO11Currency: BRLPrice Provider: TBDPrincipal: Partially ProtectedCap: 16%Max Return: 16% per period
STOCK PRICE
SMALLER BIGGER
Gain+
-Loss
Scenarios:• If CSMO11 finishes above it´s initial spot level, the investor receives CSMO11´s upside capped at 16% (max return = 16%)• If CSMO11 finishes below it´s initial spot level, investor will be partially protected, depending on the strike of the put he acquired.
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Volatility (Dispersion)
Structure Description: The dispersion strategy aims to take advantage of discrepancies between the volatility of a basket of stocks and an ETF iShares. Usually the bigger the correlation between the basket and the ETF iShares, the better.The below example was constructed using a basket comprised by 5 stocks of the Small Cap segment versus SMAL11.
Tenor: 2 monthsUnderlying: SMAL11Currency: BRLPrice Provider: TBDPrincipal: Partially Protected (97% SMAL11 put)Cap: 107% (Basket of 5 stocks)Premium: 0.85% (T-0)Correlation: 80%Max Return: 7.85% per period (57.4% per year)
STOCK PRICE
SMALLER BIGGER
Gain+
-Loss
Scenarios:• If the Small Cap basket loses value, and the correlation between the basket and SMAL11 remains constant, the SMAL11 put that was bought by the investor will partially protect the client’s portfolio on the downside and he will receive a 0.85% premium in T-0.• If the Small Cap basket remains between 97 and 107% of its initial value, the investor will receive the stock’s upside + 0.85% premium.• If the Small Cap basket rises by more than 7%, the investor will be capped and will receive a 0.85% premium + 7% (cap)
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LONG & SHORT (Long SMAL11 / Short AEDU3)
TECHNICAL INDICATORS1
RSI
Bollinger
MACD
SMAL11 AEDU3
The Long & Short strategy involves buying long equities that are expected to increase in value and selling short equities that are expected to decrease in value. The main objective is to achieve gains through the arbitrage between stocks (usually with high correlation between each other) and assumes that the relative performance of these stocks tends to return the it’s historical average (mean reversion theory).
LONG SMAL11 R$ 70.40
SHORT AEDU3 R$ 38.65
Sec Lending AEDU32 7.42% per year
Entry Point 1.821
Target Price 2.100
Potential Gain 15.3%
1 Bloomberg2 www.cblc.com.br
PARA USO EXCLUSIVO DE CORRETORAS DE VALORES
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Carefully consider risk factors, charges and expenses related to fund investments before investing according to your objectives. This and additional information may be found in the funds’ prospectus or through you financial adviser. Read the prospectus carefully before investing. Investments imply risks and even possible capital loss. Past performance does not guarantee future results. Diversification may not protect against market risk.
This material does not constitute an offer or solicitation to se ll or a solicitation to offer to buy any shares of any Fund (nor shall any such shares be offered or sold to any person) in any jurisdiction in which an offer, solicitation, purchase or sale would be unlawful under the securities law of that jurisdiction.
This information is not intended to provide investment advice. BlackRock does not guarantee the suitability or potential value of any particular investment.
The BM&FBovespa MidLarge Cap, BM&FBovespa Small Cap, Ibovespa Indices, Brasil Index, BM&FBovespa Consumo Index and the BM&FBovespa ImobiliárioIndex (referred to jointly as the “Indices”) are registered marks of BM&FBOVESPA S.A. – Bolsa de Valores, Mercadorias e Futuros ("BM&FBovespa") licensed to BlackRock Asset Management International Inc. and sublicensed by BlackRock Asset Management International Inc. to iShares BM&FBovespa MidLarge Cap Index Fund, iShares BM&FBovespa Small Cap Index Fund, iShares Ibovespa Index Fund, iShares BM&FBovespa Imobiliário Index Fund, iShares IBrX-ÍndiceBrasil (IBrX-100) Index Fund, and iShares BM&FBovespa Consumo Index Fund (referred to jointly as the “Index Funds”).
The Indices are compiled and calculated by the BM&FBovespa without any relation to the respective Index Funds. The Indices are the exclusive property of BM&FBovespa. BM&FBovespa does not provide any representation or warranty, whether express or implied, to the quotaholders of the Index Funds and shall not be liable: (i) for the quality, accuracy, or completeness of the Indices and/or for the calculation thereof or for any correlated information; (ii) for the adaptation or conformity, for any purpose whatsoever, of the Indices or any component or information included in them; (iii) for the performance or results that may be obtained by anyone deriving from the use of the Indices or any component or information included in them for any purpose whatsoever.
Within the limitations permitted by the applicable statutory law, BM&FBovespa shall not be liable: (i) for the use of and/or reference to the Indices relating to the Index Funds; or (ii) for any inaccuracies, omissions, mistakes, or errors by BM&FBovespa in the calculation of the Indices; or (iii) for any inaccuracies, omissions, mistakes, errors, or defects in any of the information provided by third parties utilized for the calculation of the Indices; or (iv) for any loss, whether pecuniary or of any other nature, whether directly or indirectly suffered by any quotaholder of the Index Funds or anyone else relating to the Index Funds deriving from any of the eventualities mentioned above, and it shall not be subject to claims, whether made before the courts or otherwise, in this respect.
The information in this material has been taken from trade and other sources considered to be reliable. We do not represent that this information is accurate and complete and it should not be relied upon as such. No part of this publication may be reproduced in any manner without the prior written permission of BlackRock, Inc.
©2010 BlackRock, Inc. All rights reserved. BlackRock® is a registered trademark of BlackRock, Inc. iShares® is a registered trademark of BlackRock Institutional Trust Company, N.A. All other trademarks, servicemarks or registered trademarks are the property of their respective owners. BGI-1284-0710
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This material is solely for educational purposes does not constitute an offer or solicitation to sell or a solicitation of an offer to buy any shares of any fund (nor shall any such shares be offered or sold to any person) in any jurisdiction in which an offer, solicitation, purchase or sale would be unlawful under the securities law of that jurisdiction. The accuracy of the information contained herein has not been confirmed by the securities regulators of Brazil, Chile and Mexico or any other securities regulator in any Latin American country.