荷银投资管理公司全球首选投资策略(pdf56)

May.2002Ø20-30©Ø“”©20-30Ø““©©Ø©ØMSCIWorldIndex©ØØ©©1,300©Ø“”(IndustryApproach)©“”(Geographic/CountryApproach)Ø4©211998MSCIWorldIndexØةة384©210(SatelliteCompany)Ø©©©Ø©()©ØØ---20-30Ø©(StandardDeviation)©(TrackingError)Ø©©Ø©ØTransoceanSedcoForexØAkzoNobelØEmerson()ØSercoØRyanair()ØPorsche()ØGucciØAccorØVNUØWalMart()ØAhold22ØNestle()ØColgatePalmolive()ØMedtronicØPfizer()ØDeutscheBank()ØINGØMunichRe()ØVeritasSoftwareØDell()ØVodafone()ØNationalGrid---(1)PorscheMSCI•“”••:Bloomberg(1):Bloomberg••1997200171%44%74%117%23%85%•(2)Ryanair:Bloomberg(2):Bloomberg(3)NestleMSCI•186622••:Bloomberg(3):Bloomberg(4)Colgate-MSCI•1806•943/2857.15314•2000-20016%:Bloomberg(4):Bloomberg(5)GucciGucciMSCI•••32••N/A:Bloomberg(5)Gucci:Bloomberg(6)Wal-Mart•••:Bloomberg(6)Wal-Mart:Bloomberg(7)Dell•“”“”•••MSCI:Bloomberg(7)Dell:Bloomberg•••(8)Accor:Bloomberg(8)Accor:Bloomberg(9)DeutscheBank:Bloomberg•187095,00012070•Moody’sAa3S&PAA•(9):Bloomberg(10)MunichRe:Bloomberg•••24%0.84155%(10):BloombergØEnergy()ØMaterials()ØIndustrials()©Capitalgoods©CommercialServices&Suppliers©TransportationØConsumerDiscretionary©Automobiles&Components©ConsumerDurables&Apparel©Hotels,Restaurants&Leisure©Media©RetailingØConsumerStaples©Food&DrugRetailingMSCI22©FoodBeverage&Tobacco©Household&PersonalproductsØHealthcare()©HealthCareEquipment&Services©Pharmaceuticals&BiotechnologyØFinancialServices()©Banks©DiversifiedFinancial©InsuranceØInformationTechnology()©Software&Services©Technologyhardware&EquipmentØTelecommunications()-TelecommunicationsservicesØUtilities()1ØØ0-66-123-5ØØØØ20022ØØ0-66-123-5ØØØØ2002ØØ0-66-123-5ØØØØ32002ØØ0-66-123-5ØØØ42002Ø,Ø0-66-123-5ØØØØ52002ØØ0-66-123-5ØØØ62002MSCI0%1%2%3%4%5%6%7%8%9%10%11%12%RealEstateUtilitiesTelecommunicationServicesTechnologyHardware&EquipmentSoftware&ServicesInsuranceDiversifiedFinancialsBanksPharmaceuticals&BiotechnologyHealthCareEquipment&ServicesHousehold&PersonalProductsFood,Beverage&TobaccoFood&DrugretailingRetailingMediaHotelsRestaurant&LeisureConsumerDurables&apparelAutomobiles&ComponentsTransportationCommercialServices&SuppliesCapitalGoodsMaterialsEnergyWeightofIndustryGroupintheMSCIWorldIndex20023MSCI0%1%2%3%4%5%6%7%8%9%10%11%12%RealEstateUtilitiesTelecommunicationServicesTechnologyHardware&EquipmentSoftware&ServicesInsuranceDiversifiedFinancialsBanksPharmaceuticals&BiotechnologyHealthCareEquipment&ServicesHousehold&PersonalProductsFood,Beverage&TobaccoFood&DrugretailingRetailingMediaHotelsRestaurant&LeisureConsumerDurables&apparelAutomobiles&ComponentsTransportationCommercialServices&SuppliesCapitalGoodsMaterialsEnergyWeightofIndustryGroupintheMSCIWorldIndexWeightofindustrygroupinfund1.2.“”MSCI20023200122MSCI-100%-50%0%50%100%150%Automobiles&ComponentsBanksCapitalGoodsCommercialServices&SuppliesConsumerDurables&ApparelDiversifiedFinancialsEnergyFood&DrugRetailingFoodBeverage&TobaccoHealthCareEquipment&ServicesHotelsRestaurants&LeisureHousehold&PersonalProductsInsuranceMaterialsMediaPharmaceuticals&BiotechnologyRetailingSoftware&ServicesTechnologyHardware&EquipmentTelecommunicationServicesTransportationUtilitiesMSCIUniverse12/31/00to12/31/01Ø20011998-200122MSCI-100%-50%0%50%100%150%200%250%300%350%400%450%500%Automobiles&ComponentsBanksCapitalGoodsCommercialServices&SuppliesConsumerDurables&ApparelDiversifiedFinancialsEnergyFood&DrugRetailingFoodBeverage&TobaccoHealthCareEquipment&ServicesHotelsRestaurants&LeisureHousehold&PersonalProductsInsuranceMaterialsMediaPharmaceuticals&BiotechnologyRetailingSoftware&ServicesTechnologyHardware&EquipmentTelecommunicationServicesTransportationUtilitiesMSCIUniverse12/31/98to12/31/01Ø3Ø2001©18(8)MSCI100%-150%©(21)MSCI50%-100%Ø1998-2001©10(7)MSCI400%-500%©25(10)MSCI300%-400%©51(14)MSCI200%-300%Ø©©4.5%36.4%59.1%64%36%:30:30-100:1002001200019991998-7.1%42.4%50.6%20.7%-12.0%-7.0%46.8%15.6%Øv.s.3/29/2002PerformanceModel(grossoffeesandexpensesinEUR)**startdate01/01/1998is100Source:ABNAMROAssetManagement8090100110120130140150160170180190200210220230240250260270280290300Dec-97Mar-98Jun-98Sep-98Dec-98Mar-99Jun-99Sep-99Dec-99Mar-00Jun-00Sep-00Dec-00Mar-01Jun-01Sep-01Dec-01Mar-02GlobalLeaderModelMSCIWorldTotalReturnJan.1998-Jan.200249GLF(MSCI)(No.ofMonths)=4949(GeometricMeanReturn)=23.498.46(Difference)=15.03-(StandardDeviation)=22.2818.89(TrackingError)=9.75-(SharpeRatio)=0.880.24(JensonAlpha)=13.45-(InformationRatio)=1.54-(Correlation)=0.9-(Beta)=1.061.00(AnnualTurnover)=163-Ø(TrackingError)=()©Ø(SharpeRatio)=/©Ø(JensonAlpha)=-()©Ø(InformationRatio)=/©Ø©1ØØØØØØØØØØØØ32.034.040.054.070.089.0113.0128.4172.13020406080100120140160180200199319941995199619971998199920002001London5.0%NonEurope44.8%Scandinavia5.9%RestofEurope8.6%France8.9%Amsterdam24.1%Italy2.7%Asia3.4%SouthAmerica4.9%NorthAmerica36.2%Central&EasternEurope0.3%GLOBALPORTFOLIOMANAGEMENTCENTERSOTHEROFFICESSingaporeAmsterdamLondonBuenosAiresParisHongKongSydneyOsloCopenhagenZurichMilanFrankfurtTorontoJakartaLuxembourgStockholmAthensWillemstadSaoPaoloMontevideoTokyoIstanbulHelsinkiBudapestWarsawMadridAntwerpBrnoCairoTaipeiBang