contextul macroeconomic si implicatii asupra investitiilor ...contextul macroeconomic si implicatii...
TRANSCRIPT
![Page 1: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/1.jpg)
Contextul macroeconomic
si implicatii asupra
investitiilor in instrumente
cu venit fix
Adrian Codirlasu, CFA, PhD
Brasov, 17 mai 2016
![Page 2: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/2.jpg)
Agenda
Context macroeconomic
Anticipatii
Riscuri
Oportunitati
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Politici monetare expansioniste
Rata inflatiei Rata de politica monetara
Sursa: Reuters
Monthly ROCPI=ECI 4/30/2006 - 11/9/2016 (UTC)
Line, ROCPI=ECI, Economic Indicator(Last), (S1, S2)
4/30/2016, -3.250N/A, N/A
Auto
-3
-2
-1
0
1
2
3
4
5
6
7
8
2007 2008 2009 2010 2011 2012 2013 2014 2015 20162000 2010
Monthly ROINTR=ECI 4/30/2006 - 11/30/2016 (UTC)
Line, ROINTR=ECI, Economic Indicator(Last), (S1, S2)
5/31/2016, 1.750, N/A, N/A
Auto
2
3
4
5
6
7
8
9
10
2007 2008 2009 2010 2011 2012 2013 2014 2015 20162000 2010
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Transmisa in piata monetara
ROBOR 1M ROBOR 3M
Sursa: Reuters
Monthly RORON1MD= 4/30/2006 - 11/30/2016 (BUH)
Line, RORON1MD=, Bid(Last)
5/31/2016, 0.22, N/A, N/A
Price
RON
Auto
1
2
3
4
5
6
7
8
9
10
11
12
13
2007 2008 2009 2010 2011 2012 2013 2014 2015 20162000 2010
Monthly RORON3MD= 4/30/2006 - 11/30/2016 (BUH)
Line, RORON3MD=, Bid(Last)
5/31/2016, 0.35, N/A, N/A
Price
RON
Auto
1
2
3
4
5
6
7
8
9
10
11
12
13
2007 2008 2009 2010 2011 2012 2013 2014 2015 20162000 2010
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Si in piata de instrumente cu
venit fixRON 5Y RON 10Y
Sursa: Reuters
Daily RO5YT=RR 8/16/2007 - 10/27/2016 (GMT)
Line, RO5YT=RR, Bid Yield(Last)
5/13/2016, 2.75
Yield
Auto
3
4
5
6
7
8
9
10
11
12
13
14
15
2008 2009 2010 2011 2012 2013 2014 2015 20162000 2010
Monthly RO10YT=RR 8/31/2007 - 11/30/2016 (GMT)
Line, RO10YT=RR, Bid Yield(Last)
5/31/2016, 3.65
Yield
Auto
3
4
5
6
7
8
9
10
11
2008 2009 2010 2011 2012 2013 2014 2015 20162000 2010
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Riscul suveran
la niveluri minime post-criza5Y 7Y
Sursa: Reuters
Monthly ROGV5YUSAC= 4/30/2006 - 1/26/2016 (GMT)
Line, ROGV5YUSAC=, Bid Spread(Last)
7/31/2015, 116.80+3.13, (+2.55%)
Price
USD
Auto
50
100
150
200
250
300
350
400
2007 2008 2009 2010 2011 2012 2013 2014 20152000 2010
Monthly ROGV7YUSAC= 5/31/2013 - 4/30/2015 (GMT)
Line, ROGV7YUSAC=, Bid Spread(Last)
3/31/2015, 123.07, -0.08, (-0.06%)
Price
USD
Auto
130
140
150
160
170
180
190
200
210
220
Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q22013 2014 2015
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Agenda
Context macroeconomic
Anticipatii
Riscuri
Oportunitati
![Page 8: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/8.jpg)
Crestere PIB
2016
8
1. Mai mare de 4%
2. Intre 3.5% si 4%
3. Intre 3% si 3.5 %
4. Intre 2.5% si 3%
5. Intre 2% si 2.5%
6. Sub 2%
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Rata inflatiei
2016 YoY
9
1.Sub 0%
2.Intre 0% si 0.5%
3.Intre 0.5% si 1%
4.Intre 1% si 1.5%
5.Intre 1.5% si 2%
6.Mai mare de 2%
![Page 10: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/10.jpg)
5Y Sovereign Bonds RON Yields
EoY 2016
10
1.Mai mare de 3.5%
2.Intre 3% si 3.5%
3.Intre 2.5% si 3%
4.Intre 2% si 2.5%
5.Intre 1.5% si 2%
6.Sub 1.5%
![Page 11: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/11.jpg)
5Y Soverign Bonds EUR Yields
EoY 2016
11
1.Mai mare de 2.5%
2.Intre 1.5% si 2%
3.Intre 1% si 1.5%
4.Intre 0.5% si 1%
5.Intre 0% si 0.5%
6.Sub 0%
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Agenda
Context macroeconomic
Anticipatii
Riscuri
Oportunitati
![Page 13: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/13.jpg)
Riscuri Scenariu global Risk off:
Politica monetara a FED
Alegeri SUA
Referendum Brexit
Criza financiara din China
Grexit
Interne:
Intrarea Romaniei in procedura de deficit excesiv
Majorarea costului de finantare a datoriei publice
![Page 14: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/14.jpg)
Impact
Reajustarea ratei de dobanda fara risc
Reajustarii primei de risc suveran
Majorarea yield-urilor titlurilor cu venit
fix
![Page 15: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/15.jpg)
Agenda
Context macroeconomic
Anticipatii
Riscuri
Oportunitati
![Page 16: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/16.jpg)
Oportunitati
Diversificare a portofoliului
Hedging-ul riscului
ratei de dobanda prin instrumente derivate
(IRS, CCS)
Riscului suveran prin diversificare a expunerii
pe obligatiuni suverane
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Randamentele claselor de active
2016 YoY
17
1.Actiuni
2.Obligatiuni
3.Depozite
4.Real Estate
5.Commodities
6.Aur
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BET Index
2016 YOY
1.Crestere mai mare de 20%
2.Crestere intre10 si 20%
3.Crestere intre 0 si 10%
4.Scadere intre 0% si 10%
5.Scadere intre 10% si 20%
6.Scadere mai mare de 20%
![Page 19: Contextul macroeconomic si implicatii asupra investitiilor ...Contextul macroeconomic si implicatii asupra investitiilor in instrumente cu venit fix Adrian Codirlasu, CFA, PhD Brasov,](https://reader030.vdocuments.mx/reader030/viewer/2022040300/5e6061e9746eac1a30582361/html5/thumbnails/19.jpg)
Multumesc!
19