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MONGOLIAN INVESTORS COCKPIT

 

 

MONTHLY REPORT 

 

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   December  December  December

 

 

 

MARKET RESEARCH

 

These works target investors interested in adding Mongolian equities to their well-diversified portfolios through mimicking TOP-20 Index, the Country’s main stock market indicator. Including the index, as op-posed to picking single stocks, is a superior choice thanks to the availability of a consistent stream of dai-ly price data which facilitates risk-based analyses.


The reports are made for Standard Investment LLC by Federico M. Massari, a long distant volunteer risk analyst from Italy. For further questions and comments please contact:
Federico M. Massari, federico.massari@libero.it, Tel. +39 340 1011568

 

RESEARCH SHORT DESCRIPTION
1 MSE TOP-20 RISK ANALYSIS
22 pages                         

Mongolia’s TOP-20 Index Risk Analysis (2016) 

This work covers visual detection of non-Gaussian features in the data, volatility modelling (RiskMetrics, GARCH), distribution fitting (Gaussian, Student’s t, extreme value theory), Value at Risk and Expected Shortfall, backtesting, simulation techniques, and plain vanilla derivatives.

2 MSE TOP-20 RISK ANALYSIS, PT. 2
16 pages

Mongolia’s TOP-20 Index Risk Analysis, Pt. 2 (2017)

This work surveys, and formally tests the presence of, the most important stylised facts of TOP-20 Index (autocorrelation of log and squared returns, volatility clustering, positive skewness and negative leverage, positive ex-cess kurtosis). By incorporating them in the risk models (asymmetric extensions of GARCH, asymmetric Student’s t), we achieve a near-perfect fit of the left tail of the distribution of returns.

3 MSE TOP-20 RISK ANALYSIS, PT. 3
9 pages

Mongolia’s TOP-20 Index Risk Analysis, Pt. 3 (2017)


This work focuses on modelling the right tail of the distribution of returns, which is important in the presence of positive skewness and negative leverage. It provides an in-depth coverage of the two main approaches in extreme value theory: extrema, or block maxima (BM) and peek-over-threshold (POT). By modelling the right tail with EVT, we achieve a near-perfect fit of the whole distribution of returns.

4 TOP-20 IN YOUR ASSET MIX
8 pages

Should You Add TOP-20 To Your Asset Mix? (2017)

 

This work analyses the historical risk-return performance of one-month investments in TOP-20 Index portfolios, pointing out the improved market efficiency since the April 8, 2011 agreement between MSE and London Stock Exchange.

 

MARKET FORECAST – INVESTORS’ EDITION

 

No RESEARCH  SHORT DESCRIPTION 
1 TOP-20 IN YOUR ASSET MIX
4 pages

Should You Add TOP-20 To Your Asset Mix? (2017)


In light of the recent growth in the trading of shares of TOP-20 constituents, we forecast the performance of one-month investments in index-mimicking portfolios for the period January 30 – February 24.

2 TOP-20 FORECAST MARCH 2017
5 pages

TOP-20 Index Market Forecast, March 2017 (2017)


We review the most important features of TOP-20 Index (positive skewness and negative leverage) showing why they are beneficial for investors, assess last month’s performance of TOP-20 portfolios, and make a prediction for the period March 6 – April 3.

 

COMPANY RESEARCH
 

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