Dr Jaco Maritz, Cadiz Securities

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Clients tend to focus on commissions... often to their own detriment! 11% 10% 53% 10% 16% Commissions Estimated market impact Bid-offer spreads Missed trades Opportunity costs
( ) 2 2 2 2 Tracking = β − β ) σ + σ error to target This is quadratic -The larger the beta differential is allowed to drift -The further your fund is up the steep section of the parabola! ( source target target residual to target 1.1 8% 1.0 0.9 Managing this beta differential is central! Can be exacerbated by the market moving during the transition 7% 6% 5% Beta 0.8 0.7 Translates into this large risk (tracking error) Target Beta = 0.793 4% 3% Tracking Error 2% 0.6 1% 0.5 0% Initial 19-Jan 20-Jan 21-Jan 24-Jan 25-Jan 26-Jan 27-Jan 28-Jan 31-Jan Beta Tracking Error
Page 1 and 2: Dr Jaco Maritz, Cadiz Securities
Page 3 and 4: Four questions: 1. What is a transi
Page 5 and 6: Specialised transition management i
Page 7 and 8: Pre-transition Transition Trading P
Page 9: The global standard is a measure ca
Page 13 and 14: What protection do you have? - Regu
Page 15 and 16: Project plan/time line Quantitative
Page 17: Where does the transition managemen

Dr Jaco Maritz, Cadiz Securities

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