Gino Gandolfi

The Impact of Sovereign Rating News on European Banks

This paper examines the spillover effect of Eurozone sovereign rating changes announced by Standard and Poors, Moodys, and Fitch on domestic bank share prices in the period 2002–2012. This spillover effect appears negative in the case of downgrades, but insignificant for upgrades. Surprisingly, announcement of sovereign negative credit watches results in increased bank stock returns. Bank share price losses following sovereign downgrades increase as bank leverage, efficiency, and equity performance increase, and they decrease as bank systematic risk and payout ratio increase. On the contrary, bank share prices rise following sovereign negative credit watches, as leverage and bank size decrease and as bank systematic risk increases.

An Innovative Systematic Approach to Financial Portfolio Management via PID Control

Portfolio management is the art and science of modifying the asset allocation of a financial portfolio in response to and/or in anticipation of market conditions and dynamics of financial markets. The modification of the asset allocation is obtained by rebalancing and varying the relative weights of the assets comprising the portfolio on a periodic basis. The asset manager considers two distinct portfolios: the financial portfolio subject to his management technique (referred to here as the experimental portfolio, or Portfolio “A”), and a benchmark (or comparison) portfolio called Portfolio “B”. The asset manager composes his experimental portfolio, also referred to as the benchmark-based portfolio, following, generally, two different types of strategies: active and passive (indexed) strategy. In this work, we analyze a fundamental aspect of portfolio management: the active asset allocation. The objective of this writing is to illustrate a new asset allocation technique to compose an experimental portfolio, which uses the Proportional, Integral, Derivative (PID) controller aiming to overcome a benchmarked portfolio. Therefore, the two portfolios taken into consideration are the experimental portfolio subject to the PID controlling methodology and a buy-and-hold diversified portfolio as the benchmark portfolio. The technique consists in managing portfolio asset-allocation revisions through PID control, a tool that is highly utilized and implemented in the engineering, industrial processing units and in production plants. The goal is to achieve a good portfolio performance trying to control volatility; in other words, the goal is to obtain good performance of risk adjusted returns. Thus, in finance, financial market assets forming a portfolio or a market benchmark represent the process plant controlled by the PID controller. A brief literature review covering the comparison between strategic and tactical asset allocation introduces the topic, followed by some examples of tactical asset allocation techniques. Subsequently, this article illustrates how the PID controller functions. Then, it exemplifies the new asset allocation technique, functioning, and methodology. This work shows how a portfolio managed by this new technique attains fine results of risk adjusted returns compared with a benchmark.

Il settore del risparmio gestito

Il settore del risparmio gestito si sta muovendo in un contesto ancora fortemente instabile dal punto di vista economico e sempre piu complesso dal punto di vista regolamentare. Il presente lavoro intende fornire un’analisi del comparto italiano dell’asset management che, com’e noto, e caratterizzato dal preponderante peso del canale bancario nella distribuzione dei suoi prodotti. Appare importante considerare le caratteristiche e i trend della domanda e dell’offerta del risparmio gestito in Italia, in particolare alla luce della spinta del Regolatore ad una separazione tra distribuzione e produzione. Inoltre, la recente crisi finanziaria e il consistente calo di fiducia manifestato dagli investitori negli ultimi anni hanno indotto i governi a mettere in atto delle manovre finalizzate a reperire risorse finanziarie. Infine, e pero importante menzionare anche gli importanti passi avanti compiuti in campo normativo, grazie all’adeguamento ai diversi provvedimenti regolamentari emanati a livello europeo, quali la Mifid e la Ucits IV, che segnano un momento decisivo nel processo di armonizzazione dei mercati europei dei fondi comuni.