Readings: Rupee:Dollar hedges, Undervalued?, Quant models
Kawaljeet Saluja and Rohit Chordia of Kotak Securities expect Wipro to post substantial forex losses because of its huge $3 billion outstanding hedges as on March 31, 2008. They said India’s third-largest IT firm’s accounting for the cash flows and hedge could also wipe out some of the gains from rupee depreciation during the current quarter.
The hedged positions of Infosys and TCS were $760 million and $2.9 billion, respectively. TCS recently reduced the cover by $700 million to $2.2 billion. This is expected to favour India’s largest IT service provider. Infosys had also reduced its forex cover from $1.1 billion in the December quarter to $760 million in March.
- Economic Times: Mkt fall leaves a slew of undervalued stocks
- Via The Kirk Report, Quantitative Finance Review: A Perspective on Quantitative Finance: Models for Beating the Market
This is a perspective on quantitative finance from my point of view, a 45-year effort to build mathematical models for “beating markets”, by which I mean achieving risk-adjusted excess returns.
Where do the ideas come from? Mine come from sitting and thinking, academic journals, general and financial reading, networking, and discussions with other people.
In each of our three examples, the market was inefficient, and the inefficiency or mispricing tended to diminish somewhat, but gradually over many years. Competition tends to drive down returns, so continuous research and development is advisable. In the words of Leroy Satchel Paige, “Don’t look back. Something might be gaining on you”.
You must read Fortune’s Formula to appreciate Ed Thorp’s work.
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