1. The document contains technical analyses and models created by the author to evaluate Nigerian stock and money markets, including: an equities volatility model, sector trend analysis, portfolio strategy backtesting, fundamental factor regressions, and performance attribution. 2. Credit risk models are presented to appraise money market counterparties and debt instruments, including default probability models and expected loss projections. 3. Additional analyses include option-adjusted bond spreads, counterparty credit allocation based on risk scores, and modeling of market default risk conditions.

1. An unconventional tour of My Resume
‘Talib Garba

2. “ I have developed these from MS Excel based
models and collated data to demonstrate
value from my experience through this
presentation”

3. Market Conditions, Portfolio/Trading
Strategy & Equity Risk Management

4. I created an auto-updating model using historical NSEASi index levels to express volatility
in the equities market to support portfolio asset allocation decisions. For forecast EWMA
levels I use the GARCH (1,1) Model with simplistic assumptions that future index volatility
is strongly correlated with implied volatilities of peer emerging markets indices where
equity derivatives trade
10D EWMA
Volatility
Nigerian All
Share Index

5. Sector trends
I created this model to help rank sector volume trends
through 60-trading days and better our otherwise “snapshot
view” of sector dominance

6. Appraising Market Conditions for Mandate Execution…
These charts help describe (with average
trading positions and trading frequencies) the
challenges of execution given trading liquidity
issues per stock. The supporting model
optimises allocation based on these factors
modelled over a historic timeframe…

7. Modeling & Back-testing Trading Arbitrage Portfolio strategies…
Portfolio vs. index trading
bull & bear pay-offs
Index vs. portfolio trends
Back-tested Portfolio allocation
weights based on either
minimising VaR, downside
risk, liquidity or co-integration
Portfolio VaR and expected shortfall based on 95% Confidence level
Sample portfolio tested against sample market momentum
Active Risk Squared, information ratio and Tracking Error Volatility reported here variables, beta and unexplained factors in OLS regression

8. Stock market Trade Dynamics and Technical Analysis…
7,000 700.00
Millions
6,000 600.00
5,000 500.00
4,000 400.00
3,000 300.00
2,000 200.00
1,000 100.00
- -
BANKING

9. Credit Analysis of Money Market
Counterparties/Debt instruments &
Risk Management

10. Counterpart credit appraisal and money market allocation….

11. Z-Scores above 3.00
offers comfort over the
projected horizon (1
year)

12. SURVIVORSHIP AND CREDIT LOSS ESTIMATION FOR RATED BONDS/ COUNTERPARTIES
95% CONFIDENCE LEVEL FOR LARGELY 95% CONFIDENCE LEVEL FOR LARGELY
A RATED CREDITS CCC RATED CREDITS

13. DEFAULT CORRELATIONS, RATINGS EXPECTATIONS /PROJECTIONS & CREDIT VAR
A B C
A 1.000
B 0.067 1.000
C -0.775 -0.258 1.000
Term Credit Ratings Expectations /Projections
A 7 Aa A Aa Aa Aa Aa Aa Aa
B 2 Ba Ba
C 10 Baa A Baa Aa Aa Aa Aa Aa Aa Aa Aa
Notional Expected/Projected Default Rate (S&P based)
A 45 1.60% 1.67% 0.85% 0.54% 0.36% 0.22% 0.07% 0.00%
B 175 3.43% 1.42%
C 5 7.99% 2.93% 6.25% 1.60% 1.21% 0.85% 0.54% 0.36% 0.22% 0.07% 0.00%

14. CREDIT LOSS PROJECTIONS AND CREDIT EXPOSURES USING CREDIT TRANSITION
MATRICES AND FORECAST
Year 0 1 2 3 4 5 6 7 8 9 10
Expected Credit Loss (N’m) on
None 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A 0.64 0.85 0.41 0.26 0.17 0.10 0.03 0.00 0.00 0.00 0.00
B 5.43 2.35 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
C 0.38 0.07 0.17 0.05 0.04 0.03 0.02 0.02 0.01 0.00 0.00
position
A,B 0.11 0.05 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A,C 0.06 0.03 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
B,C 0.49 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A,B,C 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
E[CL] 7.12 3.42 0.61 0.32 0.22 0.14 0.05 0.02 0.01 0.00 0.00
None 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Naira (N’m) Value Credit VaR
A 44.360 52.439 50.957 49.437 48.088 46.910 45.902 0.000 0.000 0.000 0.00
B 169.565 170.837 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00
C 0.000 0.000 2.645 3.196 3.575 3.906 4.194 4.441 4.654 4.841 0.00
A,B 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00
A,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00
B,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00
A,B,C 0.000 0.000 0.000 0.000 0.000 0.000 0.000 4.457 4.665 4.844 0.00
N’CVaR 213.93 223.28 53.60 52.63 51.66 50.82 50.10 17.81 18.65 19.37 0.00

15. OPTION ADJUSTED SPREAD FOR CORPORATE BOND PRICING (TREASURY BENCHMARK
REFERENCE) 14.50% COUPON, CALLABLE ISSUE
Yield
Option OAS/Option
Curve Z-Spread OAS
Cost Cost
Shift
-500.0 1398.7 -158.3 1557.0 0.10
-400.0 1298.7 -58.3 1357.0 0.04
-300.0 1198.7 41.7 1157.0 0.04
-200.0 1098.7 141.7 957.0 0.15
-100.0 998.7 241.7 757.0 0.32
0.0 898.7 341.7 557.0 0.61
100.0 798.7 841.7 -43.0 19.59
200.0 698.7 741.7 -43.0 17.27
300.0 598.7 641.7 -43.0 14.94
400.0 498.7 541.7 -43.0 12.61
500.0 398.7 441.7 -43.0 10.28
1000.0 -101.3 -658.3 557.0 1.18

16. ALLOCATION OF MONEY MARKET PLACEMENTS BY COUNTERPARTY CREDIT
SCORE…RATIONALISED BY INTERNAL, EXTERNAL RATING AGENT AND PREDICTED DEFAULT
RISK FROM THE ALTMAN Z-SCORE STRUCTURAL MODEL

17. MODELING MARKET CONDITIONS OF FI MARKET DEFAULT RISK

18. Security/Fund Selection,
Performance presentation,
Portfolio Risk & Return Attribution &
Portfolio Optimisation

19. PREDICTED FUNDAMENTAL FACTORS AND CONFIRMATION THROUGH OLS REGRESSIONS
Income (% Value In (Audited Size (%
Growth In Income Earnings To Price (%
Contributed Value To Market Contributed Past Period
Class Stock (% Contributed By Contributed By
By Stock To Price (% By Stock To Returns
Stock To Total) Stock To Total)
Total) Contributed By Total)
MOBIL 9.4% 3.4%
ASHAKACEM 9.3% 3.4%
FCMB 9.2% 3.5%
UACN 9.1% 3.4%
PZ 8.9% 3.4%
NB 8.7% 3.6%
Large Capitalisation, Income
GUARANTY 8.4% 12.7% 3.5% 27.19%
UBA 8.2% 3.5%
PRESCO 8.0% 2.9%
DIAMONDBNK 7.6% 3.2%
ACCESS 7.4% 3.2%
UNILEVER 5.9% 2.9%
ETI 57.3% 10.1% 3.4% 66.43%
DNMEYER 26.0% 8.6% 2.7%
Large Capitalisation, Growth
CAP 4.0% 12.2% 3.0% 6.38%
NIG-GERMAN 0.0%
CCNN 13.7% 3.4%
FIDELITYBK 13.1% 3.5%
7UP 12.8% 3.2%
Large Capitalisation, Book
FIRSTBANK 12.5% 3.7%
Value
JBERGER 12.5% 3.3%
ECOBANK 12.4% 3.4%
GUINNESS 10.8% 3.3%
DANGSUGAR 10.8% 3.6%
OANDO 10.8% 3.5%
TOTAL 10.7% 3.4%
Large Capitalisation, Market AP 10.5% 3.3%
Related Value NESTLE 10.4% 3.5%
ZENITHBANK 10.3% 3.6%
WAPCO 9.7% 3.3%
SKYEBANK 8.0% 3.0%
Unclassifed OKOMUOIL

21. Performance presentation

22. Returns and Risk Performance Attribution
MM 0.00%
Equity 100.00%
Recommended Actual
(%) Return explained by NSE Movements 12.86% 29.43%
Correlation with NSE Returns 35.9% 54.2%
Beta 0.35 0.90
Total risk - Portfolio 0.92% 1.54%
Total risk NSE Index 0.93% 0.93%
Return (Portfolio) 11.51% 22.62%
Return (NSE Index) 19.67% 19.67%
Risk free rate 5.00% 5.00%
Risk Adjusted Return (Portfolio) 7.11 11.46
Risk Adjusted Return (NSE Index) 15.83 15.83
Port Risk Actual (X > Actual vs (X > Recommended
Portfolio Index Differences in Weights Recommended) NSE) (X> NSE)
4.52 4.68 0.59
BANKING 73.68% 28.87% 44.81%
FOOD/BEV. & TOBACCO 11.91% 11.34% 0.57%
BREWERIES 5.26% 13.61% -8.35%
BUILDING 8.94% 31.67% -22.73%
AUTOMOBILE & TYRE 0.02% 0.01% 0.01%
INSURANCE 0.14% 1.43% -1.30%
MARITIME 0.03% 0.06% -0.03%
CONGLOMERATES 0.02% 4.30% -4.28%
PACKAGING 0.00% 0.36% -0.36%
OTHER FINANCIAL INSTITUTIONS 0.01% 0.13% -0.12%
100.0% 91.3% 8.7%
Contributions Returns Risk
Allocation /
Index Sector Allocation Total % Risk
Fund Position Security Selection Selection
Position Return Contribution Contribution
Interaction
BANKING -8.51% -5.52% -7.72% 2.18% 3.39% -2.15% 30.18%
FOOD/BEV. & TOBACCO 3.34% 0.25% 0.02% 2.93% 0.15% 3.10% 46.38%
BREWERIES 1.46% 2.49% -0.16% 1.29% -0.79% 0.34% 6.91%
BUILDING 1.42% 1.27% -1.34% 3.75% -2.69% -0.28% 3.43%
AUTOMOBILE & TYRE 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.02%
INSURANCE 0.00% 0.02% -0.04% -0.05% 0.04% -0.04% 0.17%
MARITIME -0.01% -0.02% 0.01% 0.00% 0.00% 0.01% 0.00%
CONGLOMERATES 0.02% 0.53% -0.61% 4.03% -4.01% -0.59% 12.85%
PACKAGING 0.00% 0.00% 0.00% 0.05% -0.05% 0.00% 0.06%
OTHER FINANCIAL INSTITUTIONS 0.00% 0.00% 0.00% -0.01% 0.01% 0.00% 0.00%
Portfolio Total -2.29% -0.98% -9.84% 14.18% -3.96% 0.38% 2.11%
Portfolio NSE Difference
True return -2.29% -1.88% -0.40%

23. SECTOR PERFORMANCES (REBASED: UN-WEIGHTED) IDENTIFIED WITHIN A SINGLE
PORTFOLIO
31-Dec-09 28-Jun-10 20-Dec-10 17-Jun-11
300.0%
BANKING
FOOD/BEV. & TOBACCO 250.0%
BREWERIES
BUILDING
AUTOMOBILE & TYRE
INSURANCE
200.0%
MARITIME
CONGLOMERATES
PACKAGING
150.0%
100.0%
50.0%
0.0%
-50.0%

24. SECTOR PERFORMANCES (REBASED AND WEIGHTED) IDENTIFIED WITHIN A SINGLE
PORTFOLIO FOR PERFORMANCE PRESENTATION
31-Dec-09 28-Jun-10 20-Dec-10 17-Jun-11
BANKING
40.0%
FOOD/BEV. & TOBACCO
BREWERIES
BUILDING
AUTOMOBILE & TYRE
INSURANCE 30.0%
MARITIME
CONGLOMERATES
PACKAGING
OTHER FINANCIAL INSTITUTIONS
20.0%
10.0%
0.0%
-10.0%
-20.0%

25. Equity (OLS) Beta Reversion modeling

26. Optimisation for Asset Allocation via Monte Carlo

27. Multifactor Pricing confirmation

28. Modeling Principal Component Analysis for Nigerian Treasuries with
Singular Value Decomposition in VBA Algorithm
PC1 = Yield Curve Level
PC2 = Yield Curve Slope
PC2 = Yield Curve Maturity

29. Fundamentals screen in “quick” sheets….
Company Based on Prices for 17-Feb-11 ZENITHBANK FIRSTBANK GUARANTY UBA NB OKOMUOIL Average
Latest price (N) Latest price (N) 15.66 16.00 19.60 0.53 77.00 14.60 17.09
Share performance YTD (%) Share performance YTD (%) 4.3% 16.5% 10.4% 15.1% -0.1% -3.9% 10.4%
Market Capitalisation Mkt cap (N’bn) 616.95 522.11 457.02 272.39 582.32 6.96 532.03
Trailing Price to Earnings P/E (x) 12.33 12.49 13.29 79.54 n/a 5.76 12.70
Trailing Dividend Yield DY (%) 2.87 0.65 5.15 0.97 3.44 2.06 2.89
Trailing Price to Book P/BV (x) 13.96 12.35 10.62 8.66 6.78 10.31 12.31
Forward Price to Earnings FWD P/E (x) 7.66 7.62 10.09 15.67 15.48 21.96 8.45
Forward Price to Book FWD P/BV (x) 2.47 1.52 2.24 0.63 35.24 1.97 2.08
Forward Dividend Yield FWD DY (%) 7.84 7.87 5.98 3.89 6.51 4.55 7.23
Latest Earnings E (x) 0.66 0.10 1.02 0.09 3.69 2.53 0.59
Forward Earnings E FWD (x) 0.02 0.02 0.02 0.01 0.05 0.01 0.02
Latest Dividend D (Y) 0.45 0.10 1.00 0.10 2.65 0.30 0.52
Forward Dividend D FWD 1.23 1.21 1.16 0.40 5.02 0.66 1.20
Market Implied One Period Div Growth Market Implied One Period Div Growth 172.8% 1109.0% 16.0% 301.8% 89.3% 121.1% 432.6%
Market Implied Cost of Equity Market Implied Cost of Equity 14.97% 14.15% 15.63% 16.44% 15.23% 7.17% 14.9%
Book Value Per Share BVPS (N) 1.12 1.24 1.83 1.19 11.36 1.41 1.40
2009 Dividend Payout 2009 Dividend Payout 0.0% 102.3% 98.4% 108.9% 71.8% 11.9% 66.9%
2010E Dividend Payout 2010E Dividend Payout 60.0% 60.0% 60.3% 60.9% 100.9% 100.0% 60.1%
2009 Return on Equity [ROE] 2009 Return on Equity [ROE] 15.0% 3.6% 17.7% 21.1% 79.7% 17.2% 12.1%
2010E Return on Equity [ROE] 2010E Return on Equity [ROE] 10.2% 14.1% 22.7% 10.5% 60.2% 16.6% 15.7%
Volatility of ROE Volatility of ROE 31.8% 287.0% 28.4% 50.3% 24.5% 3.5% 115.7%
Loss Correlations Downside Correlation with NSEASI 0.09 0.34 0.42 0.40 0.31 N/A 0.28
Total Risk Total Risk 2.03% 2.23% 2.28% 2.77% 2.47% 1.84% 2.18%
Sharpe Ratio (Risk Adjusted Return) 2.13 7.41 4.55 5.45 (0.05) (2.14) 4.69
Risk Adjusted Return - rank Risk Adjusted Return - rank 4 1 3 2 5 6 3
Actual 2010 Growth 14.99% -0.08% 0.28% -1.89% 22.48% 15.19% 5.06%
Estimate 2011E Growth 4.1% 5.6% 9.0% 4.1% -0.5% 0.0% 6.25%
Estimate Compound Growth Rate (2Yr) 10.4%
Last Trade Deals 295 642 414 199 108 10
Last Traded Volume 4,417,780 23,234,760 12,122,850 19,960,460 360,271 40,140
Last Average Traded Value 234,516.73 579,059.44 573,932.03 1,056,199.22 256,859.88 58,604.40
This week's position -1.88% Loss 3.69% Gain 0.72% Gain 1.25% Gain 0% Flat -4.76% Loss

30. Mutual Fund/ Investment Advisory Aids…

31. RETURNS BASED STYLE ANALYSIS OF NIGERIAN MUTUAL FUNDS

32. Asset Class Selection / Comparative Performance

33. Asset Class Selection /Comparative Performance
The risk adjusted
performance of the
portfolio in slide 14 is less
than these assets

34. Asset Class Selection /Comparative Performance

35. Asset Class Selection /Comparative Performance
Select Portfolio with 25% bonds is
superior on risk adjusted basis

36. Mutual Funds/Individual Securities Portfolios
Mutual Fund Ratings
Variable
Explanatory Classes 9: out of 17
Power
Risk Free Rate 85.00% Begin Value 250,000,000.00
Inflation 57.50% End Value 268,113,951.39 Target No.Years 7
Interest Rates 27.50% Income 16,244,444.44 Gross Monthly Income 1,353,703.70
GDP Growth 10.00% Expected Growth% 0.75% Excess Available for Liquidation/ Reinvestment 2,504,532.99
Income% 6.50% Barrier/ Potential Annuity 3,858,236.69
Residuals Explained 71.260% Standard Deviation (±) 9.31% 9.31% Target Annual Income 25,000,000.00
Residuals Unexplained 28.740% Portfolio Variance 0.009 PV at current inflation rate (11.75% p.a ) 16,655,926.55
Portfolio Sharpe 0.2413
ARM
ARM ETHICAL ARM AGRESSIVE GROWTH NSE All Share
Cost 2.50% 3.13% 3.42% 1.94%
Return -10.61% -12.32% -5.94% -25.01%
Standard Deviation 6.52% 4.00% 4.51% 9.28%
Sharpe - 2.394 - 4.329 - 2.427 - 3.236
Sortino - 0.416 - 0.483 - 0.429 -
Treynor Ratio - 0.168 - 0.207 - 0.093 -
Information Ratio - 1.537 - 1.784 - 0.861 -
Beta 0.633 0.596 0.636 -
True Return -13.11% -15.45% -9.37% -26.95%
Value (Based on True Return) - 2.777 - 5.111 - 3.187 - 3.445
3 1 6 0

37. Summary of roles I can assume…
• Front Office/ Sales support
• Market & Credit Risk Reporting
• Fundamental, Technical & Quantitative Analysis
• Quantitative and Technical Trading Strategies
• Equity/Fixed Income Portfolio Optimisation
• Product development
• Performance Presentation

38. It’s the End of the Slideshow…
Thanks for Viewing it!
Email: mughare@gmail.com;
mugrabbit@yahoo.com
Mobile: +234 (0)803 284 8496
Skype: Muttalib8