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20

18
16
14
12
10
8
6
4
2
0

Lebanon

Nigeria

Pakistan

Jordan

Kazakhs

Oman

Bahrain

Mauritius

Estonia

Kenya

12M Fwd P/E

Frontier

Romania

Slovenia

Saudi

Sri Lanka

Kuwait

Argentina

Croatia

Morocco

Vietnam

Banglad

FRONTIER - 12M FWD P/E VS


LONG TERM AVERAGE
Long-term average (5yr)

Source: MSCI, Bloomberg

VALUATIONS -12M FWD P/E (X)


FM

EM

DM

18
16
14
12
10
8
6
4
2
0
2009

2010

2011

2012

2013

2014

2015

2016
Source: MSCI, Bloomberg

MSCI FM vs EM
Average

20%

10%

0%

-10%

-30%

-50%

-70%

Jan-09
Jul-09
Jan-10
Jul-10
Jan-11
Jul-11
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16

Jan-09
Jul-09
Jan-10
Jul-10
Jan-11
Jul-11
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16

PREMIA/DISCOUNT (FWD P/E


BASIS)
10%
MSCI EM vs DM
Average

0%

-10%

-20%

-20%

-40%

-30%

-60%

-40%

Source: MSCI, Bloomberg

INFLOWS TO FRONTIER, 2011


TO DATE
2011

2012

2013

2014

2015

2016

2011

5,000

35

4,000

30

2012

2013

2014

2015

Sep

Flows, %AuM

Jul

Flows, $mn

2016

25

3,000

20

2,000

15

1,000

10

5
0

-1,000

Dec

Nov

Oct

Aug

Jun

May

Apr

Mar

Feb

Dec

Nov

Oct

Sep

Aug

Jul

Jun

May

Apr

-15

Mar

-3,000

Feb

-10

Jan

-2,000

Jan

-5

Source: EPFR

UAE
Saudi Arabia
Egypt
Vietnam
Sri Lanka
Pakistan
Georgia
Other Emea
Bangladesh
South Africa
Zimbabwe
Usa
Ukraine
Botswana
Panama
Tanzania
Romania
Kenya
Bulgaria
Lithuania
Serbia
Jordan
Estonia
Tunisia
Kazakhstan
Oman
Croatia
Mauritius
Slovenia
Bahrain
Lebanon
Argentina
Nigeria
Morocco
Kuwait

FRONTIER FUND POSITIONING


VS BENCHMARK

8
Active funds over/underweights

Allocations in active funds benchmarked to MSCI Frontier as of 31 Jan 2016

Off-Benchmark

-2

-4

-6

-8

-10

Source: EPFR, MSCI, Bloomberg, Renaissance Capital

FX VALUATION TABLES
Kenya
Nigeria
Vietnam
Bangladesh
Lebanon
Kuwait
Bulgaria
Jordan
Sri Lanka
Pakistan
Lithuania
Estonia
Oman
Romania
Mauritius
Croatia
Bahrain
Slovenia
Morocco
Serbia
Tunisia
Kazakhstan
Argentina

Current fx rate vs $
102
199
22,310
78.4
1,513
0.30
1.78
0.71
144
105
0.91
0.91
0.39
4.06
35.6
6.92
0.38
0.91
9.82
112
2.03
350
15.3

FX rate implied by longterm average REER


160
305
29,900
104
1,880
0.37
2.16
0.86
174
124
1.06
1.06
0.45
4.56
39.4
7.36
0.40
0.93
9.72
105
1.86
251
6.01

FX rate if REER falls to lows


283
670
36,758
124
3,313
0.44
5.41
1.04
216
140
2.02
1.72
0.50
9.52
45.2
8.53
0.48
1.00
10.4
173
2.22
317
12.4

Date of REER Low

Long-term average divided 2015 C/A


by current rate
(%GDP)
Jul-95
1.57
-9.6
Apr-95
1.53
-1.8
Jan-04
1.34
0.7
Dec-06
1.33
-0.9
Dec-92
1.24
-21.0
Jun-95
1.23
9.3
Jan-97
1.21
1.0
Sep-95
1.21
-7.4
Jan-96
1.21
-2.0
Sep-01
1.18
-0.8
Apr-95
1.16
-2.2
Jan-95
1.16
0.6
Nov-07
1.15
-16.9
Feb-97
1.12
-0.7
Dec-06
1.11
-4.8
Aug-97
1.06
1.7
Jun-11
1.05
-4.8
Aug-97
1.02
6.7
Aug-12
0.99
-2.3
Feb-01
0.94
-4.0
Dec-13
0.92
-8.5
Oct-99
0.72
-3.0
Apr-14
0.39
-1.8

we don't trust Argentina's inflation data, so we don't think these figures should be taken seriously

Source: Bruegel, MSCI, Bloomberg, Renaissance Capital


REER from November 2015 to date constructed by deflating REER index by movements vs USD

FX VALUATION TABLES
Egypt
China
Philippines
Qatar
India
UAE
Czech Republic
Indonesia
Thailand
Hungary
Turkey
Peru
Poland
Korea
Greece
Chile
Taiwan
Malaysia
Russia
Brazil
Mexico
Colombia
South Africa

Current fx rate vs $
7.83
6.53
47.6
3.64
68.6
3.67
24.6
13,428
35.7
282
2.94
3.53
3.97
1,239
0.91
696
33.3
4.22
76.5
3.96
18.2
3,340
15.7

FX rate implied by longterm average REER


10.5
8.64
59.2
4.41
82.2
4.27
28.2
14,998
39.3
297
3.09
3.52
3.94
1,226
0.88
670
30.4
3.84
65.4
3.26
14.5
2,363
10.9

FX rate if REER falls to lows


16.0
11.3
80.3
5.37
107
4.68
42.1
38,535
56.2
401
4.59
3.92
4.78
1,886
1.02
828
36.0
5.88
126
6.30
24.2
3,216
16.1

Date of REER Low

Long-term average divided 2015 C/A


by current rate
(%GDP)
Dec-03
1.34
-3.7
Apr-95
1.32
3.1
Feb-04
1.24
5.0
Dec-03
1.21
5.0
Feb-96
1.20
-1.4
Nov-07
1.16
2.9
Jan-95
1.15
1.7
Jun-98
1.12
-2.2
Jan-98
1.10
6.2
Apr-95
1.05
5.0
Oct-01
1.05
-4.5
Jul-07
1.00
-3.7
Nov-97
0.99
-0.5
Jan-98
0.99
7.1
Sep-00
0.97
0.7
Jun-03
0.96
-0.7
Nov-09
0.91
12.4
Dec-98
0.91
2.2
Jan-99
0.85
5.0
Oct-02
0.82
-4.0
Mar-95
0.80
-2.4
Mar-03
0.71
-6.2
Dec-01
0.69
-4.3

Source: Bruegel, MSCI, Bloomberg, Renaissance Capital


REER from November 2015 to date constructed by deflating REER index by movements vs USD

Uganda

Zambia

Rwanda

Ghana

Iraq

Tanzania

Iran

180

Saudi Arabia

Serbia

3MADTV, $mn, 18 May 15

Bulgaria

Kazakhstan

Lithuania

Estonia

Bahrain

Lebanon

Slovenia

Croatia

3MADTV, $mn, current

Mauritius

Tunisia

Sri Lanka

Kenya

Romania

Jordan

Oman

Nigeria

Argentina

Morocco

Kuwait

Bangladesh

Pakistan

Vietnam

LIQUIDITY A CHALLENGE
3MADTV, $mn, 28 April 14
1,302

160

140

120

100

80

60

40

20

Source: MSCI, Bloombergl

LIQUIDITY MAP
Ave vol. ($mn)

> 0.1

TOTAL

727

Saudi Arabia

166

Bangladesh
Vietnam
Pakistan
Kuwait
Jordan
Morocco
Argentina
Nigeria
Oman
Sri Lanka
Kenya
Romania
Bahrain
Tunisia
Lebanon
Croatia
Mauritius
Zimbabwe
Slovenia
Kazakhstan
Tanzania
Lithuania
Estonia
Zambia
Ghana

129
96
71
64
28
27
26
25
23
14
9
8
7
5
5
5
4
3
3
3
2
2
2
1
1

Ave vol.
($mn)
TOTAL
Saudi
Arabia
Bangladesh
Vietnam
Pakistan
Kuwait
Argentina
Morocco
Oman
Nigeria
Jordan
Romania
Sri Lanka
Bahrain
Lebanon
Kenya
Mauritius
Kazakhstan
Croatia
Zimbabwe
Zambia
Tanzania
Slovenia
Estonia
Ukraine

> 0.2
533
166
81
71
57
38
20
17
16
16
13
8
5
5
4
4
3
2
2
1
1
1
1
1
0

Ave vol.
($mn)
TOTAL
Saudi
Arabia
Pakistan
Vietnam
Bangladesh
Kuwait
Argentina
Morocco
Oman
Nigeria
Romania
Jordan
Kenya
Bahrain
Sri Lanka
Mauritius
Kazakhstan

> 0.5
357
166
42
41
31
16
16
10
7
6
5
5
4
3
2
2
1

Ave vol.
($mn)
TOTAL
Saudi
Arabia
Pakistan
Vietnam
Kuwait
Bangladesh
Morocco
Argentina
Oman
Nigeria
Kenya
Romania
Bahrain
Mauritius
Kazakhstan

>1
259
160
29
19
10
10
8
7
4
3
3
2
2
1
1

Ave vol.
($mn)
TOTAL
Saudi
Arabia
Pakistan
Vietnam
Kuwait
Argentina
Oman
Nigeria
Morocco

>2
162
130
13
6
5
4
2
1
1

Ave vol.
($mn)
TOTAL
Saudi
Arabia
Morocco
Kuwait
Argentina

>5
64
61

Ave vol.
($mn)
TOTAL
Saudi
Arabia

> 10
22
22

1
1
1

Source: MSCI, Bloomberg, Renaissance Capital

MSCI FRONTIER COUNTRY


WEIGHTS
Kuwait, 21%

Argentina, 14%

Nigeria, 12%

Pakistan, 8.3%

Morocco, 7.5%

Kenya, 5.5%

Oman, 4.7%

Vietnam, 3.8%

Lebanon, 3.7%

Romania, 3.4%

Bangladesh, 2.7%

Slovenia, 2.2%

Bahrain, 2.1%

Mauritius, 1.8%

Sri Lanka, 1.7%

Kazakhstan, 1.6%

Croatia, 1.4%

Jordan, 0.7%

Tunisia, 0.7%

Estonia, 0.5%

Serbia, 0.2%

Lithuania, 0.2%

Bulgaria, 0.1%

Source: MSCI, Bloomberg, Renaissance Capital

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