Answer ALL questions from Section A and THREE questions from Section B.
|
|
- Marilynn Price
- 5 years ago
- Views:
Transcription
1 UNIVERSITY OF EAST ANGLIA School of Economics Main Series UG Examination ECONOMICS OF ALTERNATIVE INVESTMENTS ECO-6004B Time allowed: 2 hours Answer ALL questions from Section A and THREE questions from Section B. Notes are not permitted in this examination. Do not turn over until you are told to do so by the Invigilator. ECO-6004B Module Contacts: Dr Antony Jackson, ECO Copyright of the University of East Anglia Version 1
2 Page 2 SECTION A (Answer ALL questions from this section) 1 a) Define the Fundamental Law Of Active Management. [6 Marks] Portfolio Manager A is a macro hedge fund manager who rebalances her S&P500 Index Futures portfolio once per week. Her portfolio currently has an Information Ratio of 1.0. Portfolio Manager B is a specialist in the Pharmaceuticals sector, and takes positions in 5 stocks each quarter. His Information Ratio is 0.8. b) Given the information provided above, which portfolio manager is generating the best forecasts? [6 Marks] Portfolio Manager B decides to hire an analyst. The analyst will enable the portfolio manager to increase the number of positions he takes, while maintaining exactly the same quality of forecasts. c) Approximately how many extra stock positions per year must the portfolio manager take in order to raise the Information Ratio to that of Portfolio Manager A? [8 Marks] 2 A futures contract on oil has a notional of 1000 barrels. The six-month futures price of a barrel of oil is currently $100, and the initial margin requirement is $10,000 per contract. The maintenance margin requirement is $5,000 per contract. A Commodity Trading Advisor wishes to establish a long $1.5 million position in oil using the futures market. a) Calculate the advisor s total initial margin requirement. [5 Marks] b) Suppose that the six-month futures price of oil decreases by 6%. Calculate the advisor s new margin balance and the size of the exchange s margin call. [10 Marks] c) What are the benefits and costs of holding a futures contract on a commodity, rather than holding the underlying physical asset? [5 Marks] ECO-6004B Version 1
3 Page 3 SECTION B (Answer THREE questions from this section) 3 Compare the usefulness of the CAPM with the usefulness of multifactor return modelling when estimating the overperformance or underperformance of an alternative investments fund. [20 Marks] 4 Explain the Dummy Variable approach to dynamic risk exposure analysis. In this context, what is a down market beta? [20 Marks] 5 Describe two major approaches to valuing private commercial real estate. [20 Marks] 6 Why is an empirical test of market efficiency a joint hypothesis test? Discuss this problem in the context of market-neutral equity fund management. [20 Marks] END OF PAPER ECO-6004B Version 1
4 ECO-6004B: 2017/18 Main Series Feedback and Suggested Solutions Feedback The mean mark for the examination was 61.7%, and the median mark was 64.0%. The lower quartile mark was 53.0%, and the upper quartile mark was 74.0%. Please find below advice and suggested solutions. Section A Question 1a The Fundamental Law of Active Management states: Information Ratio = Information Coefficient Breadth, where the IR is the ratio of excess return relative to tracking error, the IC is the correlation between forecast returns and realized returns, and Breadth is the quantity of independent active bets in a portfolio. Question 1b Consider annual numbers. Portfolio Manager A 1.0 = IC 52 IC = 0.139
5 Portfolio Manager B 0.8 = IC 20 IC = Portfolio Manager B is generating the best forecasts. Question 1c 1.0 = Breadth Breadth = The new breadth is 7.8 per quarter or, after rounding to the nearest integer, approximately 8 per quarter. This is an extra 3 positions per quarter. Question 2a The notional per contract is 1000 $100 = $100, 000 Number of contracts is $1, 500, 000/$100, 000 = 15 contracts Total initial margin is 15 $10, 000 = $150, 000 Question 2b On a $1,500,000 notional, a 6% fall implies a loss of 0.06 $1, 500, 000 = $90, 000 The advisor s new margin balance is $150, 000 $90, 000 = $60, 000 2
6 The maintenance margin requirement is 15 $5, 000 = $75, 000 The advisor is required to re-fund the account up to the initial margin requirement of $150,000, which implies the exchange s margin call is $150, 000 $60, 000 = $90, 000 Section B For these essay-style questions, one good structure to adopt is the following: 1. Summary 2. Technical Discussion 3. Critical Analysis Question 3 In the summary you could mention that this question aims to understand the returns of an investment strategy in terms of common risk factors. In the case of equity fund managers, as well as the CAPM risk factor, these common risk factors include momentum, short-term reversal, value, size, and volatility. In the technical discussion, take the opportunity to write down risk models for the CAPM and an alternative model such as the Fama-French-Carhart model or the Quantopian common-risks model. In the critical analysis section you may comment that the common risk factors have gradually been accepted by practitioners and academics over a long period, and that the evidence points to long-run returns to being exposed to these risk factors. These returns are in addition to the CAPM risk factor, so using the CAPM as the base risk model will tend to highlight many more strategies or anomalies as generating excess risk-adjusted returns. A really impressive answer will mention that inexpensive smartbeta products have been introduced to cater for demand for common risk factors, so multifactor models are most appropriate for identifying alpha that can realistically charge fees under the 2-and-20 model. 3
7 Question 4 In the summary section you may want to mention that the Dummy Variable approach is one model in the family of dynamic risk exposure models. This family of models can be used to measure the performance of a manager in up and down markets, or to assess their market timing ability. For the technical discussion, the effectiveness of market-timing strategies can be analyzed by a comparison of their average risk exposures to up markets and their average risk exposures to down markets. The equation below models different responses of the returns of a hedge fund to up markets and down markets: R i,t R f = α i + {[β i,d + (D 1 β i,diff )] (R m,t R f )} + ɛ i,t The dummy variable D 1 is set equal to 1 when R m,t R f > 0 and is set to zero when R m,t R f <= 0. The coefficient β i,diff is the difference between the fund s beta in up markets compared to its beta in down markets. For the critical analysis section, a natural extension is to consider another model in the dynamic risk exposure family, such as the Separate Regression or Quadratic Approach. These types of models also sit naturally in the Managed Futures space. Question 5 In the summary section, you may wish to briefly mention that there are two major approaches: the income approach and the comparables approach. In the technical discussion, you may wish to set up a discounted net operating income model V = NOI 1 (1 + r) + NOI 2 (1 + r) 2 + NOI 3 (1 + r) 3 + NOI 4 (1 + r) 4 + NOI 5 (1 + r) 5 + NSP (1 + r) 5 where NOI stands for Net Operating Income, and NSP stands for Net Sales Proceeds. The comparables section will be more descriptive and may include: Quality of the neighbourhood Quality of amenities, such as schools, doctors, and roads Proximity to beaches and the countryside 4
8 Proximity to pollution and landfill sites. The critical analysis section may make reference to hedonic pricing. Question 6 There are many ways to answer this question. Some possibilities are discussed below: The summary section could describe how the anomalies literature suffers from a joint-hypothesis problem, which means that we have to jointly write down an appropriate risk model (such as the Capital Asset Pricing model or the Quantopian Common-Risks model) and establish that the intercept term of the regression is greater than the risk-free rate. The technical discussion could include: A discussion of how the anomalies literature explores various violations of the efficient markets hypothesis (EMH). The EMH implies that the intercept term of our performance attribution analysis should be equal to the risk-free rate. A discussion of a long/short equity strategy, such as the social sentiment (twitter) strategy A discussion focussing on the empirical aspect of the question. In the module, we mentioned the R-squared of the overall regression equation and the t-statistics of the parameters. Again, given the wide subject area, there are many possibilities, many of which are already discussed above. For example, an answer could discuss the source of the risk premiums (liquidity, anomalies, behavioural hypotheses) or use Managed Futures as a contrast. 5
Answer FOUR questions out of the following FIVE. Each question carries 25 Marks.
UNIVERSITY OF EAST ANGLIA School of Economics Main Series PGT Examination 2017-18 FINANCIAL MARKETS ECO-7012A Time allowed: 2 hours Answer FOUR questions out of the following FIVE. Each question carries
More informationECONOMICS OF CORPORATE FINANCE AND FINANCIAL MARKETS. Answer ALL questions in Section A and Section B. Answer TWO questions from Section C.
UNIVERSITY OF EAST ANGLIA School of Economics Main Series UG Examination 2017-18 ECONOMICS OF CORPORATE FINANCE AND FINANCIAL MARKETS ECO-6004Y Time allowed: 3 hours Answer ALL questions in Section A and
More informationRisk-Based Performance Attribution
Risk-Based Performance Attribution Research Paper 004 September 18, 2015 Risk-Based Performance Attribution Traditional performance attribution may work well for long-only strategies, but it can be inaccurate
More informationDo not provide irrelevant information, but show all steps that are necessary to solve a problem.
UNIVERSITY OF EAST ANGLIA Norwich Business School Main Series UG Examination 2017-18 INVESTMENT MANAGEMENT Time allowed: 2 hours Answer FOUR questions Each question you answer is worth 25/100 points. This
More informationGlobal Journal of Finance and Banking Issues Vol. 5. No Manu Sharma & Rajnish Aggarwal PERFORMANCE ANALYSIS OF HEDGE FUND INDICES
PERFORMANCE ANALYSIS OF HEDGE FUND INDICES Dr. Manu Sharma 1 Panjab University, India E-mail: manumba2000@yahoo.com Rajnish Aggarwal 2 Panjab University, India Email: aggarwalrajnish@gmail.com Abstract
More informationCOMM 324 INVESTMENTS AND PORTFOLIO MANAGEMENT ASSIGNMENT 2 Due: October 20
COMM 34 INVESTMENTS ND PORTFOLIO MNGEMENT SSIGNMENT Due: October 0 1. In 1998 the rate of return on short term government securities (perceived to be risk-free) was about 4.5%. Suppose the expected rate
More informationTrading on the Size and Value Premia: The case of Dimensional Fund Advisors - HBS Case (2002)
MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS Module name Asset Management Module code IF2210 School Cass Business School Department or equivalent UG Programme UK credits 15 ECTS 7.5 Level 5
More informationTrading on the Size and Value Premia: The case of Dimensional Fund Advisors - HBS Case (2002)
MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS Module name Asset Management Module code IF2210 School Cass Business School Department or equivalent UG Programme UK credits 15 ECTS 7.5 Level 5
More informationSTRATEGY OVERVIEW. Long/Short Equity. Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX)
STRATEGY OVERVIEW Long/Short Equity Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX) Strategy Thesis The thesis driving 361 s Long/Short Equity strategies
More informationMeasuring Performance with Factor Models
Measuring Performance with Factor Models Bernt Arne Ødegaard February 21, 2017 The Jensen alpha Does the return on a portfolio/asset exceed its required return? α p = r p required return = r p ˆr p To
More informationArbitrage Pricing Theory and Multifactor Models of Risk and Return
Arbitrage Pricing Theory and Multifactor Models of Risk and Return Recap : CAPM Is a form of single factor model (one market risk premium) Based on a set of assumptions. Many of which are unrealistic One
More informationCapital Markets (FINC 950) DRAFT Syllabus. Prepared by: Phillip A. Braun Version:
Capital Markets (FINC 950) DRAFT Syllabus Prepared by: Phillip A. Braun Version: 6.29.16 Syllabus 2 Capital Markets and Personal Investing This course develops the key concepts necessary to understand
More informationModule 3: Factor Models
Module 3: Factor Models (BUSFIN 4221 - Investments) Andrei S. Gonçalves 1 1 Finance Department The Ohio State University Fall 2016 1 Module 1 - The Demand for Capital 2 Module 1 - The Supply of Capital
More informationHomework Assignment Section 3
Homework Assignment Section 3 Tengyuan Liang Business Statistics Booth School of Business Problem 1 A company sets different prices for a particular stereo system in eight different regions of the country.
More informationHow to measure mutual fund performance: economic versus statistical relevance
Accounting and Finance 44 (2004) 203 222 How to measure mutual fund performance: economic versus statistical relevance Blackwell Oxford, ACFI Accounting 0810-5391 AFAANZ, 44 2ORIGINAL R. Otten, UK D. Publishing,
More informationThe study of enhanced performance measurement of mutual funds in Asia Pacific Market
Lingnan Journal of Banking, Finance and Economics Volume 6 2015/2016 Academic Year Issue Article 1 December 2016 The study of enhanced performance measurement of mutual funds in Asia Pacific Market Juzhen
More informationTESTING FOR MARKET ANOMALIES IN DIFFERENT SECTORS OF THE JOHANNESBURG STOCK EXCHANGE
TESTING FOR MARKET ANOMALIES IN DIFFERENT SECTORS OF THE JOHANNESBURG STOCK EXCHANGE Mpho I. Mahlophe North-West University, South Africa mphomahlophe@gmail.com Paul-Francois Muzindutsi University of Kwazulu-Natal,
More informationCHAPTER 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return INVESTMENTS BODIE, KANE, MARCUS
CHAPTER 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return McGraw-Hill/Irwin Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. 10-2 Single Factor Model Returns on
More informationCHAPTER 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return INVESTMENTS BODIE, KANE, MARCUS
CHAPTER 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return INVESTMENTS BODIE, KANE, MARCUS McGraw-Hill/Irwin Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. INVESTMENTS
More informationNote on Cost of Capital
DUKE UNIVERSITY, FUQUA SCHOOL OF BUSINESS ACCOUNTG 512F: FUNDAMENTALS OF FINANCIAL ANALYSIS Note on Cost of Capital For the course, you should concentrate on the CAPM and the weighted average cost of capital.
More informationSyllabus for Capital Markets (FINC 950) Prepared by: Phillip A. Braun Version:
Syllabus for Capital Markets (FINC 950) Prepared by: Phillip A. Braun Version: 1.15.19 Class Overview Syllabus 3 Main Questions the Capital Markets Class Will Answer This class will focus on answering
More informationApplied Macro Finance
Master in Money and Finance Goethe University Frankfurt Week 8: An Investment Process for Stock Selection Fall 2011/2012 Please note the disclaimer on the last page Announcements December, 20 th, 17h-20h:
More informationHEDGE FUND MANAGERIAL INCENTIVES AND PERFORMANCE
HEDGE FUND MANAGERIAL INCENTIVES AND PERFORMANCE Nor Hadaliza ABD RAHMAN (University Teknologi MARA, Malaysia) La Trobe University, Melbourne, Australia School of Economics and Finance, Faculty of Law
More informationHedging (Static) Securities Trading: Principles and Procedures (no corresponding chapter)
Hedging (Static) Securities Trading: Principles and Procedures (no corresponding chapter) Trading to hedge (reduce risk) We have a risk exposure that can t be directly reduced. Example: A bank portfolio
More informationOverview of Concepts and Notation
Overview of Concepts and Notation (BUSFIN 4221: Investments) - Fall 2016 1 Main Concepts This section provides a list of questions you should be able to answer. The main concepts you need to know are embedded
More informationEconomics of Behavioral Finance. Lecture 3
Economics of Behavioral Finance Lecture 3 Security Market Line CAPM predicts a linear relationship between a stock s Beta and its excess return. E[r i ] r f = β i E r m r f Practically, testing CAPM empirically
More informationDoes size affect mutual fund performance? A general approach Received (in revised form): 8th April 2011
Original Article Does size affect mutual fund performance? A general approach Received (in revised form): 8th April 2011 Laurent Bodson is a KBL assistant professor of Financial Management at HEC Management
More informationCHAPTER 12: MARKET EFFICIENCY AND BEHAVIORAL FINANCE
CHAPTER 12: MARKET EFFICIENCY AND BEHAVIORAL FINANCE 1. The correlation coefficient between stock returns for two non-overlapping periods should be zero. If not, one could use returns from one period to
More informationMUTUAL FUND PERFORMANCE ANALYSIS PRE AND POST FINANCIAL CRISIS OF 2008
MUTUAL FUND PERFORMANCE ANALYSIS PRE AND POST FINANCIAL CRISIS OF 2008 by Asadov, Elvin Bachelor of Science in International Economics, Management and Finance, 2015 and Dinger, Tim Bachelor of Business
More informationApplied Macro Finance
Master in Money and Finance Goethe University Frankfurt Week 2: Factor models and the cross-section of stock returns Fall 2012/2013 Please note the disclaimer on the last page Announcements Next week (30
More informationApplied Macro Finance
Master in Money and Finance Goethe University Frankfurt Week 8: From factor models to asset pricing Fall 2012/2013 Please note the disclaimer on the last page Announcements Solution to exercise 1 of problem
More informationEstimating Beta. The standard procedure for estimating betas is to regress stock returns (R j ) against market returns (R m ): R j = a + b R m
Estimating Beta 122 The standard procedure for estimating betas is to regress stock returns (R j ) against market returns (R m ): R j = a + b R m where a is the intercept and b is the slope of the regression.
More informationUsing Pitman Closeness to Compare Stock Return Models
International Journal of Business and Social Science Vol. 5, No. 9(1); August 2014 Using Pitman Closeness to Compare Stock Return s Victoria Javine Department of Economics, Finance, & Legal Studies University
More informationAnswer any TWO questions. Each question carries equal weight.
UNIVERSITY OF EAST ANGLIA School of Economics Main Series UG Examination 2017-18 INTRODUCTORY MACROECONOMICS ECO-4006Y Time allowed: 2 hours Answer any TWO questions. Each question carries equal weight.
More informationFinal Exam Suggested Solutions
University of Washington Fall 003 Department of Economics Eric Zivot Economics 483 Final Exam Suggested Solutions This is a closed book and closed note exam. However, you are allowed one page of handwritten
More informationin-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationCurrency Risk and Information Diffusion
Department of Finance Bowling Green State University srrush@bgsu.edu Contributions What Will We Learn? Information moves from currency markets to equity markets at different speeds Adverse selection in
More informationEUROPEAN REAL ESTATE SOCIETY 24th Annual Conference
EUROPEAN REAL ESTATE SOCIETY 24th Annual Conference June 28 - July 1, 2017, Delft, The Netherlands Is it worth to be Green? A Performance analysis on European Green REITs Mariani Massimo, Caragnano Alessandra,
More informationFIN822 project 3 (Due on December 15. Accept printout submission or submission )
FIN822 project 3 (Due on December 15. Accept printout submission or email submission donglinli2006@yahoo.com. ) Part I The Fama-French Multifactor Model and Mutual Fund Returns Dawn Browne, an investment
More informationReal Estate Ownership by Non-Real Estate Firms: The Impact on Firm Returns
Real Estate Ownership by Non-Real Estate Firms: The Impact on Firm Returns Yongheng Deng and Joseph Gyourko 1 Zell/Lurie Real Estate Center at Wharton University of Pennsylvania Prepared for the Corporate
More informationEDHEC Asset Management Days. Workshop B: Revisiting Managed Futures & Commodities
EDHEC Asset Management Days Workshop B: Revisiting Managed Futures & Commodities Monday March 12th 12:00 1:15pm Chaired By: Valere Costello CEO, Invesdex Workshop Structure Presentation: 20 min Panelist
More informationStock Price Sensitivity
CHAPTER 3 Stock Price Sensitivity 3.1 Introduction Estimating the expected return on investments to be made in the stock market is a challenging job before an ordinary investor. Different market models
More informationFE670 Algorithmic Trading Strategies. Stevens Institute of Technology
FE670 Algorithmic Trading Strategies Lecture 4. Cross-Sectional Models and Trading Strategies Steve Yang Stevens Institute of Technology 09/26/2013 Outline 1 Cross-Sectional Methods for Evaluation of Factor
More informationA. Huang Date of Exam December 20, 2011 Duration of Exam. Instructor. 2.5 hours Exam Type. Special Materials Additional Materials Allowed
Instructor A. Huang Date of Exam December 20, 2011 Duration of Exam 2.5 hours Exam Type Special Materials Additional Materials Allowed Calculator Marking Scheme: Question Score Question Score 1 /20 5 /9
More informationCapital Markets (FINC 950) Syllabus. Prepared by: Phillip A. Braun Version:
Capital Markets (FINC 950) Syllabus Prepared by: Phillip A. Braun Version: 4.4.18 Syllabus 2 Questions this Class Will Answer This class will focus on answering this main question: What is the best (optimal)
More informationAN EMPIRICAL EXAMINATION OF NEGATIVE ECONOMIC VALUE ADDED FIRMS
The International Journal of Business and Finance Research VOLUME 8 NUMBER 1 2014 AN EMPIRICAL EXAMINATION OF NEGATIVE ECONOMIC VALUE ADDED FIRMS Stoyu I. Ivanov, San Jose State University Kenneth Leong,
More information- Asset allocation strategies (strategic, tactical, global, insured). - Style investing, style rotation and tactical asset allocation with styles.
MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS Module name Equity Investment Management Module code FR3201 School Cass Business School Department or equivalent UG Programme UK credits 15 ECTS
More informationJournal of Finance and Banking Review. Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions
Journal of Finance and Banking Review Journal homepage: www.gatrenterprise.com/gatrjournals/index.html Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions Ferikawita
More informationThe Disappearance of the Small Firm Premium
The Disappearance of the Small Firm Premium by Lanziying Luo Bachelor of Economics, Southwestern University of Finance and Economics,2015 and Chenguang Zhao Bachelor of Science in Finance, Arizona State
More informationExplaining After-Tax Mutual Fund Performance
Explaining After-Tax Mutual Fund Performance James D. Peterson, Paul A. Pietranico, Mark W. Riepe, and Fran Xu Published research on the topic of mutual fund performance focuses almost exclusively on pretax
More informationHow can we adapt long-short strategies to long-only strategies?
MIF PROGRAM RESEARCH PAPER Academic Year 2016-2017 How can we adapt long-short strategies to long-only strategies? The Momentum Paul MANIGAULT Under the supervision of Prof. Johan HOMBERT Jury: Prof. Johan
More informationB35150 Winter 2014 Quiz Solutions
B35150 Winter 2014 Quiz Solutions Alexander Zentefis March 16, 2014 Quiz 1 0.9 x 2 = 1.8 0.9 x 1.8 = 1.62 Quiz 1 Quiz 1 Quiz 1 64/ 256 = 64/16 = 4%. Volatility scales with square root of horizon. Quiz
More informationInternet Appendix to The Booms and Busts of Beta Arbitrage
Internet Appendix to The Booms and Busts of Beta Arbitrage Table A1: Event Time CoBAR This table reports some basic statistics of CoBAR, the excess comovement among low beta stocks over the period 1970
More informationCHAPTER 11. The Efficient Market Hypothesis INVESTMENTS BODIE, KANE, MARCUS. Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
CHAPTER 11 The Efficient Market Hypothesis McGraw-Hill/Irwin Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. 11-2 Efficient Market Hypothesis (EMH) Maurice Kendall (1953) found no
More informationCapital Market Assumptions
Capital Market Assumptions December 31, 2015 Contents Contents... 1 Overview and Summary... 2 CMA Building Blocks... 3 GEM Policy Portfolio Alpha and Beta Assumptions... 4 Volatility Assumptions... 6 Appendix:
More informationSeasonal Analysis of Abnormal Returns after Quarterly Earnings Announcements
Seasonal Analysis of Abnormal Returns after Quarterly Earnings Announcements Dr. Iqbal Associate Professor and Dean, College of Business Administration The Kingdom University P.O. Box 40434, Manama, Bahrain
More informationQuantitative Investment: From indexing to factor investing. For institutional use only. Not for distribution to retail investors.
Quantitative Investment: From indexing to factor investing For institutional use only. Not for distribution to retail investors. 1 What s the prudent portfolio mix? It depends Objective Investment approach
More informationIs There a Friday Effect in Financial Markets?
Economics and Finance Working Paper Series Department of Economics and Finance Working Paper No. 17-04 Guglielmo Maria Caporale and Alex Plastun Is There a Effect in Financial Markets? January 2017 http://www.brunel.ac.uk/economics
More informationAre Market Neutral Hedge Funds Really Market Neutral?
Are Market Neutral Hedge Funds Really Market Neutral? Andrew Patton London School of Economics June 2005 1 Background The hedge fund industry has grown from about $50 billion in 1990 to $1 trillion in
More informationModels explaining the average return on the Stockholm Stock Exchange
Models explaining the average return on the Stockholm Stock Exchange BACHELOR THESIS WITHIN: Economics NUMBER OF CREDITS: 15 ECTS PROGRAMME OF STUDY: International Economics AUTHOR: Martin Jämtander 950807
More informationMean-Variance Theory at Work: Single and Multi-Index (Factor) Models
Mean-Variance Theory at Work: Single and Multi-Index (Factor) Models Prof. Massimo Guidolin Portfolio Management Spring 2017 Outline and objectives The number of parameters in MV problems and the curse
More informationDynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas
Dynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas Koris International June 2014 Emilien Audeguil Research & Development ORIAS n 13000579 (www.orias.fr).
More informationHomework Solutions - Lecture 2 Part 2
Homework Solutions - Lecture 2 Part 2 1. In 1995, Time Warner Inc. had a Beta of 1.61. Part of the reason for this high Beta was the debt left over from the leveraged buyout of Time by Warner in 1989,
More informationCapital Markets (FINC 950) Introduction. Prepared by: Phillip A. Braun Version:
Capital Markets (FINC 950) Introduction Prepared by: Phillip A. Braun Version: 6.26.17 Syllabus 2 Introduction to the Capital Markets Class The capital markets class provides a structure for thinking about
More informationA Portrait of Hedge Fund Investors: Flows, Performance and Smart Money
A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money Guillermo Baquero and Marno Verbeek RSM Erasmus University Rotterdam, The Netherlands mverbeek@rsm.nl www.surf.to/marno.verbeek FRB
More informationFactoring Profitability
Factoring Profitability Authors Lisa Goldberg * Ran Leshem Michael Branch Recent studies in financial economics posit a connection between a gross-profitability strategy and quality investing. We explore
More informationPortfolio Risk Management and Linear Factor Models
Chapter 9 Portfolio Risk Management and Linear Factor Models 9.1 Portfolio Risk Measures There are many quantities introduced over the years to measure the level of risk that a portfolio carries, and each
More informationFocused Funds How Do They Perform in Comparison with More Diversified Funds? A Study on Swedish Mutual Funds. Master Thesis NEKN
Focused Funds How Do They Perform in Comparison with More Diversified Funds? A Study on Swedish Mutual Funds Master Thesis NEKN01 2014-06-03 Supervisor: Birger Nilsson Author: Zakarias Bergstrand Table
More informationTrading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors Brad M. Barber Terrance Odean * First Draft: March 1998 This Draft: June 1999 Forthcoming, Journal of
More informationDoes fund size erode mutual fund performance?
Erasmus School of Economics, Erasmus University Rotterdam Does fund size erode mutual fund performance? An estimation of the relationship between fund size and fund performance In this paper I try to find
More information"Does It Pay to Be Informed?" Expenditure Efficiency in the US Mutual Fund Industry
Gettysburg Economic Review Volume 5 Article 5 2011 "Does It Pay to Be Informed?" Expenditure Efficiency in the US Mutual Fund Industry Jan Cerny Gettysburg College Class of 2011 Follow this and additional
More informationHow to select outperforming Alternative UCITS funds?
How to select outperforming Alternative UCITS funds? Introduction Alternative UCITS funds pursue hedge fund-like active management strategies subject to high liquidity and transparency constraints, ensured
More informationOptimal Debt-to-Equity Ratios and Stock Returns
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2014 Optimal Debt-to-Equity Ratios and Stock Returns Courtney D. Winn Utah State University Follow this
More informationRisk and Return of Short Duration Equity Investments
Risk and Return of Short Duration Equity Investments Georg Cejnek and Otto Randl, WU Vienna, Frontiers of Finance 2014 Conference Warwick, April 25, 2014 Outline Motivation Research Questions Preview of
More informationAnswer FOUR questions: THREE from Section A and ONE from Section B
UNIVERSITY OF EAST ANGLIA Norwich Business School Main Series UG Examination 2017-18 MANAGEMENT ACCOUNTING NBS-5007Y Time allowed: 3 hours Answer FOUR questions: THREE from Section A and ONE from Section
More information10 Things We Don t Understand About Finance. 3: The CAPM Is Missing Something!
10 Things We Don t Understand About Finance 3: The CAPM Is Missing Something! Models Need two features Simple enough to understand Complex enough to be generally applicable Does the CAPM satisfy these?
More informationState Ownership at the Oslo Stock Exchange. Bernt Arne Ødegaard
State Ownership at the Oslo Stock Exchange Bernt Arne Ødegaard Introduction We ask whether there is a state rebate on companies listed on the Oslo Stock Exchange, i.e. whether companies where the state
More informationBrazil Risk and Alpha Factor Handbook
Brazil Risk and Alpha Factor Handbook In this report we discuss some of the basic theory and statistical techniques involved in a quantitative approach to alpha generation and risk management. Focusing
More informationWhen do enhanced indexation managers add alpha? In previous papers, 1 we identified market circumstances that seem to have a positive
When do enhanced indexation managers add alpha? In previous papers, 1 we identified market circumstances that seem to have a positive Ingrid Tierens New York: 212-357-441 Originally published: October
More informationFinal Exam. Consumption Dynamics: Theory and Evidence Spring, Answers
Final Exam Consumption Dynamics: Theory and Evidence Spring, 2004 Answers This exam consists of two parts. The first part is a long analytical question. The second part is a set of short discussion questions.
More informationEmpirical Observations on the Tracking Errors and the Risk-Adjusted Returns of REIT-Based Exchange Traded Funds
International Journal of Business and Management; Vol. 11, No. 9; 2016 ISSN 1833-3850 E-ISSN 1833-8119 Published by Canadian Center of Science and Education Empirical Observations on the Tracking Errors
More informationExamining the size effect on the performance of closed-end funds. in Canada
Examining the size effect on the performance of closed-end funds in Canada By Yan Xu A Thesis Submitted to Saint Mary s University, Halifax, Nova Scotia in Partial Fulfillment of the Requirements for the
More informationStochastic Models. Statistics. Walt Pohl. February 28, Department of Business Administration
Stochastic Models Statistics Walt Pohl Universität Zürich Department of Business Administration February 28, 2013 The Value of Statistics Business people tend to underestimate the value of statistics.
More informationThe Effect of Kurtosis on the Cross-Section of Stock Returns
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2012 The Effect of Kurtosis on the Cross-Section of Stock Returns Abdullah Al Masud Utah State University
More informationBessembinder / Zhang (2013): Firm characteristics and long-run stock returns after corporate events. Discussion by Henrik Moser April 24, 2015
Bessembinder / Zhang (2013): Firm characteristics and long-run stock returns after corporate events Discussion by Henrik Moser April 24, 2015 Motivation of the paper 3 Authors review the connection of
More informationThe Asymmetric Conditional Beta-Return Relations of REITs
The Asymmetric Conditional Beta-Return Relations of REITs John L. Glascock 1 University of Connecticut Ran Lu-Andrews 2 California Lutheran University (This version: August 2016) Abstract The traditional
More informationDecimalization and Illiquidity Premiums: An Extended Analysis
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2015 Decimalization and Illiquidity Premiums: An Extended Analysis Seth E. Williams Utah State University
More informationAn Analysis of Anomalies Split To Examine Efficiency in the Saudi Arabia Stock Market
An Analysis of Anomalies Split To Examine Efficiency in the Saudi Arabia Stock Market Mohammed A. Hokroh MBA (Finance), University of Leicester, Business System Analyst Phone: +966 0568570987 E-mail: Mohammed.Hokroh@Gmail.com
More informationSTRATEGY OVERVIEW. Opportunistic Growth. Related Funds: 361 U.S. Small Cap Equity Fund (ASFZX)
STRATEGY OVERVIEW Opportunistic Growth Related Funds: 361 U.S. Small Cap Equity Fund (ASFZX) Strategy Thesis The thesis driving 361 s traditional long-only equity strategies is based on the belief that
More informationFORMAL EXAMINATION PERIOD: SESSION 1, JUNE 2016
SEAT NUMBER:. ROOM:... This question paper must be returned. Candidates are not permitted to remove any part of it from the examination room. FAMILY NAME:.... OTHER NAMES:....... STUDENT NUMBER:.......
More informationMSc Behavioural Finance detailed module information
MSc Behavioural Finance detailed module information Example timetable Please note that information regarding modules is subject to change. TERM 1 TERM 2 TERM 3 INDUCTION WEEK EXAM PERIOD Week 1 EXAM PERIOD
More informationControlling for Fixed Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds
Controlling for Fixed Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds George Comer Georgetown University Norris Larrymore Quinnipiac University Javier Rodriguez University of
More informationTests for the Difference Between Two Linear Regression Intercepts
Chapter 853 Tests for the Difference Between Two Linear Regression Intercepts Introduction Linear regression is a commonly used procedure in statistical analysis. One of the main objectives in linear regression
More informationAPPENDIX TO LECTURE NOTES ON ASSET PRICING AND PORTFOLIO MANAGEMENT. Professor B. Espen Eckbo
APPENDIX TO LECTURE NOTES ON ASSET PRICING AND PORTFOLIO MANAGEMENT 2011 Professor B. Espen Eckbo 1. Portfolio analysis in Excel spreadsheet 2. Formula sheet 3. List of Additional Academic Articles 2011
More informationEssays on Open-Ended Equity Mutual Funds in Thailand Presented at SEC Policy Dialogue 2018: Regulation by Market Forces
Essays on Open-Ended Equity Mutual Funds in Thailand Presented at SEC Policy Dialogue 2018: Regulation by Market Forces Roongkiat Ranatabanchuen, Ph.D. & Asst. Prof. Kanis Saengchote, Ph.D. Department
More informationAre You Smarter Than a CFA'er?
Are You Smarter Than a CFA'er? Manager Qualifications and Portfolio Performance Russell B. Gregory-Allen (Corresponding author) Massey University, New Zealand E-mail: r.gregory-allen@massey.ac.nz Hany
More informationDoes the Application of Smart Beta Strategies Enhance Portfolio Performance? Muhammad Wajid Raza Dawood Ashraf
Does the Application of Smart Beta Strategies Enhance Portfolio Performance? The Case of Islamic Equity Investments Muhammad Wajid Raza Dawood Ashraf The main motivation: Returns & Growth Background o
More informationMutual Fund Performance and Performance Persistence
Peter Luckoff Mutual Fund Performance and Performance Persistence The Impact of Fund Flows and Manager Changes With a foreword by Prof. Dr. Wolfgang Bessler GABLER RESEARCH List of Tables List of Figures
More informationPerformance Measurement and Attribution in Asset Management
Performance Measurement and Attribution in Asset Management Prof. Massimo Guidolin Portfolio Management Second Term 2019 Outline and objectives The problem of isolating skill from luck Simple risk-adjusted
More informationFixed Income Portfolio Asset Allocation
Fixed Income Portfolio Asset Allocation An understanding of the key parameters, methods and models used in the allocation process This in-house course can be presented in-house either on your premises
More information