Hedging StrategiesMBA(Ch3)

Hedging StrategiesMBA(Ch3) - CHAPTER 3 Presentation Name,...

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Presentation Name, Etc., or Delete CHAPTER 3
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Presentation Name, Etc., or Delete Hedging Strategies In this example, we will focus on   1. Cross-hedging financial assets  2. The use of regression analysis to help us  calculate our optimal hedge ratio. 3. The similarity between the hedging equations for  financial and non-financial assets 
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Presentation Name, Etc., or Delete Hedging Strategies Imagine that we work for Fidelity and our  portfolio has returned 12% year to date.  The embedded spreadsheet on the next slide has  monthly historical returns for our portfolio. To view the data Left click on the spreadsheet Choose “Worksheet Object” Select “Open” Save this file as another spreadsheet so we can  use the data in our hedge
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Presentation Name, Etc., or Delete Monthly Portfolio Returns Fidelity Fidelity Fidelity Fidelity Date (millions of $) Date (millions of $) Date (millions of $) Date (millions of $) 1-Aug-06 7.300 1-Dec-03 5.645 2-Apr-01 6.465 3-Aug-98 4.998 3-Jul-06 7.322 3-Nov-03 5.323 1-Mar-01 5.963 1-Jul-98 5.849 1-Jun-06 7.181 1-Oct-03 5.329 1-Feb-01 6.572 1-Jun-98 5.846 1-May-06 7.043 2-Sep-03 5.058 2-Jan-01 7.124 1-May-98 5.662 3-Apr-06 6.908 1-Aug-03 5.236 1-Dec-00 6.924 1-Apr-98 5.734 1-Mar-06 6.775 1-Jul-03 4.982 1-Nov-00 6.894 2-Mar-98 5.767 1-Feb-06 6.645 2-Jun-03 5.002 2-Oct-00 7.378 2-Feb-98 5.517 3-Jan-06 6.518 1-May-03 4.788 1-Sep-00 7.484 2-Jan-98 5.159 1-Dec-05 6.323 1-Apr-03 4.682 1-Aug-00 7.808 1-Dec-97 5.150 1-Nov-05 6.329 3-Mar-03 4.338 3-Jul-00 7.433 3-Nov-97 5.018 3-Oct-05 6.044 3-Feb-03 4.261 1-Jun-00 7.686 1-Oct-97 4.746 1-Sep-05 6.263 2-Jan-03 4.375 1-May-00 7.543 2-Sep-97 5.030 1-Aug-05 6.223 2-Dec-02 4.474 3-Apr-00 7.629 1-Aug-97 4.721 1-Jul-05 6.304 1-Nov-02 4.778 1-Mar-00 7.773 1-Jul-97 4.968 1-Jun-05 6.182 1-Oct-02 4.517 1-Feb-00 7.177 2-Jun-97 4.656 2-May-05 6.099 3-Sep-02 4.124 3-Jan-00 7.201 1-May-97 4.409 1-Apr-05 5.859 1-Aug-02 4.747 1-Dec-99 7.588 1-Apr-97 4.262 1-Mar-05 6.052 1-Jul-02 4.599 1-Nov-99 7.208 3-Mar-97 3.921 1-Feb-05 6.123 3-Jun-02 5.039 1-Oct-99 7.202 3-Feb-97 4.083 3-Jan-05 5.934 1-May-02 5.357 1-Sep-99 6.680 2-Jan-97 4.034 1-Dec-04 6.109 1-Apr-02 5.510 2-Aug-99 6.888 2-Dec-96 3.823 1-Nov-04 5.931 1-Mar-02 5.780 1-Jul-99 6.883 1-Nov-96 3.989 1-Oct-04 5.814 1-Feb-02 5.735 1-Jun-99 7.157 1-Oct-96 3.684 1-Sep-04 5.638 2-Jan-02 5.721 3-May-99 6.794 3-Sep-96 3.669 2-Aug-04 5.603 3-Dec-01 5.775 1-Apr-99 6.933 1-Aug-96 3.494 1-Jul-04 5.733 1-Nov-01 5.651 1-Mar-99 6.835 1-Jul-96 3.374 1-Jun-04 5.848
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This note was uploaded on 05/09/2008 for the course FIN 522 taught by Professor Roskelley during the Spring '08 term at University of Arizona- Tucson.

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Hedging StrategiesMBA(Ch3) - CHAPTER 3 Presentation Name,...

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