RECAP OF BOND PRICING
Clarify story with less than annual coupons and the floating rate
structure to be more in sync with how we did bond pricing in
327.
1. Suppose the current term structure is:
0_90_180_270_360
<4.00%
< 4.25%
< 4.375%
< 4.50%
Th
Fin 327
Graded Homework 1
Fall, 2013
Due: Thursday 09/19/13 in class no later than 5:30PM,
or before to me in person.
Please circle the correct answer and also report your answer and the ANSWER SUMMARY in the next
page. Do not forget to enter your name an
Expected Value Properties
if X = discrete random var iable; there are s states of the world
X assumes s different values ( xs ), with correpondent probability p ( xs )
s
E[ X ] = p ( x s ) x s ;
E[ k X ] = k E[ X ]
i =1
ex : two states of the world
x1 = 4
Skidding Rupee Endangers India's Slowing Economy  WSJ.com
1 of 3
http:/online.wsj.com/article/SB10001424127887324324404579040690.
Dow Jones Reprints: This copy is for your personal, noncommercial use only. To order presentationready copies for distribu
Spreadsheet 1
Lets get some practice using spreadsheets to calculate some basic risk/return portfolio calculations.
The data and answers are is on the class web page under "Spreadsheet_ HW1_answer"
The data is in an excel spreadsheet file. Each column con
Sheet1
Answers to spreadsheet hw1
Do a search on Q1, Q2, etc for the answers.
bin range
Large
Company
Year
Stocks
Large
30
1926
11.62
25
1927
37.49
20
1928
43.61
15
1929
8.42
10
1930
24.90
5
1931
43.34
0
1932
8.19
5
1933
53.99
10
1934
1.44
15
1
Welcome to FIN 421!
PORTFOLIO MANAGEMENT
Professor Stefano Gubellini
Today:
Top investing mistakes (that others make not us!)
Pass out syllabus, lecture notes
Discuss syllabus, critical dates
Discuss Blackboard.
Go over stock picking contest
Pick ou
FIN421 Professor Stefano Gubellini
Notes on risk adjustment
Three commonly used methods to adjust a mutual funds returns for risk are:
1. The market model:
EXRt = J + mkt EXMKTt + t
The intercept in this model is referred to as the Jensens alpha
2. The Fa
Appendix
Table II.
Summary Statistics for the BE/ME deciles .
This table reports the results from the unconditional CAPM including the intercept (in percentage), the annualized means m and the
volatilities . All the tstatistics are calculated using the N
Chapter 8 TwoSecurity Model
The accompanying spreadsheet can be used to measure the return and risk for a portfolio
of two risky assets. The model calculates the return and risk for portfolios constructed by
varying the weights of each security, and also
Chapter 4
Mutual Funds and Other Investment
Companies
Morning star & Lipper
20%
Small
20% Value
10%
Med
Large
x
Mid
10% Growth
x
Fund managers move form Large growth to value small as they need to earn
more returns
41
Services of Investment Companies
Adm
Chapter 12
Macroeconomic and Industry Analysis
12.1 The Global Economy
122
Framework of Analysis
Fundamental Analysis
Analysis of the determinants of firm value,
specifically attempting to forecast the
earnings and dividends of a firm.
Top down appr
Chapter 7
The Capital Asset Pricing Model
Empirical examples on class web page Excel and SAS
examples:

Data on all firm betas
How to calculate CAPM beta for IBM

CAPM performance across B/M deciles
71
Our focus in this chapter
CAPM theory versus what
Investments FIN 327
Introduction
5 Mistakes in Investing
1. Lack of diversification
2. Getting Caught in a bubble
3. Not understanding the risk profile of different asset class
4. Excess Trading
5. Investing in high fee funds
Investment Process
1. Asset A
Part 1
1. A portfolio manager indexes part of a portfolio and actively manages the rest of the portfolio. This is
called a _ strategy.
A.
passive aggressive
B.
passive core
C.
passively active
D.
none of the above
2.
A.
B.
C.
D.
The term "asset allocation
Course Syllabus
For
FIN327: Investments
Fall 2013
Professor Stefano Gubellini
Office: Room SSE 3402  CBA
Telephone: (619) 5948398
Email: sgubellini@mail.sdsu.edu
Office Hours: Thursday 03:2005:20PM.
COURSE DESCRIPTION
This course is designed to improve
Answers To FIN 327 Midterm 1
Fall 2013
Multiple Choice
1. a
2. b
3. b
4. d
5. a
P = 70 * [(1.5) / (1.3)] = 50.0
6. a
NAV0 = (400  50) / 15 = 23.33
NAV1 = (500  40) / 18 = 25.56
Gross Return = (25.56  23.33 +.6) / 23.33 = 12.13%
Since this is a noloa
Chapter 5
Risk and Return: Past and Prologue
See IbbotsonHorizons.xls (the returns on the main asset classes
across 1,5, 10 and 20 years)
5 1
5 2
5 3
Rates of Return: Single Period
P1 P0 + D1
HPR =
P0
HPR = Holding Period Return
P0 = Beginning price
P
.
Chapter 3
Securities Markets
31
HOW FIRMS ISSUE SECURITIES
32
Primary vs. Secondary Security Sales
Primary
New issue
Key factor: issuer receives the proceeds from the
sale.
Public offerings: registered with the SEC and sale
is made to the investing p
Welcome to FIN 327!
INVESTMENTS
Professor Stefano Gubellini
Today:
Pass out Syllabus, critical dates
Discuss Blackboard
To investing mistakes (that other make not us!)
To
not
Go over stock picking context
Pick our class dartboard portfolio
Statistics Revi
Ch.2 Financial Securities
Some techniques to choose your portfolio:
BLACKBOARD
/ COURSE DOCUMENTS > EXCEL AND SAS EXAMPLES / Marketguide_Stockscreen_Raw Data at Dec. 2007
Alternative source at:http: http:/finviz.com/screener.ashx
21
Major Types of Securi
FINANCIAL RISK MANAGEMENT
SECOND EXAMSPRING 2004
1.
a)
b)
Use the following IMM index values for Tbill futures contracts on the CME. It
is now March. Margin requirements are 10%
Expiration IMM Index
June
95.30
Sept
94.80
Dec
94.62
What trend in shortte
SOLUTIONS TO QUIZ2
Use the following data to answer the questions below. The prices below pertain to a June
2005 orange juice futures contract. Each contract has a size of 15000 pounds. The margin
requirement is 10%
April 2005
Spot
Futures
May 2005
June