COM 475-101 September 2016
Homework #1 Questions
In this assignment we will examine a defined benefit pension plan's SAA choice using a tworisk factor model, with risk factor #1 = GDP risk and risk factor #2 = UI risk. Tab "data" shows
all the required in
COM 475 Portfolio Construction (page 1)
Portfolio Construction Techniques
Mean-Variance Analysis (MVA)
Risk Parity Portfolio Construction (RP)
Multi-Risk Factor Model (MRF)
This section introduces three portfolio construction techniques: MVA should be a r
COM 475: IAA (page 12): Strategy #4: Synthetic Options
This strategy is (dynamic, convex)
One problem with using traded puts and calls to create IAA payoffs is that the strike
prices and maturities one needs may not be available. If not, you can go to a d
FACTORS
WHAT ARE THEY WHY THEYVE WORKED WAYS TO GET STARTED
F O R F I N A N C I A L P R O F E S S I O N A L U S E O N LY N O T F O R P U B L I C D I S T R I B U T I O N
Introduction
If youre an investor, you should care about factors. The term may be
unfa
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Smart Beta
CAPTURING THE POWER
OF FACTOR INVESTING
Click on the Sections Below to Learn More
INTRODUCTION
SECTION I
Explore
Explore what factors are, how they have driven returns and how
to use smart beta strategies to target investment outcomes.
SECTION
COMM 475-101 Sep-Dec 2016 Homework #2 - Questions
This exercise does a simple performance analysis of three managers with "global equity"
mandates; that is, they can invest anywhere in the world. Their benchmark is the MSCI
World stock index.
Tab "data" c
Cornerstone Preferred Example
Assume investrors are risk-neutral and the riskless rate is zero, so all security values at
t=0 are just the expected future (t=1) cash flow.
We find an asset that, if implemented, would have one of two possible outcomes at t
COURSE: COMM 475 Investment Policy
Course Outline
COURSE GOALS
Purpose: To provide
students with the basic tools to construct an investment portfolio,
either for individual investor-clients or for institutional clients, given their clients objectives
and
Heinkel Study
The Asset Classes
Fixed Income:
TMX: FTSE TMX Bond Index
This is a broadly diversified Canadian bond return index
RRB: Canadian Real Return Bond index
This is an index of inflation-protected Canadian bonds
Public Equities:
TSX: S&P TSX Stock
COM 475: Performance Measurement (PM) (page 1)
1. Has the Clients Objective Been Achieved?
2. Calculating the Rate of Return
0 With Intermediate Valuations
Geometric Average (Time-weighted Return)
0 Without Intermediate Valuations
Internal Rate of Retur
Capstone prefs Mk
could take hit
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About a week back, Cap- _ preferred shares, has upset tledin cash on the same day.
stone released its nancial some preferred holders. So whats the effect of all
' statements for the quarter
Presentation Questions
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CPPIB 2015 Annual Report and Ques
Q1: What is the article speculating about the Feds actions
at the next (16 Dec) FOMC meeting?
Investors are speculating that the Fed will raise interest rates in December for the first time
since 2006
The confidence among investors skyrocketed after the
COM 475: Preview
1. The importance of institutional investment
Determines peoples' retirement standard of living
There is LOTS of money at stake
2. Question: Do professional managers beat a well-diversifed index?
Sometimes, but only by a little, on ave
Course Package
for
COMMERCE 475
PORTFOLIO THEORY
taught by
Dr. Ruth Freedman
Sections 201 & 202
January 2015
Class overheads prepared by Dr. Robert Heinkel
This package contains class overheads and past
exam questions with solutions.
INTRODUCTION AND REVI
COM 475: APT (page !):Arbitrage Pricing Theory (APT)
or A Multi-factor Model of Asset Returns
1. Intuition for Extending the CAPM
Multiple Risk Factors (the CAPM has only 1)
2. The Assumed Return-Generating Process
3. The Expected Return Equation (multif
COM 475: Performance Measurement (PM) (page 1)
1. Has the Client's Objective Been Achieved?
2. Calculating the "Rate of Return"
With Intermediate Valuations
- Geometric Average ("Time-weighted Return")
Witho,u.t Intermediate Valuations
- Internal Rate o
COM 475: Insured Asset Allocation (IAA) (page 1)
1. Why Do Asset Allocation Weights Change Under IAA?
2. Criteria for IAA Success
3. Characterizing Stock Index Price Dynamics: The Binomial Tree
Specifying the stochastic price process=> probability distri
Midterm #2 November 2015 Formula Page
Portfolio algebra with two assets classes:
Expected return:
E ( r p ) =X a E ( r a ) + X b E ( r b )
Variance of Return:
2
2
2
2
2
p =X a a+ X b b +2 X a X b ab
W K 0 t + K 1t( RRT )
st
Sharpe Portfolio Choice Model:
COM 475 Formula Page Midterm #1
OLS Regression:
~
~
Y =a+ b X + ~
e
~
~
With b = Cov( X , Y
Portfolio Algebra:
And
2
)/ X
Y b X
and a =
E ( r p ) =x1 E(r 1 )+ x 2 E(r 2)
2 2
2 ( r p ) =x1 1 + x 2 2 +2 x 1 x2 1,2 1 2
2 2
Asset Pricing Models:
CAPM Return
COMM 475 Investment Policy
Outline and Syllabus
Purpose: To provide students with the basic tools to construct an investment portfolio,
either for individual investor-clients or for institutional clients, given their clients
objectives and to provide tool
Professor Rob Heinkel
Finance Class Behavioral Expectations
Our shared objectives are to provide an environment conducive to learning and
two-way communication. In addition, now is a good time to set behavior
consistent with a professional setting, where
CPPIB Presentations
Attached Files:
CPPIB2015AnnualReport.pdf (3.545 MB)
CPPIB Annual Report Study Team Presentations
(page #s refer to the 2015 CPPIB annual report available on the homepage at
www.cppib.com)
Presentation CPPIB-A: Mission Statement (pp 20