CHAPTER 26: HEDGE FUNDS
CHAPTER 26: HEDGE FUNDS
PROBLEM SETS
1.
No, a market-neutral hedge fund would not be a good candidate for an investors
entire retirement portfolio because such a fund is not a
Prof. Sudip Gupta
F420Debt and Equity Investment
Agenda
BUS-F420
Wednesday, Behavioral Finance and Technical
Analysis
Next Monday: Case 2 due
Lec 11: Efficient Market and Anomalies
Professor: Sudip
9/17/15
Arbitrage Pricing Theory and
Multifactor Models of
Risk and Return
BUS-F420
Security Characteristic Line (SCL)
ri ,t rf ,t = i + i (rM ,t rf ,t ) + ei ,t
The SCL is the
regression line
The C
Prof. Sudip Gupta
F 420: EQUITY AND FIXED INCOME
Announcements:
BUS-F420
Lec 4: Asset Allocation
Reminder: Case 1 Harvard Management Co, will be due
9/16
Roles for cases already assigned
Everybody
Prof. Sudip Gupta
F 420: EQUITY AND FIXED INCOME
International Diversification: Background
BUS-F420
Today:
International Diversification:
Background
Risk Factors
Benefits of International Diversi
Prof. Sudip Gupta
F 420: EQUITY AND FIXED INCOME
BUS-F420
Lec 2: Learning About Risk and Return
from the Historical Record
Professor: Sudip Gupta
Announcements:
Everybody should have a group (6-7 stu
Prof. Sudip Gupta
F 420: EQUITY AND FIXED INCOME
Announcements:
Everybody should have a group (6-7 students)
Please email me your groups (and preferences for case
presentation/management) ASAP if yo
Prof. Sudip Gupta
F420Debt and Equity Investment
Remaining Schedule
BUS-F420
Lec 21:
Bond Prices and Yields
Professor: Sudip Gupta
Todays Lecture
Nov 16: Bond Prices and Yields, & Term Structure of In
Prof. Sudip Gupta
F420Debt and Equity Investment
Announcements
Agenda:
Today:
When some important assumptions in finance are
relaxed.
BUS-F420
Lec 12: Behavioral Finance
and Technical Analysis
Mon
Prof. Sudip Gupta
F420Debt and Equity Investment
Announcements
Agenda:
Today: CAPM
Wednesday: Case 1
Next Monday and Wednesday: APT and Multifactor
Models
BUS-F420
Lec 6: The CAPM
Professor: Sudip
CHAPTER 10: ARBITRAGE PRICING THEORY AND
MULTIFACTOR MODELS OF RISK AND RETURN
PROBLEM SETS
1.
The revised estimate of the expected rate of return on the stock would be the old
estimate plus the sum o
Practice Exam for Midterm 1
Exam Outline
1) Multiple Choice:
2) Problem 1:
3) Problem 2:
4) Problem 3:
5) Problem 4:
20 questions, 2 points each
Calculations
Calculations
Calculations
Calculations
TOT
For each of the 4 mutual funds in (1), use the CAPM to evaluate the performance of the fund
manager for the period from January 2000 through December 2004. Based on your findings,
would you recommend
Multifactor Models Questions:
For the first set of questions, you will be evaluating the performance of 4 mutual funds. In the second
part, you will be estimating the cost of capital for two firms.
PA
Prof. Sudip Gupta
F 420: EQUITY AND FIXED INCOME
Announcement
BUS-F420
Lec 5: Asset Allocation
Case 1 due a week from today
Clickers will be used starting today
Trading on StockTrak to begin Next Mond
Prof. Sudip Gupta
F420Debt and Equity Investment
Announcements:
Questions (and table) for Case 3 on Oncourse
Case Due Oct 26
BUS-F420
Lec 14:
Arbitrage/Limits to Arbitrage
Professor: Sudip Gupta
Te
Prof. Sudip Gupta
F420Debt and Equity Investment
Todays Lecture
BUS-F420
Lec 25: Securitization
Securitization
Asset Backed Securities
How are they issued?
Risks
Features
Credit Enhancement
Mor
Prof. Sudip Gupta
F420Debt and Equity Investment
Topics that may be covered:
BUS-F420
Midterm Review - 1
Professor: Sudip Gupta
Estimating Risk and Return
Asset Allocation
Optimal Risky Portfolios
Int
CHAPTER 4: MUTUAL FUNDS AND
OTHER INVESTMENT COMPANIES
CHAPTER 4: MUTUAL FUNDS AND
OTHER INVESTMENT COMPANIES
PROBLEM SETS
1.
The unit investment trust should have lower operating expenses. Because th
CHAPTER 3: HOW SECURITIES ARE TRADED
CHAPTER3:HOWSECURITIESARETRADED
PROBLEM SETS
a. The stock is purchased for: 300 $40 = $12,000
6.
The amount borrowed is $4,000. Therefore, the investor put up equi
CHAPTER 9: THE CAPITAL ASSET PRICING MODEL
PROBLEM SETS
1.
E (rP ) rf P [ E ( rM ) rf ]
.18 .06 P [.14 .06] P
2.
.12
1.5
.08
If the securitys correlation coefficient with the market portfolio double
Questions for DIMENSIONAL FUNDS ADVISORDS Case
Management has thought about investing in Dimensional Funds Advisors but
has a few questions for the Analysts to answer before deciding what to do:
1. Wh
Questions for the Strategic Capital Management Case:
1. What are the costs/benefits of investing in a hedge fund?
2. What is the current stock market valuation of Creative Computers and of Ubid based
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
A
B C D E
F
G
H
# Mean
SD
Opt CAL & Eff Frontier
0 4.0%
0.0%
20.00%
1 5.0%
16.0% Mean
2 16.6%
14.2%
15.00%
3 10.0%
17.4%
4 10.0%
21.0%
10.00%
5 12.0%
21.0%
Ri
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.5034
R Square
0.2534
Adjusted R Square
0.2405
Standard Error
0.0671
Observations
60
ANOVA
df
1
58
59
Intercept
X Variable 1
SS
0.0885
0.2608
0.3494
Co
Chapter 5
PROBLEM SETS Solutions
1.
The Fisher equation predicts that the nominal rate will equal the equilibrium
real rate plus the expected inflation rate. Hence, if the inflation rate
increases fro
Equity and Fixed Income
Investments
BUS-F420
February 22, 2018
Agenda:
Today: Bond Prices and Yields
Bond Characteristics (brief review of pricing)
Yields (YTM, EAY, BEY, Current Yield, YTC,
HPR)
Equity and Fixed Income
Investments
BUS-F420
February 20, 2018
Agenda:
HW #2 Posted
Ive written up the midterm
Homework modeled after midterm questions.
Preparation: go over and understand slides,
Equity and Fixed Income
Investments
BUS-F420
February 8, 2018
Agenda:
TopHat Grades now integrated with Canvas:
Removed questions from first 2 weeks
Will synching every few weeks:
Grades screwed u
Equity and Fixed Income
Investments
BUS-F420
February 15, 2018
Agenda:
Case 2: Dimensional Fund Advisors, 2002
Today: Arbitrage
Technical analysis
Arbitrage
Limits to Arbitrage
Case 2: DFA
Guidi
Equity and Fixed Income
Investments
BUS-F420
February 13, 2018
Agenda:
Case 2: Dimensional Fund Advisors, due 2/27
Will try to have questions at next lecture
HW #2: Equity Investments, due 3/1
Goo