translated to an average annual return of 15%‚ almost double the average return of other multi-strategy funds over the same period. The Primary strategies employed by the fund included convertible arbitrage‚ statistical arbitrage‚ energy trading‚ merger arbitrage‚ long/short trading and credit arbitrage. DAAS Capital Advisors: DAAS was a multi-strategy hedge fund‚ headquartered in the heart of Manhattan. It was founded in 2002 by Ali Armstrong‚ after he had spent several years as managing director
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Arbitrage n Government Bond Market Case Facts: Samantha Thompson‚ who analyzed and traded government bond for the firm of Mercer and Associates‚ seems to believe that she has found an arbitrage opportunity in U.S government bond market in 1991. U.S government bond market is the largest‚ most liquid‚ and closely watched fixed-income markets in the world and hence finding an arbitrage opportunity there was unlikely. Mercers were active in repo markets and occasionally participated in bond arbitrage
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learned from the demise of Long Term capital Management. Provide a brief summary of what happened and what were the strategies used by the fund. The most well know strategy which hedge fund managers or practitioners undertake was “market neutral arbitrage”‚ thus‚ from this particular trading strategy‚ of course what they are doing is not like what the name suggested “hedging”‚ instead‚ hedge fund participants are trying to speculate from every financial markets. More specific‚ the trading strategy
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Advanced Security Analysis and Portfolio Management (EF4320) Spring 2014‚ by Dr. Dayong Huang Office: AC2 5110; Tel: 34429230; email: dayhuang@um.cityu.edu.hk; Email is preferred. Office hours: Tuesday 10:00-11:30 or Wednesday 10:00-11:30 or by appointment Teaching Assistant: Fred Chan‚ Yiufchan7@cityu.edu.hk‚ P7706 AC1. Please email Fred for general inquiries and hand in group homework assignments and trading records to Fred by due date. Aims and Objectives: This course is aimed to provide
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Opportunity is defined as the favorable juncture of circumstances‚ and success‚ is the fulfilling of a given task. Now let us imagine success‚ without opportunities; without the opportunity to prove your worth‚ without the opportunity to even get a chance to attempt to work towards a goal. Life is meaningless without opportunities‚ and success thrives on these very opportunities. I would like to share a story with you. One day‚ a young boy decided to buy a goat. After paying up‚ he later found
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“ Chinese wall” among M&A group and others group such as risk arbitrage desk. Harvey Hegarty‚ CEO of Mebel‚ Doran & Company is working on this problem and finding out the main source of problem. He investigated and found that the stock price and volume trade of acquisition target are increased suspiciously. The main problem behind the scene is because its M&A employees break the wall by consulting with risk arbitrage desk. Since the latter department has more specialize skill with important
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blocks of behavioral finance are cognitive psychology (how people think) and the limits to arbitrage (when markets will be inefficient). The growth of behavioral finance research has been fueled by the inability of the traditional framework to explain many empirical patterns‚ including stock market bubbles in Japan‚ Taiwan‚ and the U.S. JEL classification: G14; D81 Keywords: Behavioral finance; arbitrage; psychology; market efficiency A modified version of this paper was given as a keynote
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weaknesses of Verizon‚ MCI‚ and Qwest? Where are the synergies in the proposed combination? 2. Evaluate the two offers in Exhibit 7. What explains the two structures? In each case what is the value to MCI shareholders? 3. Merger arbitrage (or risk arbitrage) finds speculate on the completion of stock and cash mergers‚ typically buying the target and hedging the risk of the acquirer’s shares according to the exchange ratio in stock mergers. What positions would risk arbs take in this deal?
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| 4. | Question : | (TCO B) Behavioralists point out that even if market prices are ____________ there may be _______________. | | | Student Answer: | distorted; limited arbitrage opportunities | | | distorted; fundamental efficiency | | | allocationally efficient; limitless arbitrage opportunities | | | distorted; allocational efficiency | | | | Comments: | | | | 5. | Question : | (TCO B) The ratio of the average yield on 10 top-rated corporate bonds‚
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Question 1 This question is on open interest and trading volume of derivatives. a. How is open interest different than trading volume? On a trading day‚ can trading volume exceed open interest? b. Why does the open interest usually decline during the month preceding the delivery month? Question 2 Use the Black-Scholes model to value a call option on the following stock: Time to expiration 6 months Standard deviation 50% per year Exercise price $50 Stock price $50 Interest
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