This paper summarizes the process of creating a new strategy by Martingale Asset Management. One can find the basic information about 130/30 funds and low volatility strategies. Further on‚ I will be discussing in which parts they are good or bad or lack with these new ideas. At the end‚ one can find the discussions about how trading shaped or changed based on these new strategies and whether there is a normality that can be explained easily the benefits or is there an anomaly regarding the strategies
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1 “Arithmetic vs. Geometric Means: Empirical Evidence and Theoretical Issues” by Jay B. Abrams‚ ASA‚ CPA‚ MBA Copyright 1996 There has been a flurry of articles about the relative merits of using the arithmetic mean (AM) versus the geometric mean (GM). The Ibbotson SBBI Yearbook took the first position that the arithmetic mean is the correct mean to use in valuation. Allyn Joyce’s June 1995 BVR article initiated arguments for the GM as the correct mean. The previous articles have centered
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KEY RATE RISK: LOOKING BENEATH THE SURFACE OF INTEREST RATE VOLATILITY Key Rate Risk: Looking Beneath the Surface of Interest Rate Volatility By Manpreet Hochadel‚ CFA manpreet.s.hochadel@jpmorgan.com & William Mirrer william.x.mirrer@jpmorgan.com “If you know the enemy and know yourself‚ you need not fear the result of a hundred battles. If you know yourself but not the enemy‚ for every victory gained you will also suffer a defeat. If you know neither the enemy nor yourself‚ you will succumb
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at-the-money European call option on a stock index when the index is at 250‚ the risk-free interest rate is 10% per annum‚ the volatility of the index is 18% per annum‚ and the dividend yield on the index is 3% per annum. 5. Calculate the value of an eight-month European put option on a currency with a strike price of 0.50. The current exchange rate is 0.52‚ the volatility of the exchange rate is 12%‚ the domestic risk-free interest rate is 4% per annum‚ and the foreign risk-free interest rate is
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Case Problem 1: Measuring Stock Market Risk As indicated by the case study S&P 500 index was use as a measure of the total return for the stock market. Our standard deviation of the total return was used as a one measure of the risk of an individual stock. Also betas for individual stocks are determined by simple linear regression. The variables were: total return for the stock as the dependent variable and independent variable is the total return for the stock. Since the descriptive
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Write a close critical analysis of ‘Here’ showing how far this is characteristic of the style and concerns of Larkin’s collection ‘The Whitsun Weddings’ ‘Here’ is a poem exploring Larkin’s flight of imagination as he travels from London to Hull on the train. It is the first poem in The Whitsun Weddings collection and seems to be an appropriate introduction because‚ much like his other poetry‚ it looks at humanity’s place in the world and the effect of consumerism. Following the pattern of many
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In Europe in the mid 1500’s Queen Mary I of Scotland and Queen Elizabeth I of England were both leaders of their countries. Mary and Elizabeth were both of Tudor blood meaning that although Elizabeth was already Queen‚ if anything were to happen to her‚ Mary‚ by rights‚ would become the Queen of England. This worried Elizabeth as she believed Mary may conspire to have her assassinated. To begin with‚ Mary had no plans of harming or conspiring to harm Queen Elizabeth I but as the conflict escalated
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Case: Corning Inc.‚ Zero coupon convertible Bonds Cornhill needs funds to the order of $ 3.6 billion in cash to complete the acquisition of Pirelli. The company currently is planning to come up with an equity issue to raise $ 2.1375 billion at $ 71.25 per share. The remaining part of the fund requirements is furbished using zero coupon convertible debentures due in 2015‚ priced at $ 741.923 per $ 1‚000 principal amount. This offering price yields 2% p.a. compounded semi-annually. Corning is raising
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Journal of International Economics 56 (2002) 299–327 www.elsevier.com / locate / econbase Explaining business cycles in small open economies ‘How much do world prices matter?’ M. Ayhan Kose* Graduate School of International Economics and Finance‚ MS-021‚ Brandeis University‚ Waltham‚ MA 02454‚ USA Received 27 May 1998; received in revised form 20 October 2000; accepted 7 April 2001 Abstract This paper analyzes the role of world price shocks – fluctuations in the prices of capital‚ intermediate
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FINA 4104: Advanced Financial Management Professor Xuewen Liu Department of Finance‚ HKUST Spring 2013 Email: Xuewenliu@ust.hk Office hour: 13:30-14:30 Tuesday Assessment: Assignments (12%)‚ Midterm-exam (18%)‚ Projects and presentations (15%)‚ and Final exam (55%) Textbooks: 1. Corporate Finance‚ by J. Beck and P. DeMarzo‚ 2nd edition 2011‚ Pearson Education‚ Inc. Hereafter BD. 2. Financial Markets and Corporate Strategy‚ by M. Grinblatt and S. Titman‚ 2nd edition‚ 2002‚ Irwin McGraw
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