date | August 15‚ 1985 | August 15‚ 2005 | Maturity date | August 15‚ 2015 | August 15‚ 2015 | Amount issued | 7.15 billion | 32.47 billion | Amount outstanding | 4.02 billion | 32.47 billion | Modified Duration Method In order to create a long-short portfolio that had no exposure to changes in interest rates‚ we can use modified duration hedge ratio. The following formula is the function to calculate modified duration hedge ratio. The term K is a measure of the responsiveness of the yield
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futures against synthetic futures. A synthetic in this case is a synthetic future comprising a call and a put position. Long synthetic futures means long call and short put at the same expiry price. To hedge against a long futures trade a short position in synthetics can be established‚ and vice versa. The diagrams above are payoff diagrams (TheOptionsGuide‚2013) of long stock and short future. If David buy a future contract on the S&P 500 Index‚ he payoff at the maturity date‚ T‚ is the difference
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purchasing cash-settled call spread options on Volkswagen stock. By 2008‚ Porsche held a 42.6% direct ownership in VW by hiding their intentions that they won’t take its position up to 75%. However‚ Porsche had purchased an additional 31.5% synthetic long position by using the cash-settled call spread options‚ which lead to VW’s share price dramatically increased fivefold. In the second example‚ TCI and 3G‚ attempted to obtain significant control over the American railroad company CSX by using Total
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announced that it had initiated a review of the proposed takeover of Honeywell International Inc. by General Electric Company (GE). You are required to look at this situation from the point of view of an arbitrageur Jessica Gallinelli‚ who already holds a long position in Honeywell and a short position in GE. Case Study Questions 1. Jessica Gallinelli must make a decision. Should she hold or sell her positions in GE and Honeywell? Justify your answer by analysing the main considerations in her decision
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the upper band as a resistance point‚ we discovered‚ as others have‚ that it worked much better as a breakout indicator. The same goes for the lower band. The Bollinger Bandit uses one standard deviation above the 50-day moving average as a potential long entry and one standard deviation below the 50-day moving average as a potential short entry. This system is a first cousin of King Keltner. They are similar in that they are longer-term channel breakout systems. However‚ this is where the similarities
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and wanted to discuss it with his other founder partners. Jacques wanted to discuss the development of the minimum variance strategy based on the 130/30 funds strategy. Also known as the short extension strategy‚ the 130/30 is basically investing long 130 $ for each 100 $ of equity and take a short position on 30$. Based on the results of a previously published research‚ stock portfolios with low volatility have been showing persistent low volatility in the ensuing years as well. On top of that
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risk in the term “risk arbitrage”. Green circle had USD 500 million in AUM with 5% upper bound of position in a distinct investment (or 25 million). Smith arbitrage position was within the bounds or 13.5 million in short Abbot and 12.5 million in long position for Alza stocks. The proportion between Abbot and Alza shares was determined by the appropriate market prices of Abbot and Alza shares and announced exchange ratio of 1.2 Abbot sahres per 1 Alza share under the merger deal agreement. The
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Trading Report Strategy Chosen Our strategy is consisted of two parts: when the market is neutral without obvious trends‚ we play like the role of market maker; on the contrary‚ we put our bet on the trend. At first‚ we calculate the weighted average quantity from the order book‚ says 1st to 4th layer‚ for both sides. If bid quantity is larger than 2.5 times of ask‚ we believe that bulls prevail and this trend will be continued in a phase. Thus we place a market order to buy‚ expecting to earn
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English Literature Dubliners essay "Discuss Joyce’s treatment of religion and it’s importance within the collection of short stories." Dubliners is a collection of short stories in which the author‚ James Joyce‚ presents the lives of several individuals from all ages living in Dublin during the Victorian era. Among several themes that are treated throughout the story‚ one that we find really often is religion. Indeed‚ religion played a significant part in the lives of the people at the
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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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