Hedge Fund Strategies Problem Set: Backtesting the Carry Trade (Macro Strategies) Prof. Andrea Frazzini In this problem set‚ you backtest the currency carry trade using the data provided in the accompanying Excel spreadsheet. You can do the problem set using Excel or any other program of your choice. Please answer in the space provided (no more than three pages for questions 1-6). 1. For each month of the sample‚ rank the countries based on their interest rate (hint: Excel has a function
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Background The Kardell paper mill was established at the turn of the century on the Cherokee River in southeastern Ontario by the Kardell family. By 1985‚ the Kardell Paper Co. had outgrown its original mill and had encompassed several facilities in different locations‚ generating total revenues of $1.7 billion per year. The original mill continued to function and was the firm’s largest profit center. The Kardell family no longer owned shares in the firm‚ which had become a publicly traded company
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Case Analysis: Dimensional Fund Advisors 1. Describe the philosophy of DFA. What sort of market behavior are they counting on? DFA believes in three principles: 1. The Efficient Market Theory. That is‚ the stock market is efficient and no one has the ability to consistently pick stocks that will beat the market. Over any given period‚ some lucky investors will outperform the market while others will underperform. DFA felt that the market price of any firm’s stock incorporated all public information
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investment of $800‚000 in a diversified portfolio of funds. To find the investment that would result in the greatest annual yield we have formulated a linear program that takes into account the requirements for the client of J. D. Williams‚ Inc. The requirements for the investment portfolio can be found on the section titled “Problem Description” The greatest annual yield that can be expected while subject to the requirements of the different funds and the prospective client is $94‚133.33. The money
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assembling a team. David Fletcher‚ is an overworked portfolio manager of the Emerging Growth Fund at Jenkins‚ Fletcher Partners (JFP)‚ an investment management firm in New York. As an individual‚ his superior performance throughout his career has earned him an outstanding reputation. Starting out as a clerk‚ he rose through the ranks of Wall Street to eventually manage the two most aggressive mutual funds at a major investment firm. Success at this firm only added to his reputation and lead to his
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manages more than $120 million in funds for its numerous clients. The company uses an asset allocation model that recommends the portion of each client’s portfolio to be invested in a growth stock fund‚ an income fund‚ and a money market fund. To maintain diversity in each client’s portfolio‚ the firm places limits on the percentage of each portfolio that may be invested in each of the three funds. General guidelins indicate that the amount invested in the growth fund must be between 20% and 40% of
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The Karachi Stock Exchange or KSE is a stock exchange located in Karachi‚ Sindh‚ Pakistan. Founded in 1947‚ it is Pakistan’s largest and oldest stock exchange‚ with many Pakistani as well as overseas listings. Its current premises are situated on Stock Exchange Road‚ in the heart of Karachi’s Business District. The KSE is the biggest and most liquid exchange in Pakistan and in 2002 it was declared as the "Best Performing Stock Market of the World" by "Business Week". As of December 20‚ 2007‚ 671
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Providing Detailed Regulations for Implementation of a Number of Articles of the Law on Securities (Decree 14) . The MOF is to shortly issue a regulation to further provide guidance to the SSC on regulating and establishing investment funds‚ securities companies and fund management companies. An update will be provided once the regulation has been promulgated. 1. 1.1 Relevant bodies The State Securities Commission (SSC) The SSC is the official regulator of the stock exchange‚ and is overseen
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professional grade will not change the S = 10‚ P = 20 solution because of the requirement for the maximum percentage of kevlar (10%). 39. a. Let S = number of units purchased in the stock fund M = number of units purchased in the money market fund Min 8S + 3M s.t. 50S + 100M 1‚200‚000 Funds available 5S + 4M 60‚000 Annual income M 3‚000 Minimum units in money market S‚ M‚ 0 Optimal Solution: S = 4000‚ M =
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market to go up & down due to lot of funds in the countries. So‚ the FII & BSE market have a relationship between each other. As a FII have pros & cons as above the strategy of government. • The government should put some restriction limit on withdrawal of funds of FII. • The Banking system should be strengthened. So the abstraction of more FII can be made. • There should apply the effective dispute resolution system by some authority so the trust of fund can be sustained. • The government &
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