Evaluation of AQR Momentum Funds Date: Dec. 5th‚ 201r Past performance of momentum strategies – CAPM & Fama‐French MOM 4 factors model In Table 1‚ we could evaluate the past performance of momentum strategy‚ Short Decile 1 and Long Decile 10‚ a.k.a. L/S (10‐1). Capital Asset Pricing Model (CAPM) E(R) = α + Rf + β (RM - Rf) + By applying to CAPM‚ we got a β that is almost zero (-0.08) showing the strategy could effectively diversify and reduce the market risk with stocks in Decile 1 and Decile 10.
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in departing from pure indexing in favor of an actively managed portfolio is between the probability (or the possibility) of superior performance against the certainty of additional management fees. 3. The answer to this question can be seen from the formulas for w 0 (equation 8.20) and w* (equation 8.21). Other things held equal‚ w 0 is smaller the greater the residual variance of a candidate asset for inclusion in the portfolio. Further‚ we see that regardless of beta‚ when w 0 decreases‚
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Active &Passive Portfolio – Call/Put Options and Futures This report will document the active traded portfolio held from Friday (July 18th‚ 2014) until Monday (August 11th‚ 2014). In this portfolio‚ the two portfolio managers traded call options and put option for the stocks on the S&P 500‚ as well as futures contracts in many different asset classes (commodities‚ currencies‚ indexes and so on). Trades were made at the end of each week and Monday (August 11‚ 2014)‚ resulting in four trading days
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to form the portfolio combined two stocks TLS and ANN. By justifying five years (2005-2010) monthly data in using mean variance method to calculate the expected return (ANN 0.007488‚ TLS -0.004441)‚ standard deviation (ANN 0.076531‚ TLS 0.053729)‚ as well as beta (ANN 0.64‚ TLS 0.31). And then one year (2009) daily data to determine portfolio expected return in using CAPM method. With MV method‚ based on the justification and limitation‚ this report have not choose a optimize portfolio but only choose
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Zeus Asset Management Inc Executive Summary Zeus Asset Management Inc is an asset management firm with more than $1.7 billion in asset under management. Zeus is well known for relationship-oriented that served both individual and institutional investors with the investment philosophy of believing that they could get a superior return over the long run using a conservative‚ risk-averse and quality-oriented approach. Zeus have been measuring it’s return in an absolute basis however Abbott demanded
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35% for Y. CVX = (X/[pic]X = 12.20%/12% = 1.02‚ while CVY = 20.35%/14% = 1.45. If Stock Y is less highly correlated with the market than X‚ then it might have a lower beta than Stock X‚ and hence be less risky in a portfolio sense. 6-7 a. kA = kRF + (kM - kRF)bA 12% = 5% + (10% - 5%)bA 12% = 5% + 5%(bA) 7% = 5%(bA) 1.4 = bA. b. kA = 5% + 5%(bA) kA = 5% + 5%(2) kA = 15%. 6-8 a. ki =
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Tutor: Lennart Berg Term and Year: Autumn 2005 Portfolio optimisation - improved risk-adjusted return? Abstract In this thesis‚ portfolio optimisation is used to evaluate if a specific sample of portfolios have a higher risk level or lower expected return‚ compared to what may be obtained through optimisation. It also compares the return of optimised portfolios with the return of the original portfolios. The risk analysis software Aegis Portfolio Manager developed by Barra is used for the optimisations
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What is the beta of a portfolio with E[rp ] = 18 percent‚ if rf = 6 percent and E[rM ] = 14 percent? Answer: Using the CAPM equilibrium condition‚ E[rp ] = rf + βp E[rM ] − rf ⇒ βp = E[rp ] − rf .18 − .06 = 1.5 . = E[rM ] − rf .14 − .06 2. The market price of a security is $50. Its expected return is 14 percent. The risk-free rate is 6 percent and the market risk premium is 8.5 percent. What will be the market price of the security if its covariance with the market portfolio doubles (and all other
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from its competitors. Firstly‚ they are well known for its customer-oriented services. Most of the employees served their customers directly. Each employee was engaged in pursuing the client’s investment objectives and dilligently managing their portfolios. This customer-oriented approach gives them a competitive advantage in these high-net-wealth-individuals market. Furthermore‚ teamwork was the core of Zeus’s strategy‚ more than 75% of its investment professionals were CFAs and the average investment
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construct the optimal risky portfolio‚ we first determine the optimal active portfolio. Using the Treynor-Black technique‚ we construct the active portfolio: A 0.000476 –0.6142 B –0.000873 1.1265 C 0.000944 –1.2181 D –0.001322 1.7058 Total –0.000775 1.0000 Be unconcerned with the negative weights of the positive α stocks—the entire active position will be negative‚ returning everything to good order. With these weights‚ the forecast for the active portfolio is: α = [–0.6142 × 1
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