Analyze the betas of the convertible arbitrage fund index in Table 20.2. Based on these results, are
Question:
Analyze the betas of the convertible arbitrage fund index in Table 20.2. Based on these results, are these funds typically market neutral? If not, do their factor exposures make sense in terms of the markets in which they operate?
Table 20.2.
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Fund Group* All hedge funds Convertible arbitrage Dedicated short bias Emerging markets Market neutral Event driven Distressed firms Risk arbitrage Fixed Income arb Global macro Long-short equity Managed futues Multistrategy Alpha 0.0002 0.2045 0.0012 1.1125 0.0001 0.0127 0.0009 0.4841 0.0007 0.3827 -0.0016 -1.3359 0.0010 1.0627 0.0019 1.7774 0.0028 4.7650 0.0001 0.0438 0.0002 0.1661 0.0005 0.1130 0.0026 2.4480 S&P 500 0.1938 6.6437 0.0933 2.9204 -0.9893 -7.7816 0.2564 4.5089 -0.0046 -0.0868 0.2532 6.7818 0.1185 4.1697 0.1083 3.3634 0.0193 1.0670 0.1288 2.9713 0.3348 8.2585 0.2344 1.8735 0.0942 2.9023 Long T-Bond 0.0666 0.7832 0.1054 1.1307 -0.5708 -1.7289 0.2062 1.2433 0.0754 0.4842 0.0166 0.1521 0.0001 0.0017 -0.0667 -0.7104 -0.0153 -0.2900 -0.0208 -0.1646 -0.0234 -0.1983 0.5199 1.4246 0.1209 1.2773 Credit Premium 0.1910 1.5164 0.4856 3.5181 -0.7507 -1.5881 0.4125 1.6791 0.2215 0.9603 0.4540 2.8149 0.4604 3.7501 -0.0039 -0.0280 0.3443 4.4177 0.1778 0.9490 -0.0612 -0.3497 -0.6518 -1.2060 0.2571 1.8337 U.S. Dollar -0.0239 -0.3019 -0.1289 -1.4862 0.4145 1.2075 -0.2126 -1.3775 -0.2187 -1.5091 -0.0209 -0.2062 -0.0934 -1.2105 -0.1989 -2.2765 -0.0580 -1.1838 0.1554 1.3209 -0.0215 -0.1953 -0.1645 -0.4844 0.0092 0.1050
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ISE Essentials Of Investments
ISBN: 9781265450090
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