John is a manager-of-managers at an investment company that uses quantitative models extensively. John seeks to construct
Question:
John is a manager-of-managers at an investment company that uses quantitative models extensively. John seeks to construct a multi-manager portfolio using some of the funds managed by portfolio managers within the firm. Tim is assisting him. John uses arbitrage pricing theory (APT) as a basis for evaluating strategies and managing risks. From his earlier analysis, Tim knows that Funds A and B in Exhibit 1 are well diversified. He has not previously worked with Fund C and is puzzled by the data because it is inconsistent with APT. He asks Tim gather additional information on Fund C's holdings and to determine if an arbitrage opportunity exists among these three investment alternatives. His analysis, using the data in Exhibit 1, confirms that an arbitrage opportunity does exist.
Business Communication Essentials a skill based approach
ISBN: 978-0132971324
6th edition
Authors: Courtland L. Bovee, John V. Thill