Questions and Answers of Bond Markets Analysis And Strategies

Calculate Modiglianis’ alpha.Using the following output to answer each of the question: Hedge Fund Rp = 26% percent = 20% percent Pp=-0.4 Market RM = 15% percent = 15% percent Risk Free Rate RF =
Compare and discuss the results obtained.Using the following output to answer each of the question: Hedge Fund Rp = 26% percent = 20% percent Pp=-0.4 Market RM = 15% percent = 15% percent Risk Free
Assuming the market is a basket of equities with the long/ short correlation as shown, calculate the H- alpha.Using the following output to answer each of the question: Hedge Fund Rp = 26% percent =
Discuss the biases that are commonly present in reported hedge fund returns.
Explain the need to use multifactor models to evaluate hedge fund performance.
Critique the use of measures such as time- weighted return and the Sharpe ratio in evaluating hedge fund performance.
Describe the performance record for hedge funds.
Describe the relation between hedge fund performance and characteristics such as fund size and the use of leverage and technical analysis.
Discuss why hedge funds are attractive investments.
Explain the causes of increased correlations among hedge fund strategies during crisis periods.
Discuss common classical risk factors during crises.
Discuss conditions under which diversification benefits disappear.
Discuss whether hedge funds are really “hedged” during crisis periods.
Discuss the theoretical benefits of hedge fund indices.
Discuss the fundamental practical problems associated with hedge fund indices.
Explain the benefits of cloning hedge fund indices.
Discuss evidence of nonlinear hedge fund risk exposures.
Discuss why investible hedge fund indices underperform noninvestible ones.
Explain the various methodologies used in the literature to measure hedge fund performance persistence.
Discuss whether short- and long- term performance persistence exists in the hedge fund industry.
Discuss whether hedge funds with different strategies show different levels of performance persistence.
Identify hedge fund characteristics that are indicative of performance persistence.
Explain the three issues— return smoothing, use of option- like strategies, and data biases— in evaluating hedge fund performance persistence.
Discuss characteristics of a good investment benchmark.
Discuss the primary causes of bias in hedge fund return data sets.
Define backfill bias (instant history) and discuss how the academic literature makes appropriate corrections for its effect.
Discuss the consequences of data biases in hedge fund returns.
Describe an equity- neutral strategy, giving a hypothetical example of a long biased, neutral, and short- biased portfolio.
List and describe several common but newer strategies.
Discuss how well strategy indices reflect what individual funds are doing and identify the styles that should display the same return pattern even if funds are investing in different securities.
Indicate whether hedge funds must follow their self- declared primary style or specific strategy.
Define factor timing and discuss whether it should be considered a strategy.
Describe the typical fee structure of a hedge fund and discuss why it is subject to debate.
Discuss two biases that can influence hedge fund returns and identify whether the bias should result in an overstatement or understatement of returns.
Discuss three areas on which the SEC focuses in terms of cracking down on hedge funds.
Define insider trading and provide a recent example involving hedge funds.
Indicate three types of institutional investors and whether they plan to increase their allocation to hedge funds in the short and long term.
Explain four new approaches to hedge fund growth.
Explain why smaller and larger hedge funds generally have different risk and return objectives.
Provide an example of a liquid alternative and discuss why an investor would want to buy it.
Explain whether you agree with the following statement: A bond portfolio manager who wants to sell eight bonds must sell each one individually.
How is a bond’s liquidity impacted by its credit rating?
Explain why you agree or disagree with the following statement: In an agency CMBS, all of the bond classes are guaranteed by the issuer (Ginnie Mae, Fannie Mae, or Freddie Mac).
In a 2016 interview of more than 400 U.S. and European bond investors in credit products such as corporate bonds, Greenwich Associates found that more than 80% felt that “reduced market liquidity
The following is a statement from the study cited in the previous question: “Continuous, indicative pricing from corporate-bond market makers in every outstanding issue is an unrealistic
Explain how a mutual fund that invests in investment-grade bonds can use liquidity measures to comply with the SEC rules regarding liquidity.
The following quote is from chapter 2, “Market Liquidity—Resilient or Fleeting,” from the International Monetary Fund’s Global Finance Stability Report, published in October 2015:As banks
Suppose that Bond XYZ has a reliable bid-ask spread of 95.20 and 95.40. What is this bond’s Barclays Liquidity Cost Score?
How is a bond’s liquidity impacted by the size of the trade?
In a September 2014 publication by BlackRock, the world’s largest asset management firm, entitled “Corporate Bond Market Structure:The Time for Reform Is Now”
Third-party financial vendors provide various services to bond portfolio managers. What are the services that they provide with respect to liquidity?
The infrastructure market for bond trading has shifted from principal trading to agency trading.a. Why were trades historically done on a principal basis?b. What does it mean that bond trades are
The following quote is from the ICE website (https://www.theice.com/data-services/fixed-income): Market players are seeking new liquidity sources and trading solutions. As technology enables a range
Why do institutional investors want to remain anonymous in anelectronic bond trading platform?
What is meant by “liquidity intelligence”?
The following is from the executive summary in McPartland, “Corporate Bond Liquidity Solutions Emerging”: Investors continue to express frustration with credit market liquidity, but massive
The following quote is from Hayley McDowell, “How to Deal with a Billion-Dollar Credit Portfolio Trade,” The Trade, October 30, 2019
The following quote is from Vaibhav Sagar, “From High Touch to Low Touch,” Global Trading, January 16, 2018 (https://www.fixglobal.com/home/from-high-touch-to-low-touch/):Back in the day, most
What is the effect of greater expected interest-rate volatility on the option-adjusted spread of a security?
What is a mandatory convertible?
Why is it critical to understand a company’s business model?
What is a laddered portfolio?
a. “When a portfolio manager uses quantitative methods to calculate financial ratios to assess the riskiness of the bonds of a corporation, the manager is referred to as a quantitative portfolio
Explain each of the following features and their significance in a single-borrower/multiproperty CMBS transaction:a. Cross-collateralization featureb. Cross-default featurec. Property release
In the chapter, the FREMF-K67 Mortgage Trust was described.a. The weighted average loan-to-value (LTV) ratio for the 67 properties was 119.9% according to Moody’s and 115.8% according to Kroll Bond
How has the CMBS market changed after the global financial crisis?
Why was the PSA standard default benchmark introduced?
Who determines the amount of credit enhancement needed in a nonagency RMBS deal?
Why is it necessary for a nonagency RMBS to have credit enhancement?
A Non-QM deal is an agency RMBS because a government agency, the Consumer Financial Protection Bureau (CFPB), guarantees all loans from the borrowers. Explain whether you agree or disagree with this
How does a legacy RMBS nonagency deal differ from an RMBS 2.0 deal?
What is a government-sponsored enterprise?
What is meant by coupon stripping in the Treasury market?
a. What are the major disadvantages of the walk-forward method for backtesting?b. How does the resampling method for backtesting address one of the main disadvantages of the walk-forward method?c.
What is meant by date-release timing bias?
The correlations for the communication and technology sector is reported to be:AAA-AA rated corporate bonds = −0.31A rated corporate bonds = −0.34BBB rated corporate bonds = −0.36Calculate the
In corporate bond style factor investing, how is size measured?
Name at least two concerns that a corporate bond portfolio manager would have in implementing style factor investing.
In discussing the performance of the external managers hired by a financial institution, the following statement was made: “The most important factor we consider in retention decisions is
Explain why you agree or disagree with the following statements:a. The 3-month SOFR futures contract is based on the 3-month SOFR rate.b. For the 1-month SOFR futures contract, the daily SOFR rate
Suppose that the conversion factor for a particular Treasury bond that is acceptable for delivery in a Treasury bond futures contract is 0.85 and that the futures price settles at 105. Assume also
What is the implied repo rate?
You are the senior portfolio manager of an institutional account. You are reviewing the response of a junior member of your portfolio management team to a client who inquired about the use of options
a. What are the delta and gamma of an option?b. If the implied price volatility of a call option on a Treasury bond futures contract is 10.0 and the duration of the CTD issue is 8, what is the
The Hieber Asset Management firm purchased the following FRA from the First Commercial Bank Corporation: (1) Reference rate is threemonth LIBOR, (2) Contract rate is 6%, (3) Notional amount is for
Explain whether you agree or disagree with the following statement: “Both the buyers of an interest-rate futures contract and FRA benefit if interest rates decline.”
For a single-name CDS, what is the difference between physical settlement and cash settlement?
a. XYX Corp is rated A+/A2 and you buy protection via the CDS market. What will your running spread be?b. XYX Corp is the victim of a massive accounting fraud and as result gets downgraded to
You see the following statement in a popular business periodical: “The credit-default swap spread on Greece is now 1,340 basis points. This means that there is a 68% probability that within five
How are index CDSs used in portfolio management?
What is the purpose of the dollar roll market?
Why would an investor want to trade specified pools rather than generic securities?
How do investors benefit from the presence of the TBA market?
a. Complete the following table: CPR assuming:b. Complete the following table: SMM assuming: Month 1 4 9 27 40 120 340 100% PSA 70% PSA 320% PSA
What is an FHA-insured loan?
What is an alternative-A loan?
The following is an excerpt from the PIMCO Emerging Markets Bond Fund:LIBOR Transition Risk: the risk related to the anticipated discontinuation of the London Interbank Offered Rate (“LIBOR”) by
The following is an excerpt from the PIMCO Emerging Markets Bond Fund:Foreign (Non-U.S.) Investment Risk: the risk that investing in foreign (non-U.S.) securities may result in the Fund experiencing
According to the Bank for International Settlements:a. What comprises the total debt securities throughout the world?b. What are the sectors of the global debt market?c. What are the three currencies
What risk would be faced by the Wisconsin Retirement System if it were considering the purchase a British government bond denominated in the pound sterling?

Showing 100 - 200 of 238