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.
Transcribed Image Text:
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
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 100% (2 reviews)
The convertible arbitrage fund has a positive and significant beta on the SP 500 This m...View the full answer
Answered By
Utsab mitra
I have the expertise to deliver these subjects to college and higher-level students. The services would involve only solving assignments, homework help, and others.
I have experience in delivering these subjects for the last 6 years on a freelancing basis in different companies around the globe. I am CMA certified and CGMA UK. I have professional experience of 18 years in the industry involved in the manufacturing company and IT implementation experience of over 12 years.
I have delivered this help to students effortlessly, which is essential to give the students a good grade in their studies.
3.50+
2+ Reviews
10+ Question Solved
Related Book For
ISE Essentials Of Investments
ISBN: 9781265450090
12th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
Question Posted:
Students also viewed these Business questions
-
Read the case study "Southwest Airlines," found in Part 2 of your textbook. Review the "Guide to Case Analysis" found on pp. CA1 - CA11 of your textbook. (This guide follows the last case in the...
-
Planning is one of the most important management functions in any business. A front office managers first step in planning should involve determine the departments goals. Planning also includes...
-
Managing Scope Changes Case Study Scope changes on a project can occur regardless of how well the project is planned or executed. Scope changes can be the result of something that was omitted during...
-
Suppose that General Motors Acceptance Corporation issued a bond with 10 years until maturity, a face value of $1000, and a coupon rate of 7% (annual payments). The yield to maturity on this bond...
-
On January 1, 2007 Worthylake Company sold used machinery to Brown Company, accepting a $25,000 non-interest-bearing note maturing on January 1, 2009. Worthylake Company carried the machinery on its...
-
The income statement for Jiff y Woodworkers Inc., for the year ended December 31, 2012, is as follows: Dividends of $24,800 were paid on December 30, 2012. Required: 1. Give the entry required on...
-
Consider the following cash flow profile and assume MARR is 10 percent/year. a. What does Descartes' rule of signs tell us about the IRR(s) of this project? b. What does Norstrom's criterion tell us...
-
Thurgood Devices uses activity-based costing to allocate overhead costs to customer orders for pricing purposes. Many customer orders are won through competitive bidding. Direct material and direct...
-
You would like your retirement fund to have 450,000$ after 32 years. The bank offers you an APR of 2.6%, compounded quarterly. How much should your quarterly deposits be in order to reach that goal?...
-
A fund manages a $4.5 billion equity portfolio with a beta of 0.6. If the S&P contract multiplier is $50 and the index is currently at 3,000, how many contracts should the fund sell to make its...
-
Classify each of the following strategies as directional or nondirectional. a. The fund buys shares in the India Investment Fund, a closedend fund that is selling at a discount to net asset value,...
-
The addition of HC1 to but-3-en-2-one gives a product with the following 1H-NMR spectrum, show the structure of this product, show a mechanism for its formation, and explain the regiochemistry of...
-
5. Can you incorporate open-source code from a GitHub forum into an Infosys proprietary tool? Oa. Yes, since it is freely available, it is assumed safe for use in proprietary tools. Ob. No, Infosys...
-
Misinformation refers to intentionally stating or circulating inaccurate information, on the other hand while Disinformation refers to something that is not true. O True False
-
define interviews research strategy in line with interpretivism research philosophyand indicate the reasoning for its use in supply chain management challenges and add source fo this.
-
A Which is the best way to meet stakeholders' expectations? A O Host team building sessions with stakeholders. B C D O Keep stakeholders regularly informed throughout the project. Hold weekly status...
-
The transactions demand for holding money is when people hold money: To transact purchases they expect to make. As insurance against unexpected expenses. Instead of near money. To speculate in the...
-
Consider the following information for McKinley and Son, Inc. Required a. Evaluate the company in terms of ROI. b. While income has increased in fiscal 2012, is it clear that the companys performance...
-
The Dow Jones Industrial Average reached a high of $ 7801.63 on December 29, 1997. Recall from Example 18.4 that it reached a high of $ 1003 on November 14, 1972. The Consumer Price Index for...
-
Calculate the amount by which the Primo portfolio out-(under-)performed the market over the period, as well as the contribution to performance of the pure sector allocation and security selection...
-
What is the within-sector selection effect for each individual sector?
-
XYZs stock price and dividend history are as follows: An investor buys three shares of XYZ at the beginning of 2018, buys another two shares at the beginning of 2019, sells one share at the beginning...
-
Simpson Peripherals earned $0.90 per share in 2010 and $1.52 in 2015. Calculate the annual growth rate in earnings per share over this period.
-
Bodie, a single taxpayer, worked as a self employed consultant for the first three months of 2023. During that time, he earned $21,270 of self-employment income. On April 1, 2023, Bodie took a job as...
-
Information about Vinzant Company's Inventory of one item follows Explanation Beginning inventory, January 1 Purchases: April August October Ending inventory, December 31 Number of Units Unit Cost...
Study smarter with the SolutionInn App