Analyze the factor betas of the fixed-income arbitrage index in Table 26.3. On the basis of these

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Analyze the factor betas of the fixed-income arbitrage index in Table 26.3. On the basis of 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?

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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