Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

(Note: present your calculated results in the form of table(s) in a separate worksheet. You can use the data file provided to you with the

(Note: present your calculated results in the form of table(s) in a separate worksheet. You can use the data file provided to you with the raw data on the other worksheets)

Comment on the results you found out. Do the results seem reasonable in terms of the orientation of these funds?

  1. You are an analyst of a large pension fund. The pension fund is currently investing in a portfolio of traditional assets of stocks and bonds. You are gathering information about investing in some hedge funds. You studied 5 hedge fund strategies and obtained the price data about the market return (S&P 500 Index) and 5 hedge fund strategies indexes with Bloomberg ticker symbols for the 5-year period from Jan 2015 Dec 2019.

    Based on the price data provided, calculate

    1. (1) the beta of each of the 5 hedge fund strategy indexes returns using any one of the suggested methods

    2. (2) the skewness and kurtosis of each of the 5 hedge funds strategy indexes returns.

    3. (3) The correlation matrix among the 5 hedge fund strategy indexes returns

1

Hints:

  1. Convert the price data into rate of return using the formula,

    =LN (A2/A1)

    Where A2 is the price of the current period and A1 is the price of the preceding period. All metrics are to be performed on rates of return, not on the absolute price level.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Basic Finance An Introduction to Financial Institutions Investments and Management

Authors: Herbert B. Mayo

10th edition

1111820635, 978-1111820633

More Books

Students also viewed these Finance questions