...Style and Portfolio Performance Evaluation Project FI 8240 Global Portfolio Management Fall Semester 2015, Dr. Kini Lan Luo Thuy Tien Ho Xiangbo Sun SUMMARY We have developed style and portfolio performance evaluation based on our analysis from Excel results for mutual fund A, B and C. In this analysis two different passes were made, where the major change was the number of indices used in creation of the style analysis model. In the first pass the indices used were the large cap sp500, mid cap md400, small cap sc600, which are all commonly used proxies for the market in which the investor is operating, and the risk free rate. In this analysis, the predicted return using a weighted average of the market indices, the error between the investor’s actual return and predicted return, the sum of this error, the variance on this error (residual variance), and the variance on the return itself were determined from the data provided. By using Excel’s Solver tool, the minimum residual variance was determined by changing the weights of the market indices and thus creating an opportunity for the predicted return values to approach (converge) to the actual return and obtain a more optimal portfolio. This in turn provides the analyst with the tools to determine how well the model can predict the overall variance in the actual return of an investment in a particular fund. Once the optimal weights are determined, the variances stated above are used to determine the percentage of...
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...INDEX FUNDS.. FM n FS PROJECT Active and Passive Management Before we get into the details of index funds, it's important to understand the two different styles of mutual-fund management: passive and active. Most mutual funds fit under the active management category. Active management involves the art of stock picking and market timing. This means the fund manager will put his/her skills to the test trying to pick securities that will perform better than the market. Because actively managed funds require more hands-on research and because they experience a higher volume of trading, their expenses are higher. Passively managed funds, on the other hand, do not attempt to beat the market. A passive strategy instead seeks to match the risk and return of the stock market or a segment of it. You can think of passive management as the buy-and-hold approach to money management. Defn- An index fund a collective investment scheme that aims to replicate the movements of an index of a specific financial market, or a set of rules of ownership that are held constant, regardless of market condition. An index fund is a mutual fund which merely invests in the securities in the index. It is passive, in the sense that absolutely no effort is made to produce results better than the index. HISTORY: Index funds haven't been around forever -- how did they come about? Long ago, there was a student at the University of Chicago who studied modern ideas of finance taught...
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...What is Corporate Portfolio All of the assets included on the firm's balance sheet. For example, a real estate trust holds a portfolio of office rental properties. Also called investment portfolio. See also diversification Corporate Philosophy Markets are efficient The design of the portfolio as a whole should be more important than the selection of any particular security within the portfolio. The general rule is that Investors are risk averse. For a given risk level, an optimal combination of asset classes will maximize returns. Investment Style Passive Vehicle Style of investment Active Vehicle Investment Style Horizon (Long term Investment ) Life-cycle (often used in retirement plans) Asset Allocation Equities Growth Fixed Income Investments Capital Preservation Asset Allocation Asset-allocation is an attempt to provide investors with portfolio structures that address an investor's age, risk appetite and investment objectives with an appropriate apportionment of asset classes. Balance Fund Life-cycle (often used in retirement plans) Active Asset Selection Active asset selection strategies can be classified fairly broadly into four classes – Intrinsic valuation model relative valuation model technical analysis models Portfolio Optimization model How to Rebalance Your Portfolio Businesses are constantly assembling and adjusting their portfolios of assets in an attempt to increase the returns they earn and reduce the risks they face. For...
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...Study Guide Topic Outline, Readings, Test Weightings The Study Guide sets forth primary topics and subtopics under the five risk‐related disciplines covered in the FRM exam. The topics were selected by the FRM Committee as topics that risk managers who work in practice today have to master. The topics are reviewed yearly to ensure the FRM exam is kept timely and relevant. FRM Examination Approach The FRM exam is a practice‐oriented examination. Its questions are derived from a combination of theory, as set forth in the readings, and “real‐world” work experience. Candidates are expected to understand risk management concepts and approaches and how they would apply to a risk manager’s day‐to‐day activities. The FRM examination is also a comprehensive examination, testing a risk professional on a number of risk management concepts and approaches. It is very rare that a risk manager will be faced with an issue that can immediately be slotted into one category. In the real world, a risk manager must be able to identify any number of risk‐related issues and be able to deal with them effectively. Readings Questions for the FRM examination are derived from the readings listed under each topic outline. These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam. The Financial Risk Manager Handbook...
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...European Financial Management, Vol. 14, No. 1, 2007, 12–29 doi: 10.1111/j.1468-036X.2007.00415.x Behavioural Finance: A Review and Synthesis Avanidhar Subrahmanyam Anderson Graduate School of Management, University of California at Los Angeles, USA E-mail: subra@anderson.ucla.edu Abstract I provide a synthesis of the Behavioural finance literature over the past two decades. I review the literature in three parts, namely, (i) empirical and theoretical analyses of patterns in the cross-section of average stock returns, (ii) studies on trading activity, and (iii) research in corporate finance. Behavioural finance is an exciting new field because it presents a number of normative implications for both individual investors and CEOs. The papers reviewed here allow us to learn more about these specific implications. Keywords: behavioural finance, market efficiency, cross-section of stock returns JEL classifications: G00, G10, G11, G14, G31, G32, G34 1. Introduction The field of finance, until recently, had the following central paradigms: (i) portfolio allocation based on expected return and risk (ii) risk-based asset pricing models such as the CAPM and other similar frameworks, (iii) the pricing of contingent claims, and (iv) the Miller-Modigliani theorem and its augmentation by the theory of agency. These economic ideas were all derived from investor rationality. While these approaches revolutionised the study of finance and brought rigour into the field, many lacunae...
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...INTEREST RATE RISK MANAGEMENT: DEVELOPMENTS IN INTEREST RATE TERM STRUCTURE MODELING FOR RISK MANAGEMENT AND VALUATION OF INTEREST-RATE-DEPENDENT CASH FLOWS Andrew Ang* and Michael Sherris† ABSTRACT This paper surveys the main concepts and techniques of recent developments in the modeling of the term structure of interest rates that are used in the risk management and valuation of interest-rate-dependent cash flows. These developments extend the concepts of immunization and matching to a stochastic interest rate environment. Such cash flows include the cash flows on assets such as bonds and mortgage-backed securities as well as those for annuity products, life insurance products with interest-rate-sensitive withdrawals, accrued liabilities for definedbenefit pension funds, and property and casualty liability cash flows. 1. INTRODUCTION The aim of this paper is to discuss recent developments in interest rate term structure modeling and the application of these models to the interest rate risk management and valuation of cash flows that are dependent on future interest rates. Traditional approaches to risk management and valuation are based on the concepts of immunization and matching of cash flows. These ideas were pioneered in the actuarial profession by the British actuary Frank Redington (1952). Interest rates have long been recognized as important to the risk management of insurance liabilities. Recent developments have incorporated a stochastic approach to modeling interest...
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...MANAGING INVESTMENT PORTFOLIOS WORKBOOK A DYNAMIC PROCESS Third Edition John L. Maginn, CFA Donald L. Tuttle, CFA Dennis W. McLeavey, CFA Jerald E. Pinto, CFA John Wiley & Sons, Inc. MANAGING INVESTMENT PORTFOLIOS WORKBOOK A DYNAMIC PROCESS The CFA Institute is the premier association for investment professionals around the world, with over 85,000 members in 129 countries. Since 1963 the organization has developed and administered the renowned Chartered Financial Analyst Program. With a rich history of leading the investment profession, CFA Institute has set the highest standards in ethics, education, and professional excellence within the global investment community, and is the foremost authority on investment profession conduct and practice. Each book in the CFA Institute Investment Series is geared toward industry practitioners along with graduate-level finance students and covers the most important topics in the industry. The authors of these cutting-edge books are themselves industry professionals and academics and bring their wealth of knowledge and expertise to this series. MANAGING INVESTMENT PORTFOLIOS WORKBOOK A DYNAMIC PROCESS Third Edition John L. Maginn, CFA Donald L. Tuttle, CFA Dennis W. McLeavey, CFA Jerald E. Pinto, CFA John Wiley & Sons, Inc. Copyright c 2007 by CFA Institute. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. No part of this publication may be reproduced...
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...finance (modern portfolio theory), compared with Behavioral finance, is no longer modern: dating back to the late 1950s modern portfolio theory was developed (Statman 2008) Behavioral finance offers alternative explanation for investors and markets. Behavioral finance, which has been a controversial subject and is becoming more widely accepted, is finance from a broader social science perspective including psychology and sociology (Shiller 2003). Behavioral finance helps identify the financial market’s inefficient reaction to public information, which cannot be explained by traditional financial models with assumptions such as expected utility maximization, rational investors, and efficient markets (Ritter 2003; Statman 2008). Statman (2008) compares “normal” investors and rational investors by pointing out the difference that normal investors are reluctant to realize losses since normal investors are affected by cognitive biases and emotions. Statman also compares Behavioral Portfolio Theory and Markowitz mean-variance theory. Another comparison made by Statman is between Behavioral Asset Pricing Model (BAPM) and capital asset pricing model (CAPM), stating that the asset pricing model of standard finance is moving away from CAPM toward Fama and French three-factor model, a model similar to the BAPM. Bloomfield’s article discusses anomalies that market price deviation from action of rational traders. The most robust anomaly is PEAD (Post-earnings-announcement drift), which is reported...
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...RANDOLPH B. COHEN Dimensional Fund Advisors, 2002 In June of 2002, David Booth faced a dilemma. His firm, Dimensional Fund Advisors (DFA), had in recent times shown stellar performance after going through some relatively rough patches in the late 1990s. Growth was steady and profits strong. Yet, Pensions and Investments ranked DFA a mere 96th in size among investment companies (see Exhibit 1). While DFA had never viewed maximizing assets under management as a goal, the ranking did suggest that it might be possible for DFA to achieve more as a firm than it currently was. Should Booth and DFA continue on the path that had brought them this far? Or was this the time for a major initiative that could catapult DFA to a status among the largest firms in the business? The Company and its Clients DFA was an investment firm based in Santa Monica, California. Founded in 1981 by Booth and Rex Sinquefield, two former students at the University of Chicago Graduate School of Business, DFA was dedicated to the principle that the stock market was “efficient”—that is, while over any given period some investors by luck would outperform the market and others would underperform, no one had the ability to consistently pick stocks that would beat the market. Such beliefs were associated with proponents of index funds, and, indeed, Sinquefield had run one of the very first S&P 500 index funds while at another firm. But DFA was not simply an index fund manager. In addition to efficient markets, DFA’s...
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...Woko k rb o: Sm lQuso s n ap e et n ad i Eece xrss i September 2012 Level I Workbook: Sample Questions and Exercises Preface.......................................................................................................................................................... 2 Sample Exam Questions ............................................................................................................................. 2 Exercises ...................................................................................................................................................... 2 Errata Sheet................................................................................................................................................. 2 The Level II Examination and Completion of the Program ................................................................... 3 Topic 1: Professional Standards and Ethics ......................................................................................... 4 Topic 2: Introduction to Alternative Investments................................................................................ 6 Topic 3: Real Assets .............................................................................................................................. 20 Topic 4: Hedge Funds ........................................................................................................................... 29 Topic 5: Commodities ...............................
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...Roles, authority and involvement of the management accounting function: a multiple case-study perspective Caroline Lambert HEC, Paris 1, rue de la Libération 78351 Jouy en Josas Cedex lambert@hec.fr Samuel Sponem Conservatoire National des Arts et Métiers GREG-CRC (EA 2430) samuel.sponem@cnam.fr Acknowledgements The authors are grateful to participants at the European Accounting Association Conference 2009, the Accounting department ESSEC seminar, France, and at the seminar of Ecole de Comptabilité de l’Université Laval, Québec, Canada for their constructive comments on earlier drafts of this paper. They also wish to thank and useful suggestions of members of the CriM group, Martin Messner and Juhani Vaivio. We would particularly like to thank Markus Granlund and the two anonymous reviewers for their many helpful comments and suggestions. Both authors thank ‘Fondation HEC’ and ‘Agence Nationale de la Recherche’ for their fundings. Abstract Recent techniques and shifts in the environment are often foreseen as leading management accountants to adopt a business orientation. However, empirical evidence pointing to fundamental shifts in the roles played by management accountants remains relatively scarce. We explore this paradox and give sense to the various roles played by the management accounting function by focusing on how management accountants are involved in and endowed with authority in decision-making situations. Using data we gathered from 73 interviews in ten...
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...Advanced Modelling in Finance using Excel and VBA Mary Jackson and Mike Staunton JOHN WILEY & SONS, LTD Chichester ž New York ž Weinheim ž Brisbane ž Singapore ž Toronto Copyright 2001 by John Wiley & Sons, Ltd, Baffins Lane, Chichester, West Sussex PO19 1UD, England National 01243 779777 International (C44) 1243 779777 e-mail (for orders and customer service enquiries): cs-books@wiley.co.uk Visit our Home Page on http://www.wiley.co.uk or http://www.wiley.com All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency, 90 Tottenham Court Road, London W1P 9HE, UK, without the permission in writing of the publisher. Other Wiley Editorial Offices John Wiley & Sons, Inc., 605 Third Avenue, New York, NY 10158-0012, USA Wiley-VCH Verlag GmbH, Pappelallee 3, D-69469 Weinheim, Germany John Wiley & Sons Australia Ltd, 42 McDougall Street, Milton, Queensland 4064, Australia John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop #02-01, Jin Xing Distripark, Singapore 129809 John Wiley & Sons Canada Ltd, 6045 Freemont Blvd, Mississauga, ONT, L5R 4J3, Canada British Library Cataloguing in Publication Data A catalogue record for this book is available from the British...
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...Master in Business Administration Marketing Management (7MK002) Harley Davidson Marketing Plan for the UK market British College of Applied Studies (University of Wolverhampton) Contents Executive Summary .......................................................................................................................03 Situational Analysis .......................................................................................................................... 04 Marketing Strategies .....................................................................................................................13 Financials………………………………………………………………………………………………………………………………………..22 Controls……………………………………………………………………………………………………………………………………………….24 Reference List …………………………………………………………………………………………………………………………………….33 MKT Page 2 Executive Summary Harley Davidson is a Motor cycle manufacturing company which has a range of motor cycles offered to the matured men in the past and is now on the verge of introducing a new range of bikes for youngsters and women in the UK market. In its tradition, Harley Davidson were very much focusing on the matured men over 35 years which needed a new innovative market to be captured in the UK which is highly potential as the current market was dropping due to alienating customer base and huge competition from the Japanese competitors by introducing new sophisticated motorcycles which were more attractive. The new product segments were focused on youngsters...
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...Company Overview Akij Group History of Akij Group stretches back to later part of the forties. In its infancy, the Group started in humble way with jute trading which was known as the golden fiber of the country, earning highest amount of foreign exchange. Akij Group's ceaseless efforts with dynamic management and support from our numerous clients have led our Group in diversifying its business activities. In the second phase, the Group went into manufacturing handmade cigarettes popularly known as bidis. This sector gave a real boost to the revenue earning of the Group as well as making a substantial contribution to government exchequer. With the passage of time, the Group undertook new ventures and presently there are 15 units of industries under its umbrella like cigarettes, handmade cigarettes, printing & packaging, textiles, hand board, pharmaceutical, leather processing and real-estate business are in operation, catering jobs for more that 32,000 people in various categories. The Group has plans for setting up more projects. The projects are already in pipeline. Foreign investors have shown keen interest in joining with us for joint ventures. The matter is under our active consideration and will hopefully soon mature. This will also help the nation's economy growth and will create job opportunities to various professionals. Akij Group is also involved in socio-cultural activities. The Group has been operating a sizeable orphanage free of charge in district town. The...
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...gerry JoHnson KeVan sCHoles rICHard WHIttIngton Fundamentals oF strategy ACCESS CODE INSIDE unlock valuable online learning resources Once opened this pack cannot be returned for a refund Welcome to FUNDAMENTALS OF STRATEGY Strategy is a fascinating subject. It’s about the overall direction of all kinds of organisations, from multinationals to entrepreneurial start-ups, from charities to government agencies, and many more. Strategy raises the big questions about these organisations – how they grow, how they innovate and how they change. As a manager of today or of tomorrow, you will be involved in influencing, implementing or communicating these strategies. Our aim in writing Fundamentals of Strategy is to give you a clear understanding of the fundamental issues and techniques of strategy, and to help you get a great final result in your course. Here’s how you might make the most of the text: ● Focus your time and attention on the fundamental areas of strategy in just 10 carefully selected chapters. Read the illustrations and the case examples to clarify your understanding of how the concepts of strategy translate into an easily recognisable, real-world context. Follow up on the recommended readings at the end of each chapter. They’re specially selected as accessible and valuable sources that will enhance your learning and give you an extra edge in your course work. KEY CONCEPT AUDIO SUMMARY ● ● Also, look out for the Key Concepts and Audio Summary icons...
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