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The Investment Committee is big on active management, and believes that there are areas/pockets of inefficiencies in the market. Knowing that you have taken Finance 455 at X-University, the Committee asks that you look into constructing an equity portfolio benchmarked to the Dow Jones Industrial Average (DJIA). They would like for you to make an equity portfolio that can be expected to create at least 2% of alpha (above the DJIA) with a tracking error budget of 4% (or stated differently, an Information Ratio of 0.50).
Based on that information, and with the Excel Spreadsheet given (showing historical return data for the DJIA component stocks), design a portfolio that can yield a 2% enhance in expected return over the benchmark (alpha), with a maximum of 4% tracking error (Information Ratio at least 0.50).
(i) Calculate the unweighted average daily variance for the time series. Explain any assumptions or simplifications you have made, and the working for each step.
Determine the roles and responsibilities for risk management at senior management level • The role and contents of the risk management strategy, including risk profile, risk app
Several issues have arisen on the Kauri Café Project. Four months have passed since the project started. ABC Co. are complaining about not being paid appropriately you initially th
a) Differentiate between interest and currency swaps. b) Suppose a Swiss firm, ACER Com Ltd, wants to invest in the U.S. The Swiss firm needs US dollars with a term to maturit
The investment philosophy of Claire can be reflected from her comments “I will be satisfied if I just don’t lose money in my portfolio. I am more afraid of losing money than I am
Question 1: Explain role of the project manager throughout a project life cycle with reference to the following. (a) Setting up a project team (and the factors he has to con
Macville Pty Ltd. Risk management case study
Objectives of risk communication The fundamental goal of risk communication, as you may have realized, is to provide meaningful, relevant and accurate information, in clear a
Determine about the Liquidity Risk Liquidity risk is the risk associated with specific secondary market in which a security trades. An investment which can be bought or sold
Question: (a) The site engineer of a building and civil engineering company, employing one hundred and ten employees on a five-storey building project, has decided to carry ou
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