Reference no: EM131091635
Examine the monthly hedge fund indices data in from Jan 1994 to April 2016 available in HWK1_Data.xlsx A.) Compute the following statistics:
(1) Annualized Return; (2) Annualized Standard Deviation; (3) Sharpe Ratio; (4) Skew; (5) Kurtosis; (6) Sortino Ratio, (7) Calmar Ratio, (8) Jensen's Alpha, (9)* Fama-French'sAlpha 3-factors and 5-factors, (10)* Carhart'sAlpha, and (11)* Omega Ratio (make assumptions when necessary)
• B.) Compute Beta-in-the-Tails for (only monthly data) for all strategies. Which has the most severe tail-risk? Why? Note you will need excess market returns available here:
• C.) Compute the correlation across strategies, what is the two highest/lowest correlated strategies, why?
D.) Construct your "best" fund of hedge funds with (1) Static Weights (e.g. equally-weighted) and (2) Dynamic Weights, re-compute statistics as in A.) for your two portfolios. Is a portfolio of Hedge Funds better than single hedge funds? (Assume no t-costs, no frictions)
E.) Where are your hidden-risks in your portfolios?
Upload all assignments BlackBoard! Maximum 3-pages of Executive write-ups turn in the following format: first_name.last_name.pdf, e.g. Jill.Smith.pdf
Describe an incremental cash flow for a project
: Directions Be sure to make an electronic copy of your answer before submitting it to Ashworth College for grading. Unless otherwise stated, answer in complete sentences, and be sure to use correct English spelling and grammar. Sources must be cite..
|
What amount will your annual payment be
: What is the future value of $500 a year for nine years compounded annually at 11%? How much will the future value of $900 for nine years compounded annually at 11% be?
|
Examine the stability of the closed-loop system
: Draw a Nyquist plot of G(s) and examine the stability of the closed-loop system.
|
Data collection and analysis report
: HI6007 Assessment Three - Research questions for the identified problem or opportunity. Strengthen and improve initial proposal and Appropriate research methodologies and techniques to use for the research project.
|
Examine the monthly hedge fund indices data
: (1) Annualized Return; (2) Annualized Standard Deviation; (3) Sharpe Ratio; (4) Skew; (5) Kurtosis; (6) Sortino Ratio, (7) Calmar Ratio, (8) Jensen's Alpha, (9)* Fama-French'sAlpha 3-factors and 5-factors, (10)* Carhart'sAlpha, and (11)* Omega Ra..
|
Marketing concept according to krzysztof kubacki
: Define the below marketing concept according to Krzysztof Kubacki Define the various Orientations said by Garnier, could they be as Product and Market Orientation
|
Consumption and investment decisions
: In a free market economy, consumption and investment decisions are controlled largely by the government. Shape the future course of the national economy. Are necessarily controlled by big businesses. Require protection from foreign forces if indivi..
|
Various economic sytems that various countries have
: In the study of economics, there are various economic sytems that various countries have adopted, which of the following is not an economic system?
|
Determine the value of a so that the phase margin is 45°
: Determine the value of α so that the phase margin is 45°
|