Handout 4 - Wharton Finance Department
... no backward bend to the diagram. The standard deviation is steadily increasing. Even here, however, there are gains from diversification relative to the case of ρ = 1. Standard deviation increases, but it does so less than proportionally. For all values of ρ < 1, the standard deviation of a portfoli ...
... no backward bend to the diagram. The standard deviation is steadily increasing. Even here, however, there are gains from diversification relative to the case of ρ = 1. Standard deviation increases, but it does so less than proportionally. For all values of ρ < 1, the standard deviation of a portfoli ...
Insurance-related investments strategy
... AlphaCat in its commentary noted that one area facing increased risk during the first quarter of the calendar year is Australia. This was aptly demonstrated by Cyclone Debbie, which struck Queensland in late March. As a reminder, the portfolio has relatively limited exposure to Australian perils due ...
... AlphaCat in its commentary noted that one area facing increased risk during the first quarter of the calendar year is Australia. This was aptly demonstrated by Cyclone Debbie, which struck Queensland in late March. As a reminder, the portfolio has relatively limited exposure to Australian perils due ...
Mnyl - Funds-apr 2010
... Chartered Accountant and CFA from the CFA Institute. Handling Investment Portfolio since 2001. Responsible for performance of both Equity & Debt portfolios. Worked with KPMG in the Assurance division. ...
... Chartered Accountant and CFA from the CFA Institute. Handling Investment Portfolio since 2001. Responsible for performance of both Equity & Debt portfolios. Worked with KPMG in the Assurance division. ...
FRBSF E L
... “worst-case” alternative model. When considering which assets to buy, the investor then makes decisions as if this model, rather than the benchmark, describes the economy. Seeking a worst-case model What determines the worst case? Bidder and Dew-Becker’s model describes how dividends and investors’ ...
... “worst-case” alternative model. When considering which assets to buy, the investor then makes decisions as if this model, rather than the benchmark, describes the economy. Seeking a worst-case model What determines the worst case? Bidder and Dew-Becker’s model describes how dividends and investors’ ...
Risk, Return and Capital Budgeting
... In doing an NPV, IRR, or PI analysis, we need to have the relevant discount rate for our project. Now that we have a better understanding of the relation between expected return and risk, we can use this to develop an appropriate discount rate (cost of capital or opportunity cost of capital) for our ...
... In doing an NPV, IRR, or PI analysis, we need to have the relevant discount rate for our project. Now that we have a better understanding of the relation between expected return and risk, we can use this to develop an appropriate discount rate (cost of capital or opportunity cost of capital) for our ...
Economic and Market - Wells Capital Management
... bunny! Unlike an enthusiastic bull or a scary bear, a bunny market hops about a bit but really does not go anywhere and bunnies have often dominated the stock market during the latter stages of past economic recoveries. The accompanying exhibit illustrates the U.S. stock market since WWII with reces ...
... bunny! Unlike an enthusiastic bull or a scary bear, a bunny market hops about a bit but really does not go anywhere and bunnies have often dominated the stock market during the latter stages of past economic recoveries. The accompanying exhibit illustrates the U.S. stock market since WWII with reces ...
Evolution by Region - Pennsylvania State University
... • In 1999, US owned assets in foreign countries represented about 30% of US capital, while foreign assets in the US was about 36% of US capital. – These percentages are about 5 times as large as percentages from 1970, indicating that international capital markets have allowed investors to increase d ...
... • In 1999, US owned assets in foreign countries represented about 30% of US capital, while foreign assets in the US was about 36% of US capital. – These percentages are about 5 times as large as percentages from 1970, indicating that international capital markets have allowed investors to increase d ...
The Equity Risk Premium
... are risky. To take risk is to expose oneself to a meaningful chance of injury or loss; stock investments (i.e., equities) harbor hazards and perils that could jeopardize one’s wealth. Speculators, of course, by definition are ready to ante up for a shot at spectacular wealth, but all speculators tak ...
... are risky. To take risk is to expose oneself to a meaningful chance of injury or loss; stock investments (i.e., equities) harbor hazards and perils that could jeopardize one’s wealth. Speculators, of course, by definition are ready to ante up for a shot at spectacular wealth, but all speculators tak ...
Stock Market -Trading
... • Subject to virtually no regulatory oversight and thus generally can (and do) take significant risk • Do not have to disclose their activities to third parties and thus offer a high degree of privacy • HFs use more aggressive trading strategies than MFs such as short selling, leverage, program trad ...
... • Subject to virtually no regulatory oversight and thus generally can (and do) take significant risk • Do not have to disclose their activities to third parties and thus offer a high degree of privacy • HFs use more aggressive trading strategies than MFs such as short selling, leverage, program trad ...
Deutsche Invest I Top Asia - Deutsche Asset Management
... When the custodian sets the price on the last trading day of the month there can be a difference of up to ten hours between the times at which the fund price and the benchmark are calculated. In the event of strong market movements during this period, this may result in the over- or understatement o ...
... When the custodian sets the price on the last trading day of the month there can be a difference of up to ten hours between the times at which the fund price and the benchmark are calculated. In the event of strong market movements during this period, this may result in the over- or understatement o ...
risk management
... both of the above are required Only 1 is required Only 2 is required both are insufficient ...
... both of the above are required Only 1 is required Only 2 is required both are insufficient ...
Government Obligations Fund (TR Shares)
... Despite a pullback in inflation and softening in some economic data, short-term interest rates marched higher in the second quarter, aided by actions taken by the US Federal Reserve. The central bank in June raised the target funds range another 25 basis points—the third increase in six months—and s ...
... Despite a pullback in inflation and softening in some economic data, short-term interest rates marched higher in the second quarter, aided by actions taken by the US Federal Reserve. The central bank in June raised the target funds range another 25 basis points—the third increase in six months—and s ...
Basics of Investment
... To invest is to allocate money (or sometimes another resource, such as time) in the expectation of some benefit in the future. Investing means putting your money to work for you in future. In finance, the expected future benefit from investment is a return. The return may consist of capital gai ...
... To invest is to allocate money (or sometimes another resource, such as time) in the expectation of some benefit in the future. Investing means putting your money to work for you in future. In finance, the expected future benefit from investment is a return. The return may consist of capital gai ...
Investor Sentiment and Beta Pricing
... overconfident agents is small relative to rational ones) and vice versa (see their Proposition 3). The idea is that overconfident agents will under-assess risk, and therefore will not price covariance risk as strongly as would rational agents. Given that behavioral biases like overconfidence are lik ...
... overconfident agents is small relative to rational ones) and vice versa (see their Proposition 3). The idea is that overconfident agents will under-assess risk, and therefore will not price covariance risk as strongly as would rational agents. Given that behavioral biases like overconfidence are lik ...
Chapters 11&12
... Ch’s 11 & 12: Risk & Return In Capital Markets Purpose of Ch’s 11 & 12: To understand financial risk and learn how to measure the risk associated with securities ...
... Ch’s 11 & 12: Risk & Return In Capital Markets Purpose of Ch’s 11 & 12: To understand financial risk and learn how to measure the risk associated with securities ...
Portfolio Compass
... junk bonds are not investment grade securities, involve substantial risks and generally should be part of the diversified portfolio of sophisticated investors. Mortgage Backed Securities are subject to credit, default risk, prepayment risk that acts much like call risk when you get your principal ba ...
... junk bonds are not investment grade securities, involve substantial risks and generally should be part of the diversified portfolio of sophisticated investors. Mortgage Backed Securities are subject to credit, default risk, prepayment risk that acts much like call risk when you get your principal ba ...
Prospect Theory as an explanation of risky choice by professional
... risk to be a multidimensional construct with possible downside returns playing the dominant role. This result has also been found for professional decision makers in other domains (Slovic, 1987). Therefore, the first survey was conducted to focus more closely on potential risk attributes. Table 1 pr ...
... risk to be a multidimensional construct with possible downside returns playing the dominant role. This result has also been found for professional decision makers in other domains (Slovic, 1987). Therefore, the first survey was conducted to focus more closely on potential risk attributes. Table 1 pr ...
Asian High Yield Outlook
... Distressed or Defaulted Securities: Distressed credits exhibit elevated yields as they have the highest credit risk, relative default risk and are typically much less liquid to trade, therefore the Fund applies a disciplined approach to managing the positioning and exposure to this segment. In aggre ...
... Distressed or Defaulted Securities: Distressed credits exhibit elevated yields as they have the highest credit risk, relative default risk and are typically much less liquid to trade, therefore the Fund applies a disciplined approach to managing the positioning and exposure to this segment. In aggre ...
Hard Choices - Montecito Capital Management
... current price. Investors have valued gold for the last 5,000 years, in fact, and that will likely continue because it can rise in inflationary or deflationary times." Analyst Christopher Hsu, who works for New York hedge fund Aristeia Capital, also is upbeat on the prospects for precious metals, inc ...
... current price. Investors have valued gold for the last 5,000 years, in fact, and that will likely continue because it can rise in inflationary or deflationary times." Analyst Christopher Hsu, who works for New York hedge fund Aristeia Capital, also is upbeat on the prospects for precious metals, inc ...
Click to download DGHM ACV FEBRUARY 2011
... The investment objective of the ACV sub fund is to provide capital appreciation over a multi-year investment horizon by investing primarily in a diversified portfolio of publicly traded equity securities of US based companies, which the Investment Manager believes to be undervalued. The companies wi ...
... The investment objective of the ACV sub fund is to provide capital appreciation over a multi-year investment horizon by investing primarily in a diversified portfolio of publicly traded equity securities of US based companies, which the Investment Manager believes to be undervalued. The companies wi ...
What`s the right SASS investment allocation?
... Shares can cover a range of companies and sectors. The price of a share can be influenced by many different factors including company performance, market sentiment, economic and political influences. The Growth, Balanced and Conservative strategies also invest in a non-traditional asset class known ...
... Shares can cover a range of companies and sectors. The price of a share can be influenced by many different factors including company performance, market sentiment, economic and political influences. The Growth, Balanced and Conservative strategies also invest in a non-traditional asset class known ...
Mutual Funds May 2012
... Contributions are not deductible Grows tax-free $ not taxed when withdrawn in retirement (after age 59 ½) ...
... Contributions are not deductible Grows tax-free $ not taxed when withdrawn in retirement (after age 59 ½) ...
Global Institutional Consulting An Investor
... may help reduce idiosyncratic risk to reward risk exposures) and efficient (to help them target the highest expected return for the level of market risk exposure) to improve the probability that the organization will meet its intermediateto longer-term needs. 3. Strategic assets: For an opportunity ...
... may help reduce idiosyncratic risk to reward risk exposures) and efficient (to help them target the highest expected return for the level of market risk exposure) to improve the probability that the organization will meet its intermediateto longer-term needs. 3. Strategic assets: For an opportunity ...
Target Asset Allocation
... must be made in implementing a particular asset allocation may have a significant effect on the actual risk and return results for a portfolio of securities. Morningstar is not a broker/dealer or FINRA-member firm. Definitions Asset Mix Return: The percentage return represented in the report is the ...
... must be made in implementing a particular asset allocation may have a significant effect on the actual risk and return results for a portfolio of securities. Morningstar is not a broker/dealer or FINRA-member firm. Definitions Asset Mix Return: The percentage return represented in the report is the ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.