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Chapter 6: Active Investment Management

Essentials Of Investments
Pages: 595 - 748
Essentials Of Investments

Essentials Of Investments

Book edition 9th
Author(s) Zvi Bodie, Alex Kane, Alan Marcus, Alan J. Marcus
Pages 748 pages
ISBN 9780078034695

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88 Questions for Chapter 6: Active Investment Management

  1. Is statistical arbitrage true arbitrage? Explain.

    Found on Page 685
  2. During a particular year, the T-bill rate was 6%, the market return was 14%, and a portfolio manager with beta of .5 realized a return of 10%. Evaluate the manager based on the portfolio alpha.

    Found on Page 624
  3. Found on Page 712
  4. If you were to invest $10,000 in the British bills of Problem 9, how would you lock in the dollar-denominated return?

    Found on Page 663
  5. A hedge fund with $1 billion of assets charges a management fee of 2% and an incentive fee of 20% of returns over a money market rate, which currently is 5%. Calculate total fees, both in dollars and as a percent of assets under management, for portfolio returns of:

    Found on Page 685
  6. Found on Page 712
  7. Suppose that the spot price of the euro is currently $1.30. The one-year futures price is $1.35. Is the U.S. interest rate higher than the euro rate?

    Found on Page 663
  8. a. Suppose the spot price of the British pound is currently $1.50. If the risk-free interest rate on one-year government bonds is 4% in the United States and 3% in the United Kingdom, what must the forward price of the pound be for delivery one year from now?

    Found on Page 663
  9. Use the following information to answer Problems l2–16:

    Found on Page 624
  10. Verify that the traditional tax shelter with a progressive tax (Spreadsheet 21.7) acts as a hedge. Compare the effect of a decline of 2% in the ROR to an increase of 2% in ROR.

    Found on Page 712

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