RSM336 Week 1

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University of Toronto *

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336

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Electrical Engineering

Date

Feb 20, 2024

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17

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RSM336 Fall 2023 导师： Elvin Wu 试 听 课 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Agenda for today • Asset class • Trading securities • Mutual funds • ETFs • Liquid alternatives EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Money market securities (<1yr) • Treasury Bills (T-bills) • Issuer: the federal government • Risk: lowest • Return: lowest (R = !"#$ $ ∗ %&’ ( ) • Liquidity: highest • Commercial Paper & Bank’s Acceptance • Issuer: big corporations; banks • Risk: default risk • Return: higher • Liquidity: lower • Money market spreads EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
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Fixed income securities (>1yr) • Treasury bonds & T bills • Longer terms (up to 30 yrs) • Pay coupons (semi) • NA vs. International • Coupon payment frequency • Day count • Credit grading: determine the credit risk of a bond • FTSE Bond Universe Index • 40% corporate bonds: financial EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Equity • Owner of a corporation • Dividends; voting right, residual assets • Dual classes of common shares: Class A and Class B • Prospectus • Initial Public Offering (IPO) • Interlisted: stocks are listed on multiple exchanges • Market index: SPY500, NASDAQ EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Market indices – benchmarks • Market indices • Canada: S&P/TSX Composite; S&P/TSX60; S&P/TSX Small Cap Index • US: Dow Jones Industrial Average (DJIA); S&P500, NASDAQ, etc. • Other markets: FTSE; Nikkei 225 & TOPIX; Hang Seng, Singapore Straits • Global: MSCI Global; MSCI EAFE • Uses of market indices • Track performance • Benchmark for portfolio performance • The underlying asset for derivatives and ETFs • Structure of indices • Construction: market value, price, average • Representative • Breadth EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
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Trading securities – where? • Organized exchanges • Centralized order flow -> high transparency • Over the Counter (OTC) • Done with dealers -> no transparency • Bonds, options, derivatives • Block trading • Large blocks away from the exchanges • Between institutional investors • Alternative trading systems (ATS) • Electronic trading systems EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Trading securities – how? • Market order • Limit order • Day order • Stop/loss/buy or sell order • An order to sell (from long) or buy (from short) if the price hits a certain level • Converts to a market order when the stock price hits this level • All or none order (fill or kill) EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
The cost of trading • Commissions • Trading spread: the difference between the bid and ask price • Order processing cost • Inventory carrying cost • Uncertainty & liquidity EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
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Buying on margin • Margin: add leverage • Initial margin (%): % of initial investment that you can’t borrow • Margin call: portfolio value below the maintenance margin • Long position Margin % = ࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? − ࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? • Short position • Short interest ratio: # +, -./01- -+23 -.+04 /510/61 3/728 40/37(6 5+29:1 Margin % = ࠵?ℎ࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? + ࠵?࠵?࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵? − ࠵?࠵?࠵?࠵?࠵?࠵?ℎ࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵?࠵?ℎ࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Example The initial margin is 40%, and you are buying 200 shares of Tesla at $100/share. 1. How much money do you have to provide? 2. If the price increases to $120, what is the margin now? 3. The maintenance margin is 20%. At what price would you have a margin call? EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Mutual funds • Mutual funds • Trade directly with fund company or through broker • Buy/sell only at end of day • # of shares rises/falls based on purchases/ redemptions • Priced at end-of-day NAV • Closed-end funds • Trade on exchange • Market price • Fixed # of shares • Price of fund depends on NAV and investor demand EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
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ETFs • Trade on exchange • Market price • # of shares rises/falls based on the creation/ redemption process • Trades at a price close to NAV throughout the day because of arbitrage opportunities ࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵? = ࠵?࠵?࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵? ࠵?࠵? ࠵?࠵?࠵?࠵?࠵?࠵? − ࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵? # ࠵?࠵? ࠵?ℎ࠵?࠵?࠵?࠵? ࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵?࠵? EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
ETFs • Primarily (but not always) used to replicate a long position in an index or sub-index • Used extensively by individual and institutional investors • 2021: First Bitcoin ETFs • Advantages: • Can trade ETFs like individual stocks (buy & sell during the day, limit orders, sell short) • Low-cost and transparent • Most ETFs are liquid – the primary determinant of liquidity is the underlying market EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Types of ETFs • Single-country stock market (USA, Canada) • Bond market (T-bills, Corporate bonds) • Industry (EV, retail) • Style (value, growth, large-cap) • Thematic investing (ESG, Crypto, blockchain) • Commodities (oil, gas, gold) • Currency-hedged funds • Multi-assets • Fund of funds • Leveraged/inverse leveraged funds EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
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The creation of ETF EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade
Liquid alternatives • Hedge funds limited to “accredited investors” • Fewer restrictions on trading strategies • Directional: seeking profit from market trends • Event-driven, macro-trading • Non-directional: seeking profit from arbitrage opportunities • Relative value arbitrage • Benefits: • Smaller investors • Career opportunities, new products, new strategies EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Academy WeiJennifer 91622 EZ Acade EZ Acade EZ Acade

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