Case #2
pdf
keyboard_arrow_up
School
New York University *
*We aren’t endorsed by this school
Course
3605
Subject
Finance
Date
Jan 9, 2024
Type
Pages
3
Uploaded by AdmiralWorld1098
1 FINC-UB 44 P
ORTFOLIO M
ANAGEMENT
Case #2: ProShares Hedge Fund Replication ETF The assignment consists of two sets of questions: (1) quantitative, Excel-based questions, which should be completed and submitted, and (2) more qualitative questions, which will form the basis for part of our in-class discussion, answers to which you do NOT need to turn in. The spreadsheet is due by the beginning of class (2:00pm). You may collaborate with your classmates in preparing the solutions to both sets of questions, but each student must hand in a separate assignment, and all students are responsible for participating in the discussion. Assignments should be submitted through Brightspace. Assignments that are late but within 24 hours of the deadline, will receive ½ credit. After 24 hours no assignments will be accepted (unless due to documented serious illness or family emergency)! For the quantitative questions, download the Excel spreadsheet “Case #2” from Brightspace. Please put your name and net ID in the blue boxes at the top of the worksheet. This spreadsheet contains monthly returns on the 4 global Fama-French-Carhart factors, and the excess returns on two US fixed income factors (level and slope), the HFR Fund of Funds Composite Index and 2 hedge fund replication ETFs (HDG and QAI, created by ProShares and IndexIQ, respectively). Note that some of the returns do not span the full sample. The worksheet also contains a template for entering your solutions. The cells where results need to be added are highlighted in yellow. Because your solutions will be computer-graded it is very important to follow the instructions: •
Please do NOT reformat the file or move the yellow cells. Do NOT add rows or columns to the worksheet. However, you can add additional calculations in non-highlighted cells if you wish. Everything in non-highlighted cells will be ignored for grading purposes. You can either enter the formula to calculate your answer in the yellow cells, or enter these formulas elsewhere and just put references to these answers in the yellow cells. •
Please do NOT round your answers or intermediate calculations. Excel will display rounded answers based on the formatting of the cells, but it will retain the unrounded numbers. •
Please do NOT add a new worksheet to the file. Do all of your calculations in the “Results” worksheet and submit a file with only a single worksheet. 1.
Over the full sample, calculate the annualized mean, standard deviation, and Sharpe ratio plus the skewness and excess kurtosis of the monthly returns on the 4 FFC factors, and the monthly excess returns on the HFR index, and the pairwise correlations between the hedge fund index and these monthly returns. (Do not attempt to annualize skewness or kurtosis.) 2.
Over three sample periods—(1) the full sample, (2) Jan. 1991 to Dec. 2010, and (3) Jan. 2011 through the end of the sample—run regressions of the monthly hedge fund index returns on the 4 Fama-French-Carhart factors. Report the annualized intercept (alpha), the associated annualized
standard error, the t-statistic, the slope coefficients on the independent variables, the associated standard errors, the t-statistics, and the regression R
2
s. Use the regression package within Analysis ToolPak, putting the output somewhere else in the Results worksheet and formulas that reference the results in the relevant cells.
2 3.
Over the period from Aug. 2011 to the end of the sample, calculate the annualized mean, standard deviation, and Sharpe ratio plus the skewness and excess kurtosis of the monthly returns on the 4 FFC factors, the excess returns on the HFR index, the two fixed income factors, and the 2 ETFs (HDG and QAI), and the pairwise correlations between the hedge fund-related returns and these monthly returns. (Do not attempt to annualize skewness or kurtosis.) 4.
Over the period Aug. 2011 to the end of the sample, run regressions of the monthly hedge fund index and the 2 ETF excess returns on the 4 Fama-French-Carhart factors and the two fixed income factors. Report the annualized intercept (alpha), the associated annualized
standard error, the t-statistics, the slope coefficients on the independent variables, the associated standard errors, the t-statistics, and the regression R
2
s. Use the regression package within Analysis ToolPak, putting the output somewhere else in the Results worksheet and formulas that reference the results in the relevant cells. 5.
Finally, over the period Aug. 2011 to the end of the sample, run regressions of the 2 monthly ETF excess returns on the excess return on the hedge fund index. Report the annualized intercept (alpha), the associated annualized
standard error, the t-statistics, the slope coefficient on the independent variable, the associated standard errors, the t-statistics, and the regression R
2
s. Use the regression package within Analysis ToolPak, putting the output somewhere else in the Results worksheet and formulas that reference the results in the relevant cells. For class discussion only! (Consider material in the case, including the video available at http://youtu.be/XEUa45fjOD4
, material in the lecture notes, and the HDG fact sheet https://www.proshares.com/globalassets/proshares/fact-sheet/prosharesfactsheethdg.pdf and the QAI fact sheet https://www.newyorklifeinvestments.com/assets/documents/index-iq/qai-iq-
hedge-multi-strategy-tracker-etf-fs.pdf ) 6.
What is the theoretical/conceptual case for investing in hedge funds? Based on the evidence from questions 1 & 2 above, is this case consistent with the data? What are the average returns, volatilities, Sharpe ratios, correlations, betas and alphas of hedge fund returns over this sample and over the shorter sample that ends in 2010? Are hedge funds market neutral? Are global factors the relevant benchmarks (as opposed to US factors)? What are the potential barriers or problems associated with hedge fund investing? 7.
What is hedge fund replication? Why might it work at the index level but not at the individual fund level? Does a factor-based (regression-based) replication of hedge fund returns make sense? Under what circumstances? 8.
Who are the natural customers for a hedge fund replication ETF? Why? 9.
Are HDG and QAI achieving their stated goals? Based on the results from questions 3, 4 and 5, do their returns (average returns, volatilities, Sharpe ratios, alphas, betas, etc.) resemble those of the fund of funds indexes? Is the fund of funds index the right benchmark? Does this more recent data change your perception of the value of hedge fund replication? How have
3 hedge funds performed in this later sample period? Again, are the global factors the relevant benchmarks? 10.
What are the differences between the methodologies underlying HDG and QAI? Do these differences explain the differing performance? Look at the fact sheets. What are the holdings of HDG and QAI? 11.
Has this segment of the market gained traction? What are the AUMs of HDG and QAI? 12.
Is there a future for these types of products? Do you view these products differently from the QuantShares products we examined in Case #1? If so, why?
Your preview ends here
Eager to read complete document? Join bartleby learn and gain access to the full version
- Access to all documents
- Unlimited textbook solutions
- 24/7 expert homework help
Related Questions
1. Choose three of the following five technologies/techniques and explain why you think it is helpful in accounting analytics based on your lab experience in this course. Use some examples in your explanation. Limit your answer to 500 words in total.
A. XBRL
B. Tableau
C. VLOOKUP function
D. Pivot table
E. Regression
arrow_forward
I need help with a and b
arrow_forward
What is forecasting risk and how can it affect decision making?
atting
re for you!
th your
chat
Edit View Insert Format Tools Table
12pt Paragraph
Paragraph
р
B IUA
BIUA
2
2
T² :
T² V
i
I
0 words
✓
arrow_forward
ngageNOWv2 | Online teachin x
Chapter 4 Corporate Financial Ac x +
/ilm/takeAssignment/takeAssignmentMain.do?invoker=&takeAssignmentSession Locator=&inprogress=false
☆
E
1 Welcome - Login.gov
Sign in to your acco...
Control Center
Part 9:
The following is a comprehensive problem which encompasses all of the elements learned in previous chapters. You can refer to the objectives for each chapter covered as a review of the
concepts.
Note: You must complete parts 1, 2, 3, 4, 6, 7 and 8 before completing part 9. Part 5 is optional.
Part 9: Prepare the closing entries below. Then, using the attached spreadsheet from part 2, post the entries to your general ledger. If an amount box does not require an entry, leave it blank.
Date
Account Name
Post. Ref.
Debit
Credit
20Y8 Closing Entries
May 31 Fees Earned
40,000 ✓
0
✓
1,705 ✓
0✔
0✓
1,600 ✔
0 ✓
1,370 ✔
0✓
330
0✔
275
✓
1,295 ✔
33,425 ✔
0
10,500
<
Previous
Next
Email Instructor Save and Exit Submit Assignment for Gradin
10:53 PE
--
6/13/202
WIS
V…
arrow_forward
Can you help solve this problem. I have one more try.
arrow_forward
I need help with B, C, D on the attached assignment
arrow_forward
Not a previously submitted question. Please answer numeric fields only.
Thank you.
arrow_forward
Ethics case: Uncollectible Accounts
Introduction
The purpose of this discussion forum is to give you an opportunity to apply your critical-thinking ability to the knowledge you’ve gained. The assignment provides you with an opportunity to develop your research, analysis, judgment, and communication skills. You also will work with other students, integrate what you’ve learned, apply it in real-world situations. This practice will broaden your knowledge and further develop your decision-making abilities. The assignment achieves learning objective 5.
The assignment information is given below;
You have recently been hired as the assistant controller for Stanton Industries, a large, publicly held manufacturing company. Your immediate superior is the controller who, in turn, is responsible to the vice president of finance. The controller has assigned you the task of preparing the year-end adjusting entries. In the receivables area, you have prepared an aging of accounts receivable and have…
arrow_forward
Accounting excel practice problem - I already solved the first few sub parts to this question - I just need the last sub part answered. I attached a picture of the instructions and a picture of the excel spreadsheet to answer the remaining "formulas".
arrow_forward
Please help on part a and it’s subparts and part b
arrow_forward
Please write proposal which needs On the basis of which you will be writing APR. Write review of at least one article on the study area (Not title) of your interest, which can be finance related study area. Go through the 1. Study area selection (Topic Selection) 2. Review of Literature and development of research of framework 3. Topic Selection 4. Further review of literature and refinement of research fraework 5. Problem definition and research question…
arrow_forward
I need to find the correct amounts for assets, liabilities, stockholders' equity, and net income.
arrow_forward
X
Topic: Discussion - What is the rol X +
rses/1545/discussion_topics/15677?module_item_id=111468
Q Search entries or author...
All
>
↓ Sort
View Split Screen
Expand Threads
You must post before seeing replies. Edit history will be available to instructors.
Due Jan 4, 2025 11:59pm
时☆
10 points possib
Discussion - What is the role of ethics in accounting?
Requirement:
Include Introduction, Body, and Conclusion.
Your initial Discussion posting should be at least 150 words in length.
9 Replies, 9 Unread
Be sure to include a related Title, at least two different citations and references to support your statement
Read and post brief responses to at least two of your classmates' postings (minimum 75 words).
arrow_forward
Question 2
Listen
Which linear regression equation matches the given data sets? Use your TI-84+
calculator to determine the equations.
Hint: Click STAT and chose option 1: EDIT. Enter your data into L1 (explanatory
variable) and L2 (response variable). Click STAT, choose CALC, and choose op-
tion 8.
Table A
x
y
X
Table B
y
0
7.5
0
6.8
1
7.7
1
5
2
8
2
7.5
3
8
3
7
4
8.5
4
9
Table C
Table D
X
y
X
y
0
11.2
0
15
1
7.7
1
77
2
8
NOT AN OPTION
3
4.5
3
6.5
4
4.6
4
3.2
ŷ=7.48+0.23x
a. Table B
ŷ-5.78+0.64x
b. Table C
y=10.48-1.64x
c. Table A
arrow_forward
How would I calculate this problem? I just guessed on which answer made sense to me. Please help. thank you in advance.
arrow_forward
Give typing answer with explanation and conclusion
arrow_forward
Please see question in picture attached to fill in table. Thank you
arrow_forward
Saving
nit For
core
Part A The X
omments
B3_Mather x
Directions X
com/courseware-delivery//ua/69158/45467532/aHR0cHM6Ly9mMi5hcHAUZWRtZW50dW0uY29tL2xlYXJuZXItdWkvc2Vjb25kYXJ5L3VzZXItY
Unit Activity: Mathematical Models and Consumer Finance 32 33 0
Space used (includes formatting): 0 / 15000
O
LearnerPro X
Space used (Includes formatting): 0/ 15000
M
Determine x
G The balan x +
Part C
Most of the time Matt is fairly good at saving money. However, sometimes he finds that he has little money by the end of the
month. One of his friends suggests that Matt evaluate his spending habits, while another friend suggests that Matt make a
budget. Matt decides to do both. Evaluate Matt's decision. Be sure to explain the benefits or drawbacks of doing only a
spending analysis or only budgeting.
BIUX² X₂ 15px
A VE
6 of 12
Apr 3
11:36 C
0:
Save & Exit
arrow_forward
F
Mathematics In The Modern WorldNote: If you have already answered the problems in this post, kindly ignore it. If not, then answer it. Thank you, Tutor!Content Covered:- Engineering Economics- Simple Interest, Compound Interest, Annuity, Financial Mathematics & Comparison of AlternativesDirections:Solve the problem below by showing the complete solution. In return, I will give you a good rating. Thank you so much!Note: Please be careful with the calculations in the problem. Kindly double check the solution and answer if there is a deficiency. And also, box the final answer.Thank you so much!
arrow_forward
Princip X
Princip x
Princip X
, Accorc X
O Sophia X
* Premie X
. UNIT X
O icamp. X
"strayer.sophia.org/spcc/principles-of-finance-practice-milestone-1-1/5
3
4
5, 6
8
9
10
11
12 13
14 15
16 17 18
19 20 21 22 23 24
O This is a practice Milestone and does not count towards your score.
Question
Unit 1 Tutorials
A If you need help
Question 5
O Mark this question
What principle of corporate governance requires companies to operate in ways that respect the
social and legal relationships they have with employees and creditors, among others?
O Integrity and ethical behavior
O Disclosure and transparency
O Interests of other stakeholders
O Integrity and ethical behavior
SAVE AND CONTINUE
search
arrow_forward
SEE MORE QUESTIONS
Recommended textbooks for you

Essentials Of Investments
Finance
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Mcgraw-hill Education,



Foundations Of Finance
Finance
ISBN:9780134897264
Author:KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:Pearson,

Fundamentals of Financial Management (MindTap Cou...
Finance
ISBN:9781337395250
Author:Eugene F. Brigham, Joel F. Houston
Publisher:Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i...
Finance
ISBN:9780077861759
Author:Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:McGraw-Hill Education
Related Questions
- 1. Choose three of the following five technologies/techniques and explain why you think it is helpful in accounting analytics based on your lab experience in this course. Use some examples in your explanation. Limit your answer to 500 words in total. A. XBRL B. Tableau C. VLOOKUP function D. Pivot table E. Regressionarrow_forwardI need help with a and barrow_forwardWhat is forecasting risk and how can it affect decision making? atting re for you! th your chat Edit View Insert Format Tools Table 12pt Paragraph Paragraph р B IUA BIUA 2 2 T² : T² V i I 0 words ✓arrow_forward
- ngageNOWv2 | Online teachin x Chapter 4 Corporate Financial Ac x + /ilm/takeAssignment/takeAssignmentMain.do?invoker=&takeAssignmentSession Locator=&inprogress=false ☆ E 1 Welcome - Login.gov Sign in to your acco... Control Center Part 9: The following is a comprehensive problem which encompasses all of the elements learned in previous chapters. You can refer to the objectives for each chapter covered as a review of the concepts. Note: You must complete parts 1, 2, 3, 4, 6, 7 and 8 before completing part 9. Part 5 is optional. Part 9: Prepare the closing entries below. Then, using the attached spreadsheet from part 2, post the entries to your general ledger. If an amount box does not require an entry, leave it blank. Date Account Name Post. Ref. Debit Credit 20Y8 Closing Entries May 31 Fees Earned 40,000 ✓ 0 ✓ 1,705 ✓ 0✔ 0✓ 1,600 ✔ 0 ✓ 1,370 ✔ 0✓ 330 0✔ 275 ✓ 1,295 ✔ 33,425 ✔ 0 10,500 < Previous Next Email Instructor Save and Exit Submit Assignment for Gradin 10:53 PE -- 6/13/202 WIS V…arrow_forwardCan you help solve this problem. I have one more try.arrow_forwardI need help with B, C, D on the attached assignmentarrow_forward
- Not a previously submitted question. Please answer numeric fields only. Thank you.arrow_forwardEthics case: Uncollectible Accounts Introduction The purpose of this discussion forum is to give you an opportunity to apply your critical-thinking ability to the knowledge you’ve gained. The assignment provides you with an opportunity to develop your research, analysis, judgment, and communication skills. You also will work with other students, integrate what you’ve learned, apply it in real-world situations. This practice will broaden your knowledge and further develop your decision-making abilities. The assignment achieves learning objective 5. The assignment information is given below; You have recently been hired as the assistant controller for Stanton Industries, a large, publicly held manufacturing company. Your immediate superior is the controller who, in turn, is responsible to the vice president of finance. The controller has assigned you the task of preparing the year-end adjusting entries. In the receivables area, you have prepared an aging of accounts receivable and have…arrow_forwardAccounting excel practice problem - I already solved the first few sub parts to this question - I just need the last sub part answered. I attached a picture of the instructions and a picture of the excel spreadsheet to answer the remaining "formulas".arrow_forward
- Please help on part a and it’s subparts and part barrow_forwardPlease write proposal which needs On the basis of which you will be writing APR. Write review of at least one article on the study area (Not title) of your interest, which can be finance related study area. Go through the 1. Study area selection (Topic Selection) 2. Review of Literature and development of research of framework 3. Topic Selection 4. Further review of literature and refinement of research fraework 5. Problem definition and research question…arrow_forwardI need to find the correct amounts for assets, liabilities, stockholders' equity, and net income.arrow_forward
arrow_back_ios
SEE MORE QUESTIONS
arrow_forward_ios
Recommended textbooks for you
- Essentials Of InvestmentsFinanceISBN:9781260013924Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.Publisher:Mcgraw-hill Education,
- Foundations Of FinanceFinanceISBN:9780134897264Author:KEOWN, Arthur J., Martin, John D., PETTY, J. WilliamPublisher:Pearson,Fundamentals of Financial Management (MindTap Cou...FinanceISBN:9781337395250Author:Eugene F. Brigham, Joel F. HoustonPublisher:Cengage LearningCorporate Finance (The Mcgraw-hill/Irwin Series i...FinanceISBN:9780077861759Author:Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan ProfessorPublisher:McGraw-Hill Education

Essentials Of Investments
Finance
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Mcgraw-hill Education,



Foundations Of Finance
Finance
ISBN:9780134897264
Author:KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:Pearson,

Fundamentals of Financial Management (MindTap Cou...
Finance
ISBN:9781337395250
Author:Eugene F. Brigham, Joel F. Houston
Publisher:Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i...
Finance
ISBN:9780077861759
Author:Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:McGraw-Hill Education