Assume a $100 million AUM Long/Short Equity fund manager enters the following trades at the beginning and end of the year. Bought $100 million of ABC at an opening price per share of $100, beta of 1.5, current price of $110. Sold short $100 million of XYZ at an opening price of $100, beta of 1.0, current price of $105. There is a $2 per share dividend on ABC and a $1 dividend on XYZ. Borrow fee is 1%. What is the actual trading profit or loss of the fund
Assume a $100 million AUM Long/Short Equity fund manager enters the following trades at the beginning and end of the year. Bought $100 million of ABC at an opening price per share of $100, beta of 1.5, current price of $110. Sold short $100 million of XYZ at an opening price of $100, beta of 1.0, current price of $105. There is a $2 per share dividend on ABC and a $1 dividend on XYZ. Borrow fee is 1%. What is the actual trading profit or loss of the fund
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Assume a $100 million AUM Long/Short Equity fund manager enters the following trades at the beginning and end of the year. Bought $100 million of ABC at an opening price per share of $100, beta of 1.5, current price of $110. Sold short $100 million of XYZ at an opening price of $100, beta of 1.0, current price of $105. There is a $2 per share dividend on ABC and a $1 dividend on XYZ. Borrow fee is 1%. What is the actual trading profit or loss of the fund?
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