Portfolio Management
Final Exam Questions And
Complete Answers
Managed Futures - These funds primarily trade liquid global futures, options,
swaps, and foreign exchange contracts. A majority of these funds follow trend-
following, price momentum strategies.
Event driven managers - look to profit from opportunistic positioning in
anticipation of or coincident with idiosyncratic corporate events
Forwards - A customized contract that call for the delivery of an asset at a
specified maturity date at a specified price.
Not exchange traded, most commonly used for future foreign exchange
transactions that need to be customized by size and date.
Global Macro Managers - take a broad view of the world economy at the
macroeconomic level and attempt to profit from imbalances, relative
misvaluations, or other opportunities.
Fund of Funds - combine multiple managers in multiple alternative strategies.
, tactically allocate among strategies and managers based on their view of the
relative attractiveness of the manager or strategy.
If you believe interest rates are going down: - Increase Duration
Extend maturity.
Shift towards low/zero coupons.
Invest all available cash
If you believe interest rates are going up: - Decrease Duration
Shorten maturity.
Shift towards high coupons.
Sell off some bonds, allow some bonds to mature, and increase cash. Cash has a
zero duration.
Treasury Bond - Your required rate of return needs to compensate for:
"Risk-free" rate = Exp. Inflation + Interest Rate Risk + Reinvestment Risk
Final Exam Questions And
Complete Answers
Managed Futures - These funds primarily trade liquid global futures, options,
swaps, and foreign exchange contracts. A majority of these funds follow trend-
following, price momentum strategies.
Event driven managers - look to profit from opportunistic positioning in
anticipation of or coincident with idiosyncratic corporate events
Forwards - A customized contract that call for the delivery of an asset at a
specified maturity date at a specified price.
Not exchange traded, most commonly used for future foreign exchange
transactions that need to be customized by size and date.
Global Macro Managers - take a broad view of the world economy at the
macroeconomic level and attempt to profit from imbalances, relative
misvaluations, or other opportunities.
Fund of Funds - combine multiple managers in multiple alternative strategies.
, tactically allocate among strategies and managers based on their view of the
relative attractiveness of the manager or strategy.
If you believe interest rates are going down: - Increase Duration
Extend maturity.
Shift towards low/zero coupons.
Invest all available cash
If you believe interest rates are going up: - Decrease Duration
Shorten maturity.
Shift towards high coupons.
Sell off some bonds, allow some bonds to mature, and increase cash. Cash has a
zero duration.
Treasury Bond - Your required rate of return needs to compensate for:
"Risk-free" rate = Exp. Inflation + Interest Rate Risk + Reinvestment Risk
