ECOM057 Asset Management
Duration: 1 hour
THIS IS AN OPEN BOOK EXAMINATION TO BE CONDUCTED ONLINE. YOU MAY REFER TO ANY OF THE COURSE MATERIALS, OR ANY OTHER SOURCE OF INFORMATION. YOU MAY ALSO USE A SPREADSHEET OR CALCULATOR.
PLEASE ENSURE THAT YOUR WORKING IS CLEARLY SHOWN WITH ALL STEPS OF YOUR CALCULATION INCLUDED IN YOUR ANSWER DOCUMENT, INCLUDING ANY FORMULA USED.
When writing formulas, please note the following:
- It is acceptable to use the standard alphabet rather than greek letters. The following are recommended: m for μ, s for σ, w for ω, r for ρ, d for Δ, b for β.
- For mathematical operators: add +, subtract -, multiply *, and divide /.
- Where appropriate, use an underscore to indicate a subscript, Eg r_f for rf.
- Use the ^ character for power, eg x^2 for x2, x^0.5 for √x.
- As an alternative to x^.5 you may type sqrt(x).
- Use brackets as necessary. To make your answer clearer use different brackets where appropriate, eg [] {} ().
Question 1 (60 marks) 资产管理代写
An asset manager responsible for a portfolio of agricultural commodities expects to sell 1800kg of cotton within 1 month. Historical standard deviations of cotton spot price and cotton 1-month futures contract price are 0.04 and 0.07, respectively. Historical correlation between the cotton spot price and the 1- month cotton futures contract price is 0.78. Relevant characteristics of the 1- month cotton futures contract are: Contract Size: 180 kg; Initial Margin: €3150; Maintenance margin: €2450. Under the terms of the contract, the margin call is set to bring the margin account balance level to 6% above the initial margin.
To answer the following questions, make plausible assumptions if necessary. Additionally, in case you prefer and when appliable, standard characters can be used (e.g. b rather than β, capital_sigma rather than ∑ and sigma rather than σ).
a) 资产管理代写
The asset manager wants to use this futures contract for hedging purposes. Explain what a future contract is, what can be a possible reasoning for this asset manager wanting to use a future contract, and whether the position would be short or long in the contract. [20 marks]
b)
How many contracts should the asset manager use if he wants to hedge 35% of his risk exposure? (Round answer to zero decimal places: e.g., 7.8 to 8). Explain your answer. [20 marks]
c)
Complete in your answer book the following table (Table 1), explaining computations. If you didn’t solve Question 1b, assume the number of futures contracts to be 2. (Note: if you prefer, instead of drawing a table you can answer as follows (example for Day 2): Day 2: Daily gain (loss) = …; Margin account balance = …; Margin Call = …;) [20 marks]
Table 1
| Day | Futures price (€ per kg) | Daily gain (loss) | Margin account balance | Margin Call |
| 1 | 89 | ╲ | ╲ | |
| 2 | 94 | |||
| 3 | 91 | |||
| 4 | 102 | |||
| 5 | 92 |
Question 2 (40 marks) 资产管理代写
In Table 2 is disclosed information regarding the performance of two hedge funds (A and B) over a certain period. The risk-free interest rate is 3%.
Table 2
| Hedge Fund | A | B |
| Average Return | 10% | 7% |
| Beta | 1.25 | 1.10 |
| Returns | 24% | 15% |
a) Using the Sharpe ratio, which fund (A or B) performs better? Explain your answer, computing the Sharpe ratios (present your results rounded to two decimal places: for example, 1.045 as 1.05) and exploring the information given by the Sharpe ratio. [10 marks]
Consider the additional information in Table 3 about trading costs (measured as a percentage of assets under management) and effective tax rate.
Table 3
| Hedge Fund | A | B |
| Effective Tax rate (%) | 22 | 11 |
| Trading Costs (%) | 4.0 | 2.1 |
b) Recalculate the Sharpe ratios of both funds using their adjusted returns, after considering the trading costs and tax costs. Does your conclusion from Question 2a change? Explain your answer (present results rounded to two decimal places). [10 marks]
c) In order to assess the performance of a fund, and therefore to select the appropriate performance measure, it is necessary to have a clear idea of how risk should be measured. Do you agree? Explain your answer. [20 marks]
更多代写：cs澳洲代修 托业成绩作弊 英国金融网课代修 北美留学生essay论文代写 澳洲Astronomy网课代修 经济练习题作业代写
