ECOM057 Asset Management Duration: 3 hours
资产管理时间代写 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.
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.
YOU CANNOT SUBMIT HANDWRITTEN ANSWERS
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Question 1 资产管理时间代写
A Private Equity Fund A and an Investment Bank B entered a 3-year interest rate swap on April 1st, 2022. The “Notional principal” of the interest rate swap is €250mn and:
- A pays B interest rate of 4.5% (semi-annual rate)
- B pays A variable interest rate: 6-month LIBOR
- Payments are made with semester periodicity
- For the computation of the variable cash flow of semester t, the relevant reference rate is the 6-month LIBOR at the end of that semester.
a）Assuming the 6-month LIBOR evolution disclosed in Table 1, complete Table 1 in your answer book, assuming the perspective of the Investment Bank B. The 6-month LIBOR rates provided in Table 1 are semi-annual (i.e., no need to divide them by 2). Explain your answer. [10 marks]
Table 1
| Day | 6-month LIBOR | Variable rate cash flow | Fixed rate cash flow | Net cash flow |
| April 1st 2022 | 3,50% | \ | \ | \ |
| October 1st 2022 | 3,10% | |||
| April 1st 2023 | 2,90% | |||
| October 1st 2023 | 3,15% | |||
| April 1st 2024 | 3,75% | |||
| October 1st 2024 | 5,15% | |||
| April 1st 2025 | 5,35% |
b）Explain how this interest rate swap could be used by the Private Equity Fund Ato change the profile of an asset it may have. [10 marks]
c）Consider the following statement: “Ambiguity is a dimension of the uncertainty faced by investors that is relatively irrelevant during periods of enhanced turbulence in financial markets”. Is it true or false? Discuss. [10 marks]
Question 2 资产管理时间代写
A hedge fund manager is valuing Company STY which has the following expected key financial measures for year-end 2022 (Table 2):
Table 2
| Enterprise value | €35,000 |
| Level of cash | €2,800 |
| Level of interest-bearing debt | €10,250 |
| Minority interest | €1,500 |
| Financial Investments | €1,800 |
| Number of equity shares | 3,000 |
| 2022 Book value per Share (BVPS) | €8.75 |
Additionally, the hedge fund manager has the following information about a set of comparable listed companies that are similar both in terms of leverage and in terms of other fundamentals (Table 3):
Table 3
| Company | current market price per share (€) | BVPS 2022 (€) |
| B | 2.1 | 1.4 |
| C | 1.8 | 1.3 |
| D | 1.9 | 1.2 |
For your answers, round computations to one decimal place (e.g., present 1.56 as 1.6).
a）What is the 2022 price/book-value (PBV) multiple of company STY implied in the asset manager’s expectations? Explain your answer. [10 marks]
b）Consider only the information on the 2022 PBV multiple of the set of comparable companies. What is the conclusion about the relative valuation of company STY? Explain your answer. [5 marks]
c）Consider the statement: “The valuation exercise of a company tends to be an objective exercise focused on income statement forecasting”. Do you agree? Explain your answer. [10 marks]
Question 3 资产管理时间代写
Consider the data disclosed in Table 4 with respect to the performance of an US active asset manager (AM) internationally diversified.
Table 4
| Benchmark Weight | Return on Equity Index | Currency Appreciation vs US Dollar | AM Weight | AM Return | |
| Europe | 0.40 | 12% | -3% | 0.35 | 14% |
| Asia-Pacific | 0.25 | 8% | 4% | 0.25 | 6% |
| Africa | 0.35 | 18% | -6% | 0.40 | 16% |
a）Compute the total performance of the Asset Manager and the Benchmark. How did the Asset Manager perform compared to the Benchmark? Give your answers with one decimal place (for example, 1.55% is rounded to 1.6%). Explain your answer. [10 marks]
b）To better understand the relative performance of the Asset Manager, decompose total performance into currency selection, country selection and stock selection, and discuss. Give your answers with one decimal place (e.g., 1.55% is rounded to 1.6%). [10 marks]
c）Consider the breakdown obtained in Question 3b. How do you explain the relative performance of the Asset Manager versus the International Benchmark? [10 marks]
Question 4 资产管理时间代写
a）Convergence trading is a popular statistical arbitrage strategy used by hedge funds. Explain what is the underlying rationale supporting the convergence trading strategy. [10 marks]
b）The news dynamics and their interaction are relevant determinants of the convergence trading strategy returns. Do you agree? Explain your answer. [5 marks]
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