limited at $1.05 the group closed the position on the 22nd of May at $1.02 our realized profit was $15. The group also opened up a long position on USD/CAD of 12 contracts on 19th of May at 1.857 on 22nd of May the price increased to 1.0913 however the group did not closed the position due to technical analysis shown that there was still some spread before the short-term and long term moving average converges‚ on 29th of May the trade closed out at 1.860 and the realized profit $360CAD however‚ the group
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portfolios and swap the deletions and additions at the closing price. Upon announcement of the composite change‚ they can go long the stocks newly adopted and short sell deletions. For short sales‚ they go the securities lending market and borrow the stocks. They have to act fast since borrowing demand in the securities lending market shoots up upon announcements. This long position in additions and short position in deletions will be held until one day prior to the change date. And then unwind the
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MALL !!! MALL-UBID arbitr 2 MALL – UBID arbitrage December 9‚ 1998 Long 1 share of MALL at $22.75 Short 0.7159 shares of UBID at $25.55 This position is guarantees a “riskless” profit on June 8‚ 1999 !!! MALL-UBID arbitr 3 Game Plan Dec 9 1998 Jun 8 1999 Investment Payoff Long 1 share MALL $ 22.75 $ - Short 0.7159 shares of UBID $ (25.55) $ - Short Cash Proceeds* $ 25.55 $ 25.55 Long Margin Loan (cash) $ (11.38) $ (11.77) Short Margin Collateral (cash) $
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management‚ bottom-up investment strategies‚ performance evaluation. Assignment Questions 1. What do you think of Numeric as a firm? How are long-short products of Numeric different from its long-only products? Ans: The long-short products involved holding a portfolio of long positions in combination with a portfolio of short positions. For the long positions‚ Numeric would buy “good” stocks‚ and for the short positions‚ it would sell short “bad” stocks. The firm could exploit its ability
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date | August 15‚ 1985 | August 15‚ 2005 | Maturity date | August 15‚ 2015 | August 15‚ 2015 | Amount issued | 7.15 billion | 32.47 billion | Amount outstanding | 4.02 billion | 32.47 billion | Modified Duration Method In order to create a long-short portfolio that had no exposure to changes in interest rates‚ we can use modified duration hedge ratio. The following formula is the function to calculate modified duration hedge ratio. The term K is a measure of the responsiveness of the yield
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the upper band as a resistance point‚ we discovered‚ as others have‚ that it worked much better as a breakout indicator. The same goes for the lower band. The Bollinger Bandit uses one standard deviation above the 50-day moving average as a potential long entry and one standard deviation below the 50-day moving average as a potential short entry. This system is a first cousin of King Keltner. They are similar in that they are longer-term channel breakout systems. However‚ this is where the similarities
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futures against synthetic futures. A synthetic in this case is a synthetic future comprising a call and a put position. Long synthetic futures means long call and short put at the same expiry price. To hedge against a long futures trade a short position in synthetics can be established‚ and vice versa. The diagrams above are payoff diagrams (TheOptionsGuide‚2013) of long stock and short future. If David buy a future contract on the S&P 500 Index‚ he payoff at the maturity date‚ T‚ is the difference
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and wanted to discuss it with his other founder partners. Jacques wanted to discuss the development of the minimum variance strategy based on the 130/30 funds strategy. Also known as the short extension strategy‚ the 130/30 is basically investing long 130 $ for each 100 $ of equity and take a short position on 30$. Based on the results of a previously published research‚ stock portfolios with low volatility have been showing persistent low volatility in the ensuing years as well. On top of that
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risk in the term “risk arbitrage”. Green circle had USD 500 million in AUM with 5% upper bound of position in a distinct investment (or 25 million). Smith arbitrage position was within the bounds or 13.5 million in short Abbot and 12.5 million in long position for Alza stocks. The proportion between Abbot and Alza shares was determined by the appropriate market prices of Abbot and Alza shares and announced exchange ratio of 1.2 Abbot sahres per 1 Alza share under the merger deal agreement. The
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purchasing cash-settled call spread options on Volkswagen stock. By 2008‚ Porsche held a 42.6% direct ownership in VW by hiding their intentions that they won’t take its position up to 75%. However‚ Porsche had purchased an additional 31.5% synthetic long position by using the cash-settled call spread options‚ which lead to VW’s share price dramatically increased fivefold. In the second example‚ TCI and 3G‚ attempted to obtain significant control over the American railroad company CSX by using Total
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