Global Equity Markets全球股票市场
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Qs 1. You are a Hedge Fund Manager for JP Morgan Asset Management. You are in charge of a $1.5 million fund pool. Your clients have instructed you to invest the fund in global assets with negatively correlated or uncorrelated market betas. You decide to create a hedge fund portfolio of 20 Global Equities chosen from 4 Global Stock Exchanges.你是摩根大通资产管理公司的对冲基金经理。你负责一个150万美元的基金池。您的客户已指示您将基金投资于具有负相关或不相关市场beta的全球资产。您决定创建一个由20个全球股票组成的对冲基金投资组合，这些股票选自4个全球证券交易所。
(Using the Bloomberg Terminal, you must first choose 4 Global Stock Exchanges for your fund investment {choose 4 stock exchanges from FTSE-100 Index, CAC-40, DAX, NIKKEI, NASDAQ, SENSEX, Hang Seng, Shanghai Comp, IBEX, SMI and AEX Amsterdam}. You should next choose at least 3 equities from each Global Stock Exchange, with maximum total equities of 20 in your Hedge Fund Portfolio).（使用彭博终端，您必须首先选择4个全球证券交易所进行基金投资从富时100指数、CAC-40、DAX、日经指数、纳斯达克指数、SENSEX、恒生指数、上海综合指数、IBEX、SMI和AEX阿姆斯特丹中选择4个证券交易所。接下来，您应该从每个全球证券交易所至少选择3个股票，对冲基金投资组合中的最大总股票为20个。
使用彭博终端提供的对冲基金投资组合数据回答以下问题：
Using data from Bloomberg Terminal for your Hedge Fund Portfolio answer the following questions:
1. What criteria did you use to construct your hedge fund portfolio?你用什么标准来构建你的对冲基金投资组合？
In this section, start by giving an explanation of hedge funds, the different types of hedge funds and their purpose.
You must also explain your risk attitude (loving, neutral or averse) for the purpose of this assignment. Remember, your choice of portfolio must reflect your risk attitude. You should also choose your base (home) country of investment (i.e. are you a UK based investor; a US based Investor, etc.).
Next, you are required to state the reasons for the choice of your chosen (a) index and (b) stocks from the indices For instance, if you decide to invest in FTSE-100 Index, then you must provide a rationale for choosing FTSE-100 Index (think along the lines of FTSE’s transparency, liquidity, growth, returns; global recognition of London as a leading financial and investment hub); and also a rationale for choosing at least 3 equities from FTSE-100 Index, for instance, GlaxoSmithKline, Lloyds Bank and British Gas (I chose these companies because they are stable, provide a sustainable return, have strong short-to-medium term outlook).
Use financial data and KPIs (key performance indicators) from Bloomberg for each of the chosen index and the chosen companies to justify your choice of portfolio (e.g. income statement, balance sheet,
financial ratios, segment data, credit rating, earnings estimate, relative performance, share price performance, etc.).
It is also desirable, but not essential to state the investment strategy you will be employing for your hedge fund portfolio. For instance, is your hedge fund a growth fund; a risk fund or constant return fund?
2. How will you construct an International Mean-Variance Portfolio with multiple equities?您将如何构建一个具有多个股票的国际平均方差投资组合？
Normally, I would expect risk-return calculations for this section, however, for the purpose of this assignment, I expect you to keep your computations and expectations simple.
You will first calculate the expected return and standard deviation (Lecture 4 slide 9 and Worksheet 4) for each of the 20 equities in your portfolio. You will then ascertain the security that gives you the highest return for any given level of risk.
For instance, say Cisco Systems’ expected return is 9% and risk 4%; Toyota’s expected return is 11% and risk 7% and Lenovo’s expected return is 9% and risk 5%.
Purely by looking at the expected return and risk for each company, you can determine that Cisco Systems is giving you the highest return for any given level of risk.
Therefore, Cisco Systems will become your mean-variance efficient portfolio security.
You will then draw the mean-efficient frontier graph using all your 20 equities (refer to Lecture 4 Slide 21) and the risk-free rate (the risk-free rate will be the rate of your home market).
3. State w
