Monthly Archives: May 2014

Case Study (FIN-325): International Portfolio with Target Beta

Category : Archieve

Case Study (FIN-325): International Portfolio with Target Beta

Educational purposes only…

PLEASE NOTE: You need a new username for this case study.

Purpose

  • Form an international financial securities portfolio with a target beta
  • Review and apply the capital asset pricing theory
  • Conduct a detailed research about financial securities as well as international financial markets
  •  

    Rules

  • Trading Game is used for the portfolio formations.
  • Please note that the Trading Game uses Yahoo! Finance for all financial figures, financial statements, historical prices, beta, symbols, ticker codes, fund categories, ETF categories, options, futures, commodities, security names, countries and all other information pertaining to this case study.
  • You need to estimate the individual Betas for this assignment. Please use Beta estimation post that I provided on this site. If Beta cannot be estimated (you receive an error message) for the selected foreign security, please do not use that security.
  • Please use 12 months for your time period for Beta estimations.
  • You need to have a balanced portfolio
  • You can only trade foreign securities (no US stocks, ETFs, mutual funds, ADRs, options etc.)
  • You can only have long positions (no short positions)
  • Once you trade a security, it is reserved. It cannot be traded by anybody else.
  • You need to let me know when you are done so that I can grade your work.
  • All work will be graded immediately after the deadline. Trading Game will not allow you to trade after the deadline.
  • You can use Stata (completely voluntary) to trade or check your work.
  •  

    Directions:

  • Maximum allowed funds (based on cost) for the stocks is $250,000. No partial credit is given if portfolio value is more than $250,000.
  • Minimum allowed funds (based on cost) for the stocks is $245,000. No partial credit is given if portfolio value is less than $245,000.
  • There needs to be at least 20 different foreign securities in your portfolio. No partial credit is given if portfolio contains less than 20 stocks.
  • Weighted portfolio Beta needs to be as close to 1 (one) as possible. Partial credit is given for portfolio betas that are not exactly 1.
  • Grading:

    THIS ASSIGNMENT IS COMPLETELY VOLUNTARY.
    THIS ASSIGNMENT IS NOT PART OF OUR REQUIRED COURSE CONTENT.
    This assignment has a total of 100 points. 10% of these points can be added to any ONE of the exams.
    For instance #1: Let’s assume you received 100 on this assignment. Then, you can add 10 points to any ONE of your exams.
    For instance #2: Let’s assume you received 80 on this assignment. Then, you can add 8 points to any ONE of your exams.
    For instance #3: Let’s assume you received 60 on this assignment. Then, you can add 6 points to any ONE of your exams.

     

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    Case Study (FIN-325): Using Derivatives to Hedge International Portfolio Risk (Advanced)

    Category : Archieve

    Case Study (FIN-325): Using Derivatives to Hedge International Portfolio Risk (Advanced)

    Educational purposes only…

    PLEASE NOTE: You need a new username for this case study.

    PLEASE NOTE: This case study is at an advanced level and may become quite frustrating.

    Purpose

  • To review and apply the theory of hedging and international diversification to real life examples,
  • To hedge an internationally diversified portfolio through derivatives,
  • To conduct a detailed research about international financial securities as well as hedging methods.
  •  

    Rules

  • Trading Game is used for the portfolio formations.
  • Please note that the Trading Game uses Yahoo! Finance for all financial figures, financial statements, historical prices, beta, symbols, ticker codes, fund categories, ETF categories, options, futures, commodities, security names, countries and all other information pertaining to this case study.
  • If you submit this case study before the deadline AND you receive a grade of C or better then you can resubmit this case study for a second time (with a new username). There is no third resubmission.
  • You need to have a new username for the second submission.
  • Once you trade a security, it is reserved. It cannot be traded by anybody else.
  • You need to let me know when you are done so that I can grade your work.
  • All work will be graded immediately after the deadline. Trading Game will not allow you to trade after the deadline.
  • You can use Stata (completely voluntary) to trade or check your work.
  •  

    Directions: Long Positions

  • (5 points) Maximum allowed funds (based on cost) for long positions is $250,000.
  • (5 points) Minimum allowed funds (based on cost) for long positions is $245,000.
  • Please make sure you have long trade positions in each of the following:
    • (10 points) at least 10 different country index funds (ETFs, i.e. BKF)
    • (10 points) at least 4 Foreign currency funds (ETFs, i.e. FXE)
    • (5 points) at least 1 foreign Treasury bonds (ETF, i.e. WIP)
  •  

    Directions: Short Positions

  • (5 points) Maximum allowed funds (based on cost) for short positions is $250,000.
  • (5 points) Minimum allowed funds (based on cost) for short positions is $245,000.
  • Please make sure you have short trade positions in each of the following:
    • (10 points) at least 10 different country index funds (ETFs, i.e. BKF)
    • (10 points) at least 4 Foreign currency funds (ETFs, i.e. FXE)
    • (5 points) at least 1 foreign Treasury bonds (ETF, i.e. WIP)
  •  

    Grading

  • You need to hedge both long and short positions.
  • COST OF OPTIONS IS CONSIDERED LOSS.
  • Cost of options is not part of your invested portfolio.
  • Choice of hedge is yours.
  • Your grade will depend on your success of hedging.
  • Point of the case study is to eliminate the risk of loss entirely.
  • For each $2,000 loss on the long positions, it will cost you 10 penalty points.
  • For each $2,000 loss on the short positions, it will cost you 10 penalty points.
  • Profits will receive no bonus, extra credit etc.
  • Grading towards course grade

    THIS ASSIGNMENT IS COMPLETELY VOLUNTARY.
    THIS ASSIGNMENT IS NOT PART OF OUR REQUIRED COURSE CONTENT.
    This assignment has a total of 100 points. 20% of these points can be added to any ONE of the exams.
    For instance #1: Let’s assume you received 100 on this assignment. Then, you can add 20 points to any ONE of your exams.
    For instance #2: Let’s assume you received 80 on this assignment. Then, you can add 16 points to any ONE of your exams.
    For instance #3: Let’s assume you received 60 on this assignment. Then, you can add 12 points to any ONE of your exams.